Econometrics, Time Series Analysis and Systems Theory

A Conference in Honor of Manfred Deistler

Basic Information

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

Scientific Program

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?".

Conference Program

Final program (including abstracts)


Most of the speakers have provided us their presentations (mostly as a pdf file). Please use the links below.
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

Excursion and Conference Dinner

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).

Conference Location

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

Registration has been closed.

Accomodation

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.

Travel

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)

  • The conference location and the Intercityhotel are located close to the train station (5 min walking time).

Arrival from airport (Vienna International Airport Wien-Schwechat)

  • Take the City Airport Train CAT 9028 to "Wien Mitte" - Vienna Central. Change to underground line U3 direction "Ottakring" and get off at "Westbahnhof" - train station Vienna West.
  • Take the Vienna Airport Lines bus directly to the train station Vienna West (travel time approx. 30 minutes).