Workshop in Time Series
Zaragoza. April 3-4, 2014


April 2014

Thursday, 3

9:00-10:00 Registration  
10:00-10:30 Welcome address Antonio Montañés and Lola Gadea
10:30-11:15 Agustín Maravall Efficient treatment of a large number of time series
11:15-12:00 Giuseppe Cavaliere Implementation and theory of the bootstrap in cointegration autoregressive processes
12:00-12:30 Coffee break  
12:30-13:00 Christopher Baum and Mark Schaffer A general approach to testing for autocorrelation


Giulia Iori, Burcu Kapar and José Olmo Bank Characteristics and the Interbank Money Market: A Distributional Approach


15:30-16:00 Marek Jarocinski and Bartosz Mackowiak Granger-Causal-Priority and Choice of Variables in Vector Autoregressions


Miguel Puente and Marcos Sanso-Navarro Debt and growth in OECD countries: A Granger causality analysis


Victor Troster Granger-causality and misspecifi
cation: a quantile regression approach?


Gaetano D’Adamo, Cecilio Tamarit and Mariam Camarero The role of Institutions in Explaining Wage Determination in the Euro Area: a Panel Cointegration approach
17:30-18:00 Coffee break  
18:00-18:30 Flash Session 1
  • Balaguer, J. and J. Ripolles, Asymmetric fuel price responses under heterogeneity
  • Gutierrez-Salcedo, M., F. Demaria and F.J. Torres Ruiz, La trasmisión de precios en la cadena agroalimentaria: El Mercado español de los aceites de oliva
  • Ipek, E., The impact of military expenditure on selected macroeconomic variables and ARDL bounds testing approach
  • Carabota, L., Accuracy and econometric tests: Analyzing national and international fiscal forecasts in Italy
  • Hualde, J. and F. Iacone, 
    Small b and fixed-b asymptotics for weighted covariance estimation in fractional cointegration
  • Rakotondramaro, H. and B. Solonandrasana, Dynamic relationship between stock market index and consumer confidence: USA evidence
18:30-19:00 Steven P. Cassou, Hedieh Shadmani and Jesús Vazquez Fiscal policy asymmetries and the sustainability of government debt
19:00-19:30 Josep-Lluís Carrión-i-Silvestre and Lola Gadea Testing for multiple level shift in I(1) non-stationary processes
19:30-20:00 TSW meeting  
21:00 Gala dinner  

Friday, 4

9:30-10:00 Yunus Emre Ergemen Fractionally Integrated Panel Data Systems
10:00-10:30 Lola Gadea and Jesús Gonzalo

TREND or NOT TREND in distribution characteristics: The case of GLOBAL WARMING

10:30-11:00 Carlos Velasco and Ignacio Lobato Identification and Estimation of General ARMA models
11:00-11:30 Flash Session 2
  • Arteche, J. y J. Orbe A bootstrap approximation for the distribution of the Local Whittle estimator
  • Ergemen Y. E and A. Taamouti. Equilibrium Errors of Volatility and Portfolio Performance
  • Virbickaite, A., Lopes, E. F., Galeano, P. and C. Ausin, article Learning for Bayesian Non-Parametric Mar Markov Switching Stochastic Volatility Models with Financial Applications
  • Sahneh, M. H., Testing for Fundamentalness and Causality of Vector Autoregressive Moving Average Processes
  • Ayuda, I., Aznar, A. and H. Ferrer, OLS and GLS detrending procedures for the long-run variance ratio test
  • Bensalma, A., New Fractional Dickey-Fuller Test for Fractional Integration Parameter
11:30-12:00 Coffee break  


Tomás del Barrio, Paulo Rodrigues and Robert Taylor Semi and Nonparametric Tests for Seasonal Unit Roots


Majid M. Al-Sadoon A General Theory of Rank Testing
13:00-13:45 Justin McCrary Time Series Ideas for Regression Discontinuity
14:00 Lunch