Archive Seminars and Workshops Quantitative Economics
Winter -Spring 2025
MLSE is a (mostly) bi-weekly seminar to foster cooperation between the Department of Microeconomics and Public Economics and the Department of Quantitative Economics. It aims to give researchers the opportunity to present their ongoing work and to facilitate cooperation
Tuesday 21 January 2025 13:15-14:15 TS53 A0.24
Authors: Marc Schröder (joint with Shaul Rosner and Laura Vargas Koch)
Title: Nash flows over time with tolls
Abstract:
Traffic congestion remains an important problem in our current society. There are multiple ways and approaches to model this. We consider a theoretic, but realistic model known as the deterministic fluid queuing model (or Vickrey's bottleneck model). We introduce (fixed) tolls to the model and test whether some of the known properties of dynamic equilibria carry over. Using three examples we show that (1) dynamic equilibria with tolls need not be unique, (2) particles might overtake in dynamic equilibria with tolls, (3) dynamic equilibria with tolls need not reach a steady state.
Tuesday 1 April 2025, 13.00 -14.00 PM TS53 H0.04
Authors: Dries Vermeulen and Dmitriy Kvasov
Title: Computation of the pre-nucleolus for non-negative monotonic games
Abstract: For a non-negative monotonic game, a coalition is called minimal if every strict subcoalition has a strictly lower value. Each non-negative monotonic game is characterized by its collection W of minimal coalitions, together with the associated value for each minimal coalition.
We show that the collection W* consisting of W, together with all coalitions that consist of a minimal coalition plus exactly one player, determines the pre-nucleolus.
We also identify a subcollection of W* that determines the pre-nucleolus on the set of all non-negative pre-imputations, and that moreover contains only a negligible fraction of all coalitions as the number of players in the game is large.
Wednesday 25 March 13:00 PM-14:00 PM TS53 A0.23
Author: Ákos Miklós Balázs, Péter Biró
Title: Comparing mechanisms for course allocation with contracts
Abstract: We study a course allocation problem with contracts which is unique in several aspects. Courses have lexicographic preferences that favour students from higher priority groups, and within these groups, those students who wish to take the course with higher-priority contract terms. Courses are also characterised by finite capacities. Students have preferences over sets of course-term pairs, which are their private information. However, they can send a signal that contains a ranking over singletons and a capacity for each contract term. It is also restricted that the same course cannot be listed with more than one contract term. We consider six different mechanisms for this course allocation problem: the HBS draft, its slight modification (referred to as SZISZ), the random serial dictatorship (RSD), the deferred acceptance with single (DASTB) and multiple tie break (DAMTB), and the latter followed by the stable improvement cycles algorithm (DAMTB+SIC). Our aim is to compare the performance of these mechanisms from several perspectives. First, we evaluate them by checking whether they satisfy certain desiderata (strategy-proofness, possible and necessary player- and student-efficiency, and pairwise stability). We also show that no mechanism can satisfy both strategy-proofness and pairwise stability, and the same is true for possible student-efficiency and pairwise stability. Next, we use a dataset containing the signalled preferences of students (as well as cardinal utilities) from 2023. We apply each mechanism to these signals several times and calculate some welfare indicators from the resulting matchings. Our findings indicate that although the RSD and DASTB mechanisms satisfy more theoretical desiderata, they are outperformed in most welfare indicators by the SZISZ and even more so by the HBS draft mechanism.
Yanru Sun will present her work at the MLSE Seminar:
Tuesday 22 April 2025, 13.00 -14.00 PM TS53 A0.23
Authors: Yanru Sun, Hao Sun, Panfei Sun, Xuanzhu Jin and Yimei Yang
Title: Elevating the corporate social responsibility level: A media supervision mechanism based on the Stackelberg-Evolutionary game model
Abstract: Environmental taxes alone may not solve the social dilemma posed by the conflict between the myopic pursuit of profit and the cost of corporate social responsibility (CSR). Designing a reasonable supervision mechanism is crucial to correcting market failures. We develop a media supervision mechanism through a Stackelberg-Evolutionary game model to study the impact of media supervision on the evolutionary behavior of the manufacturer population. Assuming the media is leader, manufacturers' demands are heterogeneous under different strategy profiles after the media determines the effort level of supervision. The best response of the manufacturer population is the evolutionarily stable strategy under supervision, where the percentage of CSR strategies is defined as CSR level. It is proved that the CSR level elevates with the increase of effort level. We analyze the existence and uniqueness of Stackelberg-Evolutionary equilibrium and a numerical algorithm to compute it. The results show that CSR level under Stackelberg-Evolutionary equilibrium is higher than that without supervision. Our research not only illustrates the effectiveness of media supervision in reducing environmental pollution but also provides suggestions for governments to formulate environmental policies and improve regulatory mechanisms.
