Center for Advanced Economic Study
International Conference on Econometrics and the World Economy
23 - 24 March 2009
The Center for Advanced Economic Study (CAES)
Fukuoka University, Fukuoka, Japan
Infomation | Monday,23 | Tuesday,24
PROGRAMME(Preliminary Version)
Monday, 23 March 2009
Room A203, A-Building, Fukuoka University
| 08:30-08:55 |
Registration and Coffee/Tea
|
| 08:55-09:00 |
Opening Greetings
|
| 09:00-10:40 |
Session 1:
Chair: Shin-huei Wang
| 1-1. |
A state space approach to estimating the integrated variance and microstructure noise component
Daisuke Nagakura with Toshiaki Watanabe
(Institute for Monetary and Economic Studies, Bank of Japan)
 Paper
|
| 1-2. |
On multiple portmanteau tests
Naoya Katayama (Faculty of Economics, Kyushu University)
Paper |
| 1-3. |
New approach in poverty mapping
Qinghua Zhao (World Bank)
Paper |
| 1-4. |
The monitoring CUSUM of squares tests via autoregressive spectral estimators under long memory processes
Shin-huei Wang with Cheng Hsiao (CORE, Université Catholique de Louvain)
Paper |
|
| 10:40-11:00 |
Coffee/Tea Break
|
| 11:00-12:00 |
Session 2: Invited Speaker
Chair: Takamitsu Kurita
| |
Model selection when there are multiple breaks
David F. Hendry with Jennifer L. Castle and Jurgen A. Doornik
(Department of Economics, University of Oxford)
Paper |
|
| 12:00-12:10 |
Intermission
|
| 12:10-13:00 |
Session 3:
Chair: J. James Reade
| 3-1. |
Impacts of multivariate GARCH innovations on hypothesis testing for cointegrating vectors
Takamitsu Kurita (Faculty of Economics, Fukuoka University)
Paper |
| 3-2. |
Leader of the pack? German monetary dominance in Europe prior to EMU
J. James Reade with Ulrich Volz (Department of Economics, University of Oxford)
Paper |
|
| 13:00-14:30 |
Lunch
|
| 14:30-15:15 |
Session 4: Invited Speaker
Chair: Takamitsu Kurita
| |
Econometric model selection with more variables than observations
Jurgen A. Doornik (Department of Economics, University of Oxford) |
|
| 15:15-15:35 |
Coffee/Tea Break
|
| 15:35-16:50 |
Session 5:
Chair: Masato Kagihara
| 5-1. |
A goodness-of-fit test for copulas
Artem Prokhorov (Department of Economics, Concordia University)
Paper |
| 5-2. |
Copula-based semiparametric modelling of intergenerational earnings mobility
Shigeki Kano (College of Economics, Osaka Prefecture University)
Paper |
| 5-3. |
Semilog-loss based estimation and its related distributions
Masato Kagihara (Faculty of Economics, Fukuoka University)
Paper |
|
| 16:50-17:10 |
Coffee/Tea Break
|
| 17:10-18:25 |
Session 6:
Chair: Yasuhiro Omori
| 6-1. |
Bayesian analysis of max-stable processes with application to high frequency stock returns
Tsuyoshi Kunihama with Yasuhiro Omori (Faculty of Economics, University of Tokyo)
|
| 6-2. |
A new evidence for exchange rate pass-through: disaggregated trade data from local ports
Yushi Yoshida (Faculty of Economics, Kyushu Sangyo University)
Paper |
| 6-3. |
Non-linear adjustment of the real exchange rate towards its equilibrium value: a panel smooth transition error correction model
Antonia López (Centre d'Economie de l'Université Paris Nord)
Paper |
|
| 19:00 |
Conference Reception at 60th Anniversary Memorial Hall (Helios Plaza) |
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