| 13.30-14.00 |
Registration |
| 14.00-14.30 |
Welcome Address (Marcel Fratzscher + Conference Organizers) |
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| 14.30-16.00 |
Session I |
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Timo Teräsvirta (CREATES, Aarhus University): "Global hemispheric temperature trends and co–shifting: a shifting mean vector autoregressive analysis" |
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Markku Lanne (University of Helsinki): "Data-driven inference on sign restrictions in Bayesian structural vector autoregressions" |
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Lutz Kilian (University of Michigan): "Impulse response matching estimators for DSGE models"
[Download] |
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| 16.00-16.30 |
Coffee Break |
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| 16.30-18.30 |
Session II |
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Katarina Juselius (University of Copenhagen): "Are outcomes driving expectations or the other way around?: A CVAR analysis of survey expectations in the US dollar/UK pound market"
[Download] |
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Uwe Hassler (Goethe University Frankfurt): "Panel cointegration testing in the presence of linear time trends"
[Download] |
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Helmut Herwartz (Georg-August-Universität Göttingen): "Structural VAR modelling with independent innovations - An analysis of macroeconomic dynamics in the Euro area" |
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Kirstin Hubrich (Federal Reserve Board): "Monetary policy and financial stability: A Markov-Switching VAR with time-varying transition matrix" |
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| 20.00 |
Conference Dinner (Gerichtslaube) |
| 9.30-10.30 |
Session III |
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Juan Dolado (European University Institute): "Quantile factor models"
[Download] |
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Jörg Breitung (University of Cologne): "Identification and estimation of dynamic factor models" |
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| 10.30-11.00 |
Coffee Break |
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| 11.00-12.30 |
Session IV |
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Søren Johansen (University of Copenhagen): "Optimal hedging in the CVAR with heteroscedastic errors"
[Download] |
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Manfred Deistler (TU Wien): "Identifiability results for VAR, VARMA and VMA systems in the mixed frequency case"
[Download Paper 1,
Paper 2,
Paper 3,
Paper 4,
Paper 5,
Paper 6] |
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Donald Poskitt (Monash University): "Singular spectrum analysis of Grenander processes and sequential time series reconstruction" |
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| 12.30-14.30 |
Lunch Break |
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| 14.30-16.00 |
Session V |
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Pentti Saikkonen (University of Helsinki): "A mixture autoregressive model based on Student's t-distribution" |
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Massimiliano Marcellino (Bocconi University): "Large time-varying parameter VARs: A non-parametric approach"
[Download] |
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Jean-Marie Dufour (McGill University): "Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips curves" |
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| 16.00-16.30 |
End of scientific program |
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| 19.00 |
Helmut's Dinner (by invitation) at Harnack-Haus |
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