Workshop in Time Series
Zaragoza. April 11-12, 2013

Programme IIIt Workshop

April 2013

Thursday, 11
9:00-10:00 Registration  
10:00-10:30 Welcome address Antonio Montañés and Lola Gadea
10:30-11:00 Antonio Aznar Crisis, Model Selection and Prediction
11:00-11:30 Javier Gardeazábal and Ainhoa Vega-Bayo Measuring the Economic Costs of Armed Conflict
11:30-12:00 Coffee break  
12:00-12:30 Mario Forni, Luca Gambetti and Luca Sala

No News in Business Cycles

12:30-13:00

 Javier Hualde Estimation of long-run parameters in unbalanced cointegration

13:00-13:30

 Tucker McElroy and Agnieszka Jach Subsampling inference for the autocorrelations of GARCH processes

13:30-15:30

 Lunch  
15:30-16:00 Yunus Emre Ergemen and Carlos Velasco Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence

16:00-16:30

 José Casals, Sonia Sotoca and Miguel Jerez Signal extraction with single and multiple-source error state-space models

16:30-17:00

 Peter Claeys and Helena Sanz Fiscal consolidation in hard times

17:00-17:30

 Juan Carlos Escanciano, Ignacio Lobato and Lin Zhux Automatic Specification Testing For Vector Autoregressions and Multivariate Nonlinear Time Series Models
17:30-18:00 Coffee break  
18:00-18:30 Flash Session 1
  • Fuentes, J., P. Poncela and J. Rodríguez. Sparse PLS in Time Series for Macroeconomic Forecasting
  • Gonzalo, J. and J.Y. Pitarakis. Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
  • Lasak, K. and C. Velasco. Fractional cointegration rank estimation
  • Jerez, M., A. García-Hiernaux and
    S. Sotoca. Optimizing the return of advertising through time series forecasting and decomposition methods
18:30-19:00 Antonio Afonso, Pedro Gomes and Abderrahim Taamouti Sovereign credit ratings, market volatility, and financial gains
19:00-19:30 Liang Chen Identifying Observed Factors in High Dimensional Factor Models
19:30-20:00 TSW meeting  
21:00 Gala dinner  

Friday, 12
9:30-10:00 Danilo Leiva Monitoring Synchronization of Regional Recessions: A Markov-Switching Network Approach
10:00-10:30 Mohitosh Kejriwal  and Claude Lopez Unit Roots, Level Shifts and Trend breaks in Per Capita Output: A Robust Evaluation
10:30-11:00 Guido Zack, Pilar Poncela, Eva Senra and Daniel Sotelsek From housing boom to fiscal bankrupcy: The need to adjust fiscal balances for asset bubbles
11:00-11:30 Flash Session 2
11:30-12:00 Coffee break  

12:00-12:30

 Josu Arteche Signal Extraction in Long Memory Stochastic Volatility

13:00-13:45

 Jordi Galí and Luca Gambetti Monetary Policy and Asset Price Bubbles: Some Empirical Evidence
14:00 Lunch