CEA
 

Breaks and Persistence in Econometrics

11 - 12 December 2006
Cass Business School

Conference Sponsors

Date and Location:

11 - 12 December 2006
Cass Business School
106 Bunhill Row
London EC1Y 8TZ

List of Participants:

Organiser:

Organiser: Professor Giovanni Urga

G.Urga@city.ac.uk (Cass Business School)

Assistant: Emily Beahan

Emily.Beahan.1@city.ac.uk (Cass Business School)

List of Papers and Abstracts

Monday 11 December 2006

Breaks and Persistence in Econometrics

8:00-8:45 Registration + Coffee/Tea

Session 1: Breaks and panels

Chairperson: Giovanni Urga (Cass Business School, UK)

8:45-9:30
"Common breaks in panel data"
Jushan BAI (New York University, USA)
PRESENTATION

9:30-9:55
"Modelling and testing for structural breaks in panels with common and idiosyncratic stochastic trends"
Chihwa KAO (Syracuse University, USA), Lorenzo Trapani (Cass Business School, UK and Bergamo University, Italy), Giovanni Urga (Cass Business School, UK)
PRESENTATION

9:55-10:10 Coffee/Tea Break

Session 2: Cointegration and long memory

Chairperson: Lorenzo Trapani (Cass Business School, UK, and Bergamo, Italy)

10:10-10:55
"Semiparametric inference in multivariate fractionally cointegrated systems"
Peter ROBINSON (London School of Economics, UK)
(with Javier Hualde, Universidad de Navarra).
PRESENTATION

10:55-11:20
"Estimation of threshold cointegration"
Myung Hwan SEO (London School of Economics, UK)
PRESENTATION

11:20-11:45
"Multivariate modelling of long memory processes with common components"
Claudio MORANA (University of Piemonte Orientale, Novara, Italy, and International Centre for Economic Research, Torino, Italy)
PRESENTATION

11:45-12:00 Coffee/Tea Break

Session 3: Breaks and persistence I

Chairperson: Stepana Lazarova (Queen Mary University of London, UK)

12:00-12:25
"Testing for cointegration with structural breaks based on sub-samples"
James DAVIDSON (University of Exeter, UK) and Andrea Monticini (University of Exeter, UK)
PRESENTATION

12:25-12:50
"Testing for a change in persistence in the presence of non-stationary volatility"
Giuseppe Cavaliere (Department of Statistical Sciences, University of Bologna)
A.M. Robert TAYLOR (School of Economics, University of Nottingham)
PRESENTATION

12:50-13:15
"What is what? A simple time-domain test of long-memory vs. structural breaks"
Juan J. Dolado (Dept. of Economics, Universidad Carlos III de Madrid), Jesus GONZALO (Dept. of Economics, Universidad Carlos III de Madrid), Laura Mayoral (Dept. of Economics, Universidat Pompeu Fabra)

13:15-14:00 Lunch

Session 4: Forecasting and breaks

Chairperson: Claudio Morana (University of Piemonte Orientale, Italy)

14.00-14.45
"Forecasting, structural breaks and non-linearities"
(With Jennifer L. Castle)
David HENDRY (Economics Department, Oxford, UK)
PRESENTATION

14:45-15:10
"Doing justice to fundamentals in exchange rate forecasting: a control over estimation risk"
Biing-Shen KUO (National Chengchi University, Taipei, Taiwan)
PRESENTATION

Session 5: Instability

Chairperson: Claudio Morana (University of Piemonte Orientale, Italy)

15.10-15.55
"Learning, structural instability and present value calculations"
Hashem PESARAN (University of Cambridge, UK and USC, USA)
(With Davide Pettenuzzo, University of Bocconi and Bates and White; Allan Timmermann, University of California San Diego)
PRESENTATION

15:55-16:15 Coffee/Tea Break

Session 6: Estimation and Inference

Chairperson: James Davidson (Exeter University, UK)

16:15-16:40
"Estimation and inference in unstable nonlinear least squares models"
Otilia Boldea, Alastair HALL, and John J. Seater
(Department of Economics, North Carolina State University, USA)
PRESENTATION

16:40-17:05
"Semiparametric estimation and inference for trending I(d) and related processes"
Karim M. Abadir (Tanaka Business School, London), Walter Distaso (Tanaka Business School, London), Liudas GIRAITIS (QMUL, London)
PRESENTATION

17:05-17:30
"Inference on the time of break"
Stepana LAZAROVA (Queen Mary University of London, UK) and Javier Hidalgo (London School of Economics, UK)
PRESENTATION

17:30-17:55
"Non-nested model selection in unstable environments"
Raffaella Giacomini (University of California, Los Angeles, USA)
Barbara ROSSI (Duke University, USA).
PRESENTATION


