Southampton Spring Econometrics Event (SSEE) Event

Thursday 28 June 2012

1:00-1:50pm Lunch
Location: 58/3017
1:50-2:00pm Welcome and Introduction
Peter Phillips (Yale) & Grant Hillier (Southampton)
Session 1: Location: 58/1023

2:00-3:30pm Chair: Grant Hillier Liudas Giraitis (QMUL) Adaptive forecasting in the presence of recent and ongoing structural change

Stelios Arvanitis (AUEB)
Stochastic Expansions and Moment Approximations for Three Indirect Estimators

Federico Martellosio (Reading)
Exact properties of the MLE for the autoregressive parameter in Spatial Autoregressive Models.

3:30-4:00pm Tea/Coffee/Discussion/Network

Session 2 : Location: 58/1023

4:00-5:30pm Chair: Tassos Magdalinos
Robert Taylor (Nottingham)
The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
Jesus Gonzalo (UC3M)
Title: TBA
Bent Nielsen (Oxford)
Inference and forecasting in the age-period-cohort model with unknown exposure with an application to Mesothelioma mortality
6:30pm Evening Conference Dinner (Location: TBA)

Friday 29 June 2012

Session 3: Location: 58/3017
9:30-11:00am Chair: Jean-Yves Pitarakis
Walter Distaso (Imperial)
Conditional Alphas and Realized Betas.
Emanuel Guerre (QMUL)
Title: TBA
Shin Kanaya (Oxford)
Title: TBA

11:00-11:30am Tea/Coffee/Discussion/Network

Session 4: Location: 58/3017

11:30-1:00pm Chair: Maria Kyriacou
Vanessa Berenguer (Oxford)
Co-summability: From Linear to Non-linear Co-integration
Natalia Bailey (Cambridge)
Parameter free testing
Sam Astill (Nottingham)
Robust tests for nonlinear deterministics

1:00-2:00pm Lunch

Session 5: Loaction: 58/3017

2:00-3:30pm Chair: Peter Phillips
Nathalie Gimenes (QMUL)
Econometrics of Auctions by Quantile Regression.
Jungyoon Lee (LSE) :
Series estimation under cross-sectional dependence
Andrew Whitby (Oxford)
A joint Chow test for structural instability.
3:30pm - Close

LIST OF PARTICIPANTS
SENIOR
Peter Phillips peter.phillips@yale.edu
Grant Hillier g.h.hillier@soton.ac.uk
Jean-Yves Pitarakis jyp@soton.ac.uk
Tassos Magdalinos a.magdalinos@soton.ac.uk
Jan Podivinsky jmp@soton.ac.uk
John Aldrich john.aldrich@soton.ac.uk
Liudas Giraitis l.giraitis@gmail.com
Robert Taylor robert.taylor@nottingham.ac.uk
Stelios Arvanitis stelios@aueb.gr
Emmanuel Guerre e.guerre@qmul.ac.uk
Marcus Chambers mchamb@essex.ac.uk
Federico Martellosio f.martellosio@reading.ac.uk
Jesus Gonzalo jgonzalo@est-econ.uc3m.es
Bent Nielsen bent.nielsen@nuffield.ox.ac.uk
Gordon Kemp kempgcr@essex.ac.uk
Joao Santos Silva jmcss@essex.ac.uk
Walter Distaso w.distaso@imperial.ac.uk

JUNIOR
Francesca Rossi f.rossi@soton.ac.uk
Chiara Binelli c.binelli@soton.ac.uk
Roman Sustek r.sustek@soton.ac.uk
Maria Kyriacou m.kyriacou@soton.ac.uk
Shin Kanaya shin.kanaya@economics.ox.ac.uk
Vanessa Berenguer vanessa.berenguer-rico@economics.ox.ac.uk
Natalia Bailey nb442@cam.ac.uk

PHD STUDENTS
Lucasz Prochownik lpp1g10@soton.ac.uk
Kate Bech kmb1g10@soton.ac.uk
Sam Astill Sam.Astill@nottingham.ac.uk
Nathalie Gimenes Sanches n.c.g.sanches@qmul.ac.uk
Valerie Lankester-Campos valank@essex.ac.uk
Jungyoon Lee J.Lee2@lse.ac.uk
Andrew Whitby andrew.whitby@economics.ox.ac.uk