26th Dynamic Econometrics Conference Proceedings
3 - 5 April 2024
3 April 2024
Session #1. The Phillips Curve
Chair: Andrew B. Martinez
David Hendry:
"What a Puzzle! Unravelling Why UK Phillips Curves were Unstable"
Gunnar Bårdsen:
"US Wage - Price Dynamics, Before, During and After COVID-19, Through the lens of an Empirical Econometric Model"
Session #2. SPEED Presentations: Expectations and Forecasting
Chair: Gunnar Bårdsen
Philip Letixerant:
“Oil Price Expectations in Explosive Phases”
Fakhri J. Hasanov:
“Asymmetric Effects of Oil Prices on Saudi Arabia's Non-oil Trade Balance: Insights from NARDL and Autometrics”
Emerson Fernandes Marçal:
“Understanding and Forecasting the Effects of Global Shocks on Fuel Prices”
Cindy S.H. Wang:
“Return and Volatility Forecasting in Mixed Panels”
Christopher L. Gilbert:
“Do Over-optimistic Forecasts Impact Growth?”
Session #3. Empirical Challenges in Forecasting
Chair: Joshua Stillwagon
Esther Ruiz:
“Expecting the Unexpected: Stressed Scenarios for Economic Growth”
Giovanni Urga:
“Testing for Pointwise Predictive Ability”
Pedro L. Valls Pereira:
“Modelling Intraday Covariance”
Alessandro Giovannelli:
“Quantifying Uncertainty in Electricity Prices Forecasting: Models and Methods”
Robert P. Lieli:
“Forecasting with Feedback”
4 April 2024
Session #4. Focus Session on David F. Hendry’s Influence in Econometrics: Money Demand and Modelling
Chair: Ragnar Nylon
Álvaro Escribano:
“Monetary Trends in the UK and the USA from 1874 to 2020: A Nonlinear Approach to Money Demand”
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Edward Nelson:
“The Friedman–Schwartz/Hendry–Ericsson Debate: A 40-year Retrospective”
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Antoni Espasa:
“Avoiding Malpractice in Econometrics: David Hendry’s Methodology Nesting Theory-driven and Data-driven Approaches”
Session #5. Climate Change and the Economy
Chair: Susana Campos Martins
Eric Hillebrand:
“Energy, Economy, and Emissions: A Non-linear State Space Approach to Projections”
Andrew B. Martinez:
“Predicting Hurricane Damages Now and in the Future”
Tommaso Proietti:
“Ups and (Draw)Downs”
Claudio Morana:
“Green Risk in Europe”
Session #6. Ana Timberlake Memorial Lecture
Chair: Giovanni Urga
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Introduction: David Corbett, Teresa Timberlake, Giovanni Urga, Neil R Ericsson
Robert F. Engle:
"A Financial Approach to Climate Risk"
Sponsored by Bayes Business School and Timberlake Consultants UK
Session #7. SPEED Presentations: Methodology
Chair: Sébastien Laurent
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Michael Massmann:
“Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience”
Frederik Krabbe:
“A New Way to Regime Switching Autoregressions”
Ayden Higgins:
“Instrumental Variables for Dynamic Spatial Models with Interactive Effects”
Simon Donker van Heel:
“Performance Guarantees of Score-driven Filters”
Xiaohan Xue:
“Sequential Monitoring for Changes in Semiparametric Risk Models”
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Meziane Lasfer:
“Does Geopolitical Risk Explain IPO First-day Returns”
Session #8. Methodology
Chair: Neil R. Ericsson
Aris Spanos:
“Foundational Problems in the Unit Root Literature Revisited: The ‘a priori Postulated Model’ vs. the Statistical Perspective”
Sébastien Laurent:
“High-dimensional Mean-Variance Spanning Tests”
Session #9. Keynote Presentations
Chair: Timo Teräsvirta
Jean - François Richard:
"Model Reduction, Exogeneity and Encompassing"
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Katarina Juselius and Søren Johansen:
"Inflation Control in the CVAR Model, With an Application to the Greenspan Period"
Neil R. Ericsson:
"Modelling Money Demand: Implementing a Progressive Research Strategy"
5 April 2024
Session #10. Dynamics of Climate Change
Chair: Ebba Mark
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Timo Teräsvirta:
“The Effect of the North Atlantic Oscillation on Monthly Precipitation in
Selected European Locations: A Nonlinear Time Series Approach”
Alessio Moneta:
“Explaining Glacial Dynamics with Singular and Non-Gaussian Vector
Autoregressions”
Andrew Harvey:
“Threshold Signal-Noise Models”
Session #11. SPEED Presentations: Climate and Finance
Chair: Vanessa Berenguer-Rico
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Moritz Schwarz:
“Climate Policies That Achieved Major Emission Reductions: Global Evidence from Two Decades”
Konstantin Boss:
“What Goes Around Comes Around: The US Climate-Economic Cycle”
Kenwin Maung:
“Large Network Autoregressions with Unknown Adjacency Matrix”
​Session #12. Keynote Presentations
Chair: Emerson Fernandes Marçal
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Jurgen A. Doornik:
"From PC-GIVE to PcGive: Forty Years of Econometric Computing"
Vivien L. Hendry:
"David F. Hendry: A Perspective by His Family"
John N.J. Muellbauer:
"How to Replace Rational Expectations in Estimating Permanent Income"
Session #13. SPEED Presentations: Growth
Chair: Moritz Schwarz
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Alessandro Melone:
“Macro Trends and Factor Timing”
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Stefano Di Colli:
“Macroeconomic Announcements, Confidence Innovations and Economic Activity in the US"
Bilal Sali:
“Trend and Cycle Decomposition using Step Indicators”
Joshua R. Stillwagon:
“Uncovering the Long-run Nexus Between Remittances and Economic Growth: Insights from the I(2) Cointegrated Vector Autoregression”
Session #14. Keynote Presentations
Chair: Cindy Wang
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Michael P. Clements:
"Uncertain Data"
Sponsored by the International Institute of Forecasters
Eilev Jansen:
"Sir David and the Norwegian Enclave"
Session #15. Round Table with OxMetrics Developers
Chair: David Corbett
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David F. Hendry, Jurgen A. Doornik, Sébastien Laurent, Siem Jan Koopman
Session #16. Robustness and Nonlinearities
Chair: Jonas Kurle
Vanessa Berenguer-Rico:
“Least Trimmed Squares: Nuisance Parameter Free Asymptotics”
Sophocles Mavroeidis:
“Cointegration with Occasionally Binding Constraints”
Bent Nielsen:
“Asymptotic Properties of the Gauge and Power of Step-Indicator Saturation”
Session #17. Keynote Presentations
Chair: Esther Ruiz Ortega
Stephen J. Nickell:
"Memories of David and Some Longstanding Economic Puzzles"
Jennifer L. Castle
"The Founding of a Discipline: Sir David F. Hendry's Contributions to Climate Econometrics"