Terri van der Zwan, PhD candidate at the Econometric Institute of Erasmus School of Economics, has received a Fulbright Promovendus Award to research new methodologies on how to combine multi-frequency data. Terri will spend the Fall semester of the academic year 2022-2023 in the United States conducting research for her next project, attending seminars and conferences, and building relationships with U.S. based scholars.
Fulbright Scholar Awards are prestigious and competitive fellowships that provide unique opportunities for scholars to teach and conduct research in the United States. The Fulbright Scholar Program offers over 800 awards in more than 150 countries.
Van der Zwan is very pleased: ‘This award provides me with the opportunity to stay in the United States among top researchers.’ While in the U.S., she will be based at the Rady School of Management, hosted by Professor Allan Timmermann at the University of California San Diego (UCSD). Timmermann is a Distinguished Professor at UCSD and holds the Dr. Harry M. Markowitz Endowed Chair in Finance and Investing at Rady. He is a world-renowned scholar in financial econometrics and forecasting, and developed several statistical models in this area.
Van der Zwan’s project focuses on how, for example, daily and monthly data can be combined into one modelling framework in a flexible way. The aim is to develop a statistical model that allows for cross-country linkages and for data sampled at different frequencies. These types of frameworks are widely applicable and can be used for policy evaluation and economic nowcasting and forecasting.
Mixed-frequency modelling has become more popular recently. Traditionally, economic processes are modelled at the lowest frequency, which implies aggregating the higher frequency variables to the lowest frequency at the cost of losing information. Combining multi-frequency data into one encompassing framework allows for the analysis of short- and long-term effects, possibly revealing dynamics which remain concealed by aggregating data.
The use of more granular data can lead to more accurate economic forecasts and more realistic modelling of economic processes. Combining data on different frequencies and modelling cross-sectional variation in one model brings multiple challenges. Allowing for mixed-sampled data and cross-country linkages leads to a very large model containing a lot of parameters, which makes estimation problematic. Her research focuses on researching and assessing appropriate estimation techniques to overcome this dimensionality problem. The developed methodology and its applications will be part of her dissertation.
About the Fulbright Program
The Fulbright Program is the U.S. government’s flagship international educational and cultural exchange programme, creating connections in a complex and changing world. Led by the U.S. government in partnership with 160 countries worldwide, Fulbright builds lasting connections between the people of the United States and the people of other countries—building mutual understanding between nations, advancing knowledge across communities, and improving lives around the world.
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For more information, please contact Ronald de Groot, Media & Public Relations Officer at Erasmus School of Economics: rdegroot@ese.eur.nl, mobile phone: +31 6 53 641 846.