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

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JEL Classification: C52
Mathematical and Quantitative Methods: Econometric Modeling: Model Evaluation and Testing

The following papers are assigned JEL Classification C52:

  A COMPARISON OF DIFFERENT NONPARAMETRIC METHODS FOR INFERENCE ON ADDITIVE MODELS
  Time & Location: SEMI- AND NON-PARAMETRIC METHODS II
Monday 26th August 2002, 09:30 - 11:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Sperlich, Stefan

  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 NEW CLASS OF MULTIVARIATE SKEW DENSITIES, WITH APPLICATION TO GARCH MODELS
  Time & Location: GARCH MODELS I
Sunday 25th August 2002, 09:30 - 11:00, Room: 1.8
  Category: Econometrics
  Presenter(s): Bauwens, Luc

  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

  AN EXPLORATORY ANALYSIS OF THE EFFECT OF CURRENT INCOME ON THE RELATIVE CHANGE IN AGGREGATE CONSUMPTION: A HETEROGENEOUS HOUSEHOLD APPROACH
  Time & Location: CONSUMPTION I
Sunday 25th August 2002, 09:30 - 11:00, Room: 4.1
  Category: Econometrics
  Presenter(s): Schmalenbach, Anke

  ANALYZING I(2) SYSTEMS BY TRANSFORMED VECTOR AUTOREGRESSIONS
  Time & Location: COINTEGRATION: ESTIMATION II
Tuesday 27th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Kongsted, Hans Christian

  BUBBLES AND LONG RANGE DEPENDENCE IN ASSET PRICES VOLATILITIES
  Time & Location: LONG MEMORY I
Monday 26th August 2002, 14:30 - 16:00, Room: 1.14
  Category: Econometrics
  Presenter(s): Teyssiere, Gilles

  COMPARING DENSITY FORECASTS VIA WEIGHTED LIKELIHOOD RATIO TESTS. ASYMPTOTIC AND BOOTSTRAP METHODS
  Time & Location: BOOTSTRAP METHODS I
Sunday 25th August 2002, 14:30 - 16:00, Room: 4.2
  Category: Econometrics
  Presenter(s): Giacomini, Raffaella

  COMPARING SVARS AND SEMS: MORE SHOCKING STORIES
  Time & Location: COINTEGRATION: APPLICATIONS
Sunday 25th August 2002, 09:30 - 11:00, Room: 2.1
  Category: Econometrics
  Presenter(s): Wallis, Kenneth

  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.

  FORECASTING THE SPOT PRICES OF VARIOUS COFFEE TYPES USING LINEAR AND NON-LINEAR ERROR CORRECTION MODELS
  Time & Location: FORECASTING II
Monday 26th August 2002, 14:30 - 16:00, Room: 5.6
  Category: Econometrics
  Presenter(s): Otero, Jesus

  IMPACT FACTORS
  Time & Location: FORECASTING III
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.3
  Category: Econometrics
  Presenter(s): Paruolo, Paolo

  LONG-RUN MACROECONOMIC EFFECTS OFECONOMIC CRISES AND ECONOMIC INTEGRATION IN MEXICO FROM 1945 TO 2000
  Time & Location: FINANCIAL AND CURRENCY CRISES
Wednesday 28th August 2002, 09:30 - 11:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Garces-Diaz, Daniel

  MODEL SPECIFICATION AND INFLATION FORECAST UNCERTAINTY
  Time & Location: FORECASTING I
Sunday 25th August 2002, 14:30 - 16:00, Room: 1.1
  Category: Econometrics
  Presenter(s): Bårdsen, Gunnar

  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

  MODELLING MONETARY POLICY: INFLATION TARGETING IN PRACTICE
  Time & Location: MONETARY POLICY: EMPIRICAL I
Tuesday 27th August 2002, 09:30 - 11:00, Room: 1.4
  Category: Econometrics
  Presenter(s): Milas, Costas

  MODELS OF GROWTH AND INEQUALITY: AN EVALUATION
  Time & Location: GROWTH: EMPIRICAL
Wednesday 28th August 2002, 09:30 - 11:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Jeong, Hyeok

  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

  RESTRICTING GROWTH RATES IN COINTEGRATED VAR MODELS
  Time & Location: COINTEGRATION: APPLICATIONS
Sunday 25th August 2002, 09:30 - 11:00, Room: 2.1
  Category: Econometrics
  Presenter(s): Hungnes, Håvard

  TESTING THE CONDITIONAL MEAN FUNCTION OF AUTOREGRESSIVE CONDITIONAL DURATION MODELS
  Time & Location: DURATION I
Monday 26th August 2002, 09:30 - 11:00, Room: 2.2
  Category: Econometrics
  Presenter(s): Hautsch, Nikolaus

  TESTING UNDECLARED CENTRAL BANK INTERVENTION IN FOREIGN EXCHANGE MARKETS
  Time & Location: UNIT ROOT TESTS III
Tuesday 27th August 2002, 14:30 - 16:00, Room: 1.11
  Category: Econometrics
  Presenter(s): Cavaliere, Giuseppe

  THE EMPIRICAL PERFORMANCE OF OPTION BASED DENSITIES OF FOREIGN EXCHANGE
  Time & Location: EXCHANGE RATES:EMPIRICAL
Wednesday 28th August 2002, 09:30 - 11:00, Room: 5.1
  Category: Econometrics
  Presenter(s): Keller, Joachim

  UNDERSTANDING PREFERENCE FORMATION IN
  Time & Location: Preference Formation
Wednesday 28th August 2002, 09:30 - 11:00, Room: 1.11
  Category: Economic Theory
  Presenter(s): Romero-Medina, Antonio

Total Papers Listed: 25


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

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