Econometric Tools for Interdisciplinary Applications with Big Data Seminar 0

Posted on 7, June 2017

in Category CAR3FIN Blog

This seminar by David F. Hendry (University of Oxford) is the next instance of the “New Solutions with Big Data” Seminar Series, sponsored by the UC3M-Banco Santander Big Data in Finance Institute.

It will be held on Friday, June 16th at 9:30 am in room 18.1.A12 of building number 18 (Carmen Martin Gaite) of the Getafe Campus of Universidad Carlos III de Madrid.

Attendance is free. Please RSVP to

`Big Data’ provide both opportunities and hazards. The former arise from the vast amounts of potential information; the latter from the substantial chance of finding spurious connections. An approach to benefit from the former and minimise the latter is presented, focusing on time-series data where there are many more candidate explanations than available observations. To construct viable models requires jointly addressing not only the set of likely explanatory variables but also potential outliers, location shifts and trends, lagged responses and non-linearities. Appropriately formulated automatic model specification and selection approaches can tackle this huge task, and check for substantive links. The applications described include modelling UK real wages over 1860-2014; ascertaining pollution responses to policy changes; establishing that atmospheric CO2 changes are anthropogenic; modelling UK CO2 emissions as first-in and one of the first out of the Industrial Revolution; and detecting the impacts of volcanic eruptions in global temperature reconstructions over the last millennium.


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