When: 17-18 January 2013 (1.5 day: Thursday afternoon and Friday)
Organizers: Andrew Harvey (Cambridge), Siem Jan Koopman (VU), Andre Lucas (VU)
The idea of using score information from the predictive likelihood function to generate time-varying parameter paths in statistical models is now well established. Although many well-known dynamic models are effectively special cases of this general idea, new models have been formulated on the basis of this concept. The two groups on the forefront of these developments are coming together in this Workshop: Harvey and co-workers at the University of Cambridge, and Koopman, Lucas and co-workers at the VU University Amsterdam.
In this Workshop we want to present the ideas and further developments from the different perspectives but we also want to look for common grounds in these further developments. A series of short presentations will be delivered with sufficient time for discussion. We plan to let this Workshop provide an up-to-date overview of where we are with the score models.
Given the interests in this new research topic, we have been able to generate an international group of presenters, see the preliminary program below (everyone has confirmed their attendance).
We would like to invite our colleagues from the Tinbergen Institute and outside to attend our Workshop for both days.
Keynote speakers
Drew Creal (Booth Business School University of Chicago)
Andrew Harvey (University of Cambridge)
Giampiero Gallo (University of Florence)
Papers can be found on http://personal.vu.nl/s.j.koopman/projects/ScoreWorkShop2013/info.html