Faculty & Research

3rd Oxmetrics User Conference

Oxmetrics User Conference 2005

August 2005
Cass Business School

Conference Sponsors

Date and Location

17 - 18 August 2005

Cass Business School
106 Bunhill Row
London EC1Y 8TZ, UK


G. Urga (Cass Business School)

Wednesday 17 August

13:00-13:30 Registration & Lunch

Session 1: PcGets (1)

Chairperson: Giovanni Urga

David F. Hendry (Oxford, UK) and Hans-Martin Krolzig (University of Kent, UK)
"'Quick Modeller' and Other New Features in PcGets"

David F. Hendry (Oxford, UK).
Comment on "Dummy Saturation Distributions and the Resulting Automatic Tests for Super Exogeneity"

Neil R. Ericsson (Division of International Finance, Federal Reserve Board, Washington, DC)
"Constructive Data Mining: Modeling Australian Inflation"

15:00-15:30 Coffee Break

Session 2: OxMetrics Developments

Chairperson: James Davidson

Siem Jan Koopman (Free University Amsterdam, Netherlands)
"Economic and financial time series analysis using Stamp 7 and Ssfpack 3"

Jurgen Doornik (Oxford University)
"Oxmetrics 3: The Next Generation"

Round Table Discussion with OxMetrics Developers

Following a 5-10 minute introduction each from Jurgen Doornik, David Hendry, and Siem 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.


Thursday 18 August

Session 3: Cycles and Unit Roots

Chairperson: Siem Jan Koopman

Andrew Harvey (Cambridge)
"Trend and Cycles in Economic Time Series: A Bayesian Approach"

Peter Boswijk
"Adaptive Testing for a Unit Root with Nonstationary Volatility"

10:00-10:15 Coffee Break

Session 4: PcGets (2)

Chairperson: Jurgen Doornik

Jennifer Castle
and David Hendry
"Extending the Boundaries of PcGets: Non-linear Models"

Luc Bauwens and Genaro Sucarrat (CORE and the Department of Economics, Universite Catolique de Louvain, Belgium)
"General-to-Specific Modelling of Exchange Rate Volatility: A Forecast Evaluation"

Session 5: Volatility and Long Memory

Chairperson: Marius Ooms

Jonathan Dark
(Department of Econometrics and Business Statistics, Monash University, Australia)
"Bivariate Error Correction FIGARCH and FIAPARCH"

Lucio Della Ratta (Cass Business School, London, London, U.K.) and Giovanni Urga (Cass Business School, London, U.K.)
"Modelling Credit Spread: A Fractional Integration Approach"

12:15-13:00 Lunch

Session 6: Time Series Modelling

Chairperson: Peter Boswijk

Rasoul Sajjad
(AFM Department,University of Essex)
"Using Markov Regime Switching Framework to Estimate Dynamic VaR in Foreign Exchange Markets"

James Davidson (Exeter)
"Recent Developments in Time Series Modelling 4"