March 18–19, 2010
Department of Economics, George Washington University
Washington, D.C. 20052 U.S.A.
Co-chairs: Neil R. Ericsson and Frederick L. Joutz

The Elliott School of International Affairs, George Washington University
1957 E Street NW, Rm 212, Washington, DC 20052 U.S.A.

Thursday, March 18

8:30-9:00amRegistration, and coffee/tea/pastries
Session 1: Empirical Model Discovery
Chairperson: Neil R. Ericsson
David F. Hendry (University of Oxford) “Empirical Model Discovery”
10:30-11:00amCoffee/Tea Break
11:00am-12noon Session 2: GARCH Modeling
Chairperson: Janelle M. Mann, Kris Boudt, Jón Daníelsson, Sébastien Laurent* (Maastricht University)
“Robust Estimation of Dynamic Conditional Correlation GARCH Models”
Janelle M. Mann (Queen's University)
“The Role of Long Memory in Hedging Strategies for Canadian Agricultural Futures”
1:30-2:30pm Session 3: Modeling in Finance
Chairperson: Genaro Sucarrat, Yu-Cheng Ku* (North Carolina State University) and Peter Bloomfield
“Generating Random Wishart Matrices with Fractional Degrees of Freedom in OX”
Genaro Sucarrat* (Universidad Carlos III de Madrid) and Álvaro Escribano
“Automated Model Selection in Finance: General-to-Specific Modelling of the Mean, Variance and Density”
2:30-3:00pmCoffee/Tea Break
3:00-4:30pmSession 4: Gets Modeling and Forecasting
Chairperson: Jurgen A. Doornik
Shaghil Ahmed (Federal Reserve Board) “Are Chinese Exports Sensitive to Changes in the Exchange Rate?”
Poonpat Leesombatpiboon and Frederick L. Joutz* (George Washington University)
“Sectoral Demand for Petroleum in Thailand”
Jurgen A. Doornik (University of Oxford)
“Improving the Timeliness of Data on Influenza-like Illnesses using Google Search Data”
5:00-7:00pm Reception and Conference Dinner at Aroma Restaurant
1919 "I" Street, NW (pink awning), 2nd floor, (202) 833-4700
7:30-9:30pmChoral Concert at St. Matthew’s Cathedral
1725 Rhode Island Avenue, NW (Tickets required)

Friday, March 19

9:00-10:30am Session 5: Unobserved Components Models
Chairperson: Xiaoshan Chen
Siem Jan Koopman* (VU University Amsterdam) and Marius Ooms
“Forecasting economic time series using unobserved components time series models”
Christopher J. Nekarda (Federal Reserve Board)
“Understanding Unemployment Dynamics: The Role of Time Aggregation”
Xiaoshan Chen* (University of Glasgow) and Terence C. Mills
“Measuring the Euro Area Output Gap using Multivariate Unobserved Components Models Containing Phase Shifts”
10:30-11:00amCoffee/Tea Break
11:00am-12:30pm Session 6: Credit, Liquidity, and Assets
Chairperson: Jaime Marquez
Mohammed H.I. Dore* (Brock University) and Rajiv G. Singh
“The Role of Credit in the 2007-09 Great Recession”
John B. Guerard, Jr. (McKinley Capital Management, LLC)
“The Corporate Sector as a Net Exporter of Funds: Additional Econometric Evidence”
Daniel Beltran, Maxwell Kretchmer, Jaime Marquez* (Federal Reserve Board), and Charles Thomas
“U.S. Treasury Yields and Foreign Holdings of U.S. Securities: An Interim Report”
2:00-3:30pm Session 7: Gets Modeling of Money Demand
Chairperson: Neil R. Ericsson
Matteo Mogliani and Giovanni Urga* (Cass Business School), and Carlos Winograd
“Monetary Disorder and Financial Regimes. The Demand for Money in Argentina, 1900-2006”
Hildegart A. Ahumada* (Di Tella University) and Maria Lorena Garegnani
“Selecting the Monetary Deflator by an Encompassing Approach: The Case of Argentina”
Neil R. Ericsson (Federal Reserve Board and George Washington University)
“Empirical Model Selection: Friedman and Schwartz Revisited”
3:30-4:00pm Coffee/Tea Break
4:00-5:30pm Session 8: Round Table with OxMetrics Developers
Chairperson: Frederick L. Joutz
Jurgen A. Doornik (University of Oxford)
David F. Hendry (University of Oxford)
Siem Jan Koopman (Tinbergen Institute)
Sébastien Laurent (Maastricht University)
7pmConference Farewell Dinner (light buffet)

Program Committee

Neil R. Ericsson (co-chair)
Frederick L. Joutz (co-chair)
James Davidson
Jurgen A. Doornik
Andrew C. Harvey
David F. Hendry
Siem Jan Koopman
Sébastien Laurent
Giovanni Urga


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.
Warren Carnow
Katherine Conaty
David Corbett
Noelia Germino
Kyle Renner
Mira Selim
Tara Sinclair
Ana Timberlake
Teresa Timberlake

General information

Map of George Washington University
This includes the locations of the hotel, conference site, and Aroma restaurant (Thursday night dinner).

Map for St. Matthew’s Cathedral
This includes directions on how to go from Aroma Restaurant to St. Matthew’s Cathedral.
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