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High-dimensional econometric models

Date: 10:30 07 November 2013 - 17:00 08 November 2013
Type: Conference
Organiser: Oliver Linton University of Cambridge and Martin Weidner cemmap and UCL
Venue: Institute for Fiscal Studies

Description

The topics of the workshop include large dimensional panel data, factor models, random matrix theory, sparse high-dimensional models, model selection, model averaging, large financial data, and other high-dimensional econometric models.

Speakers include:

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