14th OxMetrics User Conference

Thursday March 20–Friday March 21, 2014
Department of Economics, George Washington University
Washington, D.C. 20052 U.S.A.
Co-chairs: Neil R. Ericsson and Frederick L. Joutz

PDF file of the Conference Program
Zipped file of the Conference Papers


(Thursday March 20)
Rooms 405 and 407, Marvin Center, George Washington University
800 21st Street NW, Washington, DC 20052 U.S.A.

(Friday March 21)
Jack Morton Auditorium, MPA Building, George Washington University
805 21st Street NW, Washington, DC 20052 U.S.A.

Thursday, March 20, 2014

[Rooms 405 and 407, Marvin Center]

8:30-9:00amRegistration, and coffee/tea/pastries
9:00-10:00am Session 1: Empirical Economic Modeling
Chairperson: Neil R. Ericsson
Announcements: Neil R. Ericsson and Frederick L. Joutz (co-chairs)
David F. Hendry* (INET Oxford and University of Oxford)
“Empirical Economic Model Discovery and Theory Evaluation”
10:00-10:30am Coffee/Tea Break
10:30am-12noon Session 2: General-to-specific Modeling
Chairperson: Andrew Powell
Hildegart Ahumada* (Di Tella University) and Magdalena Cornejo
“Joint Modeling of the Effect of Commodity Prices on Exports and the Real Exchange Rate: The Case of Argentina”
Simon J. Hviid* (Aarhus University), Tom Engsted, and Thomas Q. Pedersen
“Housing Bubbles in the OECD Area: An Econometric Analysis”
Rodrigo Mariscal and Andrew Powell* (IADB)
“Commodity Price Booms and Breaks: Detection, Magnitude and Implications for Developing Countries”
12noon-12:10pm Welcoming Remarks: Barry R. Chiswick (Chair, Dept. of Economics, GWU)
12:10-1:30pm Lunch and Poster Session (posters listed below)
Antonio Alleyne, Derek Gibbs, Fred Joutz* (GWU and KAPSARC), and Kimberly Waithe
“Empirical Modeling in Barbados”
G. Nathan Dong* (Columbia University)
“Mortgage Securitization, Housing Market and Real Output: A Time-series Causality Test using Structural VAR”
Jean-Yves Gnabo, Lyudmyla Hvozdyk, and Jérôme Lahaye* (Fordham University)
“System-wide Tail Comovements: A Bootstrap Test for Cojump Identification on the S&P 500, US Bonds and Exchange Rates”
Janet A. Levy* (Duke University), Diane Holditch-Davis, and Robin B. Knobel
“Can State Space Models Capture Trends Where Slope Parameters Are Logistic Functions of Time?”
Emerson Fernandes Marçal* (Sao Paulo School of Economics and CSSA-Mackenzie), Beatrice Zimmermann, Diogo de Prince, and Giovanni Merlin
“Assessing Interdependence Among Countries’ Fundamentals and Its Implications for Exchange Rate Misalignment Estimates: An Empirical Exercise Based on GVAR”
Nikolaos Zirogiannis* (Indiana University) and Yorghos Tripodis* (Boston University)
“Dynamic Factor Analysis for Panel Data: A Generalized Model”
1:30-2:30pm Session 3: Ana Timberlake Memorial Lecture
Chairperson: Giovanni Urga
Introduction: David Corbett, Giovanni Urga, Frederick L. Joutz, Neil R. Ericsson
Katarina Juselius* (University of Copenhagen and INET Centre for IKE)
“Haavelmo’s Probability Approach and the Cointegrated VAR”
2:30-3:00pmCoffee/Tea Break
3:00-4:30pm Session 4: Federal Funds and Treasury Markets
Chairperson: Daniel Beltran
Jaime Marquez* (SAIS) and Conor Foley
“Measuring Flight-to-Safety in Foreign Private Net Purchases of U.S. Treasury Securities”
Dick van Dijk, Robin L. Lumsdaine* (American University, NBER), and Michel van der Wel
“Clarity or Confusion? Market Set-up in the Run-up to Federal Reserve Policy Rate Decisions”
Daniel Beltran* (Federal Reserve Board), Valentin Bolotnyy, and, Elizabeth Klee
“ ʻUn’ Networking: The Evolution of Networks in the Federal Funds Market”
4:30-4:50pmCoffee/Tea Break
4:50-6:00pm Session 4: 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)
6:30pm Reception and Conference Dinner at Aroma Restaurant
1919 “I” Street, NW (pink awning), 2nd floor, (202) 833-4700

