Events
2nd Tinbergen Institute Conference
Rotterdam, March 23-24, 2007
Conference Program
Thursday, March 22, 2007
| 18:30-20:00 | Registration and Welcome Reception |
Friday, March 23, 2007
| 8:15-8:45 | Registration |
| 8:45-9:00 | Welcome address by Maarten C.W. Janssen (Tinbergen Institute) and Philip Hans Franses (Erasmus University Rotterdam) |
| Session 1 |
20 Years of Cointegration Chair: Philip Hans Franses (Erasmus University Rotterdam) |
| 9:00-10:00 | Invited
Lecture Clive W.J. Granger (University of California San Diego) How Cointegration Started and Where It Might Go Next Discussant: H. Peter Boswijk (University of Amsterdam) |
| 10:00-10:30 | Kenneth F. Wallis (University of Warwick) Cointegration, Long-Run Structural Modelling and Weak Exogeneity: Two Models of the UK Economy |
| 10:30-11:00 | Coffee break |
| Session 2 |
Fractional Cointegration Chair: Frank Kleibergen (Brown University and University of Amsterdam) |
| 11:00-12:00 |
Søren Johansen (University of Copenhagen) Likelihood Inference for Fractional Processes Discussant: James Davidson (University of Exeter) |
| 12:00-12:30 | Katarzyna Lasak (University
Autonoma Barcelona) Likelihood Based Testing for Fractional Cointegration |
| 12:30-13:30 | Lunch |
| Session 3 | Exchange Rates
Chair: Dick van Dijk (Erasmus University Rotterdam) |
| 13:30-14:00 | Jesus Gonzalo (University
Carlos III Madrid) Spot and Future of Cointegration (or Price Discovery in Spot and Future Commodity Markets) |
| 14:00-14:30 |
Paolo Paruolo (University of Insubria) Exchange Rates, Prices and Their Speed of Adjustment |
| 14:30-15:00 |
Chiara Osbat (European Central Bank) PPP and International Price Adjustment: What Role for Exchange Rates? |
| 15:00-16:00 | Poster Session 1 and coffee and tea break |
| Session 4 |
Panel Cointegration Chair: Jan F. Kiviet (University of Amsterdam) |
| 16:00-17:00 | Invited Lecture M. Hashem Pesaran (University of Cambridge) A Spatio-Temporal Model of House Prices in the US Discussant: Jörg Breitung (University of Bonn) |
| 17:00-17:30 | Anindya
Banerjee (European University Institute) Cointegration in Panel Data with Breaks and Cross-Section Dependence |
| 19:30-22:30 | Conference Dinner |
Saturday, March 24, 2007
| Session 5 |
Macroeconometrics Chair: Herman K. van Dijk (Erasmus University Rotterdam) |
| 9:00-10:00 | David F. Hendry
(Nuffield College) Forecasting, Structural Breaks and Non-Linearities Discussant: Siem Jan Koopman (Free University Amsterdam) |
| 10:00-10:30 | Katarina Juselius
(University of Copenhagen) Taking a DSGE Model to the Data Meaningfully |
| 10:30-11:00 | Coffee break |
| Session 6 | Non-Gaussianity, Volatility, and Jumps Chair: Siem Jan Koopman (Free University Amsterdam) |
| 11:00-11:30 | Keith Knight (University of Toronto) Cointegration with Infinite Variance Noise |
| 11:30-12:00 |
Giuseppe Cavaliere (University of Bologna) Determining the Co-integration Rank in Vector Autoregressions with Non-Stationary Volatility |
| 12:00-12:30 |
Iliyan Georgiev (Universidade Nova de Lisboa) Model-Based Asymptotic Inference on the Effect of Infrequent Large Shocks on Cointegrated Variables |
| 12:30-13:30 | Lunch |
| 13:30-14:30 | Poster Session 2 |
| Session 7 |
Model Combination and Nonlinearity Chair: H. Peter Boswijk (University of Amsterdam) |
| 14:30-15:30 |
Invited Lecture Bruce E. Hansen (University of Wisconsin-Madison) Selection and Combination of Unit Root and Stationary Autoregressions Discussant: Elena Pesavento (Emory University) |
| 15:30-16:00 | Anders Rahbek (University of
Copenhagen) Likelihood-Based Inference in Nonlinear Error-Correction Models |