Econometric Society 57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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JEL Classification: C12
Mathematical and Quantitative Methods: Econometric and Statistical Methods: - General: Hypothesis Testing

The following papers are assigned JEL Classification C12:

  A CONSISTENT SPECIFICATION TEST FOR SEMIPARAMETRIC MODELS
  Time & Location: SEMI- AND NON-PARAMETRIC METHODS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.9
  Category: Econometrics
  Presenter(s): Rodriguez-Poo, Juan Manuel

  A DIAGNOSTIC M-TEST FOR DISTRIBUTIONAL SPECIFICATION OF PARAMETRIC CONDITIONAL HETEROSCEDASTICITY MODELS FOR FINANCIAL DATA
  Time & Location: FINANCIAL ECONOMETRICS II
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.1
  Category: Econometrics
  Presenter(s): Lejeune, Bernard

  A FORECAST COMPARISON OF VOLATILITY MODELS: DOES ANYTHING BEAT A GARCH(1,1)?
  Time & Location: FORECASTING I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Lunde, Asger

  A NEW CLASS OF CHARACTERISTIC-FUNCTION-BASED DISTRIBUTION TESTS AND ITS APPLICATION TO GARCH MODELS
  Time & Location: GARCH MODELS I
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.8
  Category: Econometrics
  Presenter(s): Chen, Yi-Ting

  A RESIDUAL-BASED LM TEST FOR FRACTIONAL COINTEGRATION
  Time & Location: COINTEGRATION AND INFERENCE
Monday 26th August 2002, 14:30 - 16:00, Room: 1.13
  Category: Econometrics
  Presenter(s): Hassler, Uwe

  A SIMPLE ESTIMATION METHOD AND FINITE-SAMPLE INFERENCE FOR A STOCHASTIC VOLATILITY MODEL.
  Time & Location: VOLATILITY MODELS I
Wednesday 28th August 2002, 09:30 - 11:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Pascale, Valery

  A SIMPLE TEST FOR NORMALITY FOR TIME SERIES
  Time & Location: SEMI- AND NON-PARAMETRIC METHODS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.9
  Category: Econometrics
  Presenter(s): Lobato, Ignacio

  A SIMPLE TEST FOR UNIT ROOT BILINEARITY
  Time & Location: UNIT ROOT TESTS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.7
  Category: Econometrics
  Presenter(s): Makarova, Svetlana

  ALTERNATIVE BOOTSTRAP PROCEDURES FOR TESTING COINTEGRATION IN FRACTIONALLY INTEGRATED PROCESSES
  Time & Location: BOOTSTRAP METHODS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.9
  Category: Econometrics
  Presenter(s): Davidson, James

  COINTEGRATION AND STRUCTURAL BREAKS
  Time & Location: COINTEGRATION AND INFERENCE
Monday 26th August 2002, 14:30 - 16:00, Room: 1.13
  Category: Econometrics
  Presenter(s): Carrion-i-Silvestre, Josep Lluís

  COMPARING PREDICTIVE ACCURACY OF MISPECIFIED CONDITIONAL DISTRIBUTION MODELS
  Time & Location: SPECIFICATION TESTING
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.5
  Category: Econometrics
  Presenter(s): Corradi, Valentina

  CONSISTENT TESTING OF COINTEGRATING RELATIONSHIPS
  Time & Location: COINTEGRATION: ESTIMATION II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Marmol, Francesc

  CONVERGENCE OF OUTPUT IN THE G-7 COUNTRIES
  Time & Location: COINTEGRATION: ESTIMATION II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Ericsson, Neil R

  DISTRIBUTION FREE GOODNESS-OF-FIT TESTS FOR LINEAR PROCESSES
  Time & Location: INFERENCE I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Velasco, Carlos

  END-OF-SAMPLE INSTABILITY TESTS
  Time & Location: NONLINEAR TIME SERIES I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Andrews , Donald W. K.

  FIXED VS RANDOM COEFFICIENT IN AN UNBALANCED DATA SET
  Time & Location: PANEL DATA APPLICATIONS II
Monday 26th August 2002, 09:30 - 11:00, Room: 5.4
  Category: Econometrics
  Presenter(s): Larsson, Jan

  GENERALIZED DISCREPANCIES AND GOODNESS-OF-FIT TESTS
  Time & Location: INFERENCE I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Seri, Raffaello

  GENERALIZED EMPIRICAL LIKELIHOOD PEARSON-TYPE SPECIFICATION TESTS
  Time & Location: INFERENCE II
Tuesday 27th August 2002, 09:30 - 11:00, Room: 4.6
  Category: Econometrics
  Presenter(s): Ramalho, Joaquim

  MODELLING INTER-REGIONAL MMIGRATION IN WESTERN GERMANY
  Time & Location: NON-LINEAR PANEL DATA MODELS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.13
  Category: Econometrics
  Presenter(s): Bierens, Herman

  MONETARY POLICIES, THE OIL CRISIS AND THE FISHER EFFECT HYPOTHESIS
  Time & Location: UNIT ROOT TESTS II
Monday 26th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Million, Nicolas

  PANEL DATA TESTS FOR A COMMON BREAK POINT IN A COINTEGRATED REGRESSION: ASYMPTOTIC AND SMALL SAMPLE RESULTS
  Time & Location: PANEL UNIT ROOT TESTS
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.6
  Category: Econometrics
  Presenter(s): Chiang, Min-Hsien

