| Date: | June 18 - 20, 2009 |
| Location: | Institute for Advanced Studies, Vienna, Austria |
| Organizers: |
Benedikt M. Pötscher (Univ. of Vienna)
Wolfgang Scherrer (Vienna Univ. of Technology) Martin Wagner (Inst. for Advanced Studies) |
| Description: |
The purpose of this conference is to celebrate Manfred Deistler’s scientific achievements over a lifetime devoted to academic research and teaching at the occasion of his retirement from the University of Technology Vienna. |
|
Submission of contributed papers: |
Submission has been closed on February 1, 2009 |
The conference will consist of a series of invited and
contributed presentations. The scope of the program is intended to
cover the wide range of Manfred Deistler's scientific activities.
Therefore this invitation is posted to people from the econometric,
time series analysis and system theory scientific communities. We
hope that the conference will serve as an opportunity for a fruitful
exchange of ideas.
The invited speakers are: Brian D.O. Anderson
(Australian National University), Laurent Baratchart (INRIA Sophia
Antipolis), A. Ronald Gallant (Duke University), Michel Gevers
(Université Catholique de Louvain), Marco Lippi (University of
Rome – La Sapienza), Ingmar Prucha (University of Maryland),
and Peter M. Robinson (London School of Economics).
On friday there will be a panel discussion "Econometrics and Systems Theory - Quo Vadis?".
Final program (including abstracts)
| Th.I1 | Brian D O Anderson (Australian National University) |
| Multivariable zero-free transfer functions and spectra, and their application in economic modelling | |
| Sa.I1 | Laurent Baratchart (INRIA, Sophia Antipolis) |
| Differential Consistency for Linear Models | |
| Sa.C2a | Peter E. Caines (McGill University, Montreal) |
| Estimation and Adaptation in Mean Field (Nash Certainty Equivalence) Large Population Stochastic Dynamic Games | |
| Sa.C2b | Isabel Casas (CREATES, Aarhus University) |
| Short--term interest rates volatility estimation with nonparametric local regression | |
| Sa.C2a | Willa W. Chen (Texas A&M University) |
| Unified inference for local-to-unity, moderate deviations from unity and fixed point autoregressive processes | |
| Th.C1a | Rainer Dahlhaus (Universität Heidelberg) |
| Phase Estimation for Fluctuation Processes | |
| Sa.C2b | S. Devin (University College Cork) |
| A comparative study of an arbitrage--free interest rate model and a projected dynamic Nelson Siegel model | |
| Th.C2a | Michael Eichler (University of Maastricht) |
| Fitting dynamic factor models to non-stationary time series | |
| Th.C2b | Massimo Franchi (University of Insubria) |
| A representation of vector autoregressive processes with common cycles | |
| Fr.I1 | A. Ronald Gallant (Duke University) |
| Habit, Long Run Risk, Prospect? | |
| Sa.C1a | Laszlo Gerencser (MTA SZTAKI, Budapest) |
| Recursive estimation GARCH processes | |
| Sa.I2 | Michel Gevers (Universite Catholique de Louvain) |
| Identifiability, informativity, information matrix and the prediction error criterion: a new look at the connections | |
| Th.C2b | Stephane Gregoir (EDHEC Business School) |
| An alternative framework for univariate and multivariate seasonal adjustment | |
| Fr.C1a | Hajo Holzmann (Philipps-Universität Marburg) |
| Feasible methods for testing for regime switching | |
| Fr.C1a | Rudolf Kalman (ETH Zurich) |
| Why Probability? | |
| Th.C2a | Sylvia Kaufmann (Oesterreichische Nationalbank, Vienna) |
| Dynamic sparse factor model | |
| Sa.C2a | Laimonis Kavalieris (University of Otago) |
| Model selection in time series using penalty function criteria | |
| Sa.C1b | Keith Knight (University of Toronto) |
| Cointegration Testing With Infinite Variance Noise | |
| Th.C2b | Robert M. Kunst (Institute for Advanced Studies, Vienna) |
| Testing for seasonal unit roots in monthly panels using parametric and nonparametric tests, with an application to tourism data | |
| Sa.C1b | Katarzyna Lasak (University of Aarhus) |
| Fractional cointegration rank estimation | |
| Th.I2 | Marco Lippi (Universita di Roma La Sapienza) |
| Autoregressive Models with a Countable Infinity of Variables | |
| Sa.C1a | Mika Meitz (University of Oxford) |
| Parameter estimation in nonlinear AR--GARCH models | |