Jing Ren will present her work at the MLSE Seminar:
Tuesday 20 May 2025, 13.00 -14.00 PM, TS 53 C-1.07
Authors: Jing Ren, Iwan Bos, Dries Vermeulen
Title: Myopic coalition formation
Abstract: This paper studies a dynamic coalition formation process, which generates a myopically rational coalition sequence. Our results show that such a dynamic coalition formation process does not have a cycle, which implies that a myopically rational coalition sequence converges to a stable coalition. Moreover, our results have a wide application in economic and social settings. In this paper, we examine the models with open membership and restricted membership, where the dynamic coalition formation process is acyclic. Additionally, our results apply to the setting with and without ranked admission.
Bas Dietzenbacher will present his work at the MLSE Seminar:
Tuesday 13 May 2025, 13:15-14:15PM, TS53 A0.23
Authors: Shasha Ding, Bas Dietzenbacher, Hans Peters
Title: Strategic cartel profit sharing
Abstract: This paper studies firms in a collusive oligopoly that divide the cartel profits based on their reported capacities. We model these situations as biform games, where the capacities are strategically reported in the form of threats, and these reported capacities result in a cooperative game. We define a family of allocation rules that divide the cartel profits among the collusive firms based on this cooperative game and study the corresponding equilibrium capacities reported when these allocation rules are implemented. We compare these equilibria with the Cournot equilibrium and particularly focus on the equal split rule, the Shapley value, and the dual equal split rule.
Date and time: July 1st, 14:00-15:00
Authors: Pedro Gonzalez-Fernandez, Stefan Terstiege, and Elias Tsakas
Title: Regulating Information
Abstract: Economic agents often seek to acquire information before taking an important action, but in many domains, gathering this information requires approval from a regulator. This paper develops a model in which an agent designs an experiment to inform his decision, but can only implement it if a regulator authorizes it ex ante. We characterize the agent’s optimal experiment under this approval constraint and show that, whenever the regulator rejects full revelation, the agent strategically reduces informativeness in the states where their disagreement is strongest. We then extend the model to settings with multiple regulators, comparing sequential and collective approval mechanisms. The analysis yields predictions for how institutional structure shapes access to information, with applications to clinical trials, data privacy, and ethics boards.
Operations Research
Joint ORBEL - NGB conference on Operations Research at Maastricht University
29 January 2025 12:00 - 31 January 2025 16:15
Joint ORBEL - NGB Conference on Operations Research
The conference is intended as a meeting place for researchers, users and potential users of Operational Research, Statistics, Computer Science and related fields. It will provide managers, practitioners, and researchers with a unique opportunity to exchange information on quantitative techniques for decision-making.
The joint conference will take place at the School of Business and Economics of Maastricht University, and will be organized by the Department of Quantitative Economics, section Operations Research.
The objective of Operational Researchers is to work with clients to find practical and pragmatic solutions to operational or strategic problems, often working within tight timing constraints. Once a good or better way of proceeding has been identified, Operational Researchers can also be central to the management of implementing the proposed changes.
Organizations may seek an extensive range of operational improvements - for example, greater efficiency, better customer service, higher quality or lower cost. Whatever the business engineering aim, OR can offer the flexibility and adaptability to provide objective help. Most of the problems OR tackles are messy and complex, often entailing considerable uncertainty. OR can use advanced quantitative methods, modelling, problem structuring, simulation and other analytical techniques to examine assumptions, facilitate an in-depth understanding and decide on
Tuesday, March 11th, Janos will present his work at the MLSE Seminar: Games with a Finite Yet Arbitrarily Large Number of Active Players.
To secure a nice room in a convenient period of time that allows for questions after the presentation, our seminar will start 15 minutes later than usual.
