2nd Japanese-European Bayesian Econometrics and Statistics Meeting (JEuBES 2007)
A workshop on Bayesian econometrics and statistics is organized by
Wolfgang Polasek (IHS, Department of Economics and Finance)
and
Hajime Wago (University of Nagoya)
Date and location:: Mon, August 27, 2007, 9:00 – 15:30
The National Bank of Hungary, (Szabadság tér 8-9. 1850 Budapest, V.)
Budapest, Hungary
Lectures are given by:
9:00-10:30 Chair W. Polasek
Gianni Amisano and Oreste Tristani (European Central Bank) “Euro Area Inflation in an Estimated Nonlinear DSGE Model“
Sebastian Watzka "Issues in the Bayesian estimation of DSGE models".
Wolfgang Polasek: "Long-term regional forecasting with spatial equation systems"
10:30-11:00 Coffee Break
11:00-12:30 Chair: Y.Omori
Takahashi, Makoto, “Estimating Stochastic Volatility Models using Daily Returns and Realized Volatility Simultaneously”(Co-authors: Yasuhiro Omori and Toshiaki Watanabe)
Watanabe, Toshiaki, “Bayesian Analysis of Structural Changes in ARFIMA Models with an Application to Realized Volatility”
Oga, Takashi, “Estimation of asymmetry in bull and bear markets” (Co-author: Oya, Kosuke)
12:30-14:00 Lunch Break
14:00-15:30 Chair: H. Wago
Jack Li „Consistent Estimation, Model Selection and Averaging of Dynamic Panel Data Models with Fixed Effect”
Omori, Yasuhiro “Estimating Stochastic Volatility Models using Daily Returns and Realized Volatility Simultaneously”(Co-authors: Makoto Takahashi and Toshiaki Watanabe)
Wago, Hajime “Small Sample Properties of Panel Spatial Autoregressive Models:Comparison of Bayesian and Maximum Likelihood Methods” (Co-authors: Kakamu, Kazuhiko )
15:30-16:00 Coffee Break
16:00-17:30 Chair: H. Wago
Sugita, Katsuhiro, “Time Series Analysis of the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks”
Yano, Koiti “Time-Varying Structural Vector Autoregressions Based on Non-Gaussian Sequential Bayesian Filtering” (Co-authors: Yoshino, Naoyuki)
H. Wagner ”Stochastic Model Specification Search For Gaussian and Non-Gaussian State Space Models”
For registration and further information see: