Recent Developments in Econometric Methodology

The Associazione Carlo Giannini is pleased to announce
The First International Conference
in memory of Carlo Giannini

List of delegates

Conference Sponsors

Date and Location

25 - 26 January 2008

Department of Economics 'H.P.Minsky',
Universita' degli Studi di Bergamo,
Via Dei Caniana, 2
24127 Bergamo (Italy)

Organiser

G. Urga (Cass Business School), G.Urga@City.ac.uk

Papers and Abstracts

Friday 25 January 2008

First International Conference
in memory of Carlo Giannini

"Recent Developments in Econometric Methodology"

Department of Economics 'H.P.Minsky', Universita' di Bergamo,
Via dei Caniana, 2 27100 Bergamo (Italy)
Room: Aula Galeotti

Programme

8:00-8:40 Registration + Coffee/Tea

8:40-8:45 Opening: Annalisa Cristini (Deputy Director, "H.P. Minsky" Department of Economics, University of Bergamo, Italy)

Session 1: Econometric Methodology
Chairperson: Giovanni Urga

8:45-9:30
David F. Hendry (Oxford University, UK)
"Automatic Tests of Super Exogeneity" (with Carlos Santos)

9:30-10:15
Aris Spanos (Virginia Tech, USA)
"Philosophy of Econometrics"

10:15-10:45 Coffee/Tea Break

Session 2: VAR Modelling
Chairperson: Paolo Paruolo

10:45-12:15
"A Representation Theory for Polynomial Cofractionality in Vector Autoregressive Models"Massimo Franchi (Carlo Giannini Fellow, University if Insubria, Varese, Italy)

"Simulation-based tests of Forward-looking Models under VAR Learning Dynamics"Luca Fanelli (University of Bologna, Italy) and Giulio Palomba (University Politecnica of Marche, Italy)

"Common Dynamics in VAR Systems"
Paolo Paruolo (University of Insubria, Varese, Italy)

12:15-13:15 Lunch

13:15-13:45 Poster Session (Room 16)

Session 3: Financial Econometrics I
Chairperson: Bruno Sitzia

13:45-14:30
Fabio Trojani (University of St. Gallen, Switzerland) "Recent Advances in Robust Financial Econometrics "

14:30-14:45 Coffee/Tea Break

Session 4: Volatility
Chairperson: Eduardo Rossi

14:45-16:15
"On The Macroeconomic Causes of Exchange Rates Volatility"Claudio Morana (University of Piemonte Orientale, Novara, Italy,and The International Centre for Economic Research, Torino, Italy)

"Range-based Covariance Estimation using High-frequency Data: The Realized Co-range"Karim Bannouh, Dick van Dijk, Martin Martens (Erasmus University, Rotterdam)

"Persistence and Seasonality in Intradaily Volatilities of Stock Index Futures"Eduardo Rossi and Dean Fantazzini (University of Pavia, Italy)

16:15-16:30 Coffee/Tea Break

Session 5: Term Structure
Chairperson: Gianni Amisano

16:30-18:00
"Forecasting The Yield Curve Using Priors From No Arbitrage Affine Term Structure Models"Andrea Carriero (Queen Mary University of London, UK)

"Testing for Instability in Factor Structure of Yield Curves"
Dennis Philip (Cass Business School, UK) Chihwa Kao (Syracuse University, USA) and Giovanni Urga (Cass Business School, UK, and Bergamo University, Italy)

"The Term Structure in a Nonlinear DSGE Model"Gianni Amisano (European Central Bank, Germany and Brescia University, Italy) and Oreste Tristani (European Central Bank, Germany)

18:00-18:30 Report on the activities of Associazione Giannini (Rocco Mosconi)

20:00 : Conference Dinner at Sole Restaurant, Bergamo Citta' Alta(offered by the Centro Interuniversitario di Econometria)