  RATE-OPTIMAL DATA-DRIVEN SPECIFICATION TESTING IN REGRESSION MODELS
  Time & Location: SPECIFICATION TESTING
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.5
  Category: Econometrics
  Presenter(s): Lavergne, Pascal

  SUBSAMPLING INFERENCE IN THRESHOLD AUTOREGRESSIVE MODELS
  Time & Location: REGIME SWITCHING MODELS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.9
  Category: Econometrics
  Presenter(s): Gonzalo, Jesus

  SUBSAMPLING INTERVALS IN (UN)STABLE AUTOREGRESSIVE MODELS WITH STATIONARY COVARIATES
  Time & Location: TIME SERIES I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.3
  Category: Econometrics
  Presenter(s): Van Giersbergen, Noud

  TESTING FOR STRUCTURAL BREAKS IN NONLINEAR DYNAMIC MODELS
  Time & Location: STRUCTURAL BREAKS I
Monday 26th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Kapetanios, George

  TESTING PARAMETERS IN GMM WITHOUT ASSUMING THAT THEY ARE IDENTIFIED
  Time & Location: INFERENCE II
Tuesday 27th August 2002, 09:30 - 11:00, Room: 4.6
  Category: Econometrics
  Presenter(s): Kleibergen, Frank

  TESTING PEARSON'S DISTRIBUTIONS
  Time & Location: INFERENCE I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Bontemps, Christian

  TESTING THE CAPM IN POSSIBLY NON-GAUSSIAN CONTEXTS: AN EXACT SIMULATION-BASED APPROACH
  Time & Location: ASSET PRICING
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.4
  Category: Econometrics
  Presenter(s): Khalaf, Lynda

  TESTING THE FRACTIONAL COINTEGRATION HYPOTHESIS
  Time & Location: COINTEGRATION AND INFERENCE
Monday 26th August 2002, 14:30 - 16:00, Room: 1.13
  Category: Econometrics
  Presenter(s): Fernández-Macho, F Javier

  TESTS FOR A CHANGE IN PERSISTENCE AGAINST THE NULL OF DIFFERENCE-STATIONARITY
  Time & Location: STRUCTURAL BREAKS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.8
  Category: Econometrics
  Presenter(s): Leybourne, Stephen

  TESTS FOR COVARIANCE STATIONARITY AND WHITE NOISE, WITH AN APPLICATION TO EURO/US DOLLAR EXCHANGE RATE: AN APPROACH BASED ON TIME-FREQUENCY DOMAIN
  Time & Location: STRUCTURAL BREAKS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.8
  Category: Econometrics
  Presenter(s): Ahamada, Ibrahim

  TESTS FOR STATIONARITY IN SERIES WITH ENDOGENOUSLY DETERMINED STRUCTURAL CHANGE
  Time & Location: STRUCTURAL BREAKS II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 4.8
  Category: Econometrics
  Presenter(s): Harvey, David

  TESTS FOR UNIT ROOT AND THE INITIAL OBSERVATION
  Time & Location: UNIT ROOT TESTS III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 1.11
  Category: Econometrics
  Presenter(s): Mueller, Ulrich

  THE INFORMATION MATRIX TEST WITH BOOTSTRAPPED COVARIANCE MATRIX
  Time & Location: BOOTSTRAP METHODS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.2
  Category: Econometrics
  Presenter(s): Hoorelbeke, Dirk

  THE LAW OF AGGREGATE DEMAND : EMPIRICAL EVIDENCE FROM INDIA USING NONPARAMETRIC DIRECT AVERAGE DERIVATIVE ESTIMATION PROCEDURE
  Time & Location: CONSUMPTION II
Monday 26th August 2002, 14:30 - 16:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Chakrabarty, Manisha

  THE PURCHASING POWER PARITY PUZZLE : DOES THE LSTAR OUTPERFORM THE RANDOM WALK ?
  Time & Location: NONLINEAR TIME SERIES II
Wednesday 28th August 2002, 09:30 - 11:00, Room: 4.10
  Category: Econometrics
  Presenter(s): Ben Salem, Melika and Carrasco, Marine

  THE ROLE OF DETERMINISTIC COMPONENTS IN THE FRACTIONAL DICKEY_FULLER TEST FOR UNIT ROOTS
  Time & Location: UNIT ROOT TESTS II
Monday 26th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Dolado, Juan José and Mayoral, Laura

  UNIT ROOT TESTS AND THRESHOLD ADJUSTMENT: THE YIELD SPREAD DYNAMICS REVISITED
  Time & Location: UNIT ROOT TESTS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.7
  Category: Econometrics
  Presenter(s): Bec, Frederique

  UNIT ROOT TESTS IN THREE REGIME SETAR MODELS
  Time & Location: UNIT ROOT TESTS II
Monday 26th August 2002, 14:30 - 16:00, Room: 1.3
  Category: Econometrics
  Presenter(s): Shin, Yongcheol

  UNIT ROOTS AND IDENTIFICATION IN AUTOREGRESSIVE MODELS: A COMPARISON OF ALTERNATIVE TESTS
  Time & Location: UNIT ROOT TESTS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 5.7
  Category: Econometrics
  Presenter(s): Windmeijer, Frank

Total Papers Listed: 40


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57th European Meeting
25th August 2002 - 28th August 2002, Venice, Italy

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