1:03:37A Realized Similarity Index
A 64-minute video from VTSS: “A Realized Similarity Index”.
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1:03:37
19:07A Two Steps Panel Data Mode Regression with Interactive Fixed Effects
A 19-minute video from VTSS: “A Two Steps Panel Data Mode Regression with Interactive Fixed Effects”.
53:26Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios
A 53-minute video from VTSS: “Analysis of Multiple Long Run Relations in Panel Data Models with Applications to Financial Ratios”.
39:36Are Fiscal Transfers Inflationary?
A 40-minute video from VTSS: “Are Fiscal Transfers Inflationary?”.
56:33Backtesting High-Dimensional Expected Shortfall
A 57-minute video from VTSS: “Backtesting High-Dimensional Expected Shortfall”.
1:03:30Canonical Correlation analysis of stochastic trends via functional approximation
A 64-minute video from VTSS: “Canonical Correlation analysis of stochastic trends via functional approximation”.
58:20Causality versus Serial Correlation: an Asymmetric Portmanteau Test
A 58-minute video from VTSS: “Causality versus Serial Correlation: an Asymmetric Portmanteau Test”.
45:24Detection and Mode-Identification of Multiple Change Points in Tensor Factor Models
A 45-minute video from VTSS: “Detection and Mode-Identification of Multiple Change Points in Tensor Factor Models”.
1:00:53Dynamic Graphical Models: Theory, Structure and Counterfactual Forecasting
A 61-minute video from VTSS: “Dynamic Graphical Models: Theory, Structure and Counterfactual Forecasting”.
59:12Dynamic factor models with common (drifting) stochastic trends
A 59-minute video from VTSS: “Dynamic factor models with common (drifting) stochastic trends”.
1:01:38Econometric Inference for High Dimensional Predictive Regressions
A 62-minute video from VTSS: “Econometric Inference for High Dimensional Predictive Regressions”.
22:27Embedding Network Autoregression for Time Series Analysis and Causal Peer Effect Inference
A 22-minute video from VTSS: “Embedding Network Autoregression for Time Series Analysis and Causal Peer Effect Inference”.
19:13From Rotational to Scalar Invariance: Enhancing Identifiability in Score-Driven Factor Models
A 19-minute video from VTSS: “From Rotational to Scalar Invariance: Enhancing Identifiability in Score-Driven Factor Models”.
17:43Gauging Hourly Economic Activity in Your Neighborhood
A 18-minute video from VTSS: “Gauging Hourly Economic Activity in Your Neighborhood”.
50:29High-dimensional Gaussian and bootstrap approximations for robust means
A 50-minute video from VTSS: “High-dimensional Gaussian and bootstrap approximations for robust means”.
47:21Inference for Macroeconomic Policy Counterfactuals
A 47-minute video from VTSS: “Inference for Macroeconomic Policy Counterfactuals”.
18:56Limit theory for Mildly Explosive Time Series When Initialization is in the Infinite Past
A 19-minute video from VTSS: “Limit theory for Mildly Explosive Time Series When Initialization is in the Infinite Past”.
21:01Local projections identify the same policy counterfactuals as empirical and structural models
A 21-minute video from VTSS: “Local projections identify the same policy counterfactuals as empirical and structural models”.
47:03Measuring the Effects of Aggregate Shocks on Cross-sect. Dist.: Functional vs. Panel Approach
A 47-minute video from VTSS: “Measuring the Effects of Aggregate Shocks on Cross-sect. Dist.: Functional vs. Panel Approach”.
17:51Noise-Cancelling Location Models
A 18-minute video from VTSS: “Noise-Cancelling Location Models”.
59:00Nonparametric Time-Varying Local Projections
A 59-minute video from VTSS: “Nonparametric Time-Varying Local Projections”.
58:27Projection-Based Wild Bootstrap under General Two-way Cluster Dependence with Serial Dependence
A 58-minute video from VTSS: “Projection-Based Wild Bootstrap under General Two-way Cluster Dependence with Serial Dependence”.
20:55Quantifying Demand Shocks in the Green and Digital Transition
A 21-minute video from VTSS: “Quantifying Demand Shocks in the Green and Digital Transition”.
59:06Score-type tests for Markov switching models
A 59-minute video from VTSS: “Score-type tests for Markov switching models”.
40:37Semiparametric local projections
A 41-minute video from VTSS: “Semiparametric local projections”.
52:34Separating Long Memory from Short
A 53-minute video from VTSS: “Separating Long Memory from Short”.
59:26Simple and robust bias correction
A 59-minute video from VTSS: “Simple and robust bias correction”.
49:29Structural Breaks in Conditional Tail Risk
A 49-minute video from VTSS: “Structural Breaks in Conditional Tail Risk”.
18:18The Inflationary Impact of Government Spending Shocks: Do Funding Choices Matter?
A 18-minute video from VTSS: “The Inflationary Impact of Government Spending Shocks: Do Funding Choices Matter?”.
1:03:08Uniform Inference with General Autoregressions
A 63-minute video from VTSS: “Uniform Inference with General Autoregressions”.