OxMetrics user Conference Aix-en-Provence
I have now arrived in Aix-en-Provence for the 16th Oxmetrics user conference which gathers econometricians who work with or develop this software. I'm quite excited to know the new developments of autometrics, which is a great algorithm for econometrics in the presence of large datasets!
Today, Neil Ericsson showed us how he could read the minds of the Governors of the Federal Reserve, Siem Jan Koopman on how to handle mixed frequency datasets in a novel way. Felix Pretis used the Step indicator saturation (SIS) technique to assess time-varying predictive accuracy. James Reade had an intesting application on Twitter and the so-called biggotgate by the UK Prime Minister.
And many more!