8th OxMetrics User Conference

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


8:30-9:00am                 Registration, and coffee/tea/pastries           


9:00-10:30am               Session 1: Empirical Model Discovery

Chairperson: Neil R. Ericsson


            David F. Hendry (University of Oxford)

Empirical Model Discovery


10:30-11:00am Coffee/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


12noon-1:30pm            Lunch


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


2:30-3:00pm                Coffee/Tea Break     


3:00-4:30pm                Session 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


7:30-9:30pm                Choral Concert at St. Matthew’s Cathedral

1725 Rhode Island Avenue, NW (Tickets required)




Friday, March 19                


8:30-9:00am                 Coffee/tea/pastries   


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


10:30-11:00am Coffee/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


12:30-2:00pm              Lunch


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)         


7pm                             Conference 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.