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

8:30-9:00	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 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”
10:40-11:00	Coffee/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”
1:00-2:00	Lunch
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”
3:30-4:00	Coffee/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”
6:30	Reception and Conference Dinner Details TBD

Friday, March 18, 2016

8:30-9:00am	Coffee/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”
11:00-11:30am	Coffee/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”
3:30-4:00	Coffee/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)
5:00-5:10	Closing Remarks (Conference organizers)
6:30	Conference Farewell Dinner (light buffet) [Contact David Corbett (Timberlake Consultants) for details.]