Thursday 16th September

Room 2002

9.30-10.00: Registration + Coffee/Tea

Session 1: Model Selection I
Chairperson: Jurgen Doornik

10:00-11:30

Empirical Model Selection: Friedman and Schwartz Revisited
Neil R. Ericsson (Federal Reserve Board and George Washington University, USA)

Modeling Compensation for US Production Workers: 1894-2008
Robin Ghertner (The George Washington University, USA)

Model Selection in Mis-specified Equations with Breaks
Jennifer L. Castle (University of Oxford, UK) and David F. Hendry (University of Oxford, UK)

11:30-12.00: Coffee/Tea Break

Session 2: High Frequency
Chairperson: Sebastien Laurent

12:00-13:00

Jump Robust two Time Scale Covariance Estimation and Realized Volatility Budgets
Kris Boudt (Lessius University College and K.U.Leuven, Belgium) and Jin Zhang (University of Illinois at Chicago, USA).

An Econometric Analysis of Contagion Amongst Stock Markets
Simona Boffelli (Bergamo University, Italy) and Giovanni Urga (Cass Business School, UK and Bergamo University, Italy)

13.00-14.30: Lunch

Session 3: Model Selection II
Chairperson: Neil R. Ericsson

14:30-16:30

Econometric Modelling of Time Series with Outlying Observations
David F. Hendry (University of Oxford, UK) and Grayham E. Mizon(Southampton University, UK).

Analysis and Financial Implications of a Systemic Risk IndicatorGiorgio Consigli (University of Bergamo, Italy), Riccardo Pianeti (University of Bergamo, Italy) and Giovanni Urga (Cass Business School, UK and Bergamo University, Italy)

Evolving Impacts of Oil Shocks
Erdenebat Bataa (Lancaster University Management School, UK) and Marwan Izzeldin (Lancaster University Management School, UK)

Applying Shape and Phase Restrictions in Generalized Dynamic Categorical Models of the Business Cycle
Don Harding (School of Economics and Finance La Trobe University Australia)

16:30-17.00: Coffee/Tea Break

Session 4: OxMetrics Developments
Chairperson: Giovanni Urga

17.00-18.00: Round Table Discussion with OxMetrics Developers.
Following a 5-10 minute introduction each from Jurgen Doornik, David Hendry, Siem Jan Koopman, Sebastien Laurent, and Melvyn Weeks the main aim of the round table is to provide a forum for an exchange of suggestions and ideas for future developments of the software.

19.00: CONFERENCE DINNER