Econometric Study Group

PETER BURRIDGE, City University (with Robert Taylor)
Additive outlier detection via extreme-value theory

LORENZO TRAPANI, CASS and Bergamo (with Ciaran Driver and Giovanni Urga)
Cross-section vs time-series measures of uncertainty using UK survey data

JEAN-MARC ROBIN, Eurequa, Paris
Nonparametric identification and estimation of independent factor models

Discussant: Peter Robinson, LSE

DAVID JACHO-CHÁVEZ, LSE (with Arthur Lewbel and Oliver Linton)
Identification and nonparametric estimation of a transformed additively separable model

PASCAL LAVERGNE, Toulouse, GREMAQ and INRA (with Valentin Patilea)
Breaking the curse of dimensionality in nonparametric testing

VICTORIA ZINDE-WALSH, McGill and CIREQ
Kernel estimation when density does not exist

MYUNGHWAN SEO, LSE (with Oliver Linton)
A smoothed least squares estimator for threshold regression models

RUSSELL DAVIDSON, McGill and GREQAM (with Jean-Yves Duclos)
Testing for restricted stochastic dominance

SOKBAE LEE, UCL
Identification of a competing risks model with unknown transformations of latent failure times

STEPHEN POLLOCK, Queen Mary College (with Iolanda Lo Cascio)
Comparative economic cycles

PAULO PARENTE, Warwick (with Richard Smith)
GEL methods for non-smooth moment indicators

GUILLERMO LLORENTE, Madrid (with J. del Hoyo and C. Rivero)
Testing for breaks in nonlinear and dynamic models

CLIVE GRANGER (UCSD)
The future of forecasting

DAVID HENDRY, Oxford (with Kirstin Hubrich)
Forecasting Aggregates by Disaggregates

AFONSO GONÇALVES DA SILVA, LSE (with Peter Robinson)
Fractional cointegration in stochastic volatility models

RODRIGO DUPLEICH ULLOA, Warwick
Testing self-exciting threshold autoregressive models against structural change models: a Nonnested approach

JENNIFER CASTLE, Oxford (with David Hendry)
Automatic econometrics model selection in the presence of non-linear functions

GUISEPPE CAVALIERE, Bologna (with Robert Taylor)
Testing for unit roots in time series models with non-stationary volatility

PETER BOSWIJK, Amsterdam
Adaptive testing for a unit root with non-stationary volatility

Discussant: Robert Taylor, Birmingham

FRANCESCO BRAVO, York
Sieve empirical likelihood for unit root tests

JUAN-PABLO CAJIGAS, Cass Business School (with Giovanni Urga)
Dynamic conditional correlation models with asymmetric multivariate Laplace innovations

FUCHUN LI, Bank of Canada
Testing the parametric specification of the diffusion function in a diffusion process