Date and time: March 11th, 2025 (13:15-14:15), TS53 C-1.09
Authors: Janos Flesch, Miklós Pintér, Arkadi Predtetchinski, and William Sudderth
Title: Games with a Finite Yet Arbitrarily Large Number of Active Players
Abstract:
We propose a model of games with infinitely many players. Its key feature is that the set of active players is finite almost surely, and yet, every single player becomes active with probability 1. More precisely, in such a game:
1. A finite set of players, called active, is drawn from an infinite set of potential players, according to the so-called selection charge. The selection charge is a finitely additive probability measure on the collection of finite subsets of players with the property that, for every single player, the probability to be active is 1.
2. Each active player is informed that she is active, but not of who the other active players are.
3. Finally, the active players choose their actions simultaneously, and, depending on the set of active players and the action profile, they receive the payoffs.
We examine the Nash equilibria of these games. We show that these games admit a Nash equilibrium under various conditions, among others: (i) when the action sets are compact metric and for each given player, the collection of her payoff functions for the different possible sets of active players is equicontinuous, and (ii) when the players have a common finite action set and each player’s payoff depends on her own action and continuously on the frequency of the actions chosen by the other active players, and (iii) in minority games where there are only two actions and each player’s goal is to choose the action that is chosen by the minority of the active players. Some of these results depend heavily on whether iterated integrals, where one integral is taken with respect to a finitely additive probability measure, depend on the order of integration.
Abstract:
Traffic congestion remains an important problem in our current society. There are multiple ways and approaches to model this. We consider a theoretic, but realistic model known as the deterministic fluid queuing model (or Vickrey's bottleneck model). We introduce (fixed) tolls to the model and test whether some of the known properties of dynamic equilibria carry over. Using three examples we show that (1) dynamic equilibria with tolls need not be unique, (2) particles might overtake in dynamic equilibria with tolls, (3) dynamic equilibria with tolls need not reach a steady state.
Econometrics
Author: Rosnel Sessinou (Erasmus University Rotterdam)
Wednesday 12 February 2025 15:00 PM 16:00 PM TS53 Room info later
Title: Validating a Selected Model: Encompassing, Progression, and Redundancy Testing
Abstract: Testing for encompassing is a necessary preliminary step before conducting valid post-selection inference, such as efficient market hypothesis testing. However, no existing test accommodates high-dimensional stationary data, such as the US factor zoo dataset. This paper introduces a Subseries-based Cauchy Combination Test (SCT) that fills this gap. SCT is a (high-dimensional) score test that bypasses the need to estimate large covariance matrices; unlike the Wald or J tests, it outperforms in low and high dimensions. SCT is unbiased and has power at least equal to the minimum p-value test or sup-score test powers. When developing linear factor models, SCT enables reproducibility, redundancy, or progression testing. Applying SCT to US equity market data from 1964 to 2020 reveals that some prominent US factor models can span the mean-variance efficient frontier of US blue-chip stocks even if these models are all misspecified. In line with the recent literature, SCT fails to reject the null hypothesis of a replication crisis, suggesting no widespread breakdown in the factors' performance. However, SCT also fails to reject the null hypotheses of factor redundancy in the US factor zoo and, therefore, that of a progression crisis in the asset pricing literature during the same period.
Author: Barend Spanjers (VU Amsterdam)
Wednesday 26 March 15:00 PM-16:00 PM
Titel:
Increased persistence of warm and wet winter weather in north-western Europe due to trends towards strongly positive NAO
Abstract:
The winter North Atlantic Oscillation (NAO) has seen a long-term trend towards strongly positive values over the last decades. Although this shift aligns with climate model projections under scenarios of strong greenhouse gas forcing, the observed changes exceed the range predicted by these models. While the relationship between the NAO and temperature or precipitation patterns is well-established, the shift’s impact on weather persistence remains unclear and may influence different parts of the temperature distribution and the probability of precipitation in distinct ways. We introduce statistical models to capture this distributional heterogeneity. When comparing 1950–1980 with 1990–2020, we find that both warm temperature and precipitation persistence have increased significantly in north-western Europe in winter.
This project is joint work with Eric Beutner, Dim Coumou and Julia Schaumburg.
Author: Jad Beyhum (KU Leuven)
Wednesday 2 April 15:00 PM-16:00 PM
Title: Inference after discretizing unobserved heterogeneity
Paper: https://arxiv.org/abs/2412.07352
Details follow.
