SIRE Econometrics Workshop Series

16 May 2014, Glasgow: Workshop on “Econometric Modelling and Forecasting in Central Banks”

This one-day event continued the successful series of SIRE Econometrics Workshops. There were presentations from: Francesco Ravazzolo (Norges Bank), Roberto Casarin (University Ca' Foscari of Venice), Christian Schumacher (Deutsche Bundesbank), Shaun Vahey (Warwick), Gianni Amisano (European Central Bank), and Pinho Ribeiro (Glasgow).

The conference provided an excellent opportunity for KE, with presenters contrasting the theoretical challenges faced by academic researchers with the applied everyday challenges faced by practitioners in central banks. Speakers highlighted recent trends in the field, e.g. incorporating nonlinearities, or forecasting with whole forecast distributions instead of communicating to the public a point forecast.

The conference attracted 39 participants drawn from: SIRE universities (Glasgow, Strathclyde, Heriot-Watt, Dundee, Stirling, Aberdeen, West of Scotland, St Andrews); the universities of Surrey, Venice and Warwick; and Scottish Government, ECB, Norges Bank and Deutsche Bundesbank.


3 April 2014 - SIRE Econometric Lecture and workshop, St Andrews

The second such lecture, which follows on from Nobel Laureate Robert Engle's lecture at the Conference in Honour of Sir David Hendry in St Andrews in July 2010, was given by Peter Robinson (LSE). Among many elected honours, Peter is a Fellow of the Econometric Society, a Fellow of the Institute of Mathematical Statistics and a Fellow of the British Academy. Peter presented a paper "Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects ". The Statistics and Econometrics Workshop around which the SIRE Econometrics Lecture was based drew statisticans as well as econometricans, with presentations from: Domenico Marinucci (Rome), Alessandra Luati (Bologna), Bent Nielsen (Oxford),  Rod McCrorie, Janine Ilian and Peter Jupp (all St Andrews)

8 May 2013, University of Glasgow (organiser Dimitris Korobilis)

The theme of this year's workshop is “Advanced Econometric Modelling for Finance” and it features contributions by

1) Hashem Pesaran (University of Southern California, & Trinity College, U of Cambridge)
2) Valentina Corradi (University of Warwick)
3) Rod McCrorie (University of St. Andrews)
4) Paolo Zaffaroni (Imperial College London)

Additionally, two young econometricians, Marco Avarucci (University of Glasgow) and Nikolaos Antonakakis (University of Portsmouth) are also presenting their work in a special "young econometrician's" session.

3 May 2012, University of Glasgow (organiser Dimitris Korobilis)


The event was organised by Dimitris Korobilis (Glasgow) and Gary Koop (Strathclyde). The event encompassed 6 presentations:

  • Xiaoshan Chen (Glasgow)  “Asset Prices, Credit and the Business cycle”;
  • Pasquale Della Corte (Imperial College) “(Why) Does Order Flow Forecast Exchange Rates?”;
  • Gary Koop (Strathclyde) “Large Time-Varying Parameter VARS”;
  • George Kapetanios (Queen Mary) “Exponent of Cross-sectional Dependence: Estimation and Inference”;
  • Simon Price (Bank of England) “Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change”;
  • Haroon Mumtaz (Bank of England) “The Impact of US Real Activity Uncertainty on the UK Economy”;

There were 42 partipants from: Aberdeen, Dundee, Edinburgh, Heriot-Watt, Glasgow, Robert Gordon, St Andrews, Strathclyde, Scottish Government, Frankfurt,  Queen Mary University London, Imperial College London, and the Bank of England. The event provided a valuable opportunity for Scottish-based econometricians to talk informally with  prominent academics and senior economists in the Bank of England.
The focus of the workshop was on formal statistical techniques for modelling the macro-economy and financial markets in a changing world. In particular, the presentations highlighted flexible, modern econometric methods for modelling structural change and uncertainty, with applications in forecasting, modelling interactions between the US and the UK, spillover effects in the UK economy, and exchange rate strategies. Special attention was given to quantifying the effects of the recent global financial crisis, and the on-going sovereign debt crisis in Europe.