Saturday 26 January 2008

First International Conference
in memory of Carlo Giannini

"Recent Developments in Econometric Methodology"
Department of Economics 'H.P.Minsky',
Universita' di Bergamo, Italy

Programme

Session 6: Financial Econometrics II
Chairperson: Claudio Morana

8:45-9:30
Oliver Linton (London School of Economics, UK)
"Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns" (with Gregory Connor and Matthias Hagmann)

9:30-10:15
Federico Bandi (Graduate School of Business, Chicago, USA)
"Long-Run Risk-Return Trade-Offs"

10:15-10:30 Coffee/Tea Break

Session 7: Threshold Models
Chairperson: Juri Marcucci

10:30-12:00
"Nonlinearities in Exchange Rates: Forecasting Volatility with Double Threshold GARCH Models"
Doriana Iovino (UniCredit Banca d'Impresa) and Bruno Sitzia (Bocconi University Milano, Italy)

"New Threshold Cointegration Tests and the Taylor Rule"
Walter Enders, Junsoo Lee (University of Alabama, Tuscaloosa, USA) and Mark C. Strazicich (Appalachian State University, Boone, North Carolina, USA)

"A Threshold Model for Firms' Investments over the Business Cycle"Juri Marcucci (Bank of Italy) and Francesca Lotti (Bank of Italy)

12:00-13:00 Lunch

Session 8: Spatial and Panel Data Econometrics
Chairperson: Rocco Mosconi

13:00-13:45
Badi Baltagi (Syracuse University, USA)
"A Generalized Spatial Panel Data Model with Random Effects" (with Peter Egger and Michael Pfaffermayr)

13:45-14:30
Chihwa Kao (Syracuse University, USA)
"Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors" (with Badi. Baltagi and L. Liu)

Session 9: Testing
Chairperson: Lorenzo Trapani

14:30-15:30
"Change in Persistence Tests for Panels"
Roy Cerqueti (University of Rome"La Sapienza", Italy), Mauro Costantini (University of Rome"La Sapienza", Italy, and Institute for Studies and Economic Analyses (ISAE), Italy) and Luciano Gutierrez (University of Sassari)

"A Distribution-free Test for Changes in the Distribution"Lorenzo Trapani (Cass Business School, London, UK and University of Bergamo, Italy)

15.30: Conference Ends.

Poster Session

"Unbiased Estimate of the Efficient Frontier"
Marco Massarani and Rocco Mosconi (Politecnico of Milan, Italy)

"Nonlinearly Testing for a Unit Root in the Presence of an Unknown Break"Stephan Popp (University of Duisburg-Essen, Germany)

"A Robust Multivariate Long Run Analysis of European Electricity Prices"
Bruno Bosco, Lucia Parisio, Matteo Pelagatti, and Fabio Baldi (University of Milano-Bicocca, Italy)

"Integration and Shock Transmission across European Electricity Forward Markets"
Derek W. Bunn, (London Business School, UK), and Angelica Gianfreda (University of Verona, Italy)

"What do we really know about Fiscal Sustainability in the EU? A Panel Data Diagnostic"
António Afonso (European Central Bank, Germany, and Technical University Lisbon, Portugal) and Christophe Rault (University of Orleans, Orléans, France)

"Iterative Estimation Correcting for Error Autocorrelation in Short Panels"Rembert De Blander (H.I.V.A. and C.E.S., K.U.Leuven and K.U. Brussel, Leuven, Belgium)

"A Single-Equation Cointegration Estimator Robust to Variance Breaks"
Nikolaos Kourogenis, Nikitas Pittis (University of Piraeus, Cyprus) and Ekaterini Panopoulou (University of Piraeus, Cyprus, and IIIS, Trinity College Dublin, Ireland) and Nikitas Pittis (University of Piraeus, Cyprus).

"Evaluating the Usefulness of External Information to Forecasting Models"Eric S. Lin (National Tsing Hua University Hsin-chu, Taiwan)