8th OxMetrics User Conference
March 18–19, 2010
Department of Economics,
Co-chairs: Neil R. Ericsson and Frederick L. Joutz
Location
The
1957 E Street NW, Rm 212,
Program
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
Announcements
David F. Hendry
(
10:30-11:00am Coffee/Tea Break
11:00am-12noon Session 2: GARCH Modeling
Chairperson: Janelle M. Mann
Kris Boudt,
Jón Daníelsson, Sébastien Laurent* (
“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*
(
“Generating Random Wishart Matrices with Fractional Degrees of Freedom in OX”
Genaro Sucarrat* (Universidad Carlos III de Madrid) and Álvaro Escribano
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* (
“Sectoral Demand for Petroleum in Thailand”
Jurgen A.
Doornik (
“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
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
“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* (
10:30-11:00am Coffee/Tea Break
11:00am-12:30pm Session 6: Credit, Liquidity, and Assets
Chairperson: Jaime Marquez
Mohammed
H.I. Dore* (
“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* (
“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
“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 (
David F. Hendry (
Siem Jan Koopman (Tinbergen Institute)
Sébastien Laurent (
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
Acknowledgements
We are deeply grateful for support from the following institutions.
Department of Economics, The
Research Program on Forecasting, The
Elliott School of International Affairs,
The
Institute for International Economic Policy,
The
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.