Oxford Bulletin of Economics and Statistics: Conference 2025

Workshop to celebrate 40 years of Unit Roots and Cointegration

MONDAY 7TH - WEDNESDAY 9TH APRIL 2025

 

On behalf of the Oxford Bulletin of Economics and Statistics, we invite you to register for and participate in a conference which will take place at the University of Oxford on 07 - 09 April 2025. The workshop is hosted by the Oxford Bulletin with generous support from Oxford Economic Papers, Nuffield College, and the Department of Economics, including the econometrics research group. This three-day conference will bring together researchers with the aim of demonstrating the key relevance of the concepts and results of cointegration analysis developed over four decades.

This workshop has been organized to mark the 40th anniversary of the appearance of the first papers in the econometrics literature on unit roots and cointegration. These include the seminal contributions to this literature of, inter alia, Peter Phillips, Robert Engle and Clive Granger and Søren Johansen who provided the initial formalizations of the theory of nonstationary processes and co-movement of time series (particularly in the econometrics literature and gave rise to a revolution in macro-econometrics). The workshop celebrates their achievements as well as the many distinguished contributors who followed, or those whose inspiration presaged the development of this theory.

The Oxford Bulletin of Economics and Statistics holds a small but special place in the history of cointegration analysis by virtue of having published the earliest (much cited) special issue on this topic in 1986. 2026 is also the centenary year of the celebrated paper on spurious regression by Yule, with its special resonance in the study of cointegrated processes. The Bulletin will therefore publish a special issue of the journal in 2026 with a collection of papers to be presented at this conference.

 

[Editors]

Anindya Banerjee a.banerjee@bham.ac.uk

Sophocles Mavroeidis sophocles.mavroeidis@economics.ox.ac.uk

Robert Taylor Robert.taylor@essex.ac.uk

 

[Event organiser]

Emma Heritage events@economics.ox.ac.uk

 

VENUE: MANOR ROAD BUILDING, OXFORD (DEPARTMENT OF ECONOMICS)

Arrival information will be sent to participants two weeks before the event.

TO RSVP FOR THIS EVENT, PLEASE CLICK HERE

 

Schedule

Day 1

 

12:15 – 13:30 | 🍽 Lunch

13:30 – 15:15 | Session 1 

- 13:30 – 14:05 | Søren Johansen & Katarina Juselius – Inflation Control in a CVAR Model

- 14:05 – 14:40 | Guillaume Chevillon & Takamitsu Kurita – Policy Analysis in a Cointegrated VAR Model

- 14:40 – 15:15 | Daniel Abreu & Paulo Rodrigues – Large Dimensional Cointegrated Threshold Factor Models

15:15 – 15:45 | ☕ Coffee Break

15:45 – 17:30 | Session 2

- 15:45 – 16:20 | Heino Bohn Nielsen, Paolo Paruolo, & Anders Rahbek – Bootstrap Confidence Bands

- 16:20 – 16:55 | Peter Boswijk & Philip Hans Franses – Cointegration in MIDAS Regressions

- 16:55 – 17:30 | James Duffy – Cointegration in Nonlinear VARs

 

Reception at the King’s Arms 6-9pm.

Day 2

 

09:00 – 10:30 | Panel Discussion with Key Contributors

10:30 – 11:00 | ☕ Coffee Break

11:00 – 12:45 | Session 3

- 11:00 – 11:35 | Jesus Gonzalo & Jean-Yves Pitarakis – Detecting Sparse Cointegration

- 11:35 – 12:10 | Jennifer Castle, David Hendry, & Jurgen Doornik – Forecasting Climate Change

- 12:10 – 12:45 | Victoria Tribone, Andrew Martinez, & Neil Ericsson – Age and Gender Disparities

12:45 – 13:45 | 🍽 Lunch Break

13:45 – 15:30 | Session 4

- 13:45 – 14:20 | Helmut Lütkepohl & Martin Bruns – Heteroskedastic Structural VARs

- 14:20 – 14:55 | Alvaro Escribano, Juan Andrés Rodríguez & Miguel Arranz – Money Demand Equations

- 14:55 – 15:30 | Massimo Franchi & Paolo Paruolo – Inference on Cointegration

15:30 – 16:00 | ☕ Coffee Break

16:00 – 17:10 | Session 5

- 16:00 – 16:35 | Vanessa Berenguer-Rico & Bent Nielsen – Robust Estimation of Cointegrating Relations

- 16:35 – 17:10 | Hashem Pesaran, Alex Chudik, and Ron Smith – Long-Run Relations in Panel Data Models

 

Dinner from 18:30 at Nuffield College.

