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Dec
9
CORE Brown Bag Seminar
By Brown Bag Seminar

Jonas Striaukas

UClouvain, LIDAM LFIN

will make a presentation on

Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios

Abstract

This paper introduces structured machine learning regressions for prediction and nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the empirical problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial, and news time series sampled at different frequencies, we focus on the sparse-group LASSO regularization. This type of regularization can take advantage of the mixed frequency time series panel data structures and we find that it empirically outperforms the unstructured machine learning methods. We obtain oracle inequalities for the pooled and fixed effects sparse-group LASSO panel data estimators recognizing that financial and economic data exhibit heavier than Gaussian tails. To that end, we leverage on a novel Fuk-Nagaev concentration inequality for panel data consisting of heavy-tailed τ-mixing processes which may be of independent interest in other high-dimensional panel data settings.

 

To join the seminar, please follow the following instructions:

1. Indicate on Doodle by Tuesday 8th of December at 12:00, using your full name, whether you will be joining the conference (https://doodle.com/poll/vygd4f949v8kt9c7?utm_source=poll&utm_medium=link)

2. If you are not a member of the CORE BrownBag team on Microsoft Teams, please click here (https://teams.microsoft.com/l/team/19%3a165c5966a6f2467e8b56f507a93c159d%40thread.tacv2/conversations?groupId=65934fa3-0c36-4f5a-a9a3-dde65917d824&tenantId=7ab090d4-fa2e-4ecf-bc7c-4127b4d582ec) or write us an email.

3. The interface of Teams is very similar to Skype. When the presenter starts the videoconference, you will see in the team page the button "join". Just press it and you will be inside the video conference.

4. By the start of the seminar, you should mute your microphone. This should be done to avoid echoing noise problems. Whenever you want to intervene, please raise your hand or write in the chat that you want to do so. The presenter will stop, you can unmute yourself and intervene.

Date
09 December
Time
12:50 - 13:50
Location
Online
This is an online event at CO35 and by Teams Go to event website
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