On Friday 17 February 2017 Tom Boot will defend his PhD thesis entitled 'Macroeconomic Forecasting under Regime Switching, Structural Breaks and High-dimensional Data'. Supervisor is Professor Richard Paap (Erasmus School of Economics) and co-supervisor is Dr Andreas Pick. Other members of the committee are Professor Dick van Dijk (Erasmus School of Economics), Peter Boswijk (University of Amsterdam) and Georges Kapetanios (Queen Mary University of London).
Time and location
The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam and will start at 11.30 hrs.
About ' Macroeconomic Forecasting under Regime Switching, Structural Breaks and High-dimensional Data '
Macroeconomic time series are not constant over time. Recent years have again emphasized that growth and decline periods alternate, with different dynamics characterizing each period. Such instabilities increase the complexity of econometric models and complicate the construction of accurate forecasts. In addition, more and more macroeconomic indicators are available that might, or might not, have an effect on a specific variable of interest. In current data sets, the number of predictors tends towards the available number of observations. As a consequence, forecast uncertainty increases further. In this thesis, new shrinkage and dimension reduction techniques are developed that reduce the uncertainty that is inherent to modelling unstable time series or using a large number of possibly relevant predictors.
About Tom Boot
Tom Boot (Zevenaar, 1986) obtained a Master’s degree in Physics from the University of Groningen before studying Econometrics at the Erasmus University Rotterdam. He started his PhD research in 2012 at the Tinbergen Institute and the Econometric Institute in Rotterdam. He is interested in statistical estimation and forecasting under regime switching and structural break models, and the challenges that arise by using high-dimensional data. He is currently working as assistant professor at the University of Groningen.