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24th Dynamic Econometrics Conference

A forum for computational econometrics, empirical economics, time series and much more.

16 - 17 Sept 2021


Abstract Architecture

The Dynamic Econometrics Conference provides a forum for the presentation and exchange of research results and practical experience within the fields of computational and financial econometrics, empirical economics, time-series and cross-section econometrics, and applied mathematics.


Professor Valentina Corradi will deliver the Ana Timberlake memorial lecture.


The conference will also feature a panel discussion with developers of the OxMetrics econometrics software, including:

Jurgen A. Doornik, David F. Hendry, Siem Jan Koopman, and Sébastien Laurent.


Take a look at the conference proceedings from the previous Dynamic Econometrics Conference here.

The 24th Dynamic Econometrics Conference presentations are now available. If you would like to review what was discussed at the conference please follow the button below. 

Schedule: Day 1


1:00 - 1:10pm BST (8:00 - 8:10am EDT)

Welcoming Remarks and Announcements

Giovanni Urga and Neil R. Ericsson (co-chairs)

1:10 - 2:40pm BST
(8:10 - 9:40am EDT)

Session 1. Modeling and Forecasting Climate Change

“Econometrics for Modelling Climate Change”
Jennifer L. Castle
“Testing for Differences in Path Forecast Accuracy”
Andrew B. Martinez
“Forecasting Facing Climate Change, Evolving Pandemics and Economic Shifts”
David F. Hendry
2:40 - 2:55pm BST
(9:40 - 9:55am EDT)


2:55 - 4:25pm BST
(9:55 - 11:25am EDT)

Session 2. Modeling and Diagnostic Testing

“Gravitational Effects of Culture on Internal Migration in Brazil”

Daisy Assmann Lima

“Change Point Detection in Random Coefficient Autoregressive Models”
Lorenzo Trapani
“Market Integration, Systemic Risk and Diagnostic Tests in Large Mixed Panels”
Cindy S.H Wang
4:25 - 4:40pm BST 
(11:25 - 11:40am EDT)


4:40 - 5:40pm BST
(11:40am - 12:40pm EDT)

Session 3. Speed Presentations: Financial Markets

“Philippines Currency Exchange Rate and Its Relationship With Inflation Rates, Interest Rates, and Government Expenditures”

Ederliza V. Magpantay 

“Volatility Forecasting for the Coronavirus Pandemic Using Quasi-score-driven Models”

Szabolcs Blazsek

“Modelling and Forecasting Volatility in Stock Markets”
Lorena Radavci
“Predictive Regressions for Aggregate Stock Market Volatility with Machine Learning”
Erwin Hansen
“How to Detect Financial Misvaluations and Bubbles: A New Indicator”
Marlon Fritz

5:40 - 6:40pm BST 
(12:40 - 1:40pm EDT)

Session 4. Developers' Round Table

Schedule: Day 2 


1:00 - 1:05pm BST 
(8:00 - 8:05am EDT)


1:05 - 2:35pm BST 
(8:05 - 9:35am EDT)

Session 5. Evaluating and Improving Macroeconomic Forecasts

“Forecasting Inflation Using Online Daily Prices: A MIDAS Approach for Brazil”
Pedro Valls
“The Forecasts of Individual FOMC Members: New Evidence After Ten Years”
Jaime Marquez
"Evaluating the Federal Reserve’s Tealbook Forecasts”
Neil R. Ericsson

2:35 - 2:50pm BST 
(9:35 - 9:50am EDT)


2:50 - 4:20pm BST
(9:50 - 11:20am EDT)

Session 6. Financial Markets

“Yield Curve Momentum”
Markus Sihvonen
“Autoregressive Conditional Betas”
Sébastien Laurent
“Exchange Rates and Macroeconomic Fundamentals”
Giovanni Urga

4:20 - 4:30pm BST 
(11:20 - 11:30am EDT)


4:30 - 5:30pm BST
(11:30am - 12:30pm EDT)

Session 7. Speed Presentations: Practical Challenges in Modeling

“How to Deal With Missing Observations in Forecasting Surveys”
Constantin Bürgi
“Fuzzy Dummy Variable versus Binary Dummy Variable: Structural Breaks of Money Demand in Iran”
Esmaiel Abounoori
"What Happens to the Short-run Elasticity When the Long-run Varies Over Time?”
Jeyhun I. Mikayilov
"What Drives the Agricultural Growth in Azerbaijan?”
Fakhri Hasanov
“Internal Migration and Climate in Turkey”
Şule Akkoyunlu

5:30 - 6:30pm BST
(12:30 - 1:30pm EDT)

Session 8. Ana Timberlake Memorial Lecture

Introduction: Teresa Timberlake, Giovanni Urga 


“Conditional Quantile Coverage: An Application to Growth at Risk” 

Professor Valentina Corradi

6:30- 6:35pm BST 
(1:30 - 1:35pm EDT)

Closing Remarks

Conference organizers

6:35 - 7:30pm BST 
(1:35 - 2:30pm EDT)

Reception / Break-out social (virtual)


The Scientific Organisers

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Neil Ericsson


Andrew Martinez

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Fred Joutz

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Sebastien Laurent


Jurgen Doornik

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Giovanni Urga

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David F Hendry


Jennifer Castle

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Siem Jan Koopman



We are deeply grateful for support from the following institutions.

  • Bayes Business School, City of London

  • Department of Economics, The George Washington University

  • H. O. Stekler Research Program on Forecasting, The George Washington University

  • Timberlake Consultants Ltd (UK)


In addition, we wish to thank David Corbett and Teresa Timberlake, who were invaluable in the preparations for and the running of this conference.

Video Conference

Hosted Online

Zoom Platform

Like last March's conference, this September's conference will be online. We will host the conference presentations and breakrooms via this website. 

Join us wherever you are in the world, and be part of the conversation.


Logistics Organisers


Timberlake is a global brand with forty years of experience and expertise as a supplier of statistical, econometric and forecasting software packages; the delivery of quality training courses; and a consultancy service provider. We provide a total solution to our diverse range of clients across the fields of statistics, econometrics, forecasting, quantitate and qualitative research, epidemiology, finance, political and social sciences as well as data visualisation.

Contact Timberlake for further information.
Timberlake Consultants Limited 
Tel: +44 (0)20 8697 3377