Author: Simon Freyaldenhoven (Federal Reserve Bank of Philadelphia)
Wednesday 16 April 15:00 PM- 16:00 PM
(Visualizing) Plausible Treatment Effect Paths –
joint with Christian Hansen
We consider point estimation and inference for the treatment effect path of a policy. Examples include dynamic treatment effects in microeconomics, impulse response functions in macroeconomics, and event study paths in finance. We present two sets of plausible bounds to quantify and visualize the uncertainty associated with this object. One set of bounds covers the average (or overall) effect rather than the entire treatment path. Our second set of bounds imposes data-driven smoothness restrictions on the treatment path. Post-selection Inference (Berk et al. [2013]) gives us formal coverage guarantees for these bounds. The chosen restrictions also imply novel point estimates that perform well across our simulations. Both plausible bounds are often substantially tighter than traditional confidence intervals, and can provide useful insights even when traditional (uniform) confidence bands appear uninformative.
Author: Sofia Borodich Suarez (University of Luxembourg and UM)
Wednesday 14 May 1500 PM -16:00 PM
Title: Robust Priors in Non-linear Panel Data Models - Estimating Average Marginal Effects.
Abstract: In a seminal paper, Arellano and Bonhomme (“Robust priors in nonlinear panel data models,” Econometrica, 2009) propose priors to simultaneously reduce the bias for estimating the common parameters (theta_0) and the average marginal effects (M) in non-linear panel data models with fixed effects. However, we show that the Arellano-Bonhomme (AB) priors are not simultaneously bias reducing by proving mathematically that although the AB priors always reduce the bias for estimating theta_0, they do not always reduce the bias for estimating M. E.g., in the static panel probit model or, generally, for dynamic panel data models, the AB priors only reduce the bias for estimating theta_0 but not for estimating M, whereas in the static panel logit and Poisson models the AB priors simultaneously reduce the bias for estimating theta_0 and M. Furthermore, we construct priors that we prove are simultaneously bias reducing for general non-linear panel data models including panel probit, and show numerically in a simulation study that the AB priors for a panel probit model do not reduce the bias for estimating M — the bias of the estimator of M based on the AB priors remains comparable to the bias of the maximum likelihood estimator of M even when the panel is long — whereas the priors that we construct do.
This is joint work with her supervisors, Martin Schumann and Gautam Tripathi. It appears in part in print in the forthcoming (Arellano, M., Bonhomme, S., Borodich Suarez, S., Schumann, M., Shi, X., and Tripathi, G. (2025): "Erratum to “Robust Priors in Nonlinear Panel Data Models”," Econometrica, 93, 3 , doi: 10.3982/ECTA23441, in production).
EPICENTER Summer Course on Epistemic Game Theory
Reasoning in Static and Dynamic Games
Maastricht University, June 30 – July 11, 2025
Website: Detailed information about the course, and how to register, can be found on the course website https://www.epicenter.name/summercourse/ .
About the course: Are you interested in game theory, and its relation to human reasoning and decision making? Then this is the perfect course for you.
In this course we explore game theoretic situations from an epistemic perspective, by zooming in on the reasoning of a player before he makes a decision in the game. This reasoning does not only concern the possible choices of his opponents, but also the beliefs that his opponents may have before they make a choice.
The course consists of three parts: standard reasoning in static games, cautious reasoning in static games, and reasoning in dynamic games.
In static games, the players only make one choice, and choose in complete ignorance of the other players' choices. For standard reasoning we focus on the central reasoning concept of common belief in rationality, and investigate what happens if we add a correct beliefs assumption.
Cautious reasoning means thar a player, before he makes a choice himself, does not completely discard any opponent's choice from consideration. For this part we will investigate different variants of common belief in rationality.
In dynamic games, a player may have to make more than one choice, and may fully or partially observe what other players have done before he makes a choice himself. We explore backward and forward induction reasoning, embodied by the reasoning concepts of common belief in future rationality and common strong belief in rationality.
The course is open to advanced bachelor students, master students, PhD students and researchers all over the world.
Book: This course is based on the textbook Epistemic Game Theory: Reasoning and Choice by Andrés Perea, which was published by Cambridge University Press in 2012.
Difference with previous edition: In 2024 we provided a course on incomplete information, unawareness and psychological games. To follow this year’s course, it is not necessary to have followed the previous edition. In fact, you should be able to follow this year’s course without having any prior knowledge about game theory. The course is completely self-contained.
Forward: Please forward this message to all people whom you think might be interested.
