The second SIRE Econometrics Workshop of the academic year 2009-2010 will take place on 2 March, 2010 at the University of Strathclyde. Gary Koop is the local organizer and the invited speakers will be Sylvia Frühwirth-Schnatter (Johannes Kepler University Linz) and John Geweke (University of Technology Sydney). In addition, in this workshop we will hold a Young Econometricians' Session where younger researchers present their work. This session will be followed by a Roundtable Discussion where the invited speakers have kindly offered to provide comments on the young researchers' presentations, applied econometrics in general and take questions from the audience about issues and controversies in modern applied econometrics. We are pleased to welcome Joshua Chan (University of Queensland) and Deborah Gefang (Lancaster University) to participate in the Young Econometricians' Session. 

Schedule:

1:00-2:15 Sylvia Fruhwirth-Schnatter will talk on "Stochastic Model Specification Search for Gaussian and Partially Non-Gaussian State Space Models" (joint work with Helga Wagner) an abstract is available here.

2:15-2:30 Coffee Break

2:30-3:45 John Geweke will talk on "Prior Predictive Analysis and Model Evaluation" based around part of his recent book Complete and Incomplete Econometric Models. His slides are available here

3:45-4:00: Coffee break

4:00-5:00: Young Econometricians' Session.

Deborah Gefang, 'Reinvestigating the Regime Changes in Business Cycles: a Bayesian Dynamic Factor Approach'.

Title to be announced.

 Joshua Chan, "Efficient Simulation and Integrated Likelihood Estimation in State Space Models" (joint work with Ivan Jeliazkov).

5:00-5:30: Roundtable Discussion

Afterwards: drinks at Metropolitan Bar

6:45 Dinner (for those who have registered for dinner)

Location: The workshop will take place at the University of Strathclyde in Room 2.12, Sir William Duncan Building, 130 Rottenrow, Glasgow G4 0GE. Click here for a map. The university is within a 10 minute walk of both the Queen Street station (the train station where trains from Edinburgh, Stirling, Dundee, Aberdeen, etc. will arrive) and the Buchanan Street Bus station (where inter-city buses arrive).

SIRE will reimburse the travel costs (standard class train fare, off peak day return ticket) of academic staff travelling from other Scottish universities to attend the workshop. The expenses claim form is available here. Please send the completed form with receipts to Kirsty Fontanella.

Last Updated: February 2010.