28 April 2011, St. Andrews (organiser Rod McCrory)

This large workshop at St Andrews University received input from

Andrew Harvey (University of Cambridge)
Werner Ploberger (Washington University in St Louis) Stephen Pollock (University of Leicester) Tommaso Proietti (Università di Roma "Tor Vergata”)

A Young Econometricians’ Session was included with Miguel Belmonte (University of Strathclyde), Jinhyun Lee (University of St Andrews) and Francesca Rossi (LSE)



22-23 July 2010 Conference in Honour of Sir David Hendry at the University of St Andrews


As an addition to the regular SIRE Econometrics workshop series, Roderick McCrorie (a SIRE Chair and co-director of the workshop series) put together a prestigious conference to honour the eminent Scottish econometrician Sir David Hendry (Oxford). The conference, which was co-funded by SIRE, the University of St Andrews and the Royal Economic Society, incorporated the inaugural SIRE Econometrics lecture, which we plan to make an annual event. This year’s lecture was given by Nobel Laureate Robert Engle (NYU).

The conference attracted a glittering array of econometricians from both sides of the Atlantic.

Keynote presentations included:

  • Sir David Hendry (Oxford), “Empirical model discovery and theory evaluation”
  • Robert Engle (2003 Nobel Laureate in Economics, NYU Stern), “Volatility forecasting and the financial crisis”
  • Soren Johansen (Copenhagen), “Transformation of cointegration and common trends under linear transformation of the data.”
  • Katerina Juselius (Copenhagen), Testing exchange rate models based on rational expectations versus imperfect knowledge: a scenario analysis.”
  • Halbert White (UC San Diego), “Robustness checks and robustness tests in applied economics.”

There were tributes to Sir David from: Kenneth Wallis (Warwick), Grayham Mizon, (Southampton), Peter Sinclair (Birmingham and Bank of England), Richard Blundell (UCL, President of the Royal Economic Society), and Andrew Ross (Deputy Director, Government Economic Service)

Other conference participants included: Neil Ericsson (Federal Reserve), Aris Spanos (Virginia Tech), Juan Dolado (Carlos III), Stephen Pollock (Leicester), Robert Taylor (Nottingham), Majid Al-Sadoon (Cambridge), Dimitra Kyriakopoulou (Piraeus), Jouni Sohkanen (Oxford), and Robert Yaffee (NYU). The conference was notable for the extremely high quality of comments and level of engagement following each talk.

Inter alia, the event was a valuable opportunity for SIRE researchers to present their work to such a strong gathering of econometricians and benefit from their insights and comments, with talks from Rod McCrorie (St Andrews) and Arnab Bhatacharjee (the newly appointed SIRE Reader at Dundee), and poster presentations from Julia Darby, Jiazhu Pan (both Strathclyde) and a brave PhD student, Liang Cao (St Andrews). Robert Engle gave the inaugural SIRE Econometrics Lecture, a prestigious start to what we hope will become an annual series.


2 March 2010 Strathclyde (organiser Gary Koop)

There were two keynote presentations;

  • Sylvia Frühwirth-Schnatter (Johannes Kepler University Linz), "Stochastic Model Specification Search for Gaussian and Partially Non-Gaussian State
    Space Models"
  • John Geweke (University of Technology Sydney), "Prior Predictive Analysis and Model Evaluation.”

The programme also included a ‘young econometricians’ session, where younger researchers presented their work. The presenters were:

  • Joshua Chan (Queensland) “Efficient simulation and integrated likelihood estimation in state space models”
  • Deborah Gefang (Lancaster) “Reinvestigating the regime changes in business cycles: a Bayesian dynamic factor approach.”

This session was followed by a Roundtable Discussion where the invited speakers provided comments on the young researchers' presentations, applied econometrics in general and took questions from the audience about issues and controversies in modern applied econometrics.

33 participants from Strathclyde, Glasgow, Edinburgh, St Andrews, Heriot Watt and Stirling.


