1st Oxmetrics User Conference

September 2003
Cass Business School

Conference Sponsors

• Cass Business School
• Journal of Applied Econometrics
• Timberlake Consultant

Date and Location

Organisers

Programme

• Download programme [pdf file]
• Abstracts

Monday, 1 September 2003

1st OxMetrics User Conference

9.00 - 09.30: Registration - coffee/tea

Session 1

Chairperson: Henk Angerman (ABP)

09.30 - 10.00:
Laurent, S. (CREST and CORE) and J.P. Urbain (Maastricht)
Bridging the Gap Between Ox and Gauss using OxGauss
[Paper]

10.00 - 10.30:
Busetti, F. (Bank of Italy)
On Bootstrapping the Likelihood-Ratio Test of Stationarity
[Paper]

10.30 - 11.00:
van der Sluis, P. J. and H. Angerman (ABP Investments, The Netherlands)
Ox-based Models in a Robust Day-to-Day Automated Investment Process

11.00 - 11.30: Coffee Break

Session 2 (Invited paper)

Chairperson: Giovanni Urga (Cass Business School)

11.30 - 12.30:
David F. Hendry (Oxford)
Automatic Model Selection by PcGets: A New Instrument for Social Science (jointly with Hans-Martin Krolzig)
[Paper]

12.30 - 14.00: Lunch + Poster Session 1

Session 3

Chairperson: Jeremy Penzer (LSE)

14.00 - 14.30:
Michael Massmann (Institute of Econometrics and Operations Research, University of Bonn)
COBRA: A Package for Co-breaking Analysis
[Paper]

14.30 - 15.00:
Huij, H. and M. Verbeek (Erasmus University Rotterdam)
Mutual Fund Performance Analysis using Shrinkage Estimators
[Paper]

15.00 - 15.30:
Penzer, J. (London School of Economics)
A State Space Modelling Approach for Time Series with Patches of Unusual Observations
[Paper]

15.30 - 16.00: Coffee Break

Session 4

Chairperson: Melvyn Weeks (Cambridge)

16.00 - 16.30:
Bauwens, L. and J. Rombouts (Center for Operations Research and Econometrics, Louvain la Neuve, Belgium)
Bayesian Clustering of Many GARCH Models
[Paper]

16.30 - 17.00:
Eklof, M. and M. Weeks (University of Cambridge)
Estimation of Discrete Choice Model Using DCM for Ox
[Paper]

19.00: Conference Dinner
(Ristorante Alba, 107 Whitecross Street, London EC1Y 8JD, 020 7588 1798, www.albarestaurant.com)

Tuesday, 2 September 2003

1st OxMetrics User Conference

Session 5

Chairperson: Matteo Pelagatti (Milano-Bicocca)

09.00 - 09.30:
Mavroeidis, S. (Department of Quantitative Economics University of Amsterdam)
PcLiRE: An Ox Program for the Analysis of Linear Rational Expectations Models
[Paper]

09.30 - 10.00:
Charles S. Bos (Vrije Universiteit Amsterdam) and Neil Shephard (Nuffield College, Oxford)
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
[Paper]

10.00 - 10.30:
Matteo M. Pelagatti (Department of Statistics Università degli studi di Milano-Bicocca)
DDMSVAR for Ox: a Software for Time Series Modeling with Duration Dependent Markov-Switching Vector Autoregressions
[Paper]

10.30 - 11.00: Coffee Break

Session 6 (Invited paper)

Chairperson: Fabio Busetti (Bank of Italy)

11.00 - 12.00:
Andrew Harvey (Cambridge) and Siem Jan Koopman (Free University Amsterdam)
Analysis of Economic Time Series using STAMP and Ox/SsfPack
[Paper]

12.00 - 13.30: Lunch + Poster Session 2

Session 7

Chairperson: Max Bruche (LSE)

13.30 - 14.00
James Davidson (Cardiff University)
Ox Programming Using OxJapi

14.00 - 14.30:
Max Bruche (Financial Markets Group, London School of Economics)
A note on Embarrassingly Parallel Computation Using OpenMosix and Ox
[Paper]

14.30 - 15.00: Coffee Break

Session 8 (Invited paper)

Chairperson: James Davidson (Cardiff University)

15.00 - 16.00:
Jurgen A. Doornik (Nuffield College, Oxford)
Making the Most of Ox: from Efficient Computations to User-Friendly Programs
[Paper]

16.00 - 17.00: Round Table Discussion with OxMetrics Developers.
Following a 5-10 minute introduction each from Jurgen Doornik, Andrew Harvey, David Hendry and Siem Jan Koopman, 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.

17.00: End of Conference

Poster Sessions and Other Available Papers

1st OxMetrics User Conference

Poster Session 1 1/09/2003

• Humala, A. (Warwick)
  Interest Rate Pass-Through and Financial Crises: do Switching Regimes Matter? The Case of Argentina
  [Paper]
• Beyaert, A. (Universidad de Murcia, Spain)
  Fractional Integration and Output Convergence: An Application to the G-7 Countries
  [Paper]
• Godsill, S.J., M.R. Stone and M. Weeks (Cambridge)
  Assessing the Impact of Private Sector Balance on Financial Crises: A Comparison of Bayesian and Information-Theoretic Measures of Model Uncertainty
  [Paper]
• Driver, C. (Imperial College), L. Trapani (Cass Business School) and G. Urga (Cass Business School)
  Cross-section vs Time Series Measures of Uncertainty
  [Paper]
• Koustas, Z. (Brock University St. Catharines, Ontario, Canada)
  Persistent Deviations from Market Fundamentals or Rational Bubbles in Stock Market Prices? [Paper]

Poster Session 2 2/09/2003

• Lim,C.C. and S. Haberman (Cass Business School)
  Macroeconomic Variables and the Demand for Life Insurance in Malaysia
  [Paper]
• Hungnes, Håvard (Research Department, Statistics Norway)
  Structural Breaks in Cointegrated VAR Models
  [Paper]
• Davies,A. (Economics Department Strathclyde University. Glasgow)
  Credit Spread Modeling using Regime Switching Techniques
  [Paper]
• Bispham, F. D. (Hull University)
  Bootstrapping Confidence Intervals for a Panel Data Cointegration Regression
  [Paper + Appendices]
• Lasfer, M. (Cass Business School)
  Taxes, Dividends and Firms' Investments in Research and Development
  [Paper]

Other Papers Available

• Michal Kurcewicz and Jerzy Mycielski (Warsaw University)
  A Specification Search Algorithm for Cointegrated Systems
  [Paper]
• Kawakatsu, H. (Irvine, CA, USA)
  Cholesky Factor GARCH
  [Paper]
• Chrystal, K.A. (Cass Business School) and P.L. Mizen (University of Nottingham)
  Other Financial Corporations: Cinderella or Ugly Sister of Empirical Monetary Economics?
  [Paper]
• Akkoyunlu, S. (The Eitan Berglas School of Economics Tel Aviv University)
  Modeling Consumers' Expenditure in Turkey, 1962-1994
  [Paper]
• Lopes, A.S. (ISEG-UTL and CEMAPRE)
  Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?
  [Paper]