Conference call for papers

July 18, 2019 at Hong Kong Shue Yan University

Interested researchers are invited to send an abstract of 200-300 words based on, but not limited to the following topics

  •   Panel data analysis
  • Nonlinear econometrics
  • Partial least squares
  • Modelling strategies
  • Machine learning
  • Non-parametric models
  • IV estimation
  • Bayesian econometrics
  • Propensity score analysis
  • Density forecast models
  • Nowfasting


The deadline for abstract submission has been extended until 22 June, 2019 due to a high number of requests
Email your abstract to: ecme@hksyu.edu

Workshop: Automatic Model Selection with Applications

Speaker:  Dr. Jurgen DOORNIK (University of Oxford)

Date:       26 June 2019 (Wed)

Time:       11:00am – 1:00 pm

Venue:     RLG402, Research Complex

Abstract: 

Automatic model selection is a powerful tool for the empirical modeller. This workshop will introduce Autometrics, which successfully implements the general-to-specific approach. Foundations of the algorithm will be described, together with interesting extensions, including applications that have more variables than observations. Hands-on computer illustrations will be used throughout.

Free online registration:

Seminar: Automatic Selection of Multivariate Dynamic Econometric Models

Speaker:  Dr. Jurgen DOORNIK (University of Oxford)

Date: 26 June 2019 (Wed)

Time: 3:30pm – 5:30pm

Venue: RLB303, Research Complex

Abstract: 

Automatic general-to-specific selection of univariate econometric models is now well established and available in software. Extensions include saturation estimators, e.g. adding an impulse dummy for every observation to handle outliers. This seminar will provide an overview of the approach, and then consider extension of these procedures to the multivariate setting. The starting point is a vector autoregression, and the final stage can be a simultaneous equations model where the role of identification is considered. The aim is to obtain procedures that are relevant for empirical modelling.

Free online registration:

18 July 2019 CONFERENCE

International Conference: Theoretical and Applied Econometrics

18 July 2019 CONFERENCE: THEORETICAL AND APPLIED ECONOMETRICS

at Hong Kong Shue Yan University

  • The conference aims to provide an international forum for sharing research interests and cutting-edge knowledge in econometric methods and applications of econometrics to different fields.
  • It will also bring academics, researchers and students together to exchange and share their research experiences and results regarding theoretical and applied econometrics.
  • Moreover, it will provide an opportunity for participants to submit and present their original research papers in econometrics.

Venue

Hong Kong Shue Yan University

Braemar Hill Campus

Address: 10 Wai Tsui Crescent, Braemar Hill, North Point, Hong Kong
Tel: +852 25707110

Research Complex, RLB303

Direction

Kowloon Motor Bus (KMB)

Buses depart to and from Braemar Hill at:

  • 108 Kai Yip Bus Terminus
Citybus/New World First Bus

Buses depart to and from Braemar Hill at:

  • 3B Park Road / Robinson Road
  • 25 Central (Pier 5)
  • 25A Wan Chai (HKCEC Extension)
  • 27 North Point Ferry Pier
  • 85 Siu Sai Wan (Island Resort)
Public Light Buses (Green Mini-buses)

Buses depart to and from Braemar Hill at:

  • 25 Causeway Bay MTR Station
  • 49M Tin Hau MTR Station

Nonlinear econometric methods

I would like to express our appreciation to Professor WONG Wing-Keung for providing a seminar on “Do both demand-following and supply-leading theories hold true in developing countries?” and a workshop on “nonlinear co-integration and causality tests”.

  • The guidance of necessary software environment setup and installation are extremely informative.
  • The illustration of the sample code covering time series analysis techniques including unit root test, cointegration test, VAR estimation, linear Granger causality test and non-linear Granger causality test are essential for improving the research skill of our colleagues and students.

Once again, thank Professor WONG Wing-Keung for his contribution to the “IIDS Project – Recent Developments in Theoretical and Applied Econometrics Analysis”. We are looking forward to our research collaborations in the future.

Keynote speaker

Professor Wing-Keung WONG

Chair Professor of Finance, Department of Finance, Fintech Center, and Big Data Research Center, Asia University, Taiwan.

Prof Wong has published more than two hundred papers and is in the list of top economists of RePEc and Asian economists. He has more than five thousand citations in Google scholar, around three thousand citations in ResearchGate, more than one thousand citations in Mendeley and more than six hundred citations in Web of Science. He also ranked in the top 1% by Social Science Research Network in 2017 by both downloads and citations. Citation: 6741 (3734 since 2014), h-index: 46, (32 since 2014) and i10-index: 143, (117 since 2014) by Google Scholar citation.  His research interests include financial economics, econometrics, mathematical finance and economics, investment theory, risk management, behavioral finance and economics, operational research, stochastic dominance theory, time series analysis, Bayesian theory and decision theory.

Workshop: Practice in nonlinear co-integration and causality tests

Speaker:  Professor Wong, Wing Keung (Asia University, Taiwan)

Date:  10 June 2019 (Mon)
Time:  14:00 – 16:00
Venue:    RLG402, Research Complex

Abstract:

This workshop will discuss the econometric programs for linear and nonlinear co-integration and causality. Sample computer codes will be illustrated during the workshop. It is designed to familiarize participants with the common computer codes for tackling financial and economic research questions.

Free online registration:

Seminar: Do both demand-following and supply-leading theories hold true in developing countries?

Speaker:  Professor Wong, Wing Keung (Asia University, Taiwan)

Date:   3 June 2019 (Mon)

Time:   15:30 – 17:30
Venue:   RLB 303, Research Complex

Abstract:

In this seminar, the speaker recommends using both multivariate linear and nonlinear causality tests to analyze the relationship between financial development and economic growth. In particular, multivariate nonlinear causality test allows us to consider dependent and joint effects among financial variables, and detect a multivariate nonlinear deterministic process. By the end of the seminar, the recent applications of multivariate nonlinear co-integration and causality tests will be discussed.

Free online registration: