2nd Oxmetrics User Conference
August 2004Cass Business School
Conference Sponsors
Date and Location
26 - 27 August 2004
Room LG001
Cass Business School
106 Bunhill Row
London EC1Y 8TZ, UK
Organiser
G. Urga (Cass Business School)
Registration Online
Thursday, 26 August 2004
9.00 - 09.30: Registration - coffee/tea
Session 1: OxPackage
Chairperson: Charles Bos
09.30 - 11.00:
Håvard Hungnes, Statistics Norway (Norway)
GRaM for Ox Professional (Windows) - User Manual and Documentation
[Paper]
Markus Krätzig, Humboldt University Berlin (Germany)
Creating User Interfaces for Econometric Routines with JStatCom: An Example Using Ox
[Paper]
Charles Bos, Dept. of Econometrics & O.R., Vrije Universiteit Amsterdam (Netherlands)
Markov Chain Monte Carlo Methods: Implementation and Comparison
[Paper]
11.00 - 11.30: Coffee Break
Invited Session 1
Chairperson: James Davidson
11.30 - 12.15:
Bronwyn Hall, University of California at Berkeley (U.S.A.)
Introduction of TSP Version 5.0
[Paper]
Session 2: Demonstrations
12.15 - 13.00:
James Davidson, University of Exeter (U.K.)
Recent Developments in Time Series Modelling 4[Paper]
Matias Eklof, Upsala University (Sweden), and Melvyn Weeks, University of Cambridge (U.K.)
Discrete Choice Modelling Software[Paper]
Max Bruche, London School of Economics (U.K.)
OxDBI: A Database-Independent Abstraction Layer for Ox
[Paper]
Matteo M. Pelagatti and Stefania Rondena, Dept, of Statistics, University of Milan-Bicocca (Italy)
Dynamic Conditional Correlation with Elliptical Distributions and Application to Value-at-risk[Paper]
13.00 - 13.30: Lunch Break
Session 3: PcGets Applications
Chairperson: David Hendry
13.30 - 15.00:
José R. Sánchez-Fung, Central Bank of the Dominican Republic, and Kingston University (U.K.)
Modelling Money Demand in the Dominican Republic
[Paper]
Daniel Braberman and Giovanni Urga, Cass Business School, London (U.K.)
Econometric Modelling Using PcGets: The Impact of News on Fed Futures' Implicit Interest Rates
[Paper]
Jennifer Castle, Economics Department, Oxford University (U.K.)
Comparing PcGets and RETINA
[Paper]
15.00 - 15.30: Coffee Break
Invited Session 2
Chairperson: Giovanni Urga
15.30 - 16.15:
David Hendry, Oxford University (U.K.)
Tackling Three Intractable Problems Using PcGets
[Paper]
Session 4: Forecasting and Statistical Time Series Analysis
Chairperson: Siem Jan Koopman
16.15 - 17.45:
Mark J. Jensen, Department of Economics Brigham Young University, (U.S.A.)
Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models[Paper]
Anthony Murphy, University College Dublin (Ireland), Marwan Izzeldin, Cass Business School, London (U.K.)
On the Finite Sample Distribution of Long Memory Tests Using Montecarlo Bootrapping Based Methods[Paper]
Marius Ooms and Siem Jan Koopman, Free University Amsterdam, Department of Econometrics (Netherlands)
Forecasting Daily Time Series Using Periodic Unobserved Time Series Models[Paper]
19.00: Conference Dinner
Friday, 27 August 2004
Session 5: Ox Panel Econometrics
Chairperson: Lorenzo Trapani
09.00 - 10.00:
Francesco D Bispham, University of Hull (U.K.)
A Comparison of Panel Data Cointegration Estimators: Some Multi-Country Consumption Studies
[Paper - updated 25/08]
Lorenzo Trapani, Centre for Econometric Analysis, Cass (U.K.) and Bergamo University (Italy)
Testing for Unit Roots in Heterogeneous Panels under Cross Sectional Dependence
[Paper]
10.00 - 10.30: Coffee Break
Invited Session 3
Chairperson: Anthony Murphy
10.30 - 11.15:
Siem Jan Koopman, Free University Amsterdam (Netherlands)
Economic and Financial Time Series Analysis Using STAMP 7
[Paper]
Session 6: MsVAR and PcGive Applications
Chairperson: John J. Weatherby
11.15 - 12.15
Jun Wang, University of Surrey (U.K.)
Empirical Tests on Crisis Contagion in 1997/98 Asia Crises
[Paper]
John J. Weatherby, Teaching Fellow University of Houston (USA)
Too Little of a Good Thing? A Re-examination of Market Failures in Endogenous Growth Models[Paper]
12.15 - 13.30: Lunch Break
Invited Session 4
Chairperson: Marius Ooms
13.30 - 14.30:
Jurgen A. Doornik (Nuffield College, Oxford, U.K.)
Introducing Oxmetrics 3: The Next Generation
[Paper]
14.30 - 15.30: Round Table Discussion with OxMetrics Developers.
Following a 5-10 minute introduction each from Jurgen Doornik, 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
The following are last minute cancellations however you can still have a look at their papers.
G.Badri, Narayanan, Research Scholar Indira Gandhi Institute of Development Research (India)
The Determinants of Employment in the Indian Textile Industry
[Paper]
Ruggiero Marco Paolillo and Nadia Petragallo, University of Bari (Italy)
Asymmetries of Monetary Policy Transmission Between US and Euro Area
[Paper]
Yasser Abdih and Frederick L. Joutz, Department of Economics, Bowling Green State University, Ohio (U.S.A.)
Relating to the Knowledge Production Function to Total Factor Productivity: An Endogenous Growth Puzzle
[Paper]
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