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The University of Southampton
Economic, Social and Political Sciences

Southampton Spring Econometrics Event (SSEE) Event

13:00 - 15:30
28 June 2012
Session1: Building 58 Room 3017 Session2: Building 58 Room 1023 Session3: Building 58 Room 3017 Session4: Building 58 Room 3017 Session5: Building 58 Room 3017

Event details

Program Chairs Peter C. B. Phillips, Grant Hillier, Maria Kyriacou, Tassos Magadalinos

Thursday 28 June 2012

1:00-1:50pm Lunch
Location: 58/3017
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

Peter Phillips
Grant Hillier
Jean-Yves Pitarakis
Tassos Magdalinos
Jan Podivinsky
John Aldrich
Liudas Giraitis
Robert Taylor
Stelios Arvanitis
Emmanuel Guerre
Marcus Chambers
Federico Martellosio
Jesus Gonzalo
Bent Nielsen
Gordon Kemp
Joao Santos Silva
Walter Distaso

Francesca Rossi
Chiara Binelli
Roman Sustek
Maria Kyriacou
Shin Kanaya
Vanessa Berenguer
Natalia Bailey

Lucasz Prochownik
Kate Bech
Sam Astill
Nathalie Gimenes Sanches
Valerie Lankester-Campos
Jungyoon Lee
Andrew Whitby

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