11 December 2009 Edinburgh (organisers: Andy Snell and Gary Koop)

The workshop encompassed two keynote presentations:

  • Hashem Pesaran (Cambridge) “Weak and strong cross section dependence and estimation of large panels.”
  • Costas Meghir (UCL, now Yale) “Matching, sorting and wages.”

41 participants from Edinburgh, Aberdeen, Dundee, Glasgow, Glasgow Caledonian, Heriot Watt, St Andrews, Stirling, Strathclyde.

26-27 March 2009, Health Econometrics Workshop (Dundee)

This workshop, primarily targeted at PhD students, was supported by the ESRC as part of the SGPE PhD Training Sequence. There were 16 participants from Dundee, Aberdeen, Glasgow, Heriot-Watt, St Andrews and Stirling.

Keynote presenter: Professor Matt Sutton (Manchester)

SIRE presenters:

  • Martin Chalkley (Dundee)
  • Paul Allanson (Dundee)
  • Tom Love (Dundee)
  • Dennis Petrie (Dundee)
  • Colin Tilley (NHS Education for Scotland)

Health economics which embraces both the analysis of the determinants of health and, increasingly, a focus on the organisation and performance of health care systems offers excellent opportunities for the application of econometric methods. Health care systems, particularly publicly funded systems such as those in the UK, generate large volumes of routine data whilst many panel data sets contain healthrelated
data. The economics of health and health care has been a fast growing area of empirical research and offers many opportunities for PhD students. This workshop will focus on three related aspects of empirical health economics:

  • Identifying research questions amenable to empirical investigation:
    • Topics covered will include: questions concerning resource allocation, medical decision making and incentives, health and income inequality
    • Topics will be illustrated with examples of research undertaken by the workshop contributors
  • Understanding health data sources and how to use them to address economic issues
    • Topics will include: Assessing the validity and reliability of administrative data, issues of confidentiality and anonymity with health data – dealing with ethical approval, use of survey data – the BHPS – in health econometrics
    • These will be illustrated by reference to actual data sets.
  • Econometric and statistical methods relevant for analysing health and health-care data:
    • Topics will include: Data manipulation and sampling of very large scale and complex data sets, multi-level models and ‘patient-doctor’ matched data,
      numerical methods for bootstrapping standard errors.
    • There will be practical demonstrations of these methods

18 March 2009, Strathclyde (organiser Gary Koop): Bayesian Econometrics

Three keynote speakers:

  • Gael Martin (Monash) “Modelling and Predicting Volatility and its Risk Premium: a Bayesian Non-Gaussian State Space Approach”
  • Mark Steel (Warwick) “On the Effect of Prior Assumptions in Bayesian Model Averaging with Applications to Growth Regression”
  • Gianni Amisano (European Central Bank) “A Nonlinear DSGE Model for the Term Structure with Regime Shifts”

25 participants from St Andrews, Strathclyde, Glasgow, Heriot-Watt, and West of Scotland. While the prime focus was on econometrics, the empirical applications were drawn from macroeconomics, finance and growth, and it was healthy to see some applied economists from these fields as well as specialist econometricians at the workshop.

3 December 2008, St Andrews (organiser Rod McCrory): Recent Developments in Econometric Time Series Analysis

Two leading experts gave keynote talks, followed by questions and answers and lively discussion.

  • Robert Taylor (Professor of Econometrics and Director of the Granger Centre of Time Series Econometrics at the University of Nottingham, Co-Editor of the journal “Econometric Theory”), in a paper entitled “Testing for Unit Roots in the Presence of Uncertainty over the Trend and Initial Condition”, gave an overview of the thorny problems that continue to affect unit root econometrics, and offered his own resolution to them.
  • Giuseppe Cavaliere (Professor of Econometrics, University of Bologna), in a talk entitled “Testing for Co-integration in Vector Autoregression with Non-Stationary Volatility”, gave an overview of multivariate aspects of the analysis of nonstationarity,focussing on how this can be done under weaker and more realistic assumptions than have been offered in the literature to date. He also discussed the application of a statistical method, the bootstrap, in this context.

27 participants from St Andrews, Edinburgh, Glasgow, Aberdeen, Strathclyde, Stirling, Heriot-Watt and Dundee.