Day 3

 

09:00 – 10:45 | Session 6

- 09:00 – 09:35 | Peter Phillips – Unit Roots and Cointegration in Hilbert Space (online)

- 09:35 – 10:10 | Anna Maria Bianchi, Lynda Khalaf, & Giovanni Urga – Weak Exogeneity and Stability Tests

- 10:10 - 10:40☕ Coffee Break

10:40 – 12:25 | Session 7

- 10:40 – 11:15 | Brendan Beare – The Natural Component of an Autoregressive Time Series

- 11:15 – 11:50 | Hans Schumacher – The Mathematical History Behind the Granger-Johansen Representation Theorem

11:50 | 🍽 Closing Lunch & End of Conference

 

Further information

Expand All

LONDON TO OXFORD

Train

You can buy a train ticket to Oxford at London Paddington station. There are regular direct trains; the journey is approx. 1 hr. Train times:

http://www.thetrainline.com/

From Oxford train station the department is a 30-minute walk. Please note we do not reimburse taxis unless no public transport options were available (proof required). If you choose to use a taxi between the rail station and the department, please allow 15-20 minutes to get here (due to traffic/one-way system).

 

Oxford Tube (London to Oxford Coach)

You can also buy a bus ticket to Oxford on the Oxford Tube which regularly runs from various places in London to Oxford. The tube takes approximately 100 minutes and is cheaper than the train. Return tickets last for 3 months. For further information please see: 

http://www.oxfordtube.com/

 

AIRPORT COACHES

Heathrow to Oxford

Catch the Airline Bus from either the Central Bus Station (Terminals 1&3), stand 14A or Terminal 5, stand 10 to Gloucester Green bus station in Oxford. The bus runs 24 hours a day, 7 days a week. Please see link for daily departure times:

http://airline.oxfordbus.co.uk/timetables/

 

Gatwick to Oxford

Catch the Airline Bus from either the South Terminal Lower Forecourt (stands 1&2) or North Terminal Lower Forecourt (stands 4&5) to Gloucester Green bus station in Oxford. The bus runs 24 hours a day, 7 days a week. Please see link for daily departure times:

http://airline.oxfordbus.co.uk/timetables/

 

OTHER DIRECTIONS

Oxford to Heathrow or Gatwick

Return to Heathrow or Gatwick with the Airline Bus:

http://airline.oxfordbus.co.uk/

Buses depart from Gloucester Green bus station, 24 hours a day, 7 days a week.

 

Buses depart approximately every 30 mins (Heathrow) or hour (Gatwick) (please check online) and the journey time is approx 90mins to Heathrow or 2.5 hours to Gatwick (dependent on traffic). You can buy a ticket on board. The driver will ask which terminal you plan to get off so that he can put your bag in the right part of the bus.

 

Please email dietary and access requirements that you have NOT reported in your event sign-up here: events@economics.ox.ac.uk

 

Accommodation can be found in many of the beautiful colleges in Oxford. To find available rooms, please use the following website: Oxford Hotels, B&Bs and Self-catering accommodation | SpeedyBooker

Other hotels in close to the Department of Economics include the Mercure Eastgate Hotel, Bath Place Hotel, and Oxford University Club.

Nuffield College, Tuesday 8th April

Researchers and Academics

All invited senior researchers and academics have been offered the opportunity to sign-up for the conference dinner at the same time as paying your attendance fee. Please refer to your original information email on instructions for how to sign-up to this additional event.

 

PhD, and Postdoctoral Researchers

A limited number of funded places are available for the conference dinner to PhD and Postdoctoral Researchers. Please refer to your email invite with instructions on how to notify us of your attendance at the dinner.

 

If you are speaking, and you wish to submit your presentation in advance, please email them in advance to: Emma Heritage

Otherwise, please bring your slides on a USB flash drive to plug in to the conference venue computer.

 

If you are a PhD or Postdoctoral researcher, and do not have the funding to cover the attendance fee (£60) or dinner fee (£25), please email events@economics.ox.ac.uk and we will accept you in to the conference free of charge. Attendance fees for early-careers researchers is covered by generous contributions from Nuffield College.