19.00: CONFERENCE DINNER

Tuesday 12 December 2006

Breaks and Persistence in Econometrics

Session 7: Testing for structural breaks

Chairperson: Chihwa Kao (Syracuse University, USA)

8:30-9:15
"Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope"
Pierre PERRON (Boston University, USA)
(with Dukpa Kim).
PRESENTATION

9:15-9:40
"Testing for multiple structural changes in cointegrated regression models"
Mohitosh KEJRIWAL (Boston University, USA) and Pierre Perron (Boston University, USA)
PRESENTATION

9:40-10:05
"Finite sample multivariate structural change tests with application to energy demand models"
Jean-Thomas Bernard (Université Laval, Canada), Nadhem Idoudi (Hydro-Québec, Canada), Lynda KHALAF and Clément Yélou (Université Laval, Canada)
PRESENTATION

10:05-10:30
"Pivotal structural change tests in linear simultaneous equations with weak identification"
Mehmet CANER (Pittsburgh University, USA)
PRESENTATION

10:30-10.45 Coffee/Tea Break

Session 8: Jumps and volatility

Chairperson: Mehmet Caner (Pittsburgh University, USA)

10:45-11:30
"Measuring the impact of jumps on multivariate price processes using bipower variation"
Neil SHEPHARD (Nuffield College, Oxford, UK)
PRESENTATION

11:30-11:55
"Asymmetries, breaks, and long-range dependence in realized volatility: a simultaneous equations approach"
Eric HILLEBRAND (Louisiana State University, Baton Rouge, USA) and Marcelo C. Medeiros (Louisiana State University, Baton Rouge, USA)
PRESENTATION

11:55-12:20
"A Markov chain Monte Carlo method for fractionally integrated, autoregressive, moving average, stochastic volatility"
Mark J. JENSEN (Federal Reserve Bank of Atlanta, USA)
PRESENTATION


12:20-13:00 Lunch


Session 9: Testing for unit roots and breaks

Chairperson: Lynda Khalaf (Université Laval, Canada)

13:00-13:25
"On distinguishing between random walk and changes in the mean alternatives"
Alexander Aue (University of Utah, Salt Lake City, USA), Lajos HORVATH (University of Utah, Salt Lake City, USA), Marie Huskova (Charles University, Praha, Czech Republic), and Shiqing Ling (Hong Kong University, Hong Kong, China)
PRESENTATION

13:25-13:50
"GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses"
Josep Lluís CARRION-I-SILVESTRE (University of Barcellona, Spain), Dukpa Kimy (Boston University, USA), and Pierre Perron (Boston University, USA)
PRESENTATION

13:50-14:15
"Monotonic power in tests for structural change in the mean"
Elena ANDREOU (Department of Economics, University of Cyprus, Cyprus).
PRESENTATION

14:15-14:40
"Testing for structural breaks and other forms of non-stationarity: a misspecification perspective"
Maria S. Heracleous (American University, Washington DC, USA), Andreas KOUTRISY (Virginia Tech, Blacksburg, USA) and Aris Spanos (Virginia Tech, Blacksburg, USA)
PRESENTATION

14:40-15:00 Coffee/Tea Break

Session 10: Breaks and persistence II

Chairperson: Barbara Rossi (Duke University, USA)

15:00-15:25
"Simple (but effective) tests of long memory versus structural breaks"
Katsumi SHIMOTSU (Department of Economics, Queen's University, Canada)
PRESENTATION

15:25-15:50
"Semiparametric detection of changes in long range dependence"
Fabrizio IACONE (York University, UK) and Stepana Lazarova (Queen Mary University of London, UK)
PRESENTATION

15:50-16:15
"Testing for breaks in the order of integration of G7 inflation and interest rates"
Andreea HALUNGA (School of Business and Economics, University of Exeter, UK), Denise R. Osborn and Marianne Sensier (Centre for Growth and Business Cycle Research Economics University of Manchester, UK)
PRESENTATION

16:15-16.20 Coffee/Tea Break

Session 11: Bayesian approach

Chairperson: Josep Lluís Carrion-i-Silvestre (University of Barcellona, Spain)

16:30-16:55
"Efficient Bayesian inference for multiple change-point and mixture innovation models"
Paolo GIORDANI (Research Department, Swedish Central Bank, Sweden), and Robert Kohn (School of Economics, School of Banking and Finance University of New South Wales)
PRESENTATION

16:55-17:20
"Bayesian model averaging in the presence of structural breaks"
Francesco RAVAZZOLO, Richard Paap, Dick van Dijky, and Philip Hans Franses (Econometric Institute Erasmus University Rotterdam, Netherlands)
PRESENTATION

17:20-17:45
"Forecasting and estimating multiple change-point models with an unknown number of change-points"
Gary Koop (University of Strathclyde, Glasgow U.K.) and Simon M. POTTER (Federal Reserve Bank of New York, USA)
PRESENTATION


17:45 END OF CONFERENCE.