Cass hosts international conference

‘Breaks and persistence in econometrics’

Tuesday, 2 January, 2007

Cass Business School recently hosted an international conference, ‘Breaks and persistence in econometrics’, which took place over two days and attracted worldwide leading academics in the field of econometrics.

Modelling and testing for structural changes and persistence in economics and finance has been an important research topic in time series econometrics, with noticeable recent developments in panel data.  Papers submitted included theoretical and empirical presentations which helped in the evaluation of recent controversies in detecting and modelling structural breaks and long memory processes. 

A broad range of subjects were covered including modelling of long memory processes, forecasting, structural breaks and non-linearities, exchange rate forecasting, among many other topics.

In addition to the presentations, a number of invited talks were given  by Jushan Bai (New York University, USA); David Hendry and Neil Shepard (Oxford University, UK); Pierre Perron (Boston University, USA); Hashem Pesaran (Cambridge, UK and USC, USA); and Peter Robinson (London School of Economics, UK).

The conference was organised by Giovanni Urga, Professor of Finance and Econometrics, and Director, Centre for Econometric Analysis, Cass Business School.

Links

List of papers and abstracts from the conference

Centre for Econometric Analysis