The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
This events consists of 2-days intense lectures and 1 day Workshop.
The lectures will look at the description of recurrent events and the use of this information for prediction and analysis of econometric models. Recurrent events come in many forms ranging from business and financial cycles to crises. At the most basic level recurrent events are summarized by binary indicators, although there can be higher order extensions involving multiple categorical variables. Because the indicators are constructed either directly from data or indirectly by models such as Markov Switching that use data, they have different properties to those arising in micro-econometrics, and so how one uses them depends a lot upon the method of construction. In the event model-based methods are used it is crucial to check the properties of the model used. The lectures looks at both analytical and descriptive work on all of these topics.
Registration deadline: May 20, see the Tinbergen website.
The topic will be discussed and analyzed by a group of leading international researchers in the field. The workshop is intended as a meeting place for theoretical and applied researchers in academia and professional organizations who are interested in and work on the theme of the workshop.