Questions? Please send an E-mail to Andrés Perea at: course@epicenter.name
Autumn 2024
MLSE is a (mostly) bi-weekly seminar to foster cooperation between the Department of Microeconomics and Public Economics and the Department of Quantitative Economics. It aims to give researchers the opportunity to present their ongoing work and to facilitate cooperation
Tuesday 15 Oktober 2024 - 13.00-14.00 PM TS53 C.1-05
Speakers: Kristof Bosmans (joint work with Koen Decancq (Universitity of Antwerp), Erwin Ooghe (KU Leuven))
Title: Multidimensional welfare and inequality: we need to talk about efficiency
Abstract:
We strengthen the theory of multidimensional welfare and inequality measurement by explicitly acknowledging considerations of allocative efficiency. Our approach combines the axiomatic rigor of more recent studies (Tsui, 1995, 1999, Gajdos and Weymark, 2005, Weymark, 2006, Seth, 2013) with the utility-based foundations of earlier studies (Kolm, 1977, Atkinson and Bourguignon, 1982, 1987, Maasoumi, 1986). Our axioms sharply distinguish efficiency considerations, captured by the standard Pareto axiom, from inequality considerations, represented by a new transfer axiom that only considers commodity transfers neutral in their effect on efficiency. These axioms reappear, suitably adapted, in our characterizations of welfare, inequality, and efficiency criteria. The analysis yields new characterizations of a well-established class of welfare criteria, a “dissident” class of inequality criteria, and new efficiency criteria.
Tuesday 12 November 2024 - 13:00-14:00 PM - TS53 A0.24
Author: Jana Gieselmann (Duesseldorf Institute for Competition Economics)
Title: (Mis-)Matchmaker
Abstract:
On matching platforms, users (implicitly) pay for the platform's services, but the platform makes money as long as it does not match them. This paper analyzes the matching rule of a profit-maximizing monopoly platform when the incentives between users and the platform are misaligned --- search is costly for users, but the platform either commits to display advertisements or charges a search fee each period. I demonstrate that frequently studied matching rules, such as random matching, are strictly suboptimal for the platform. Instead, the platform strategically lowers match quality to prolong search time and increase revenue, leading to unnecessary delay and potentially inefficient matches. Finally, I provide two explanations for why platforms adopt business models with misaligned incentives: targeted advertising and the presence of overconfident users.
Jana Gieselmann (Duesseldorf Institute for Competition Economics) is on the job market this year and will present her work at the MLSE Seminar on (Mis-)Matchmaker. She is primarily interested in behavioral economics, industrial organization and microeconomic theory
You can find more information about Jana here: https://www.jana-gieselmann.com/
Tuesday 26 November 2024 - 13.00 -14.00 PM TS 53 A1.23
Author: Rastislav Rehák (joint with Maxim Senkov)
Title: Persuasive Pooling
Abstract:
We analyze a quadratic Bayesian persuasion model in which the sender and receiver have arbitrary misalignment regarding their bliss actions as functions of the state. Our focus is on the structure of the optimal signal, particularly how states are pooled in the supports of the induced posterior distributions. We apply our findings to settings where the sender and receiver share a common preference over the ordering of bliss actions but differ in the sensitivity of their responses to state changes. This framework captures scenarios such as an advisor and a CEO with aligned priorities but divergent risk attitudes.
Tuesday 10 December 2024 - 13:15-14:15, TS53 A1.23
Authors: Hannes Rusch (with Maximilian Schmitt, Gewei Cao and Thomas Meissner)
Title: On the Microeconomics of Exploitation
Abstract:
According to the WalkFree Foundation, 50 million people are currently victims of modern slavery, the ILO estimates that the annual profit from forced labor is $236 billion, and two of the UN's Sustainable Development Goals directly address the need to end exploitation. Surprisingly, despite the fact that exploitation has existed across time and space, the incentive structures and strategic logic of exploitative interactions remain poorly understood. Our research uses a simple principal-agent approach to examine exploitation from a microeconomic perspective. Comparing exploitative interactions to a ‘free labor’ benchmark, we show that exploitation is harmful for victims and society at large, while being beneficial for the exploiter. Contrary to the (sparse) existing literature, comparative statics with respect to victims’ outside options imply that victims with better alternatives will be coercived more. Correspondingly, the exploiter's profits decrease in victims’ outside options, making it more profitable to exploit poor victims. Against the backdrop of our model, finally, we examine some preliminary evidence drawn from accounts of trafficking victims in the United States and around the world.
