Econometrics Seminar

• Optimal Covariate Collection for Prediction in Randomized Experiments

• Scale of Predictability

• The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

• Optimal Monetary Policy in a Data-Rich Environment

• A Tale of Tails: Estimating the Daily Return Density from High-Frequency Data

• Identification and Estimation of SVAR Models with External Instruments

• Andres Santos

• Chris Matthes

• When Instruments Break: Choosing the Optimal Estimation Fraction Under a Change in Exogeneity

• Regularized LIML for Many Instruments

• Vira Semenova

• Predictive Macro-Finance: Dynamic Term Structure Modeling with Regime Switches

• Forecasting the Yield curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach

• Forecasting with a Panel Tobit Model

• Leveraged ETF options implied volatility paradox: a statistical study