2nd Amsterdam-Bonn Workshop in Econometrics: Friday, 9 April 2010

Session 1: Applied econometrics and GARCH
11:00-11:30 Ulrich Homm (University of Bonn): Testing for
speculative bubbles in stock markets: A comparison of alternative methods
11:30-12:00 Joern Tenhofen (University of Bonn): Does anticipation
of government spending matter? The role of (non-)defense spending
12:00-12:30 Peter Boswijk (University of Amsterdam): Method of
moments estimation of GO-GARCH models

Session 2: Fractional integration
12:45-13:15 Pawel Janus (Free University Amsterdam): Fractionally
integrated generalized autoregressive score with some applications
13:15-13:45 Paulius Stakenas (University of Amsterdam): Estimation
and inference of fractionally cointegrated regressions by an autoregressive approximation

Session 3: Panel data and moment conditions
14:45-15:15 Joerg Breitung (University of Bonn): Testing for serial
correlation in fixed-effects panel data models
15:15-15:45 Maurice Bun (University of Amsterdam): GMM based
inference for panel data models
15:45-16:15 Alexander Gleim (University of Bonn): Approximate
Bayesian computation with indirect moment conditions

Session 4: Factor models
16:45-17:15 Peter Exterkate (Erasmus University Rotterdam):
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model
17:15-17:45 Michel van der Wel (Erasmus University Rotterdam):
Dynamic factor models with smooth loadings for analizing the term structure of interest rates
17:45-18:15 Bernd Schwaab (Free University Amsterdam): Mixed
measurement dynamic factor models

Some papers and/or abstracts are available for download from http://staff.feweb.vu.nl/mmassmann/code/2ndAmsterdamBonn.html. Please contact Michael Massmann (mmassmann@feweb.vu.nl) for further details.