10 September 2018

20th OxMetrics User Conference
Programme

Centre for Econometric Analysis, Cass Business School

106 Bunhill Row, London, EC1Y 8TZ

Room 2002

Monday 10th September 2018

8:00 – 8:55 Registration and coffee/tea/pastries
8:55 – 9:00 Welcoming Remarks

9:00 -11:00

Session 1: Forecast
Chairperson: Neil R. Ericsson

Selecting a Model for Forecasting
Jennifer L. Castle (Oxford University, UK) with D. F. Hendry and J. A. Doornik

Forecasts for M4
Jurgen A. Doornik (Oxford University, UK) with J. Castle and D. F. Hendry

A False Sense of Security: The Impact of Forecast Uncertainty on Hurricane Damages
Andrew B. Martinez (Oxford University, UK)

The Wisdom of Committees
Neil R. Ericsson (Federal Reserve System and the George Washington University, Washington, USA) with D.F. Hendry, S. Yanki Kalfa, J. Marquez.

11:00-11:30  Coffee/Tea Break

11:30-12:30

SPEED Presentations
Chairperson: Jurgen A. Doornik

Heterogeneity and Cross-Sectional Dependence in Panels: Heterogeneous vs. Homogeneous Estimators
Oguzhan Akgun (CRED, University Paris II Pantheon-Assas, France) with A. Pirotte and G. Urga

Dispersion of Stock Returns and Investor Sentiment: Stock Twits Evidence
Faek Menla Ali (University of Sussex, Brighton, UK) with A. Al-Nasseri and A. Tucker

A Test for Sparsity
Junnan He (Washington University in St. Louis, USA)

Measuring Systemic Risk: An Approach Integrating Granger Causality in Risk with Lower Tail Dependence
Jianping Li (Chinese Academy of Sciences, Beijing, China) with J. Li and y. Yao.

12:30-14:00    Lunch break

14:00-15:00

Ana Timberlake Memorial Lecture
Chairperson: Carlo Bellavite Pellegrini

Organizational Complexity and Systemic Risk
Robin L. Lumsdaine (Kogod School of Business, American University and National Bureau of Economic Research, USA; Erasmus University Rotterdam and  Tinbergen Institute, The Netherlands)

15:00-15:30   Coffee/Tea Break

15:30-17:00

Session 3: Autometrics and Climate Change

Chairperson:  Catherine Doz

Modelling Australian Electricity Price using Indicator Saturation
James Reade (University of Reading, UK) with S. Wang

Are Soybean Yields Getting a Free Ride from Climate Change? Evidence from Argentine Time Series
Hildegart Ahumada (Universidad Torcuato Di Tella, Argentina) with Magdalena Cornejo

Analyzing Differences between Scenarios
David F. Hendry (Oxford University, UK) with Felix Pretis

17:00-18:00            

Round Table with OxMetrics Developers
Chairperson: Giovanni Urga

19:00  Reception and Conference Dinner