2nd Annual Conference: Bootstrap and Numerical Methods in Time Series

Local Organisers: Robert Taylor, Stephen Leybourne, David Harvey

The Granger Centre for Time Series Econometrics is pleased to announce that it will run its second annual conference on the theme Bootstrap and Numerical Methods in Time Series in September 2008.

View the programme (PDF)

The format of the conference will be single-session with both keynote speakers and additional contributed papers. 

The keynote speakers are:

• Peter Boswijk (Universiteit van Amsterdam)
• Jörg Breitung (University of Bonn)
• Valentina Corradi (University of Warwick)
• Russell Davidson (McGill University)
• Silvia Gonçalves (Université de Montréal)
• Patrik Guggenberger (UCLA)
• Javier Hidalgo (LSE)
• Tim Vogelsang (Michigan State University)

PDF versions of the papers presented at the conference can be downloaded by clicking on the titles below:

• Berkowitz, D., Caner, M. and Fang, Y.: "The validity of instruments revisited"
• Boswijk, H. P. and van der Weide, R.: "Testing the number of factors in GO-GARCH models"
• Breitung, J.: "Testing for cointegration in high-dimensional systems"
• Cavaliere, G., Harvey, D. I., Leybourne, S. J. and Taylor, A. M. R.: "Testing for unit roots in the presence of a possible break in trend and non-stationary volatility"
• Chevillon, G.: "Inference about the rank of cointegration of a locally trending VAR process"
• Corradi, V., Distaso, W. and Fernandes, M.: "International market links and realized volatility transmission"
• Dahl, C. M. and Iglesias, E. M.: "The limiting properties of the QMLE in a general class of asymmetric volatility models"
• Davidson, J. and Hashimzade, N.: "Type I and Type II fractional Brownian motions: a reconsideration"
• Davidson, R.: "Size distortion of bootstrap unit root tests"
• Flury, T. and Shephard, N.: "Particle filters for likelihood based inference and parameter estimation in dynamic economic models"
• Gonçalves, S.: "The panel moving blocks bootstrap"
• Guggenberger, P.: "On the impact of a pretest of the random effects specification in a panel data model"
• Halunga, A., Osborn, D. R. and Sensier, M.: "Do breaks matter when testing the order of integration? Evidence from G7 and Euro area inflation"
• Hidalgo, J.: "Goodness of fit for lattice processes"
• Hounkannounon, B.: "Bootstrap for panel regression models with random effects"
• Marsh, P.: "Saddlepoint approximations for the unit root power envelope"
• Martin, G., McCabe, B. and Harris, D.: "Nonparametric probability forecasting: assessment and application to counts"
• Sayginsoy, O. and Vogelsang, T.: "Testing for a shift in trend at an unknown date: a fixed-b analysis of heteroskedasticity autocorrelation robust OLS based tests"