Department of Economics, University of York
Money Macro Finance Research Group
Princeton University Press
Conference in Honour of Mike Wickens
Friday 30th and Saturday 31st May 2008
Alcuin Research Resource Centre
University of York
Pre-registration for this conference is required.
Please contact Emma Fairclough on [log in to unmask] to register.
PROGRAMME
Friday 30th May
Coffee 8:45-9:15
9.15-9.30 Welcome
9.30-10.00 Peter Phillips (Auckland, Yale and York)
“Semiparametric Model Choice”
10.00-10.30 Richard Baillie (Michigan State and Queen Mary)
“Semi Parameteric Estimation of Long Memory Models: the Holy Grail or a
Poisoned Chalice?”
Coffee 10:30-11:00
11.00-11:30 Matthew Canzoneri (Georgetown)
Monetary Aggregates and Liquidity in a Neo-Wicksellian Framework
11.30-12:00 Harris Dellas (Bern)
“tba”
12.00-12:30 Martin Ellison (Oxford)
“Running out of the Devil’s Excrement”
Lunch 12:30-1.30
1:30-2.00 Adrian Pagan (Queensland University of Technology)
“Limited Information Estimation and Evaluation of DSGE Models”
2:00-2:30 Patrick Minford (Cardiff)
“Testing a DSGE model of the European Union”
2:30-3:00 Andrew Scott (London Business School)
“Optimal Debt Management under Incomplete Markets”
Tea 3:00-3:30
3:30-4:00 Casper de Vries (Erasmus University Rotterdam)
“Tail Probabilities for Regression Estimators or The Low Diversification
Puzzle in Portfolios”
4:00-4:30 Mark Salmon (Warwick)
Time Deformation and the Yield
4:30 – 5:00 Mike Wickens (York)
Saturday 31st May
Breakfast 9:00-10:00
10:00-10:30 Rob Taylor (Nottingham)
“Testing for Cointegration in Vector Autoregressions with Non-Stationary
Volatility”
10:30-11:00 Richard Smith (Cambridge)
“GEL Pearson-Type Statistics Under Weak Identification”
11:00-11:30 Karim Abadir (Imperial College)
Explicit solution for the asymptotically-optimal bandwidth in cross
validation
Coffee 11:30-12.00
12:00-12:30 Hashem Pesaran (Cambridge)
“Forecasting random walks under drift instability”
12:30-1:00 David Hendry (Oxford)
Automatic Tests of Super Exogeneity
Lunch 1:00-2.00
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