You are here

Conference on New Trends and Developments in Econometrics

03 Jun. 2016
8.45 - 18.00
Banco de Portugal is organizing a conference on New Trends and Developments in Econometrics, which will be held in Lisbon, on 3-4 June 2016.

The complex environment in which banks nowadays operate, the complexity of financial instruments, the functioning of markets and institutions, and the important challenges central banks have to face require adequate analytical tools for analysis. This conference will focus on new developments and assessment of econometric methods for use in banking, empirical finance, macro and microeconomics, with special emphasis on problems of modelling and prediction.

The Scientific Committee for the Conference is Matei Demetrescu, Jesús Gonzalo, Paulo Guimarães, Michele Lenza, Anders Rahbeck, Paulo M. M. Rodrigues and João Santos Silva.
Confirmed Speakers are Uwe Hassler, Rustam Ibragimov, Oliver Linton, Helmut Lutkepohl, Tassos Magdalinos and A.M. Robert Taylor.
Programme
Friday, June 3, 2016
8.45 - 9.15 Registration and Welcome Address
Session 1 Session Chair: Paulo Guimarães
9.15 - 10.00 Ratio Tests under Limiting Normality
Uwe Hassler
(Goethe-Universitaet Frankfurt)
10.00 - 10.50 Oversampling Of Stochastic Processes
Stephen Pollock (University of Leicester)

Singular Spectrum Analysis for Signal Extraction in Stochastic Volatility Models
Josu Arteche (Universidad del País Vasco) and Javier García-Enríquez (Universidad del País Vasco)
10.50 - 11.10 Coffee Break
11.10 - 12.50 The Returns to Schooling Unveiled
Ana Rute Cardoso (IAE and Barcelona GSE), Paulo Guimarães (Banco de Portugal and Universidade do Porto), Pedro Portugal (Banco de Portugal and NOVA SBE, Universidade Nova de Lisboa) and Hugo Reis (Banco de Portugal anc UCP-Católica Lisbon School of Business and Economics)

Statistical Inference In A Random Coefficient Panel Model
Lajos Horváth (University of Utah) and Lorenzo Trapani (Cass Business School, City University of London)

Efficient and rate optimal estimation and inference in nonparametric varying coefficient panel data models
Alexandra Soberón (University of Cantabria), Winfried Stute (University of Giessen) and Juan M. Rodriguez-Poo (University of Cantabria and University of Genève)

EM Estimation of Dynamic Panel Data Models with Heteroskedastic Random Coefficients
Andrea Nocera (University of London)
12.50 - 14.15 Lunch
14.15 - 14.45 Poster Session 1
Session 2 Session Chair: Paulo M. M. Rodrigues
14.45 - 15.30 Testing for Co-integration Rank in Heteroskedsastic VAR Models in the presence of possible Trend Breaks
A.M.Robert Taylor (Essex Business School, University of Essex)
15.30 - 16.45 Testing the Fractionally-integrated Hypothesis under M-estimation
Matei Demetrescu (Christian-Albrechts-University of Kiel), Paulo M. M. Rodrigues (Banco de Portugal and NOVA SBE, Universidade Nova de Lisboa) and Antonio Rúbia (University of Alicante)

Generalized Efficient Inference on Factor Models with Long-Range Dependence
Yunus Emre Ergemen (Aarhus University)

Multivariate Spurious Long Memory And A Robust Local Whittle Estimator
Christian Leschinski (Leibniz University Hannover) and Philipp Sibbertsen (Leibniz University Hannover)
16.45 - 17.15 Coffee Break
17.15 - 18.00 Robust Econometric Inference in Systems of Cointegration and Predictive Regressions
Tassos Magdalinos (University of Southampton)

Saturday, June 4, 2016
Session 3 Session Chair: Matei Demetrescu
9.30 - 10.15 Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction Between U.S. Monetary Policy and the Stock Market
Helmut Luetkephol (DIW Berlin and Freie Universitaet Berlin)
10.15 - 11.05 Index-Augmented Autoregressive Models: Representation, Estimation, And Forecasting
Gianluca Cubadda (University of Rome "Tor Vergata") and Elisa Scambelloni (University of Rome "Tor Vergata")

Quasi-Likelihood Ratio Tests for Cointegration, Cobreaking and Cotrending
Josep Carrion-i-Silvestre (University de Barcelona) and Dukpa Kim (Korea University)

11.05 - 11.30 Coffee Break
11.30 - 12.45 The Linear Systems Approach to Linear Rational Expectations Models
Majid M. Al-Sadoon (Universitat Pompeu Fabra and Barcelona GSE)

Non-Stationary Dynamic Factor Models for Large Datasets
Matteo Barigozzi (London School of Economics and Political Science), Marco Lippi (Einaudi Institute for Economics and Finance) and Matteo Luciani (Federal Reserve Board of Governors)

