30 September 2005
Session 1: NEWS ON UNIT ROOTS
Moderator: Helmut Lütkepohl
09:15–10:15: Peter C. B. Phillips, Yale University, Some Magic with Irrelevant Instruments
Discussant: Werner Ploberger
10:15–10:45: Graham Elliott, University of California, San Diego, Unit Root Pre-Tests and Forecasting
10:45–11:15: Kyung So Im and Junsoo Lee, University of Central Florida; University of Alabama, Testing for Unit Roots Using Instrumental Variables
Session 2: TRENDS AND UNIT ROOTS
Moderator: Søren Johansen
11:30–12:00: Andrew Harvey and Fabio Busetti, Cambridge University; Bank of Italy, Testing for Trend
12:00–12:30: Bent Nielsen, University of Oxford, Power of Tests for Unit Roots in the Presence of a Linear Trend
12:30–13:00: Simon Broda, Kai Carstensen, and Marc S. Paolella, University of Zurich; Institute for World Economics; University of Zurich, Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
13:00–15:00: Lunch and POSTER SESSION 1
Session 3: REGIME SWITCHING MODELS
Moderator: Peter C. B. Phillips
15:00–16:00: Pentti Saikkonen, University of Helsinki, Stability of Regime Switching Error Correction Models
Discussant: Anders Rahbek
16:00–16:30: Jesús Gonzalo and Jean-Yves Pitarakis, Universidad Carlos III de Madrid; University of Southampton, Threshold Effects in Multivariate Error Correction Models
16:30–17:00: Denise R. Osborn and Tomas del Barrio Castro, University of Manchester; University of Barcelona, Cointegration for Periodically Integrated Processes
Session 4: UNIT ROOTS AND COINTEGRATION IN PANELS
Moderator: Peter Robinson
17:30–18:00: Jörg Breitung and Smarijt Das, University of Bonn, Testing for Unit Roots in Panels with a Factor Structure
18:00–18:30: Peter Pedroni and Tim Vogelsang, Williams College; Cornell University, Robust Unit Root and Cointegration Rank Tests for Panelsand Large Systems
18:30–19:00: Anindya Banerjee and Josep Carrion-i-Silvestre, European University Institute, Florence; University of Barcelona, Breaking Panel Cointegration
1 October 2005
Session 5: FRACTIONAL COINTEGRATION
Moderator: Pentti Saikkonen
09:00–10:00: Peter Robinson, London School of Economics, Diagnostic Testing for Cointegration
Discussant: Søren Johansen
10:00–10:30: Javier Hualde and Carlos Velasco, Universidad de Navarra; Universidad Carlos III de Madrid, Distribution-Free Tests of Fractional Cointegration
10:30–11:00: James Davidson and Nigar Hashimzade, University of Exeter, Alternative Frequency and Time Domain Versions of Fractional Brownian Motion
Session 6: FRACTIONAL INTEGRATION
Moderator: Denise R. Osborn
11:30–12:00: Matei Demetrescu, Vladimir Kuzin, and Uwe Hassler, Goethe-University Frankfurt, Long Memory Testing in the Time Domain
12:00–12:30: Brendan McCabe, Steve Leybourne, and David Harris, University of Liverpool; University of Nottingham; University of Melbourne, Testing for Long Memory
12:30–13:00: Violetta Dalla, Liudas Giraitis, and Javier Hidalgo, London School of Economics; University of York; London School of Economics, Consistent Estimation of the Memory Parameter for Nonlinear Time Series
13:00–15:00: Lunch and POSTER SESSION 2
Session 7: UNIT ROOTS AND STRUCTURAL BREAKS
Moderator: Andrew Harvey
15:00–15:30: Paulo M. M. Rodrigues, University of Algarve, Recursive Adjustment, Unit Root Tests and Structural Breaks
15:30–16:00: Rob Taylor and Giuseppe Cavaliere, University of Birmingham; University of Bologna, Testing for Unit Roots in Time Series Models with Non-Stationary Volatility
16:00–16:30: Peter Boswijk, University of Amsterdam, Adaptive Testing for a Unit Root with Nonstationary Volatility
Session 8: GENERAL THEORY
Moderator: Paulo M. M. Rodrigues
17:00–17:30: Werner Ploberger, University of Rochester, Admissible and Nonadmissible Tests in Unit-Root-Like Situations
17:30–18:00: Ulrich Mueller and Philippe-Emmanuel Petalas, Princeton University, Efficient Estimation of the Parameter Path in Unstable Time Series Models
18:00–18:15: Closing Address
POSTER SESSION 1
UNIT ROOTS AND STRUCTURAL BREAKS
Nikolaos Kourogenis, Theologos Pantelidis, and Nikitas Pittis, University of Piraeus, Testing for a Unit Root in Models with Asymptotically Unbounded Innovation Variance
Elena Pesavento, Emory University, Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size
Giuseppe Cavaliere and Iliyan Georgiev, University of Bologna; Universidade Nova de Lisboa, Testing for a Unit Root in the Presence of Multiple Level Shifts
PPP
Juan A. Jiménez Martína and M. Dolores Robles Fernández, Universidad Complutense Madrid, Non-linear Adjustment to Purchasing Power Parity: An Analysis Using Fourier Approximations
Sandra Eickmeier, Deutsche Bundesbank and University of Cologne, Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model
UNIT ROOTS AND COINTEGRATION IN PANELS
Roselyne Joyeux and Ronald D. Ripple, Macquarie University, Household Energy Consumption versus Income and Relative Standard of Living: A Panel Approach
