6^th OxMetrics^TM User Conference

TBA
Cass Business School , 106 Bunhill Row, London , EC1Y 8TZ ( U.K. )

The conference will provide a forum for the presentation and exchange of research results and practical experiences within the fields of computational and financial econometrics, empirical economics, time-series and cross-section statistics and applied mathematics. The conference programme will feature keynote presentations, technical paper sessions, workshops, tutorials and panel discussions.

The conference is open to all those interested, not just to OxMetrics™ users, from academic and non-academic organisations. There will be a session for participants to put their comments to the development team and suggest improvements.

http://www.cass.city.ac.uk/faculty/g.urga/
http://www.cass.city.ac.uk/conferences/oxmetrics2006

Registration, accommodation, fee
The logistics of the conference is organised by Timberlake Consultants (www.oxmetrics.net and www.timberlake.co.uk), the publishers of OxMetrics™.

Registration on line is available now. There will be a small conference fee: £70 + VAT = £82.25 if full payment of registration is received by 30th July 2006 or £84 + VAT = £98.70 if full payment of registration is received after 30th July 2006 to cover costs for coffee, teas, luncheons and conference dinner on the 14th of September 2006.

Request a registration form now

Agenda
(subject to minor changes)

TBA

8.30-9.00: Registration + Coffee/Tea

Thursday, 20^th September

Session 1: Tests
Chairperson: Lorenzo Trapani

A Low-Dimension Collinearity-Robust Test for Non-linearity
Jennifer L. Castle and David F. Hendry (Economics Department, Oxford University , UK )

Testing for Dynamics in the Conditional Variance Asymmetry: a Residual-based Approach
Phillipe Lambert, Sebastien Laurent and David Veredas (Université de Liège, Belgium; University of Namur and CORE, Université Catholique de Louvain, Belgium; ECARES, Université Libre de Bruxelles and CORE, Université Catholique de Louvain, Belgium)

A Distribution-Free Test for Changes in the Distribution
Lorenzo Trapani ( Cass Business School and Universita’ di Bergamo , Italy )

10.45 - 11.15: Coffee/Tea Break

Session 2: Shifts
Chairperson: Siem Jan Koopman

11.15 - 12.45        

I(2) Cointegration Analysis in the presence of Deterministic Shifts
Takamitsu Kurita (Faculty of Economics, Fukuoka University , Japan )

Forecast Adjustment and Learning
Nicholas Fawcett ( Oxford University , UK )

Testing present value model under shift with bootstrap-based Wald test: the Japanese term structure
Zhu Xiaoneng (Division of Economics, HSS Nanyang Technological University , Singapore )

12.45 - 14.00: Lunch

Session 3: Tests
Chairperson: Charles Bos

14.00 - 15.30

South American Disinflation and Regime Switches: Unobserved Volatility Components
Alberto Humala (Central Reserve Bank of Peru , Peru )

Forecasting good volatility and bad volatility
Matteo Pelegatti (Department of Statistics, Universita’ degli Studi di Milano-Bicocca , Italy )

Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
Charles Bos (Department of Econometrics, Vrije Universiteit Amsterdam , The Netherlands )

Session 4: OxMetrics Developments
Chairperson: Giovanni Urga

16.00 - 17.00

Round Table Discussion with OxMetrics Developers
Following a 5-10 minute introduction each from Jurgen Doornik, David Hendry, Siem Jan Koopman and Sebastien Laurent, the main aim of the round table is to provide a forum for an exchange of suggestions and ideas for future developments of the software.

19.00: Conference Dinner

TBA

Session 5: Econometric Methodology
Chairperson: James Davidson

9.00 - 9.45        

Forecasting, Structural Breaks and Non-linearities
David F. Hendry with Jennifer L. Castle, Nicholas Fawcett and James Reade (Economics Department, Oxford University , UK )

Session 6: Estimating when p>n
Chairperson: Ugis Sprudz

The Impact of Macro News on the Term Structure
Daniel Braberman and Giovanni Urga ( Cass Business School , London , UK and Bergamo University , Italy )

Building Dynamic marketing models when there are more observations than variables
Jurgen A. Doornik and Ugis Sprudz (Oxford University, UK; Marketing Department, Allstate Insurance Company, USA )

11.15 - 11.30: Coffee/Tea Break

Session 7: Time Varying Parameters
Chairperson: Jurgen Doornik

11.30 - 12.30

Extracting business cycles using semi-parametric time-varying spectra with applications to U.S. macroeconomic time series
Siem Jan Koopman and Brian Soon Yip Wong (Department of Econometrics, Vrije Universiteit Amsterdam , The Netherlands)

Modeling Meteorological Predictors of the Abundance of Deer Mice (Peromyscus maniculatus) in the Northwestern United States

12.30: Lunch/End of Conference