Conference

27th Dynamic Econometrics Conference

18 - 19 September 2025
Don’t miss the 27th Dynamic Econometrics Conference this September at Bayes Business School, London. Join leading researchers and early-career economists as they explore the latest advances in empirical modeling, forecasting, and time series analysis.

27th Dynamic Econometrics Conference

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Join us at the 27th Dynamic Econometrics Conference

An international forum for cutting-edge work in empirical economic modelling, forecasting, computational econometrics, time series analysis, and beyond.

This year’s programme includes a diverse range of insightful presentations, as well as a special panel discussion with the developers of the OxMetrics econometrics software..



Conference Programme

Thursday 18 September

  • 08:30 am

    Registration and Coffee/Tea/Pastries

  • 09:00 am

    Welcoming Remarks and Announcements

    Scientific Organisers

  • Climate Econometrics

  • 09:05 am

    Forecasting Climate Change using a Multivariate Cointegrated System

    Prof. Sir David F. Hendry

    University of Oxford

  • 09:35 am

    Offsetting the Impact of Climate Change on Food Production through Technological Adaptation

    Magdalena Cornejo

    Universidad Torcuato Di Tella

  • 10:05 am

    A Dynamic Time Series Model of Global Sea Surface Temperatures

    Jennifer L. Castle

    University of Oxford

  • 10:35 am

    Coffee/Tea Break

  • 11:00 am

    SPEED Presentations

  • Are Hysteresis Effects Nonlinear?

    Omar Pietro Carnevale

    Queen Mary University of London

  • Timing the Factor Zoo: Explosive Behaviour Beyond Momentum

    Zhuangyan Li

    Bayes Business School

  • Re(Visiting) Large Language Models in Finance

    Eghbal Rahimikia

    Alliance Manchester Business School

  • Managing Uncertainty: A Time-varying Fiscal Framework for Probabilistic Debt Sustainability in High-debt Countries

    Sehrish Ghayas

    University of East Anglia

  • Predicting Provincial Economic Activity in Saudi Arabia: The Case of the Eastern Province

    Fakhri Hasanov

    KAPSARC

  • Who Value ESG More: Retail or Institutional Investors?

    Chaojie (Jay) Liu

    University of Bristol

  • Carbon Tax with Income Subsidies: GDP as an Inferior Good

    Jim Stodder

    Boston University

  • 12:30 pm

    Lunch

  • Ana Timberlake Memorial Lecture

  • 14:00 pm

    Title TBA

    Mary S. Morgan

    London School of Economics

  • Modelling Financial Processes

  • 15:00 pm

    Forecasting Intraday Volatility and Densities using Deep Learning

    Pedro L. Valls Pereira

    São Paulo School of Business Administration - FGV

  • 15:30 pm

    Penalized QMLE and Model Selection of Time Series Regressions

    Sébastien Laurent

    Aix-Marseille Université

  • 16:00 pm

    Coffee/Tea Break

  • 16:30 pm

    Round Table with OxMetrics Developers

    Jurgen A. Doornik, Sébastien Laurent, Siem Jan Koopman

  • 18:30 pm

    Reception and Conference Dinner

Friday 19 September

  • 08:30 am

    Coffee/Tea/Pastries

  • 09:00 am

    Announcements

    Giovanni Urga, Neil R. Ericsson

  • Structural Breaks and Counterfactuals

  • 09:05 am

    Improving Empirical Models and Forecasts With Saturation-based Machine Learning

    Neil R. Ericsson

    Federal Reserve Board

  • 09:35 am

    Econometric Modelling of Public Health and the Economy: COVID-19 in Norway

    Amund H. Kordt

    University of Oslo

  • 10:05 am

    Constructing Counterfactuals from Cointegrating Relationships

    Bilal Sali

    University of Oslo

  • 10:35 am

    Coffee/Tea Break

  • Methodology

  • 11:00 am

    On Panel Data Modeling and Inference: Fixed vs. Random Effects and the Dispute between Mundlak and Nerlove

    Aris Spanos

    Virginia Polytechnic Institute and State University

  • 11:30 am

    From Rotational to Scalar Invariance: Enhancing Identifiability in Score-driven Factor Models

