[Forum SIS] DEC Seminar - February 19th at 2,30 pm

[Raffaella Piccarreta]

Dear all, 
we are glad to announce the following seminar 
Best regards, Raffaella 




DEC - Statistics Seminar 
Università Bocconi, 
Room 3-E4-SR03 
Via Rontgen 1 - 3rd floor 
Time: 2:30pm 

The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar 

Thursday, February 19th 

Juan Carlos Martínez-Ovando 
Banco de México 



"Bayesian Time-Series Modeling and Applications in Econometrics" 

Abstract 

In this presentation, we shall review some foundation of Bayesian modeling of time-series data, either for analysis or for prediction. We will comment on the flow of information and the learning process, the Bayesian mechanism for updating beliefs, and the issue of incorporating additional relevant information. Two applications in macro econometrics will be reviewed: i) the modeling of micro-price data and price-setting strategies, and ii) macroeconomic forecasting. In (i), a new model marked duration model built on latent structures is introduced, with the aim of describing the pricing strategies of Mexican firms. In (ii), we will reveal the importance of incorporating additional information for macroeconomic forecasting by means of combining expert opinions. In the latter, we explore alternative aggregation procedures of implied experts' predictive distributions. Some empirical results are discussed in both applications, along with some related topics for future research. 

Subjects: Bayesian inference, stationarity, macro econometrics, latent structures, predictive consensus. 


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Raffaella Piccarreta 
DEC - Department of Decision Sciences, 
Universita' L.Bocconi, via Guglielmo Röntgen 1 (3rd floor, room D1-09). 20136, Milano. 
email: piccarreta a unibocconi.it 
tel. +39-02-58365659 / fax +39-02-58365630 

Web page (ENGLISH VERSION): http://faculty.unibocconi.eu/raffaellapiccarreta/ 
(ITALIAN VERSION): http://faculty.unibocconi.it/raffaellapiccarreta/ 
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