Assessing identifying restrictions in SVAR models
Michele Piffer (DIW Berlin)
12.45 - 14.15 Lunch
14.15 - 14.45 Poster Session 2
Session 4 Session Chair: Paulo M. M. Rodrigues
14.45 - 15.30 Fat tails and copulas: Limits of diversification revisited
Rustam Ibragimov (Imperial College Business School)
15.30 - 16.20 Persistence Dependence in Empirical Relations: The Velocity of Money
Richard Ashley (Virginia Tech) and Randal J. Verbrugge (Federal Reserve Bank of Cleveland)

Testing for optimal monetary policy via moment inequalities
Laura Coroneo (University of York), Valentina Corradi (University of Surrey) and Paulo Santos Monteiro (University of York)
16.20 - 16.45 Coffee Break

Poster Session 1
Macroeconomic Forecasting With Risk Indicators
Angela Abbate (Deutsche Bundesbank) and Massimiliano Marcellino (Bocconi University, IGIER and CEPR)
A MSB Unit Root Test Nearly-Robust to the Initial Condition
M.I. Ayuda (University of Zaragoza), Antonio Aznar (University of Zaragoza) and H. Ferrer-Pérez (CREDA–UPC–IRTA)
Periodic Polynomial Cointegration
Tomás del Barrio Castro (University of the Balearic Islands), Gianluca Cubadda (Università degli Studi di Roma "Tor Vergata") and Denise R. Osborn (University of Manchester)
Testing for Segmented Cointegration
Luís Martins(ISCTE-IUL) and Paulo M. M. Rodrigues (Banco de Portugal and NOVA SBE, Universidade Nova de Lisboa)
Empirical Likelihood Based Inference for Fixed Effects Varying Coefficient Panel Data Models
Luis A. Arteaga-Molina (University of Cantabria) and Juan M. Rodriguez-Poo (University of Cantabria and IEE, University of Genève)

Poster Session 2
Combine to compete: improving fiscal forecast accuracy over time
Laura Carabotta (Ministry of Economy and Finance of Italy and Universitat de Barcelona) and Peter Claeys (Université Libre de Bruxelles)
Financial Crises and the Dynamic Linkages Between Stock and Bond Returns
Sercan Eraslan (Hamburg University) and Faek Menla Ali (Brunel University London)
Long Run and Short Run Components in Explanatory Variables and Differences in Panel Data Estimators
Alfonso Ugarte (BBVA Economics Research Department)
Revisiting non-linearities in business cycles around the world
Artur Silva Lopes (ISEG, Universidade de Lisboa) and Gabriel Zsurkis (ISEG, Universidade de Lisboa)
Participants

Angela Abbate (Deutsche Bundesbank) 

Majid Al-Sadoon (Universitat Pompeu Fabra and Barcelona GSE) 

Josu Arteche (Universidad del País Vasco) 

Antonio Aznar (University of Zaragoza) 

Matteo Barigozzi (London School of Economics and Political Science) 

Laura Carabotta (Ministry of Economy and Finance of Italy and Universitat de Barcelona) 

Josep Carrion-i-Silvestre (Universitat de Barcelona) 

Tomás Castro (University of the Balearic Islands) 

Gianluca Cubadda (Università degli Studi di Roma "Tor Vergata") 

Matei Demetrescu (Christian-Albrechts-University of Kiel) 

Sercan Eraslan (Hamburg University) 

Yunus Ergemen (Aarhus University) 

Luca Gambetti (Universitat Autonoma de Barcelona and Barcelona GSE) 

Paulo Guimarães (Banco de Portugal and Universidade do Porto) 

Uwe Hassler (Goethe-Universitaet Frankfurt) 

Milena Hoyos (University of Essex) 

Rustam Ibragimov (Imperial College Business School) 

Nikolay Iskrev (Banco de Portugal) 

Helmut Luetkepohl (DIW Berlin and Freie Universitaet Berlin) 

Tassos Magdalinos (University of Southampton) 

Luís Martins (ISCTE-IUL) 

Luis Arteaga Molina (University of Cantabria) 

Paulo Monteiro (University of York) 

Bruno Nascimento (ISEG, Universidade de Lisboa) 

Andrea Nocera (University of London) 

Michele Piffer (DIW Berlin) 

Stephen Pollock (University of Leicester) 

Juan M. Rodriguez Poo (University of Cantabria and University of Genève)

Pedro Portugal (Banco de Portugal and NOVA SBE, Universidade Nova de Lisboa) 

Hugo Reis (Banco de Portugal and UCP-Católica Lisbon School of Business and Economics)

Paulo Rodrigues (Banco de Portugal and NOVA SBE, Universidade Nova de Lisboa) 

Alessandro Rossetti (University of Warwick) 

António Rua (Banco de Portugal) 

Antonio Rúbia (University of Alicante) 

Philipp Sibbertsen (Leibniz University Hannover) 

Alexandra Soberón (University of Cantabria) 

A.M. Robert Taylor (Essex Business School, University of Essex) 

Lorenzo Trapani (Cass Business School, City University of London) 

Alfonso Ugarte (BBVA Economics Research Department) 

Randal Verbrugge (Federal Reserve Bank of Cleveland) 

Gabriel Zsurkis (ISEG, Universidade de Lisboa)

Tags