    Emilija Dzuverovic

    Ca' Foscari University of Venice

  • 12:00 pm

    Recovering Stars in Macroeconomics

    Daniel Buncic

    Business School of Stockholm University

  • 12:30 pm

    Lunch

  • Business Cycles and Structural Change

  • 14:00 pm

    Evidence for Brazil

    Emerson Fernandes Marçal

    FGV EPPG

  • 14:30 pm

    Decomposing the Output Gap: Univariate and Multivariate Hodrick–Prescott Filter with Extreme Observations

    Håvard Hungnes

    Statistics Norway

  • Predictive Accuracy

  • 15:00 pm

    Sparsity Tests for High-dimensional Linear Regression Models in Time Series

    Jack Fosten

    Bayes Business School

  • 15:30 pm

    Robust Tests for Factor-augmented Regressions with an Application to the Novel EA-MD Dataset

    Alessandro Morico

    University of Bologna

  • 16:00 pm

    Coffee/Tea Break

  • Monetary Policy

  • 16:30 pm

    Sequential Monitoring For the U.S. Monetary Transmission to Global Financial Stability

    Cindy S.H. Wang

    Peking University, HSBC Business School

  • 17:00 pm

    Multiscale Comparison of Nonparametric Trending Coefficients

    Marina Khismatullina

    Erasmus University Rotterdam

  • 17:30 pm

    Augmented Taylor Rule Estimation

    Giovanni Urga

    Bayes Business School

  • 18:00 pm

    Closing Remarks

    Conference Organisers

Conference Dinner

Wednesday, 17 September 2025

An informal dinner will be held prior to the first day of the Conference, and all attendees are welcome to join. If you’d like to participate, please let us know in advance. Each attendee will be responsible for covering the cost of their own meal on the evening.

 

 

Thursday, 18 September 2025 

The Conference Dinner will take place on Thursday evening. This is a prepaid event and open to all. Prior registration is required.

Conference Venue

Bayes Business School, London

106 Bunhill Row, London, EC1Y 8TZ, United Kingdom

FAQ

Have a question about the conference? We're here to help. Take a look below at some of the most common queries we get. If your question still isn't answered, scroll down to send us an email, or call our in house experts.

 

How do I register for the Conference dinner?
You can now register for the Conference Dinner through our main conference registration system. Dinner registration is optional and can be added separately to your conference registration. Important: The registration deadline for the Conference Dinner is the same as the main conference deadline.
Where should I stay during the Conference?

The Conference will take place at Bayes Business School, Finsbury Square. There are several hotels within easy walking distance, such as:

 

Many other options can be found via standard hotel booking platforms. Please note that we have no affiliation with any accommodation providers, and all bookings must be made directly by individual attendees.

Am I able to attend the Conference online?
Unfortuntaly, we are only able to accomodate in-person attendance for the Conference.
Important Notice for European Attendees

 

New UK Entry Requirements for European Travellers

 

If you are travelling from Europe to attend our conference in London, please note that from April 2, 2025, EU, EEA and Swiss citizens (except Irish citizens) will need an Electronic Travel Authorisation (ETA) to travel to the UK. 

 

What is an ETA?

An ETA is a digital permission to travel – it is not a visa Electronic Travel Authorisation (ETA) and allows multiple visits to the UK of up to 6 months over a 2-year period UK to extend electronic travel to European visitors.

 

Action Required:

- Apply for an ETA if you're an EU, EEA, or Swiss citizen (Irish citizens are exempt)

- Cost: £10 until April 9, 2025, then £16 EU citizens travelling to the UK without visa will need an Electronic Travel Authorisation (ETA).

- Processing time: Most applications are approved in minutes, but allow up to 3 working days UK to extend electronic travel to European visitors.

 

How to apply:

Applications can be made through the 'UK ETA app' or GOV.UK website. 

 

Who needs what:

- EU/EEA/Swiss citizens: Electronic Travel Authorisation (ETA)

- Other European nationals: May need a Standard Visitor visa - check gov.uk/check-uk-visa

- Irish citizens: No ETA or visa required

 

Apply now:

Visit gov.uk/guidance/apply-for-an-electronic-travel-authorisation-eta or download the UK ETA app

 

We strongly recommend applying for your ETA or checking your visa requirements as early as possible to avoid any travel complications.

Our Scientific Organisers for 2025

2025 Dynamic Econometrics Conference.

BE PART OF THE CONVERSATION.

18 -19 September 2025

2 Days

Bayes Business School, London