on October 17, 2023
Published on September 15, 2023 Updated on March 4, 2024


Venue: Campus ESSEC, Cergy-Pontoise

International workshop coordinated by Andreas Heinen, CY THEMA laboratory.

The purpose of the event is to bring together the researchers working on time series econometrics to discuss and share visions about the current state and future of the research.
Indeed, both Warwick (Economics Department and Business School) and Cergy (CYU/THEMA and ESSEC) have a significant number of researchers, including Eric Renault who is one of the most prominent in this field, working in time series econometrics and they are all addressing the rapid changes that the discipline is facing:
- Emergence of new form of data: large dynamic panels, possibly with scarce data
- New methods for prediction (broadly known as Machine Learning or Artificial Intelligence) which are originally not designed to handle ordered data (as in time series) but where their use is emerging
- Notions of model, identification and inference in this new context.
Hence, it would be most beneficial for researchers of both institutions to spend a day or two together to reflect upon the new challenges and opportunities from the methodological standpoint as well as in the specific fields of Financial econometrics and macroeconometrics.

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