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Conference on Robust Econometric Methods

07 Sep. 2012

9.00

The Bank of Portugal and the Center for Advanced Studies in Management and Economics (CEFAGE-UE) are organising a conference on Robust Econometric Methods for Modelling Economic and Financial Variables, which will be held in Lisbon, Portugal on 7-8 September 2012.

The conference will explore new developments of robust econometric methods in the face of data characteristics which are typically viewed as violations of specific assumptions. The scope of the conference includes research in any field of Econometrics or Empirical Econometrics.

Keynote Speakers

Roger Koenker (University of Illinois)

Richard Smith (University of Cambridge)

Robert Taylor (University of Nottingham)

Zhijie Xiao (Boston College)

Organising Committee

Mário Centeno

Álvaro Novo

Paulo Rodrigues

Scientific Committee

Mário Centeno

José Machado

Álvaro Novo

Joaquim Ramalho

Paulo Rodrigues

Robert Taylor

Programme

Friday, September 7
08.15 - 08.45	Registration
08.50 - 09.00	Welcome address Carlos Costa, Governor of Banco de Portugal
Session 1 - Chair: Mário Centeno (Banco de Portugal)
09.15 - 10.00	Keynote Presentation Additive Models for Quantile Regression: Model Selection and Confidence Bands Roger Koenker (University of Illinois)
Session 2 - Chair: Mário Centeno (Banco de Portugal)
10.00 - 10.30	Quantile Regression for Long Memory Testing: A Case of Realized Volatility Uwe Hassler (Goethe University Frankfurt) Paulo Rodrigues (Banco de Portugal) Antonio Rubia (University of Alicante)
10.30 - 11.00	ML Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence Yunus Emre Ergemen (Universidad Carlos III de Madrid) Carlos Velasco (Universidad Carlos III de Madrid)
11.00 - 11.30	Coffee break
Session 3 - Chair: Álvaro Novo (Banco de Portugal)
11.30 - 12.00	Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change Liudas Giraitis (Quenn Mary, University of London) George Kapetanios (Bank of England and Quenn Mary, University of London) Simon Price (Bank of England and City University London)
12.00 - 12.30	An Analysis of the Performance of Structural Change Tests in OLS Regressions Brendan McCabe (University of Liverpool) Yao Rao (University of Liverpool)
12.30 - 14.00	Lunch
Session 4 - Chair: Paulo Rodrigues (Banco de Portugal)
14.00 - 14.45	Keynote Presentation Testing for Unit Roots in the Possible Presence of Multiple Trend Breaks Using Minimum Dickey-Fuller Statistics Robert Taylor (University of Nottingham)
Session 5 - Chair: Paulo Rodrigues (Banco de Portugal)
14.45 - 15.15	Unit Root Vector Autoregression with Volatility Induced Stationarity Anders Rahbek (University of Copenhagen) Heino Bohn Nielsen (University of Copenhagen)
15.15 - 15.45	A Plug-In Averaging Estimator for Regressions with Heteroskedastic Errors Chu-An Liu (National University of Singapore)
15.45 - 16.15	Coffee break
Session 6 - Chair: Paulo Rodrigues (Banco de Portugal)
16.15 - 16.45	Instrumental Variable and Variable Addition Based Inference in Predictive Regressions Jörg Breitung (University of Bonn) Matei Demetrescu (University of Bonn)
16.45 - 17.15	Differencing Transformations and Robust Inference in Predictive Regression Models Lorenzo Camponovo (University of St. Gallen)
17.15 - 17.45	The Cross-Quantilogram and Testing Directional Predictability between Time Series Heejoon Han (National University of Singapore) Tatsushi Oka (National University of Singapore) Yoon-Jae Whang (Seoul National University)
20.00 - 22.00	Dinner

