NONPARAMETRIC AND SEMIPARAMETRIC METHODS IN ECONOMICS AND FINANCE by/with OLIVER LINTON

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.

Course outline

• Background and type of estimation, inference, and prediction problems
• 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

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.

Entry Requirements

A graduate degree (MSc or PhD) in Economics, Management, Finance, Mathematics, Statistics, or closely related fields. We also welcome applications from qualified MSc students in these fields.

Please note that ECTS credits are not issued for this summer school.

Daily Schedule

10-12 July(Monday to Wednesday)

• 9:00-10:30
• Coffee Break
• 11:00-12:30
• Lunch Break
• 14:00-15:30
• Coffee Break
• 16:00-17:00

13 July(Thursday)

Professor Linton will give a research seminar in the morning (exact time TBA).

Instruction:

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.

Early registration: January 20th – June 9th, 2023 Late registration: June 1oth – June 30th, 2023

* Students need to provide a letter from their advisor confirming their student status;
* 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.

Cancelation fee: 100€, only until 30th June, 2023. No reimbursements will be made for cancellations after this date.

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