The 19th edition of the NIPE Summer School runs between July 10 and 13, 2023, in person, at the School of Economics and Management, University of Minho, Braga, Portugal. This year's edition is devoted to Nonparametric and Semiparametric Methods in Economics and Finance and will be run by Professor Oliver Linton, Professor of Political Economy and Trinity College Fellow at the University of Cambridge.
COURSE OUTLINE AND PROGRAMMING LANGUAGES
This course covers some major topics in nonparametric and semiparametric methods with applications in economics. The intuition behind smoothing methods, the strengths, and weaknesses. Applications to finance and economic inequality will be considered.
The practical sessions will be taught using R and GAUSS. Participants are expected to bring their laptops with R installed; temporary GAUSS licences will be freely provided to participants during the summer school.
The course runs from 9.00am to 5.00pm (BST) on July 10-12, with coffee breaks and lunches. In the morning of July 13, Professor Oliver Linton will give a seminar.
- Kernel smoothing for density and regression estimation
- Bandwidth choice and inference
- Other smoothing methods including local likelihood, nearest neighbours, series methods, splines, and neural networks
- Nonparametric volatility modelling and estimation
- Nonparametric modelling for panel data
- Inference problems for dependent data, long run variance estimation, subsampling, and bootstrap
- Nonparametric prediction and event studies
- Stochastic dominance testing for inequality measurement and finance
- Estimation and inference about tail thickness with application to VAR
- Additive models and other dimensionality reduction
- Large number of predictors, the selection problem
- High frequency data
ABOUT OLIVER LINTON
Oliver Bruce Linton is a Professor of Political Economy and Econometrics at Cambridge University and a Fellow of Trinity College.
Professor Linton is an Associate Editor with Econometrica,a co-editor at Econometric Theory, and a joint editor of Royal Economic Society (RES) Econometrics Journal.
REGISTRATION AND FEES
Early registration (January 20th - May 12th, 2023): EUR 650.
Late registration (May 13th - June 16th, 2023): EUR 800.
Early (Ph.D. and Master) student registration*: EUR 500.
Late (Ph.D. and Master) student registration*: EUR 650.
Cancelation fee (until 31 May, 2023): EUR 100.
Fees cover attendance, lunches and two refreshments from Monday to Wednesday (10 to 12 July), and a bus pass (provided upon registration) which allows you to use Braga’s public transport (TUB) at no cost during the summer school.
*Students will need to provide a letter from their advisor confirming their student status.
FURTHER PRACTICAL INFORMATION MAY BE FOUND HERE.