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17th OxMetrics User Conference - Preliminary Program

Thursday March 17–Friday March 18, 2016

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)

Location

The Elliott School of International Affairs, George Washington University
Room 212
1957 E Street NW
Washington, DC 20052 USA



Acknowledgements

We are deeply grateful for support from the following institutions.

Department of Economics, The George Washington University
Research Program on Forecasting, The George Washington University
Elliott School of International Affairs, The George Washington University
Institute for International Economic Policy, The George Washington University
Timberlake Consultants UK

In addition, we wish to acknowledge the following people, who were invaluable in the preparations for and the running of this conference.

Michael Browne
David Corbett
Cristin Guinan-Wiley
Kyle Renner
Mira Selim
Teresa Timberlake

Program Committee

Neil R. Ericsson (co-chair)
Frederick L. Joutz (co-chair)
Jennifer L. Castle
Jurgen A. Doornik
David F. Hendry
Siem Jan Koopman
Sébastien Laurent
Giovanni Urga

Local Organizing Committee

Neil R. Ericsson
Frederick L. Joutz
Kyle Renner
Michael Browne

Conference Program - Thursday, March 17, 2016

8:30-9:00Registration, and coffee/tea/pastries
 
9:00-9:10Welcoming 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 Modeling

Chairperson: TBD
David 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”
 
10:40-11:00Coffee/Tea Break
 
11:00am-1:00

Session 2: Finance Models and Jumps

Chairperson: TBD
Josh 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”
 
1:00-2:00Lunch
 
2:00-3:00

Session 3: Ana Timberlake Memorial Lecture

Chairperson: Giovanni Urga
Introduction: 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 Sessions

Michael 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”
 
3:30-4:00Coffee/Tea Break
 
4:00-5:30

Session 5: Climate Change

Chairperson: TBD
David 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”
 
6:30Reception and Conference Dinner
Details TBD

Friday, March 18, 2016

 
8:30-9:00amCoffee/tea/pastries
 
9:00-11:00am

Session 6: Central Bank Forecasts

Chairperson: TBD
Neil 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”
 
11:00-11:30amCoffee/Tea Break
 
11:30-12:30

Session 7: Forecasting

Chairperson: TBD
Kajal 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 Inference

Chairperson: TBD
Aris 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”
 
3:30-4:00Coffee/Tea Break
 
4:00-5:00

Session 9: Round Table with OxMetrics Developers

Chairperson: Frederick L. Joutz
Jurgen 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)
 
5:00-5:10Closing Remarks (Conference organizers)
 
6:30Conference Farewell Dinner (light buffet)
[Contact David Corbett (Timberlake Consultants) for details.]
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