Summer School of Econometrics - 1997 -2008

2008

First week (9-14 June 2008):

Panel Data Analysis (Pdf)
Badi Baltagi (Syracuse University)
Econometric Analysis of Discrete Dependent Variables (Pdf)
Rainer Winkelmann (University of Zurich)

Second week (16-21 June 2008 ):

Empirical Methods for Business Cycle Research (Pdf)
Gabriel Perez Quiros (Banco de Espana)
Maximo Camacho (University of Murcia)
Theory and Practice of Forecasting with Large Data Sets (Pdf)
Anindya Banerjee (University of Birmingham)

2007

First week ( 11-16 June 2007 ):

A Unified Framework for Defining and Identifying Causal Effects (Program in Pdf)
Halbert White (University of California, San Diego)
A Unified Framework for Nonparametric and Semiparametric Econometrics with Mixed Data (Program in Pdf)
Jeffrey Racine (McMaster University, Canada)

Second week (18-23 June 2007):

Techniques for Building Small Macroeconometric Models (Program in Pdf)
Adrian Pagan (Queensland University of Technology, Australia)
Predictive and Simulation Based Specification Testing and Model Selection in Macro and Financial Econometrics (Program in Pdf)
Norman Swanson (Rutgers University, New Jersey)

2006

First week ( 19-24 June 2006 ):

The Econometrics of Asset Pricing (Program in Pdf, 51 Kb)
René Garcia (Université de Montréal, CIRANO and CIREQ)
Volatility Estimation and Modelling (New Program in Pdf, 37 Kb)
Nour Meddahi (Université de Montréal, CIRANO and CIREQ)

Second week (26 June – 1 July 2005 ):

Economics of Inequality (Program in Pdf, 24 Kb)
Antony B. Atkinson ( Nuffield College, Oxford )
Stephen P. Jenkins ( ISIER, University of Essex )

2005

First week ( 20-25 June 2005 ):

A Course in Bayesian Econometrics
Tony Lancaster ( Brown University, USA )
Gary Koop ( University of Leicester, UK )

Second week (27 June – 2 July 2005 ):

Quantitative Models in Marketing Research
Philip Hans Franses ( Erasmus University Rotterdam, NL )
Topics in Panel Data Econometrics
Jeffrey M. Wooldridge ( Michigan State University, USA )

2004

First Week (14 June – 19 June 2004 )

Peter Christoffersen ( McGill University, Montreal )
Discrete Time Models for Risk Management and Derivative Valutation [Program in pdf]
http://www.christoffersen.ca [Professor's web site]
Eric Ghysels ( University of North Carolina at Chapel Hill)
Volatility Models, MIDAS Regressions and the Econometrics of Option Pricing [Course web site ]

Second Week (21 June - 26 June 2004):

Bruce E. Hansen ( University of Wisconsin, Madison)
Econometrics of Structural Change and Threshold Models [Program in pdf]
http://www.ssc.wisc.edu/~bhansen/[Professor's web site]
Wolfgang Hardle ( Humboldt University, Berlin)
Applied Nonparametric Methods [Professor web site]

2003

First Week (15 - 21 June 2003):

Jacques Mairesse (ENSAE, Parigi, Francia), Econometrics of Linear Panel Data Models.
Michael Lechner (University of St. Gallen, Switzerland), Topics in Econometrics of Nonlinear Panel Data Models .

Second Week (23 - 28 June 2003):

Graham Elliott e Alan Timmermann (University of California at San Diego, USA), Issues in Forecasting: Theory and Practice .

2002

Firsyt Week(16 - 22 June 2002):

Katarina Juselius (University of Copenhagen, Danimarca), Cointegrated VAR Modeling: Econometric Theory and Macroeconomic Applications .
Kenneth West (University of Wisconsin, USA), Topics in Time Series Econometrics .

Second Week (24 - 29 June 2002):

Enrique Sentana (CEMFI, Madrid, Spagna), The Econometrics of Testing Asset Pricing Models .
Peter Bossaerts (California Institute of Technology, USA), Nonstationarities in Asset Returns: Nature, Causes and Remedies .

2001

First week (18 - 23 June 2001):

George Tauchen (Duke University, USA), Efficient Simulated Method of Moments with Applications to Financial Econometrics [ Sito del corso ]
Neil Shephard (University of Oxford, UK), Levy Based Dynamic Models and Their Use in Financial Economics

Second Week (25 - 30 June 2001):

Steven Durlauf (University of Wisconsin, USA), Econometrics Issues in the Study of Inequality and Growth
Morten Ravn (London Business School, UK), Quantitative Macroeconomics: Analyzing Business Cycles

2000

First Week (19 - 24 June 2000):

Ariel S. Pakes (Harvard University, Cambridge, USA), Techniques for Applied and Empirical Analysis in Industrial Organization
John Rust (Yale University, New Haven, USA), The Econometrics of Social Insurance

Second Week (26 June - 1 July):

Cheng Hsiao (University of Southern California, Los Angeles, USA), Econometrics of Panel Data
Aman Ullah (University of California, Riverside, USA), Nonparametric and Semiparametric Econometric Methods

1999

Firs Week (14 - 19 June1999)

Halbert White (University of California, San Diego, USA), The Bootstrap, Data Snooping, and Financial Market Models
John Bilson (Illinois Institute of Technology, Chicago, USA), Trading, Investment and Risk Management

Second Week (21 - 26 June 1999)

Eric Renault (CREST, Parigi, Francia), Dynamic Factor Models in Finance
Tim Bollerslev (Duke University, Durham, USA), Financial Market Volatility and High - Frequency Data

1998

Firs Week (14 - 19 June 1998)

Badi Baltagi (Texas A&M University, USA), Econometrics of Panel Data
Pravin K. Trivedi (Indiana University, USA), Econometrics of Count Data

Second Week (22 - 27 June 1998)

Léopold Simar (Université Catholique de Louvain, Belgio), Efficiency Analysis: The Econometric Approach
Lester D. Taylor (University of Arizona, USA), Demand Analysis in the Regulated Industries

1997

First Week (16 - 21 June 1997):

Sean Holly (University of Cambridge, UK), Forecasting and Policy Analysis with Macromodels: Current Trends and Future Developments
Helmut Lütkepohl ( Humboldt-Universitaet zu Berlin, Germania), Recent Developments in Multiple Time Series Analysis

Second Week (23 - 28 June 1997)

Clive Granger (University of California, San Diego, USA), Forecasting in Theory and Practice Using General Cost Functions
Timo Terasvirta (Stockholm School of Economics, Svezia), Modelling Economic Relationships with Smooth Transition Regressions