5th OxMetrics User Conference
20 - 21 September 2007
Cass Business School
Conference Sponsors
Date and Location
20 - 21 September 2007
Cass Business School
106 Bunhill Row
London EC1Y 8TZ, UK
Organiser
G. Urga (Cass Business School)
Thursday 20 September 2007
5th OxMetrics User Conference
20 - 21 September 2007
Cass Business School
106 Bunhill Row,
London, EC1Y 8TZ (U.K.)
Room: 2005
PROGRAMME [pdf]
Abstracts [pdf]
Thursday, 20 September 2007
Room 2005
08.30-9.00: Registration + Coffee/Tea
Session 1: Tests
Chairperson: Lorenzo Trapani
09.00-10.45:
A Low-Dimension Collinearity-Robust Test for Non-linearity
Jennifer L. Castle and David F. Hendry (Oxford University, UK)
Testing for Dynamics in the Conditional Asymmetry: a Residual-based Approach
Philippe Lambert, Sebastien Laurent and David Veredas
(Université de Liège, Belgium; University of Namur and CORE, Université Catholique de Louvain Belgium; ECARES, Université Libre de Bruxelles and CORE, Université catholique de Louvain, Belgium)
A Distribution-Free Test for Changes in the Distribution
Lorenzo Trapani (Cass Business School, London, UK and Universita' di Bergamo, Italy)
10:45-11.15: Coffee/Tea Break
Session 2: Shifts
Chairperson: Siem Jan Koopmam
11.15-12.30:
I(2) Cointegration Analysis in the Presence of Deterministic Shifts
Takamitsu Kurita (Fukuoka University, Japan).
Forecast Adjustment and Learning
Nicholas Fawcett (Oxford University, UK).
12.30-14.00: Lunch
Session 3: Volatility
Chairperson: Charles Bos
14.00-15.10:
Forecasting Good Volatility and Bad Volatility
Matteo Pelegatti (Universita' degli Studi di Milano-Bicocca, Italy)
Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
Charles Bos (Vrije Universiteit Amsterdam, The Netherlands)
15.10-15:30: Coffee/Tea Break
Session 4: OxMetrics Developments
Chairperson: Giovanni Urga
15.30-17.00:
Round Table Discussion with OxMetrics Developers.
Following a 5-10 minute introduction each from Jurgen Doornik, David Hendry, and Siem Jan Koopman, and Sebastien Laurent 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
Friday 21 September 2007
Room 2005
Session 5: Econometric Methodology
Chairperson: James Davidson
09.00-9.45:
Forecasting, Structural Breaks, and Non-linearities.
David F. Hendry, with Jennifer L. Castle, Nicholas Fawcett and James Reade (Oxford University, UK)
Session 6: Estimation when p>n
Chairperson: Ugis Sprudzs
09.45-11:15:
Econometric Modelling When There Are More Variables Than Observations.
Jurgen A. Doornik (Oxford University, UK)
The Impact of Macro News on the Term Structure
Daniel Braberman and Giovanni Urga (Cass Business School, London, UK and Bergamo University, Italy).
Building Dynamic Marketing Models When There Are More Variables Than Observations
Jurgen A. Doornik and Ugis Sprudzs (Oxford University, UK and Allstate Insurance Company, USA)
11.15-11:30: Coffee/Tea Break
Session 7: Time Varying Parameters
Chairperson: Jurgen Doornik
11.30-12:30:
Extracting Business Cycles Using Semi-parametric Time-Varying Spectra with Applications to U.S. Macroeconomic Time Series
Siem Jan Koopman and Brian Soon Yip Wong (Vrije Universiteit Amsterdam, The Netherlands)
Modeling Meteorological Predictors of the Abundance of Deer Mice (Peromyscus maniculatus) in the Northwestern United States
Robert A. Yaffee et al. (New York University, USA)
12.30: LUNCH/END OF CONFERENCE.
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