Saturday, September 8
Session 7 - Chair: Álvaro Novo (Banco de Portugal)
09.00 - 09.45	Keynote Presentation Efficient Regression Estimation via Quantile Regressions Zhijie Xiao (Boston College)
Session 8 - Chair: Álvaro Novo (Banco de Portugal)
09.45 - 10.15	Confidence Intervals for an Autoregressive Coefficient Near One Based on Optimal Selection of Sequences of Point Optimal Tests Muhammad Saqib (The University of Melbourne) David Harris (Monash University)
10.15 - 10.45	Asymptotic Analysis of the Forward Search Søren Johansen (University of Copenhagen) Bent Nielsen (University of Oxford)
10.45 - 11.15	Coffee break
Session 9 - Chair: Álvaro Novo (Banco de Portugal)
11.15 - 11.45	Are University Admissions Academically Efficient? Debopam Bhattacharya (University of Oxford) Shin Kanaya (University of Oxford) Margaret Stevens (University of Oxford)
11.45 - 12.15	Identification and Estimation of Nonparametric Panel Data Regressions with Measurement Error Daniel Wilhelm (University College London)
12.15 - 12.45	A New Semiparametric Volatility Model Jiangyu Ji (VU University Amsterdam) André Lucas (Duisenberg School of Finance and Tinbergen Institute)
12.45 - 14.15	Lunch
Session 10 - Chair: Esmeralda Ramalho (CEFAGE-Universidade de Évora)
14.15 - 15.00	Keynote Presentation Exogeneity in Semiparametric Moment Condition Models Richard Smith (University of Cambridge)
Session 11 - Chair: Esmeralda Ramalho (CEFAGE-Universidade de Évora)
15.00 - 15.30	Overnight News and Daily Equity Trading Risk Limits Katja Ahoniemi (Aalto University School of Economics) Ana-Maria Fuertes (Cass Business School, City University London) Jose Olmo (Centro Universitario de la Defensa, Zaragoza)
15.30 - 16.00	Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns Leonidas Tsiaras (Aston University)
16.00 - 16.30	Influences of Trading Volume on Financial Return Distributions: A Reassessment and a Step Further Hung Do (Monash University) Robert Brooks (Monash University) Sirimon Treepongkaruna (The University of Western Australia) Eliza Wu (University of Technology Sydney)

Participants

António Antunes (Banco de Portugal)

Tomás Barrio (University of the Balearic Islands)

Debopam Bhattacharya (University of Oxford)

Lorenzo Camponovo (University St Gallen)

Mário Centeno (Banco de Portugal)

Clara Cordeiro (Universidade do Algarve)

Matei Demetrescu (University of Bonn)

Hung Do (Monash University)

Yunus Emre Ergemen (Universidad Carlos III de Madrid)

Maria da Conceição Figueiredo (ISCTE - IUL)

Liudas Giraitis (Queen Mary, University of London)

Jiangyu Ji (VU University Amsterdam)

Roger Koenker (University of Illinois)

Renata Latocha (WestLB Mellon)

Chu-An Liu (National University of Singapore)

Marta Lopes (Nova School of Business and Economics)

José Machado (Nova School of Business and Economics)

Luís Martins (ISCTE - IUL)

Bent Nielsen (University of Oxford)

Álvaro Novo (Banco de Portugal)

Tatsushi Oka (National University of Singapore)

Jose Olmo (University of Zaragoza)

Frank Magalhães de Pinho (Ibmec - Belo Horizonte)

Anders Rahbek (University of Copenhagen)

Esmeralda Ramalho (Universidade de Évora)

Joaquim Ramalho (Universidade de Évora)

Yao Rao (University of Liverpool)

Paulo Rodrigues (Banco de Portugal)

António Rua (Banco de Portugal)

António Rubia (University of Alicante)

Martín Saldías (Banco de Portugal)

Muhammad Saqib (University of Melbourne)

Richard Smith (University of Cambridge)

Marta Soares (Tilburg University)

Robert Taylor (University of Nottingham)

Leonidas Tsiaras (Aston University)

Daniel Wilhelm (University College London)

Zhijie Xiao (Boston College)