PhD Activities

PhD courses are arranged jointly between the Danish Graduate Programme in Economics and CREATES.

For participation in PhD courses, contact Center Administrator Solveig Nygaard Sørensen.

See the DGPE homepage for details (announcements, programs, course notes).


2018

11-13 June
Title: Nonstandard Asymptotics for Two-Step Semiparametric Estimators
Lecturer: Michael Jansson, Edward G. and Nancy S. Jordan Family Professor of Economics, University of California, Berkeley
Location: Aarhus University (Organized by CREATES)

2017

22-23 May
Title: Selection and Shrinkage in Nonparametric Regression
Lecturer: Professor Bruce E. Hansen, University of Wisconsin-Madison
Location: Aarhus (Organized by CREATES)

2016

29 February-1 March
Title: Frequency Domain Methods in Econometrics
Lecturer: Tommaso Proietti, Università di Roma “Tor Vergata” and CREATES
Location: Aarhus (Organized by CREATES)

26-29 September 2016
Title: High-frequency Data Econometrics
Lecturers: Professor Peter Reinhard Hansen (European University Institute), Professor Asger Lunde and Associate Professor Kim Christensen (both CREATES, Aarhus University)
Location: Aarhus (Organized by CREATES)

11-13 October 2016
Title: State Space Models
Lecturer: Siem Jan Koopman, VU University Amsterdam, Tinbergen Institute and CREATES
Location: Aarhus (Organized by CREATES)

14-15 and 21-22 November 2016
Title: Structural Vector Autoregressions
Lecturer: Professor Markku Lanne, University of Helsinki and CREATES
Location: Aarhus (Organized by CREATES)

2015

24-25 February 2015
Title: The Bootstrap
Lecturer: Professor Russell Davidson

19-24 March 2015
Title: High-dimensional econometrics: oracle property, oracle inequalities and inference
Lecturer: Postdoc Anders Bredahl Kock

10-14 April 2015
Title: Duration Analysis
Lecturer: Professor Nicholas M. Kiefer

13, 16-17 November 2015
Title: Market Microstructure & Trading
Lecturer: Ramazan Gençay, Simon Fraser University

2014

3-5 February 2014
Title: Nonlinear Time Series Econometrics
Lecturer: Professor Timo Teräsvirta, Aarhus University and CREATES

11-12 March 2014
Title: Panel Data
Lecturer: Professor Badi Baltagi, Syracuse University

22-23 April, 29-30 April & 6 May
Title: Nonparametric Econometrics I-III
Lecturer: Professor Jeff Racine, McMaster University and CREATES

24 April 2014
Title: Weak identification in the linear instrumental variables regression model
Lecturer: Frank Kleibergen, Brown University

2-3 June 2014
Title: Bayesian Analysis of DSGE models
Lecturer: Professor Frank Schorfheide, University of Pennsylvania

29 October 2014
Title: Change-point and mixture Models with applications to macroeconomic time series and option pricing
Lecturer: Associate Professor Jeroen V.K. Rombouts, ESSEC Business School

6-7, 11-12 & 20-21 November 2014
Title: Structural Vector autoregressions I-III
Lecturer: Professor Markku Lanne, University of Helsinki and CREATES

2013

28-29 January 2013
Title: Topics in Time Series: Low-Frequency Econometrics
Lecturer: Mark W. Watson, Princeton University
Location: Aarhus (Organized by CREATES)

9-10 April 2013
Title: New measures and Tests for Dependence and other time series characteristics
Lecturer: Esfandiar Maasoumi, Emory University
Location: Aarhus (Organized by CREATES)

24-25 June 2013
Title: Fractional Time Series Models
Lecturer: Morten Ø. Nielsen, Queen's University and CREATES
Location: Aarhus (Organized by CREATES)

9-10 September
Title: Frequency Domain Methods in Econometrics
Lecturer: Tommaso Proietti, Università di Roma “Tor Vergata” and CREATES
Location: Aarhus (Organized by CREATES)

7-9 October 2013
Title: State Space Models
Lecturer: Siem Jan Koopman, VU University Amsterdam, Tinbergen Institute and CREATES
Location: Aarhus (Organized by CREATES)

2012

January 16-18, 2012
Title: State Space Models
Lecturer: Siem Jan Koopman
Location: Aarhus (Organized by CREATES)

April 17-18, 2012
Title: Identification and forecasting in Mortality Models
Lecturer: Bent Nielsen, Nuffield College
Location: Aarhus (Organized by CREATES)

May 14-15, 2012
Title: Sparse Models for Dependent Data
Lecturer: Marcelo C. Medeiros, Associate Professor, Department of Economics, Pontifical Catholic University of Rio de Janeiro
Location: Aarhus (Organized by CREATES)

May 31 - June 1, 2012
Title: Topics in Microeconometrics

Lecturer: William Greene, Toyota Motor Corp. Professor of Economics, NYU Stern
Location: Aarhus (Organized by CREATES)

June 14-15, 2012
Title: Copula Methods for Economic Time Series
Lecturer: Andrew Patton, Duke University
Location: Aarhus (Organized by CREATES)

August 13-17, 2012
Summer University: Economic Modeling and Inference
Lecturer: Bent Jesper Christensen, Aarhus University and CREATES
Location: Aarhus (Organized by CREATES)

