Department of Economics, George Washington University
Washington, D.C. 20052 USA
Co-chairs: Neil R. Ericsson and Frederick L. Joutz
PDF file of the Conference Program (TBA)
Zipped file of the Conference Papers (TBA)
8:30-9:00 | Registration, and coffee/tea/pastries |
9:00-9:10 | Welcoming Remarks: Sumit Joshi (Chair, Dept. of Economics, GWU) Announcements: Neil R. Ericsson and Frederick L. Joutz (co-chairs) |
9:10-10:40 | Session 1: Econometric issues in Macroeconomic ModelingChairperson: TBDDavid F. Hendry* “Deciding between Alternative Approaches in Macroeconomics” Emerson Fernandes Marcal* and Pedro L. Valls Pereira “Macroeconomic Indicators Explain and Predict Default? A Study using Brazilian Data” Federic Holm-Hadulla and Kirstin Hubrich* “Macroeconomic Implications of Oil Price Fluctuations” |
10:40-11:00 | Coffee/Tea Break |
11:00am-1:00 | Session 2: Finance Models and JumpsChairperson: TBDJosh R. Stillwagon* “Robustifying Inference on Survey Expectations of Equity Returns: Correcting for Outliers, Persistence, and Model Selection Bias” Simona Boffelli and Giovanni Urga* “Comparing Alternative High-Frequency Integrated Covariance Estimators in Presence of Asynchronous Financial Data” Sébastien Laurent* and Shuping Shi “Does the Random Walk Assumption Hold in High Frequency Stock Market Prices?” Annastiina Silvennoinen and Timo Teräsvirta* “Testing Constancy of Unconditional Variance in Volatility Models by Misspecification and Specification Tests” |
1:00-2:00 | Lunch |
2:00-3:00 | Session 3: Ana Timberlake Memorial LectureChairperson: Giovanni UrgaIntroduction: David Corbett, Giovanni Urga, Frederick L. Joutz, Neil R. Ericsson H. Peter Boswijk* “Identification of Long-run Effects in Near-integrated Systems” |
3:00-3:30 | Session 4: PhD Speed SessionsMichael Browne*“Liquidity Effects on Consumers' Imports in Trinidad and Tobago” Hector Carcel* “Forecasting Loans to Non-financial Corporations Within the Eurozone, a Fractional Integration and Cointegration Approach” Oguz Tumturk* “The Predictability of Exchange Rates” |
3:30-4:00 | Coffee/Tea Break |
4:00-5:30 | Session 5: Climate ChangeChairperson: TBDDavid Hendry and Felix Pretis* “Quantifying the Uncertainty around Break Dates in Models using Indicator Saturation” Tommaso Proietti and Eric Hillebrand* “Seasonal Changes in Central England Temperatures” Desislava Petrova, Siem Jan Koopman*, Joan Ballester, and Xavier Rodo “Improving the Long-Lead Predictability of El Nino Using a Novel Forecasting Scheme Based on a Dynamic Components Model” |
6:30 | Reception and Conference Dinner Details TBD |
8:30-9:00am | Coffee/tea/pastries |
9:00-11:00am | Session 6: Central Bank ForecastsChairperson: TBDNeil R. Ericsson* and Aaron Markiewitz “Extracting Implicit Forecasts from the FOMC’s Minutes” Andrew C. Chang* and Tyler J. Hanson “The Accuracy of Forecasts Prepared for the Federal Open Market Committee” Sebastian Herrador and Jaime Marquez* “The Future of Illusions or the Illusions of the Future: FOMC Economic Projections 2008-2015” Michael P. Clements and J. James Reade* “Forecasting and Forecast Narratives: The Bank of England Inflation Reports” |
11:00-11:30am | Coffee/Tea Break |
11:30-12:30 | Session 7: ForecastingChairperson: TBDKajal Lahiri, Huaming Peng, and Xuguang (Simon) Sheng* “Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity” Andrew B. Martinez* “Jointly Testing Predictive Accuracy of Multi-Step System Forecasts” |
12:30-2:00 | Lunch and Poster Session (posters listed below)Bogdan Muresan* and Ana-Maria Sandica“Long Memory in Volatility. An Investigation on the Central and Eastern European Exchange Rates-Romanian Case” Tarek Atallah, Fred Joutz*, and Axel Pierru “Does Disagreement Among Oil Price Forecasters Reflect Volatility? Evidence from the ECB Surveys” Jerome Lahaye* and Christopher Neely “The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited” Kevin F. Forbes* and Ernest M. Zampelli “Day-Ahead Market Prices of Electricity and Economic Fundamentals: Evidence from New York City” Mudassar Rashid* “Comparison of Autometrics with other Model Selection Procedures: Panel Data Framework” Josh Stillwagon and Peter Sullivan* “Markov Switching in Exchange Rate Models: Are There Only Two Regimes?” Andrew C. Chang* and Phillip Li “Measurement Error in Macroeconomic Data and Economics Research: Data Revisions Gross Domestic Product, and Gross Domestic Income” Alexander White and Samir Safi* “The Efficiency of Artificial Neural Networks for Forecasting in the Presence of Autocorrelated Disturbances” |
2:00-3:30 | Session 8: Econometric Estimation and InferenceChairperson: TBDAris Spanos* and J. James Reade “Heteroskedasticity Consistent Standard Errors and the Reliability of Inference” Thomas M. Trimbur* and William R. Bell “The Effects of Seasonal Heteroskedasticity on Trend Estimation and Seasonal Adjustment for Time Series” Jurgen A. Doornik* “Estimation of the I(2) Model” |
3:30-4:00 | Coffee/Tea Break |
4:00-5:00 | Session 9: Round Table with OxMetrics DevelopersChairperson: Frederick L. JoutzJurgen A. Doornik (INET Oxford and University of Oxford) David F. Hendry (INET Oxford and University of Oxford) Siem Jan Koopman (VU University Amsterdam) Sébastien Laurent (Aix-Marseille Université) |
5:00-5:10 | Closing Remarks (Conference organizers) |
6:30 | Conference Farewell Dinner (light buffet) [Contact David Corbett (Timberlake Consultants) for details.] |