Friday, March 21, 2014

[Jack Morton Auditorium, MPA Building]

9:00-10:00am Session 5: Algorithmic Model Search
Chairperson: Jurgen A. Doornik
Søren Johansen* (University of Copenhagen and Aarhus University) and Bent Nielsen
“Asymptotic Analysis of the Forward Search”
Jurgen A. Doornik* (INET Oxford and University of Oxford)
“Some Observations on Automatic Model Selection”
10:00-10:30amCoffee/Tea Break
10:30am-12noon Session 6: Extensions and Applications of Impulse Indicator Saturation
Chairperson: Felix Pretis
Neil R. Ericsson* (Federal Reserve Board and GWU), Stedman B. Hood* (PlateJoy), Fred Joutz* (GWU and KAPSARC), Tara M. Sinclair, and Herman O. Stekler
“Greenbook Forecasts and the Business Cycle”
Oleg I. Kitov* (INET Oxford and University of Oxford) and Morten Nyboe Tabor
“Detecting Structural Changes in Linear Models: A Variable Selection Approach using Multiplicative Indicator Saturation”
Felix Pretis* (University of Oxford), Lea Schneider, and Jason E. Smerdon
“Detecting Volcanic Eruptions and Breaks of Any Other Shape using Indicator Saturation”
12noon-1:30pm Lunch and Poster Session (posters listed below)
Klaus Abberger, Michael Graff, Boriss Siliverstovs* (KOF Swiss Economic Institute), and Jan-Egbert Sturm
“The KOF Barometer, version 2014: A Composite Leading Indicator for the Swiss Business Cycle”
Saheed Layiwola Bello* (University of Surrey)
“Impact of US Crude Oil Inventory on West Texas Intermediate (WTI) Crude Oil Prices using the Structural Dynamic Model”
Daliah M. Bendary* (University of Lancaster)
“A Comparative Analysis of Parametric and Discrete Time Mixture Models in Forecasting Portfolio Credit Risk: An Application to UK Private Firms”
Ingo Bordon* (German Development Institute), J. James Reade, and Ulrich Volz
“A New Measure of Business Cycle Concordance”
Amy Y. Guisinger* (GWU) and Tara M. Sinclair
“Trends and Cycles in the U.S. Labor Market”
Johannes Tang Kristensen* (University of Southern Denmark)
“Diffusion Indexes with Sparse Loadings”
Motasam Tatahi* (Regent's University London), Emre Ipekci Cetin, and M. Koray Cetin
“The Cause of Higher Economic Growth: Assessing the Long-term and Short-term Relationship Between Economic Growth and Government Expenditure”
1:30-3:00pm Session 7: Models in Finance
Chairperson: Giovanni Urga
Siem Jan Koopman* (VU University Amsterdam), Rutger Lit, and André Lucas
“The Dynamic Skellam Model with Applications”
Kris Boudt, Sébastien Laurent* (Aix-Marseille Université), Asger Lunde, and Rogier Quaedvlieg
“Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity”
Martin Belvisi, Riccardo Pianeti, and Giovanni Urga* (Cass Business School)
“Modelling Financial Markets Comovements: A Dynamic Multi-factor Approach”
3:00-3:30pmCoffee/Tea Break
3:00-5:00pm Session 8: Robust Forecasting
Chairperson: Jennifer L. Castle
Dobrislav Dobrev* (Federal Reserve Board) and Ernst Schaumburg
“Robust Forecasting by Regularization”
Haichun Ye, Richard Ashley, and John Guerard* (McKinley Capital Management)
“Post-sample Granger Causality Analysis: A New (Relatively) Large-scale Exemplar”
Jennifer L. Castle* (Magdalen College and INET Oxford), Michael P. Clements, and David F. Hendry
“Robust Approaches to Forecasting”
5:00-5:10pmClosing Remarks (Conference organizers)
6:30pmConference Farewell Dinner (light buffet)
[Contact Noelia Januario (Timberlake Consultants) for details.]


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
Noelia Januario
Mira Selim
Teresa Timberlake
Ashley Williams

Program Committee

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

Local Organizing Committee

Neil R. Ericsson
Frederick L. Joutz
Kyle Renner
Amy Guisinger
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