August 20-24, 2012
Summer University: Advanced Programming in Quantitative Economics
Lecturer: Charles Bos, Free University Amsterdam
Location: Aarhus (Organized by CREATES)

August 22-24, 2012
Title: Forecasting methods in economics and finance
Lecturer: Allan Timmermann, University of California and CREATES
Location: Aarhus (Organized by CREATES)

September 18-20, 2012
Title: VAR models in empirical asset pricing
Lecturer: Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard, Aarhus University and CREATES
Location: Aarhus (Organized by CREATES)

October 1-3, 2012
Title: Shrinkage

Lecturer: Mehmet Caner, North Carolina State
Location: Aarhus (Organized by CREATES)

November 6-7, 2012
Title: Asset Pricing, Option Pricing, Volatility and HF Data

CANCELLED

2011

9-13 May
"Nonparametric Methods in Econometrics"
Jeffrey Racine, McMaster University.

23-25 May
"The cointegrated VAR model for I(2) variables: Theory and Applications"
Søren Johansen, Heino B. Nielsen, Anders Rahbek, Katarina Jueselius and Andreas Noack Jensen, University of Copenhagen

22-24 June
"Macroeconomic Modelling with VARs"
Adrian Pagan, University of Sydney

15-19 August
"Advanced Programming in Quantitative Economics"
Charles Bos, VU Amsterdam, and Henning Bunzel, Aarhus University and CREATES

22-26 August
"Economic Modeling and Inference"
Bent Jesper Christensen, Aarhus University and CREATES

14-15 November
"Multivariate volatility models"
Luc Bauwens, Center for Operations Research and Econometrics (CORE)

2010

8-10 March
Russell Davidson, McGill University "The Bootstrap"

11-12 March
Timo Trimborn, University of Hannover "Dynamic Macroeconomic Modeling with Matlab"

12-13 April
Karl H. Schlag, Universitat Pompeu Fabra "Distribution Free Hypothesis Testing"

10-11 May
Hashem Peseran, University of Cambridge "Dynamic Panel Data Models"

21-23 June
Roger Koenker, University of Illinois "Topics in Quantile Regression"

4-6 August
Jørgen Hoffmann-Jørgensen, Aarhus University, "Empirical Process Theory"

9-13 August
Bent Jesper Christensen, Aarhus University and CREATES, "Intensive course on Dynamic Modelling and Inference"
(PhD course/Summer school)

23-27 August
Charles Bos, VU University Amsterdam, "Advanced Programming in Quantitative Economics"

6 September
Jeroen Rombouts, HEC Montreal, "Swithching models for time series and their appilcations"

13-17 December
Søren Johansen and Anders Rahbek, University of Copenhagen & CREATES, "Econometric Analysis of the I(1) Cointegrated VAR Model and its Recent Extensions"

2009

5-6 March
Timo Trimborn, University of Hamburg "Matlab"

11-13 May
Joel Horowitz, Northwestern University "Nonparametric and semiparametric methods in Econometrics"

25 May
Dominique Guegan, University of Paris "Long Memory Processes and Structural Change Models"

15-17 June
Harry Paarsch, University of Melbourne "The Econometrics of auctions"

17-21 August
Charles Bos, VU Amsterdam "Advanced Programming"

14-15 September
Gary Koop, University of Strathclyde "Bayesian Econometrics"

2-3 November
Jurgen Doornik, University of Oxford "Optimization in Econometrics"

16-17 November
Gunnar Baardsen, Norwegian University of Science and Technology, Trondheim "Macroeconometric Models"

2008

28-31 January
Alexander McNeil, Heriot-Watt University "Quantitative Risk Management Modelling Dependence in Market and Credit Risk"
Program
Organized jointly with DGPE and Danish Doctoral School in Finance

6-7 March
Timo Trimborn, University of Hannover "Dynamic Macroeconomic Modelling with Matlab"
Program

1-2 April
Peter Boswijk, University of Amsterdam "Asymptotic Theory for Integrated Processes"
Program
Course outline and reading list
See www.econ.au.dk/dgpe for course material

29-30 May
Peter Christoffersen, McGill University, CBS and CREATES "Empirical Modeling of Equity Index Options: Discrete and Continuous Time Approaches
Organized jointly with the Danish Doctoral School of Finance"
Program

1-5 September
Charles Bos , Free University Amsterdam "Advanced Programming"

20-22 October
Bent E. Sørensen , University of Houston "Empirical Modeling of Intra-National Macro"

27-28 October
Giuseppe Cavaliere, University of Bologna "Nonstationary Time Series Analysis"

2007

29-30 March
Timo Teräsvirta, CREATES "A short course in non-linear econometrics"

21-23 May
Herman J. Bierens, Penn State University "Semi-non parametric Econometrics"

24-27 September
Charles Bos, Vrije Universiteit, Amsterdam "Course on OX"

29 October - 2 November
Søren Johansen, Katarina Juselius and Heino Bohn Nielsen, University of Copenhagen "Cointegration analysis of non-stationary I(2) variables"

5-6 November
Robert Taylor, University of Nottingham "Topics in Time Series Econometrics"