1st Annual Conference: Conference in Honour of Paul Newbold

Conference Theme: Non-Stationary Time Series Econometrics

Local Organisers: Robert Taylor, Stephen Leybourne, David Harvey

This conference, the first to be run by the recently established Granger Centre for Time Series Econometrics, is being held to mark the contribution of Paul Newbold, following his recent retirement. 

View the programme (PDF)

Read the tribute to Paul Newbold given at the conference (PDF)

Paul Newbold was born in England in 1945. In 1966 he obtained a BSc in Economics at the London School of Economics, before continuing to study for a PhD in Statistics at the University of Wisconsin. He worked under the supervision of George Box, and was awarded his PhD in 1970. His first academic posts were at The University of Nottingham, where he spent time in both the Department of Economics and the Department of Mathematics. From 1979-1994 he was Professor at the University of Illinois, before returning to The University of Nottingham in 1994 as Professor of Econometrics. Paul Newbold has had a large influence on the discipline of time series econometrics, particularly in the areas of non-stationary time series, forecasting, and univariate time series analysis. He has published extensively in journals such as Journal of Econometrics, Journal of Business and Economic Statistics, Journal of the American Statistical Association, Biometrika, and Econometric Theory. He retired in 2006 and is now Emeritus Professor of Econometrics.

The format of the conference will be single-session with five keynote speakers and additional contributed papers. 

The keynote speakers are:

• Peter Phillips (Yale University)
• Peter Robinson (London School of Economics)
• Bruce Hansen (University of Wisconsin-Madison)
• Pierre Perron (Boston University)
• Graham Elliott (University of California, San Diego)

Selected papers from the conference will be considered for publication in a Special Issue of Econometric Theory.

PDF versions of the papers presented at the conference can be downloaded by clicking on the titles below:

• Busetti, F. and Harvey, A., "Tests of time invariance"
• Carrion-i-Silvestre, J. L. and Surdeanu, L., "Panel cointegration rank test with cross-section dependence"
• Carrion-i-Silvestre, J. L., Kim, D. and Perron, P., "GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses"
• Cavaliere, G. and Georgiev, I., "Robust inference in autoregressions with multiple outliers"
• Davidson, J. and Hashimzade, N., "Representation theory for stochastic integrals with fractional integrator processes"
• Gao, J., King, M., Lu, Z. and Tjostheim, D., "New specification tests in nonlinear time series with nonstationarity"
• Garratt, A., Koop, G., Mise, E. and Vahey, S. P., "Real-time prediction with UK monetary aggregates in the presence of model uncertainty"
• Hansen, B. E., "Averaging estimators for regressions with a possible structural break"
• Harris, D., Harvey, D. I., Leybourne, S. J. and Taylor, A. M. R., "Testing for a unit root in the presence of a possible break in trend"
• Hassler, U., Rodrigues, P. M. M. and Rubia, A., "Regression-based testing for generalized cyclical fractional unit roots"
• Kew, H. and Harris, D., "Fractional Dickey-Fuller tests under heteroskedasticity"
• Marsh, P., "The properties of entropy for the unit root hypothesis"
• McCrorie, J. R., "Representations of the moments of the Dickey-Fuller and related distributions"
• Nielsen, M. O., "A tuning parameter free nearly optimal test of the autoregressive unit root hypothesis"
• Pesaran, M. H., Smith, L. V. and Yamagata, T., "Panel unit root tests in the presence of a multifactor error structure"
• Phillips, P. C. B. and Magdalinos, T., "Unit root and cointegrating limit theory when initialization is in the infinite past"
• Westerlund, J. and Larsson, R., "A note on the pooling of individual PANIC unit root tests"