Workshop:Modeling and Forecasting Economic and Financial Time Series with State Space models
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Workshop
State space models are a powerful tool to tackle difficult inference and forecasting problems common in economic and financial series. Given the emphasis placed on forecasting and nowcasting in modern central banks and other financial institutions, state space models seem a much under-utilized tool in the econometric community. The workshop welcomes theoretical as well as applied contributions. Topics of interest include inference, parameter variation, common factor models, measurement errors and filtering, data revision, and mismatched frequencies. For more information and the online program please consult the Link.