Public seminar 15 june 2021 - Antonio Pacifico

Tuesday, 8 June, 2021

Notice of public seminar by Dr. Antonio Pacifico
pursuant to art. 11, paragraph 1, lett. k) of the Statute for the proposal to call a Fixed-term Researcher type A
for the scientific-disciplinary sector SECS-S/03, competition sector 13/D2

Following the publication on the Transparency portal of the “Sapienza” University of Rome website of the D.D. rep. 31/2021 protocol n. 409 of 25.05.2021, with which the acts relating to the selection procedure for the recruitment of n. 1 researcher with a fixed-term employment relationship of type "A" SC 13/D2 SSD SECS-S/03 - at the Department of Methods and Models for Economy, Territory and Finance - we inform you that on 15 June 2021, at 9:30 am, Dr. Antonio Pacifico will hold, in the Amintore Fanfani Room of the Department, the seminar pursuant to art. 11, paragraph 1, lett. k) of the Statute on research activities carried out and in progress.

Seminar title: Semiparametric Forecasting Problems when dealing with Time-varying Factors and High Dimensional Data

My analytical background focuses on developing econometric methodologies to jointly deal with model misspecification problems, endogeneity issues, and time-varying volatility when studying a large set of endogenous dynamic data among different countries and sectors. My main research objective is to implement and provide new empirical insights contributing to the recent literature on international spillover effects, idiosyncratic shock transmission, and policy-making among developed and developing economies, with particular emphasis on the Great Recession, post-crisis consolidation, and the current global health crisis (COVID-19 pandemic). Further studies are going to be developed implementing the existing literature on conditional density forecasts and incidental parameter problems in dynamic panel setups through semiparametric Bayes approaches with truncated stick-breaking process mixture priors. These algorithms would be performed both theoretically and methodologically, and applied to either macroeconomic–financial issues (e.g., bank stress tests, dynamic fuzzy clustering for time-series,and policy implications and interactions among countries and sectors) or microeconomic analyses (e.g., sports analytics, manufacturing firm dynamics, and enviromental problems and internet use related to economic development).

Keywords: Semiparametric Bayesian Methods; Time-varying Factors; Structural Breaks; Endogeneity Issues; Forecasting; High Dimensional Data. ∗Corresponding author: Antonio Pacifico (Postdoc). Email: or ORCID:

The seminar can also be followed remotely by accessing the following link:

Rome, 08 June 2021

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