research
ERC Advanced Grant awarded to Barbara Rossi
Barbara Rossi (ICREA-UPF, CREI and BSE) has been awarded a European Research Council (ERC) Advanced Grant for her project titled "Advances in Empirical Methods for Time Series and Forecasting in Unstable Environments."
Funding from the European Research Council allows researchers to explore innovative ideas and work towards improving and advancing key issues and challenges in a number of different areas including Physics, Social Sciences, Medicine, and Humanities.
Advanced ERC Grants are awarded to researchers who are at the forefront of their discipline and who have a proven track record of significant research over the last 10 years.
Current BSE Affiliated Professors at all stages of their research careers have received a total of 38 ERC grants:
- 16 ERC Starting Grants for promising researchers just establishing their careers
- 10 ERC Consolidator Grants for mid-career researchers
- 12 ERC Advanced Grants for established research leaders
Read about all the ERC projects in the BSE research community
About this project
The environment we live in is both complex and time-varying. Examples of recent instabilities include the recent financial crises as well as the more recent COVID-19 pandemic. Currently, however, the way researchers implement forecasts as well as the way they estimate the effects of economic policies is based on methods that either impose restrictive assumptions on the nature of instabilities or quickly become computationally demanding in the presence of instabilities.
This project proposes to develop a local projection-based estimator for time-varying parameter models and their impulse response functions in unstable environments, which we refer to as the “time-varying parameter local projection” estimator (or “TVP-LP” in short). The proposed estimator is expected to provide a feasible approach to conveniently and flexibly estimate economic models in unstable environments as well as, more broadly, forecasting and assessing the effects of economic policies.