Easter School in Econometrics 7-10 April 2008 Nuffield College, University of Oxford

Aim of the Royal Economic Society Easter School in Econometrics:
The school is intended primarily for advanced post-graduate students, but is also open to recently-appointed members of the teaching and research staff. The purpose is to enable participants to become acquainted with the latest developments in the selected field of econometrics, to have the opportunity for study and discussion with leading authorities in this field, and to meet other graduate students.

Local organizers:
David F Hendry, Bent Nielsen, Neil Shephard.

Purpose: These Easter School will look at model selection. This will include the recent theoretical work on model selection by Pötscher along with the the three automated model selection algorithms suggested by Hoover, Hendry and White.

Outline:

Prerequisites:
Doornik and Hendry

• Hendry and Nielsen, 2007, Econometric Modeling. Princeton University Press. Chapters: 11, 19. (Prerequisite)
• Doornik and Hendry, 2007, Empirical Econometric Modelling using PcGive I. London: Timberlake Consultants Press. Chapters 5, 6, 13, 15 (Prerequisite)
• Hendry and Krolzig, 2005, “The Properties of Automatic Gets Modelling,” Economic Journal, 115, C32–C61. Link. (Helpful)
• Campos, Ericsson and Hendry, 2005, `Editors' Introduction' to General to Specific Modelling Edward Elgar), pp. 1–81. Link. (Helpful)

• Pearl, 2000, Causality. Cambridge: Cambridge University Press. Epilogue: The art and science of cause and effect. (Draft version of book. Epilogue based on a lecture) (Helpful)
• Cooper, 1999, An overview of the representation and discovery of causal relationships using Bayesian networks. In Glymour and Cooper: Computation, causation and discovery. MIT Press. article. (Helpful)

• Leeb and Pötscher: Model selection and inference: Facts and fiction Econometric Theory, 21, 21-59 (2005) CUP link.

Course material:

Hoover:

• An Introduction to Graphical Causal Models

• Perez-Amaral, Gallo, White: A Comparison of Complementary Automatic Modeling Methods - RETINA and PcGETS. Econometric Theory, 21, 262-277 (2005) CUP link.
• Perez-Amaral, Gallo, White: A Flexible Tool for Model Building - RETINA. Oxford Bulletin of Economics and Statistics, 65, 821-838 (2003). Blackwells link.
• White: Approximate Nonlinear Forecasting Methods.
• Karimabadi, Sipes, White, Marinucci, Dmitriev, Chao, Driscoll, Balac: Data mining in space physics: MineTool algorithm. Journal of Geophysical Research, 112, A11215, 2007. 10.1029/2006JA012136

Programme.
Link to Programme

Venue:
Lectures will take place in Nuffield College.
The accommodation and opening reception are organised at Somerville College.
The computer class will take place at Department of Economics.

Maps: map to Oxford and Nuffield (with Train Station and Bus Station),
map of Oxford Colleges: Nuffield 23, Somerville 39
map of Departments: Economics 17.
Somerville: note the picture of the entrance.

Registration:
The school is intended primarily for ph.d. students and recent ph.d. candidates from all of the European Union. Participants are encouraged to join the Royal Economic Society. Currently the Society has an offer to new student members with a membership rate for the first three years of only £24 !
Funded places are available for 20 participants. The funding covers (nearly all) meals, accommodation, whereas travel is at own expense.
There is limited number of non-funded places where the participants have to pay either
(i) Conference, Lunch, Breaks: £75.
(ii) Conference, Lunch, Breaks, Reception, Conference Dinner: £125.
(iii) Full Board 6th - 10th: £350.
(iv) Full Board 6th -10th + B&B 11th: £395.
In addition there is a fee of £1000 for non-academic participants.

Application for Registration: There is no application form. The application should contain
(a) c.v.
(b) brief description of research area.
(c) email addresses for your Head of Department, and also for your supervisor if you are a doctoral student.
Moreover, at the course we will distribute a list of participants. For that list we ask for
(d) a couple of sentences describing your research area.
Applications should be submitted not later than January 20th, 2008 to

	Maxine Collett
	Nuffield College
	OX1 1NF, UK
	maxine.collett@nuffield.ox.ac.uk

Alternative Accommodation:

• Hotels and Guesthouses in Oxford
• Oxford Association of Hotels and Guesthouses (has a useful map)
• Oxford Youth Hostel

Some useful links:
The Econometrics Journal, Econometrics Links, RES Easter School in Economics at Birmingham, Oxford's Econometrics Research Group
Royal Economic Society, Future & Past Easter Schools, Nuffield College, Somerville College, Department of Economics, University of Oxford.