6th Vienna Workshop on High Dimensional Time Series in Macroeconomics and Finance

On May 16 and 17, 2024, the 6th Vienna Workshop on High Dimensional Time Series in Macroeconomics and Finance co-organized by Martin Wagner was held at the Institute for Advanced Studies Vienna.

The Quantitative Economics Division of the Department of Economics contributed three presentations:

R. Kawka, M. Vetter and M. Wagner: “Robust Inference for the Long Run”
S. Veldhuis and M. Wagner: “Integrated Modified OLS Estimation and Inference in Systems of I(2) Cointegrating Regressions”
D. Bauer, A. Konstantopoulos, M. Wagner and Ch. Zwatz: “On (Static) Linear Transformations of VAR Models”