Faculty & Research

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


G. Urga (Cass Business School)

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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

Markus Krätzig, Humboldt University Berlin (Germany)
Creating User Interfaces for Econometric Routines with JStatCom: An Example Using Ox

Charles Bos, Dept. of Econometrics & O.R., Vrije Universiteit Amsterdam (Netherlands)
Markov Chain Monte Carlo Methods: Implementation and Comparison

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

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

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

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

Jennifer Castle, Economics Department, Oxford University (U.K.)
Comparing PcGets and RETINA

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

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

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

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

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

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

Ruggiero Marco Paolillo and Nadia Petragallo, University of Bari (Italy)
Asymmetries of Monetary Policy Transmission Between US and Euro Area

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