Imed Drine and Christophe Rault, Sorbonne University; University of Evry and IZA, Bonn, Learning about the Long-run Determinants of Real Exchange Rates for Developing Countries: A Panel Data Investigation
Deniz Dilan Karaman, Humboldt-Universität zu Berlin, Comparison of Panel Cointegration Tests
Nasri Harb, United Arab Emirates University, How Does the EURO Exchange Rate Affect Arabic European Trade: A Heterogeneous Panel Study
REGIME SWITCHING MODELS
Penelope Smith, University of Melbourne, Bayesian Inference for a Threshold Autoregression with a Unit Root
Myung Hwan Seo, London School of Economics, Inference for Threshold Cointegration
Vanessa Berenguer-Rico and Josep Lluís Carrion-i-Silvestre, Universidad de Barcelona, A Statistical Analysis of Multicointegration Relationships with Regime Shifts
Liang Hu, University of Rochester, Optimal Tests for Stochastic Unit Root with Markov Switching
Changli He and Rickard Sandberg, Stockholm School of Economics, Inference for Unit Root in a Panel Smooth Transition Autoregressive Model where the Time Dimension is Fixed
COINTEGRATION
Piotr Kebłowski, University of Lodz, Small Sample Power of Bartlett Corrected LR Test of Cointegration Rank
Anders Rygh Swensen, University of Oslo, Finite Sample Properties of a Bootstrap Procedure for Estimation of Rank in Reduced Rank VAR-Models
Barbara Rossi, Duke University, Expectations Hypotheses Tests and Predictive Regressions at Long Horizons
Carsten Trenkler, Humboldt-Universität zu Berlin, Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
Robert M. Kunst, University of Vienna, Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing and Joint Confirmation
POSTER SESSION 2
FRACTIONAL INTEGRATION AND COINTEGRATION
Roy Cerqueti and Mauro Costantini, University “La Sapienza” Roma, Generalization of a Nonparametric Cointegration Analysis for Multivariate Integrated Processes of an Integer Order
Katarzyna Lasak, Universitat Autonoma de Barcelona, Likelihood Based Testing for Fractional Cointegration
Afonso Gonçalves da Silva and Peter M. Robinson, London School of Economics, Fractional Cointegration in Stochastic Volatility Models
UNIT ROOTS AND STRUCTURAL BREAKS
Stephan Popp, University of Duisburg-Essen, Identification of the True Break Date in Innovational Outlier Unit Root Tests
Antonio E. Noriega and Daniel Ventosa-Santaulària, Escuela de Economía; Universidad de Guanajuato, Spurious Regression under Broken Trend Stationarity
Hui Liu and Gabriel Rodríguez, University of Ottawa, Efficient Unit Root Tests, GLS Detrending and Covariates in Structural Change Models
Nikolay Angelov, Uppsala University, Structural Breaks in Iron-Ore Prices: The Impact of the 1973 Oil Crisis
PPP
Chiara Osbat, European Central Bank, PPP and International Price Adjustment: What Role for Exchange Rates?
Olivier Darné and Jean-François Hoarau, University of La Réunion, The Purchasing Power Parity in Australia: Evidence from Unit Root Tests with Structural Breaks
Luis Filipe Martins and Herman J. Bierens, Pennsylvania State University, Time Varying Cointegration with an Application to the PPP Theory
UNIT ROOTS AND COINTEGRATION IN PANELS
Gary Koop, Roberto León-González, and Rodney W. Strachan, University of Leicester, Bayesian Inference in the Cointegrating Panel Data Model
Stepana Lazarova, Lorenzo Trapani, and Giovanni Urga, London School of Economics; Cass Business School and Bergamo University; Cass Business School, Common Stochastic Trends and Aggregation in Heterogeneous Panels
Diego Romero de Ávila and Rolf Strauch, Universidad Pablo de Olavide; European Central Bank, Public Finances and Long-Term Growth in Europe—Evidence from a Panel Data Analysis
REGIME SWITCHING MODELS
Rickard Sandberg and Changli He, Stockholm School of Economics, A Unified Theoretical Framework for Testing the Unit Root Hypothesis in STAR Type of Models
Juan A. Jiménez Martín and Rafael Flores de Frutos, Universidad Complutense, Seasonal Fluctuations and Equilibrium Models of Exchange Rate
Dietmar Bauer and Martin Wagner, TU Wien; University of Bern, Autoregressive Approximations of Multiple Frequency I(1) Processes
Niels Haldrup, Svend Hylleberg, Gabriel Pons, Rossello Jaume, and Andreu Sanso, University of Aarhus; University of Copenhagen; Universitat de les Illes Balears, Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
COINTEGRATION
Maria Emilia Camargo, Marcelo Machado Barbosa Pinto, Suzana Leitão Russo, and Walter Priesnitz Filho, University of Caxias do Sul, Brazil, Techniques of Cointegration and Error Correction Models: An Essay in Fabric Plant
João Leitão, Universidade da Beira Interior, The Vertical Integration of Cable Network Services: A VAR Approach
Aleksander Welfe and Piotr Kebłowski, University of Lodz, Price-Wage System with Taxation: Multivariate Cointegration Analysis
