Econometrics and Data Science
Econometrics and Data Science
The Econometrics and Data Science Research Group covers a wide number of topics within the areas of modern econometric theory and applications, as well as data science in economics. On the econometrics side, the group’s research interests include: the econometrics of networks, panel data econometrics, identification and semiparametric econometrics, macroeconometrics and financial econometrics. On the data science side, the group is interested in, among other topics, machine learning, artificial intelligence, high-dimensional econometrics and text analysis. Such research is often motivated and applied to problems in other fields, including those in industrial organisation, labour economics, political economy, macroeconomics and finance.
The group organises an Econometric seminar that takes place every two weeks on Mondays at 2pm. The group also participates in the CAGE seminar in applied economics, which runs every two weeks on Tuesdays at 2pm, and engages with other seminars in the Department. Students and faculty of the group present their work in progress in two brown bag seminars which run weekly on Tuesdays and Wednesdays at 1pm. The group also co-organises annual workshops, including the Econometrics Workshop, which is a one-day event coupled with an econometrics masterclass.
Our activities
Econometrics Seminar
Monday afternoons
For faculty and PhD students at Warwick and other top-level academic institutions across the world. For a detailed scheduled of speakers please see our upcoming events.
Organisers: Kenichi Nagasawa and Ao Wang
Work in Progress Seminars
Tuesdays and Wednesdays: 1.00-2.00pm
Students and Faculty of the group present their work in progress in two brown bag seminars. For a detailed scheduled of speakers see our upcoming events.
Organiser: Chris Roth
People
Academics
Academics associated with the Reseach Group Name research group are:
Events
Mon 10 Feb, '25- |
Econometrics Seminar - Chao Yang (Shanghai University of Finance & Economics)S2.79Title: A Spatial Autoregressive Model for Interval-Valued Data Authors: Yuying Sun, Chao Yang (presenter) and Junxin Zhao Abstract: The spatial autoregressive (SAR) model has been widely applied to quantify the spillover effects across agents who are geographically adjacent to each other and/or linked in different types of networks, such as social networks, trade networks, and input-output chains, and so on. Extensions on model framework and estimation methods have been made to analyze different types of data, such as censored variables and discrete choices. However, as far as we know, previous literature focuses on point-valued data and little attention has been paid to interval-valued data, which may contain the overall changes of a unit during a fixed time span such as the number of visitors to a place of interest during a day, the load of customers of a railway line during a week, and the house price of a district during a month. As an interval contains much more information than the mean, range, or variance individually, it would be interesting to model their spatial or network relationships, which may potentially identify the spillover of a variable's whole distribution, providing rich implications about heterogenous spillovers across different quantiles. In this model, we extend the classical SAR framework to analyze interval-valued data, develop a minimal distance GMM estimator, and show its large sample and finite sample performances. |
|
Tue 11 Feb, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Imran Rasul (UCL)S2.79Title to be advised. |
|
Wed 12 Feb, '25- |
CAGE-AMES Workshop - Menna Bishop & George Ferridge (Warwick PGRs)S2.79Title/s to be advised. |
|
Tue 18 Feb, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Namrata Kala (MIT)S2.79Title to be advised. |
|
Wed 19 Feb, '25- |
CAGE-AMES Workshop - to be advised.S2.79 |
|
Tue 25 Feb, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Basit Zafar (UM Ann Arbor)S2.79Title to be advised. |
|
Wed 26 Feb, '25- |
CAGE-AMES Workshop - Carole Gao & Johannes Brinkman (Warwick PGRs)S2.79Title/s to be advised. |
|
Tue 4 Mar, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Stelios Michalopoulos (Brown)S2.79Title to be advised. |
|
Wed 5 Mar, '25- |
CAGE-AMES Workshop - Lily Shevchenko & Malavika Mani (Warwick PGRs)S2.79Title/s to be advised. |
|
Tue 11 Mar, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Daniele Paserman (BU)S2.79Title to be advised. |
|
Wed 12 Mar, '25- |
CAGE-AMES Workshop - Margot Belguise (Warwick PGR)S2.79Title to be advised. |
|
Tue 22 Apr, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Libertad Gonzalez (UPF)S2.79Title to be advised. |
|
Tue 6 May, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Mushfiq Mubarak (Yale)S2.79Title to be advised. |
|
Mon 12 May, '25- |
Econometrics Seminar - Francesca Molinari (Cornell)S2.79Title to be advised. |
|
Tue 13 May, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Elias Papaiannou (LBS)S2.79Title to be advised. |
|
Tue 20 May, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Pauline Grosjean (UNSW)S2.79Title to be advised. |
|
Tue 27 May, '25- |
Applied Economics, Econometrics & Public Policy (CAGE) Seminar - Jessie Handbury (UPenn)S2.79Title to be advised. |
|