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Conference in Honour of Professor PCB Phillips

ARRC Lecture Theatre 12-13 July 2012

A 2-day conference of papers on aspects of econometrics and finance presented by friends and colleagues of Peter Phillips to mark the awarding to Peter of an Honorary Degree by the University of York.

If you would like more information please contact:

Peter.smith@york.ac.uk or takashi.yamagata@york.ac.uk

Programme

ARRC Lecture Theatre 12-13 July 2012

Programme

Day 1

11:00 Registration and coffee (ARRC Auditorium Foyer)

11:15 Introduction
Mike Wickens (York)

11:30 Estimating variance matrices, jointly with Walter Distaso and Filip Žikeš
Karim Abadir (Imperial)

12:15 Discrete Time Representations of Continuous Time Systems
Michael Thornton (York)

13:00 Lunch (Economics Staff Room A/EC202)

14:00 Title to follow
Richard Smith (Cambridge)

14:45 Semiparametric quasi-likelihood estimation with missing data
Francesco Bravo (York)

15:30 Coffee (ARRC Auditorium Foyer)

16:00 Exact properties of the MLE for the autoregressive parameter in Spatial
Autoregressive Models jointly with Federico Martellosio
Grant Hillier (Southampton)

16:45 Testing for a break in the trend when the order of integration is unknown
Fabrizio Iacone (York)

17:30 End of day 1

19:00 Conference Dinner
Le Langue (http://www.lelanghe.co.uk/) Peasholme Green, York

Day 2

9:30 Testing for Unit Roots in the Possible Presence of Multiple Trend Breaks Using
Minimum Dickey-Fuller Statistics
Robert Taylor (Nottingham)

10:15 Quantile Cointegration Using Autoregressive Distributed-Lag Modelling Approach
jointly with J. Cho and T. Kim
Yongcheol Shin (York)

11:00 Coffee (ARRC Auditorium Foyer)

11:30 Modelling the forward yield curve: Heath Jarrow Morton as a time series model
Adam Golinski (York)

12:15 Closing Remarks and Lunch (Economics Staff Room A/EC202)

Conference location:

http://www.york.ac.uk/colleges/alcuin/map/ ARRC Auditorium – A5 on the map

Economics Staff Room – A7 (second floor)

Hotel location: http://www.queenshotel-york.com/location.htm

Restaurant location http://www.lelanghe.co.uk/contact/