8:30-9:00am | Registration, 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” |
2:30-3:00pm | Coffee/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” |
4:30-4:50pm | Coffee/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 |
8:30-9:00am | Coffee/tea/pastries |
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” |
10:00-10:30am | Coffee/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” |
3:00-3:30pm | Coffee/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” |
5:00-5:10pm | Closing Remarks (Conference organizers) |
6:30pm | Conference Farewell Dinner (light buffet) [Contact Noelia Januario (Timberlake Consultants) for details.] |