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NIPE SUMMER SCHOOL | 19thEdition

NONPARAMETRIC AND SEMIPARAMETRIC METHODS IN ECONOMICS AND FINANCE

with Oliver Linton

10 TO 13 JULY 2023
UNIVERSITY OF MINHO | BRAGA – PORTUGAL

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.

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.

 

 

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).

 

Registration and Fees

CV Upload

Registration type

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

We will reply to your message with instructions on how to proceed with the payment of the registration fee.

NIPE/EEG informs that photographs and/or video will be taken at this event for academic activity reporting purposes.
Personal data treatment and privacy policy

Early registration: January 20th – May 31st, 2022
Late registration: June 1st – June 15th, 2022

Early registration: 575€ Late registration: 625€
Students* (PhD, Master) early registration: 500€ Students* (PhD, Master) late registration: 550€

* Students need to provide a letter from their advisor confirming their student status
* The registration fee includes the course materials

Cancelation fee: 50€, only until 16th June, 2022

Organizing Team

 

Luís Sá

E-mail: luis.sa@eeg.uminho.pt

Priscila Ferreira

Iolanda Vieira

E-mail: nipe.summerschool@eeg.uminho.pt
Phone: +351 253 604 518

Nelson Areal 

E-mail: nareal@eeg.uminho.pt

Susana Figueiredo 

E-mail: nipe.summerschool@eeg.uminho.pt
Phone: +351 253 604 518

Pratical Information

The summer school will take place at the School of Economics and Management, University of Minho, Braga, Portugal. EEG-UMinho was founded on 10 March 1982. It is an organic unit of education, research and interaction with society.

It focus on activities ranging from the sciences of economics to business administration and political science and international relations, and other related areas. It offers 8 Bachelor Programmes, 14 Master Programmes and 5 PhD Programmes, accounting for approximately 2500 students. The School is widely recognised for the quality of its research: it integrates 2 Research Units, one of which achieved a maximum rating of “Excellent” by the Portuguese Foundation for Science and Technology (FCT).

The closest airport to Braga is Francisco Sá Carneiro Airport, in Porto, which stands some 45 Km away from Braga. For GPS users, the coordinates to UMinho are (according to Google Earth): 41°33’41.00″N and 8°23’54.45″W.

The easiest way to get to Braga is by using the “get Bus”, which does daily transfers from the Francisco Sá Carneiro Airport to Braga.

Note that as an alternative, you can take the subway, Line Violeta to Campanhã Station [about 33 minutes, between 6am and 1:30am]. From there you should get the train to Braga. Information on train prices and timetables can be found in the CP website. Braga train station is 5 minutes walking distance from the city centre.

From Porto airport to Braga participants can also:

  • rent a car
  • take a taxi
  • a bus service is also available from downtown Porto (Rua Alfredo Magalhaes)

These are the hotels with which we negotiated special prices for Summer School participants.

*****
SINGLE €81
DOUBLE €91
LOCATION Near University (5 min walking distance)
NOTES
Including breakfast.
****
SINGLE €69
DOUBLE €89
LOCATION City centre
NOTES
Including breakfast.
Parking only available in the evening.
***
SINGLE €43,50
DOUBLE €56,00
LOCATION City centre
NOTES
Including breakfast.
****
Hotel do Parque, Hotel do Elevador
and Hotel do Templo
SINGLE €56
DOUBLE €68
LOCATION Bom Jesus
Mountain
(10 min by car)
NOTES
Including breakfast.
Tourist tax 1.50€, per day.
***
Hotel do Lago and Hotel João Paulo II
SINGLE €40
DOUBLE €48
LOCATION Bom Jesus
Mountain
(10 min by car)
NOTES
Including breakfast.
Tourist tax 1.50€, per day.
***
SINGLE €-
DOUBLE €-
LOCATION Near University (10 min walking distance)
NOTES
10% discount on all the prices marked on their website.
In order to benefit from this discount, participants should mention that they are attending NIPE’s Summer School.
****
SINGLE €36
DOUBLE €50
LOCATION City center
NOTES
Including breakfast.
Tourist tax 1.50€, per day.
***
SINGLE €38
DOUBLE €48
LOCATION  Braga train station (buses running to and from the university of Minho every 15 minutes).
NOTES
48€ for a twin bedroom and 70€ for a triple bedroom (including breakfast).
In order to benefit from this discount, participants should mention that they are attending a NIPE’s Summer School.
Tourist tax 1.50€ per day.
Reservations: reservas@basichotelbraga.com
SINGLE €69
DOUBLE €78
LOCATION City centre
NOTES
 Including breakfast.
Tourist tax 1.50€, per day.
SINGLE €-
DOUBLE €-
LOCATION City centre
NOTES
10% discount on all the prices marked on their website
In order to benefit from this discount, participants should mention that they are attending NIPE’s Summer School
Reservations: oldcitygh@gmail.com

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