Operations Research Seminars
Wednesday September 11 2024 - 13:00- 14.00 PM TS53 E3.09
Whiteboard talk by Leo Krull - UM. - "Minimizing Tardy Processing Time on a Single Machine in Near-Linear Time"
Abstract:
this work, we revisit the elementary scheduling problem $1||\sum p_j U_j$. The goal is to select, among $n$ jobs with processing times and due dates, a subset of jobs with maximum total processing time that can be scheduled in sequence without violating their due dates. This problem is NP-hard, but a classical algorithm by Lawler and Moore from the 60s solves this problem in pseudo-polynomial time $O(nP)$, where $P$ is the total processing time of all jobs. With the aim to develop best-possible pseudo-polynomial-time algorithms, a recent wave of results has improved Lawler and Moore's algorithm for $1||\sum p_j U_j$: First to time $\widetilde O(P^{7/4})$ [Bringmann, Fischer, Hermelin, Shabtay, Wellnitz; ICALP'20], then to time $\widetilde O(P^{5/3})$ [Klein, Polak, Rohwedder; SODA'23], and finally to time $\widetilde O(P^{7/5})$ [Schieber, Sitaraman; WADS'23]. It remained an exciting open question whether these works can be improved further.
In this work, we develop an algorithm in near-linear time $\widetilde O(P)$ for the $1||\sum p_j U_j$ problem. This running time not only significantly improves upon the previous results, but also matches conditional lower bounds based on the Strong Exponential Time Hypothesis or the Set Cover Hypothesis and is therefore likely optimal (up to subpolynomial factors). Our new algorithm also extends to the case of $m$ machines in time $\widetilde O(P^m)$. In contrast to the previous improvements, we take a different, more direct approach inspired by the recent reductions from Modular Subset Sum to dynamic string problems. We thereby arrive at a satisfyingly simple algorithm.
Joint work with Nick Fischer
Econometric Seminars
Thursday September 12 2024 - 16.00 -17.00 PM
Speaker: Enrico Wegner (UM) - “Transmission channel analysis in dynamic models”.
Abstract: We propose a framework for the analysis of transmission channels in a large class of dynamic models. To this end, we formulate our approach both using graph theory and potential outcomes, which we show to be equivalent. Our method, labelled Transmission Channel Analysis (TCA), allows for the decomposition of total effects captured by impulse response functions into the effects flowing along transmission channels, thereby providing a quantitative assessment of the strength of various transmission channels. We establish that this requires no additional identification assumptions beyond the identification of the structural shock whose effects the researcher wants to decompose. Additionally, we prove that impulse response functions are sufficient statistics for the computation of transmission effects. We demonstrate the empirical relevance of TCA for policy evaluation by decomposing the effects of policy shocks arising from a variety of popular macroeconomic models.
Link: https://doi.org/10.48550/arXiv.2405.18987
Wednesday 6 November 2024 - 11.00-12.00 PM TS53 room H0.06
Speaker: Lucas Harlaar (UM)
Title: Constrained Multivariate Unobserved Components Time Series Models for National Accounts Data
Abstract:
We develop a multivariate time series model for the complete National Accounts data set of a country. The dynamic features in the data are modeled by means of unobserved components that allow for stochastically evolving trend, cycle and seasonal effects. The components can be uniquely associated with a particular variable but can also impact multiple variables simultaneously. The model considers both expenditure and production variables and includes constraints for a synchronized and consistently-defined Gross Domestic Product variable. The model constraints are handled using restricted Kalman filtering and smoothing methods. Parameter estimation is based on exact maximum likelihood which we show is feasible despite the high-dimensional parameter vector. The proposed model-based framework can be used for synchronized nowcasting and forecasting of Gross Domestic Product, but also for its components on the expenditure and production sides. Given that the time series model includes seasonal components, we show that constraints in the model can be altered for the forecasting of seasonally adjusted variables in a model-consistent way. Finally, when the model includes a single cycle component that is shared by all variables in the National Accounts, we can naturally interpret it as a business cycle indicator. We provide evidence that the extracted business cycle is more accurate and more timely when compared to well-known filtering methods. We empirically illustrate our model-based methodology for National Accounts data from Germany, Italy and The Netherlands. We argue that our proposed analyses are of significance from both macroeconomic and statistical perspectives.
