Panel Cointegrating Polynomial Regressions: Group-Mean Fully Modified OLS Estimation and Inference

“Panel Cointegrating Polynomial Regressions: Group-Mean Fully Modified OLS Estimation and Inference” by Martin Wagner and Karsten Reichold has been published in Econometric Reviews.

New Master’s degree programme: Management, Economics, and Data Science

Digitalisation is revolutionising every aspect of economics. Thanks to this transformation, companies can use innovative tools to generate data volumes in the googol byte range. They need state-of-the-art management science methods to ensure that insights potentially contained in the data can be used in a meaningful and purposeful way to achieve success. Experts specialising in this cross-sectional subject – which cuts across all areas of data science and economics – will receive academic training at the University of Klagenfurt from the winter semester of 2023/24.

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Invited Talk: Jump Regressions Revisited

Prof. Mathias Vetter (Department of Mathematics, Kiel University) holds a talk on “Jump Regressions Revisited” on Thu. May 11, 2023 at 4:00pm in N.1.43. Guests welcome!

Abstract

A relevant question in the econometrics literature is whether a jump in one stochastic process Z triggers a jump in a related process Y. Starting with the work by Li, Todorov and Tauchen (2017), several papers have discussed this issue, typically in the situation where a jump in Z forces Y to have a jump as well, with the size of the jump in Y given as a function of the simultaneous jump in Z. Asymptotics are then derived in a high-frequency setting, often with the functional relation being linear and based on finite activity jumps in Y and Z. In this talk, we will discuss more realistic scenarios, including infinite activity jumps and a more classical regression assumption, namely that the jump sizes in Y are not given exactly by a function of the corresponding jump size in Z, but involving additional i.i.d. errors. We will sketch how asymptotical results can be obtained in two different situations.

Paul Schweinzer and Martin Wagner Awarded Title of Full Professor by University of Ljubljana

The School of Economics and Business (EF – Ekonomska Fakulteta) of the University of Ljubljana has awarded the two economics professors Paul Schweinzer and Martin Wagner the title of “full professor for economics” (redni profesor za področje ekonomija). This will contribute to establishing a firmer base for the existing cooperation, for instance with regard to teaching in the Doctoral Programme in Business and Economics of the EF. Martin Wagner has been teaching at the EF – with interruptions – for more than 20 years, mostly in the PhD programme. Paul Schweinzer has been holding the Microeconomics / Game Theory lecture in this programme since 2018. These courses are also open to PhD students at the AAU and many other partner universities via CESEENet. Intensifying the cooperation between EF and W&R is particularly relevant in view of the Double Degree Programme planned by the two faculties.