3rd Oxmetrics User Conference
Oxmetrics User Conference 2005
Cass Business School
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.
19:00 CONFERENCE DINNER
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"
"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"
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"
14:30 END OF CONFERENCE