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Sebastian Ankargren

I am an Econometrician at the National Institute of Economic Research and the Macroeconomic Research and Simulations Division. I have a PhD in statistics and defended my PhD thesis on mixed-frequency VAR models in 2019.

Peer-reviewed publications

  1. Ankargren, S., and Jonéus, P. (2020) “Simulation Smoothing for Nowcasting with Large Mixed-Frequency VARs”, Econometrics and Statistics.
  2. Ankargren, S., Unosson, M., and Yang, Y. (2020) “A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior”, Journal of Time Series Econometrics.
  3. Jin, S., and Ankargren, S. (2019) “Frequentist Model Averaging in Structural Equation Modelling”, Psychometrika.
  4. Ankargren, S., and Jin, S. (2018) “On the Least-Squares Model Averaging Interval Estimator”, Communications in Statistics—Theory and Methods.
  5. Ankargren S., Bjellerup, M., and Shahnazarian, H. (2017) “The Importance of the Financial System for the Real Economy”, Empirical Economics.

Work in progress

  1. Nowcasting Swedish GDP Growth (with Unn Lindholm)
  2. Time-Varying Macroeconomic Forecast Uncertainty: Sweden and the Covid-19 Pandemic
  3. Estimating Large Mixed-Frequency Bayesian VAR Models (with Paulina Jonéus)
  4. The Interaction Between Fiscal and Monetary Policies: Evidence from Sweden (with Hovick Shahnazarian)
  5. Estimating a VECM for a Small Open Economy (with Johan Lyhagen)

Software

  1. mfbvar: Mixed-frequency Bayesian VAR models in R CRAN, GitHub
  2. statmath: Statistical notation made easy in Latex CTAN, GitHub
  3. karencv: Academic CV template following Dr. Karen’s guidelines GitHub

Presentations

  1. Department of Statistics, Uppsala University. January, 2019.
  2. Sveriges Riksbank, Stockholm. December, 2018.
  3. Computational and Financial Econometrics (CFE), London, UK. December, 2017.
  4. Department of Statistics, Uppsala University. December, 2017.
  5. Department of Statistics, Uppsala University. December, 2016.
  6. Joint Statistical Meetings, Chicago, IL. August, 2016.
  7. Department of Statistics, Uppsala University. March, 2016.
  8. Department of Statistics, Uppsala University. January, 2015.

Blog posts

  1. 2017-10-19 Avoiding OpenMP problems in RcppArmadillo-dependent packages on OS X
  2. 2017-06-02 Running simulations in R on UPPMAX

Contact information

By Sebastian Ankargren 2020. Powered by Jekyll based on the onepage theme.