Tuesday 12 November 2024 - 12.00-13.00 PM TS53 room A0.23
Speaker: Dr. Edmondo Trentin, Dept. of Information Engineering and Mathematics, University of Siena
Dr. Trentin is visiting SBE also as a committee member for the PhD defense of Dewi Peerlings.
Title: Some Approaches to Density Estimation using Artificial Neural Networks
Abstract: The talk presents robust connectionist techniques for the empirical estimation of multivariate probability density functions (pdf) from unlabeled data samples (still an open yet crucial issue in pattern recognition and machine learning). Data may either be samples of random feature vectors or generalized random graphs. First, a soft-constrained unsupervised algorithm for training a (possibly deep) feed-forward neural net is discussed. A variant of the Metropolis--Hastings algorithm (exploiting the very probabilistic nature of the present deep network) is used to guarantee a model that satisfies numerically Kolmogorov's second axiom of probability. The approach overcomes the major limitations of the established statistical estimators. Graphical and quantitative experimental results show that the proposed technique can offer estimates that improve significantly over parametric and nonparametric approaches, regardless of (1) the complexity of the underlying pdf, (2) the dimensionality of the feature space, and (3) the amount of data available for training. Then, a hybrid machine (combining a graph neural network with a RBF-like network) is presented that can be trained via maximum-likelihood to estimate pdfs over structured (i.e, graphical) patterns.
Website: https://www3.diism.unisi.it/~trentin/HomePage.html
Wednesday 27 November 2024 - 15.00 -16.00 PM room A0.23
Speaker: Ivan Ricardo (UM)
Title: Reduced-Rank Matrix Autoregressive Models: A Medium N Approach
Abstract: Reduced-rank regressions are powerful tools used to identify co-movements within economic time series. However, this task becomes challenging when we observe matrix-valued time series, where each dimension may have a different co-movement structure. We propose reduced-rank regressions with a tensor structure for the coefficient matrix to provide new insights into co-movements within and between the dimensions of matrix-valued time series. Moreover, we relate the co-movement structures to two commonly used reduced-rank models, namely the serial correlation common feature and the index model. Two empirical applications involving U.S. states and economic indicators for the Eurozone and North American countries illustrate how our new tools identify co-movements.
Link to the paper: https://arxiv.org/abs/2407.07973
Thursday 5 December 2024 - 15.00 -16.00 PM TS 49A 0.008
Speaker: Luke Servat (UM)
Titel: Optimal Investment for Retirement with Intergenerational Benchmarking.
Abstract:
"The Law Future Pensions (Wet Toekomst Pensioenen), adopted in
2023, adds the Netherlands to the growing list of countries whose second pen-
sion pillar is changing to a defined contribution plan. Due to the cessation of
guarantees in this plan, pension funds have been given the novel task of finding
an optimal solidary strategy, that aims to prevent so-called ”fortunate” and
”unfortunate” generations. This paper investigates how differences in pensions
can be reduced by changing the investment strategy during the accumulation
phase. As the classic life-cycle does not have this solidarity feature, we adapt
the utility function such that a cohort not only looks at its own accumulated
wealth, but also compares this to the wealth of the preceding cohort. The op-
timal investment strategy that is found as a solution to this novel problem,
what we call the ”intergenerational” life-cycle, deviates significantly from the
classic life-cycle. We observe the ”intergenerational” strategy de-risks during
the periods in which consecutive cohorts are not both investing, but increases
exposure during periods in which they are both accumulating. Furthermore,
we observe that, due to the finite leverage and quasi-linearity, that our solution
bears a strong resemblance to the ”100 − age” rule, which is often used in prac-
tice in the Netherlands. Finally, we conduct multiple simulations which confirm
that, without any loss of the level of wealth, the pursued leveling effect of the
investment strategy is indeed realized."
Vectum Lectures
Tuesday 8 October 2024 - 19:00 - TS53 Room C-1.03.
Speaker: Prof Dr. Jan Christopher Kops.
Topic: (Mis)Interpreting the World
Abstract:
As humans, we do not perceive the world as it is. We interpret it, and even worse we often misinterpret it. There are many reasons why our interpretation can get distorted, ranging from logical mistakes to wrong convictions, measurement errors, language barriers, or even attempts to simplify reality. This research project takes a closer look at real-world instances of such (mis)interpretations as well as the mathematics behind it.