School of Economics and Finance

2016 Econometrics Workshop

10 June 2016

Time: 1:00 - 6:10pm
Venue: David Sizer LT

Cross-sectional / Spatial Dependence and Heterogeneity in Panel Data Models


Please register to book a place for this event following the link below. Places are limited so early booking is recommended.



13.00: Registration and Refreshments

13.25: Welcome

13.30 - 15.50: Session I

Chair: Richard Baillie, Queen Mary, University of London

13.30: Keynote speech - M. Hashem Pesaran (University of Southern California, and Trinity College, Cambridge)
"Econometric Analysis of Production Networks"

14.30: Ron Smith (Birkbeck, University of London), and Elisa Cavartorta (King’s College London)
“Factor Models in Panels with Cross-section Dependence: an Application to the Extended SIPRI Military Expenditure Data”

15.10: Maria Kyriacou (Southampton University), Peter C. B. Phillips (Yale University), and Francesca Rossi (Southampton University)
“Continuously Updated Indirect Inference in SAR Models with Unobserved Heterogeneity”

15.50 - 16.10: Break

16.10 - 18.10: Session II

Chair: Liudas Giraitis, Queen Mary, University of London

16.10: Peter M. Robinson (LSE)
"Inference on Trending Panel Data"

16.50: Sean Holly (University of Cambridge), and Natalia Bailey (Queen Mary, University of London)
“House Prices and Space: Size, Distance and Endogeneity”

17.30: Federico Martellosio (University of Surrey)
“Adjusted QMLE for the Spatial Autoregressive Parameter”

18.10: End of Workshop

19.00: Dinner (by invitation)


The Econometrics Workshop will take place in David Sizer Lecture Theatre in the Bancroft building (#31 on the campus map). Registration and refreshments will take place in the foyer on the ground floor.


Nearby Underground stations are Mile End (Central, District, and Hammersmith & City lines; walking directions to East Gate) and Stepney Green (District and Hammersmith & City lines; walking directions to East Gate).

Organisers: Natalia Bailey and Liudas Giraitis

Sponsored by: School of Economics and Finance, Queen Mary, University of London