| Fr.C1a | Jan Mutl (Institute for Advanced Studies, Vienna) |
| Panel VAR Models with Spatial Dependence | |
| Sa.C2b | Pieter W. Otter (University of Groningen) |
| State Space Modelling of Dynamic Factor Structures, with an application to the U.S. term structure | |
| Th.C1a | Michele Pavon (Universita di Padova) |
| Hellinger distance for multivariate spectrum estimation | |
| Fr.C1b | Gerold Petritsch (e&t, Vienna) |
| Analysis and Forecasting Hourly Prices in the European Electricity Market | |
| Fr.C1b | Andreas Pick (University of Cambridge) |
| Forecasting Random Walks under Drift Instability | |
| Sa.C2a | Werner Ploberger (Washington University in St. Louis) |
| Admissibility Properties of Estimators Based on Order Estimation Procedures | |
| Th.C1b | Wolfgang Polasek (Institute for Advanced Studies, Vienna) |
| Autoregressive Space-time (ARST) Models for Spatial Forecasting | |
| Th.C2b | Tommaso Proietti (University of Rome ``Tor Vergata'') |
| Hyper-spherical and Elliptical Stochastic Cycles | |
| Th.I3 | Ingmar Prucha (University of Maryland) |
| Limit Theory for Panel Data Models with Cross Sectional Dependence and Sequential Exogeneity | |
| Sa.C1b | Thomas Ribarits (European Investment Bank) |
| Co-integration and Interest Rates -- The State-Space Error-Correction Model | |
| Fr.I2 | Peter M Robinson (London School of Economics) |
| Nonparametric Trending Regression with Cross-Sectional Dependence | |
| Fr.C1b | Ulrike Schneider (University of Vienna) |
| On the Distribution of the Adaptive LASSO Estimator | |
| Sa.C2b | Leopold Sögner (Institute for Advanced Studies, Vienna) |
| Term Structure Estimation and Highly Persistent Processes in a Bayesian Context | |
| Th.C1a | Suhasini Subba Rao (Texas A&M University) |
| A frequency domain approach to stochastic coefficient regression models | |
| Sa.C1a | Alex Trindade (Texas Tech University) |
| Time Series Models With Asymmetric Laplace Innovations | |
| Th.C1b | G Tunnicliffe Wilson (Lancaster University) |
| Empirical linear models for multivariate continuous time processes | |
| Fr.C1a | Timothy J. Vogelsang (Michigan State University) |
| Heteroskedasticity, Autocorrelation, and Spatial Correlation Robust Inference in Linear Panel Models with Fixed-Effects | |
| Th.C2a | Liqun Wang (University of Manitoba) |
| Identifiability and Estimation in Nonlinear Systems with Errors-in-Variables | |
| Th.C1b | Shin-Huei Wang (Universite Catholique de Louvain) |
| The Real Time Monitoring Test for Long Run Behavior of Stock Returns | |
| Fr.C1b | Peter A. Zadrozny (Bureau of Labor Statistics, Washington) |
| Weighted-Covariance Factor Decomposition of VARMA Models Applied to Forecasting quarterly U.S. GDP at Monthly Intervals | |
| Jan Willems, whos was asked to be one of the invited speakers, unfortunately was not able to come to the conference. However he has provided us with the slides he wanted to present. | |
| Jan C. Willems (K.U. Leuven) | |
| Reflections on ARMAX Systems | |
Within the conference an excursion to the monastery Klosterneuburg is scheduled on Friday afternoon followed by the conference dinner at a typical Viennese Heurigen. For non-speakers participation in both events costs 50 Euros, participation in only the conference dinner costs 35 Euros (to be paid in cash at the conference registration desk).
Institute for Advanced Studies
Stumpergasse 56
A-1060 Vienna
Austria
The Instistute is located close to the railway station Vienna West and may be
conveniently reached by the underground lines U3 and U6. See also the travel directions
below.
Registration has been closed.
We have reserved a block of rooms in the
Intercityhotel Vienna
Mariahilferstrasse 122
A-1070 Vienna
The hotel is conveniently located in close proximity to
the institute, the train station (Vienna West) and the city center.
Vienna is conveniently reached by air through Vienna International Airport, or by train via the Austrian Federal Railroad (ÖBB).
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Map of the surrounding of the conference location. |
Arrival by train (train station Vienna West)
Arrival from airport (Vienna International Airport Wien-Schwechat)
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