Marco Avarucci (University of Glasgow) 10.11.2023 FRIDAY

It is our pleasure that Dr. Marco Avarucci (University of Glasgow) will present on Friday, November 10, 2023, at 12:45 in room RB 338 about his research on the topic „Frequency-Band Estimation of the Number of Factors- Detecting the Main Business Cycle Shocks“.

Registration is not required and anyone who would like to attend is warmly invited.

ABSTRACT: We introduce consistent estimators for the number of shocks driving large-dimensional dynamic factor models. Our estimators are functions of the eigenvalues of the spectral density matrix of the observables and can be applied to single frequencies as well as to specific frequency bands, making them suitable for disentangling shocks affecting dynamic macroeconomic models with a factor model representation. Their small-sample performance in simulations is excellent, even in estimating the number of shocks that drive medium-sized DSGE models. We apply our estimators to the FRED-QD dataset, finding that the U.S. macroeconomy is driven by two shocks: an inflationary demand shock and a deflationary supply shock

BIO:  Marco Avarucci is a Senior Lecturer in Economics at the Adam Smith Business School at the University of Glasgow. He holds a PhD in Econometrics and Empirical Economics from Tor Vergata University in Rome. He is interested in time series analysis, including factor models, panel data and volatility models. His works appeared in leading journals in Econometrics and Statistics, such as the Journal of Econometrics, Econometric Theory, and the Journal of American Statistics Association.  Before joining Glasgow, he held a position at Maastricht University and LUISS in Rome. He taught different courses on statistics and econometrics to undergraduate and postgraduate students.