Program

Brown University, Smith-Buonanno Hall,  Room 106, 95 Cushing St, Providence, RI

 

Friday, May 31, 2019

1 - 1:15 p.m.  Welcoming Remarks

 

1:15 - 2:45 p.m.  SESSION 1 – Theory and Methods I

Chair: Kenichi Shimizu, Brown University

• “Low-Frequency Analysis of Economic Time Series,” Ulrich Mueller, Mark Watson.
•  “A Robust Machine Learning Algorithm for Text Analysis,” Jose Luis Montiel Olea, James Nesbit, and Barry Shikun Ke.
• “Posterior Distribution of Nondifferentiable Functions,” Jonathan Payne, Toru Kitagawa, José Luis Montiel Olea, and Amilcar Velez.
• “Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models,” Kenichi Shimizu, Andriy Norets.

 

2:45 - 3 p.m.   REFRESHMENT BREAK

 

3 - 4:15 p.m.   SESSION 2 - Microeconometrics

Chair:  Jingyu He, University of Chicago

• “Tree-Based Bayesian Treatment Effect Analysis,” Hedibert Freitas Lopes, Pedro Henrique Filipini dos Santos.
• “Aggregating Distributional Treatment Effects: A Bayesian Hierarchical Analysis of the Microcredit Literature,” Rachael Meager.
• "XBART: Accelerated Bayesian Additive Regression Trees," Jingyu He, Saar Yalov and P. Richard Hahn. 

 

4:15 – 4:30 p.m.   REFRESHMENT BREAK

 

4:30 - 6:00 p.m.   SESSION 3 – Theory and Methods II

Chair:  Angela Vossmeyer, Claremont McKenna College

• “Posteriors on Parameters from Moment Conditions,” Neil Shephard, Han Yan.
• “Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data,” Laura Liu, Mikkel Plagborg-Moller.
• “Scaling Bayesian Probabilistic Record Linkage with Post-Hoc Blocking,” Jared Murray, Brendan McVeigh and Bradley Spahn.
• “Likelihood Specification and Inference in Discrete Simultaneous Equation Models,” Angela Vossmeyer, Ivan Jeliazkov.

 

6 - 7 p.m.  Reception at the Hope Club

 

7 - 9:30 p.m.   DINNER at the Hope Club

 

Saturday, June 1, 2019

7:30 - 8:30 a.m.  CONTINENTAL BREAKFAST

 

8:30 - 10 a.m. SESSION 4 – Time Series

Chair: Giovanni Ricco, University of Warwick

• “Multivariate Stochastic Volatility with co-Heteroscedasticity,” Roberto Leon-Gonzalez, Joshua Chan, Arnaud Doucet, and Rodney Strachan.
• “Bayesian Nonparametric Estimation of Ex-post Variance,” John Maheu, Jim Griffin, and Jia Liu.
• “Bayesian Nonparametric Covariance Estimation with Noisy and Nonsynchronous Asset Prices,” Jia Liu.
• “A Model of the Fed's View on Inflation,” Giovanni Ricco, Thomas Hasenzagl, Filippo Pellegrino, and Lucrezia Reichlin.

 

10 - 10:15 a.m. REFRESHMENT BREAK

 

10:15 - 11:45 a.m. SESSION 5 - Topics in Micro and Macroeconometrics

Chair: Jonas Arias, Federal Reserve Bank of Philadelphia

• “Measuring Cross-Country Linkages with a Panel Unobservable Component Model,” Gianni Amisano, Lea Petrella, and Jan Martin Rossi.
• “A Flexible Stochastic Conditional Duration Model,” Samual Gringas, William J. McCausland.
• “Dynamic Sparse Factor Analysis,” Kenichiro McAlinn, Enakshi Saha, and Veronika Rockova.
• “Inference in Bayesian Proxy-SVARs,” Jonas Arias, Juan F. Rubio-Ramirez, and Daniel F. Waggoner.

 

11:45 a.m. – 1:45 p.m.  LUNCH and POSTER SESSION

The poster boards will accommodate poster sizes up to 4x4 feet.  Pins will be provided to attach posters to the boards.

Poster Session:

• “A Bayesian Joint Model of Spatial Point Processes with Application to Basketball Shot Chart,” Jieying Jiao, Guanyu Hu and Jun Yan.
• “A Bayesian Nonparametric Approach on Model Combination for Short-term Interest Rates,” Qiao Yang, Xin Jin and John Maheu.
• “Do Better Return Density Forecasts Lead to Economic Gains in Portfolio Allocation?” Chenxing Li.
• “Do Financial and Macro Economic Variables Help Predict the Distribution of the Market Return?” Azam Shamsi Zamenjani.
• “Factor Investing: Hierarchical Ensemble Learning,” Guanhao Feng, Jingyu He.
• “Bayesian Nonparametric Nonhomogeneous Poisson Process with Applications to USGS Earthquake Data,” Guanyu Hu, Junxian Geng, and Wei Shi.
• “Revisiting the Bayesian FFBS Method for Mixed Frequency Inference,” Angelo M. Fasolo, and Sergio Lago Alves.
• “Subsampled Information Criterion for Bayesian Model Selection in Big Data Setting,” Lijiang Geng, Yishu Xue and Guanyu Hu.
• “Bayesian Nonparametric Models for Conditional Densities Based on Orthogonal Polynomials,” Marco Stenborg Petterson, and Andriy Norets.

 

1:45 - 3:15 p.m. SESSION 6 – Financial Econometrics

Chair: Hwagyun Kim, Texas A&M

• “Monotonic Effects of Characteristics on Returns,” David Puelz, Jared Fisher and Carlos Carvalho.
• “Macro Factor Selection in Affine Term Structure Models,” Kyu Ho Kang, Siddhartha Chib, and Cheolwoo Lee.
• “On Comparing Asset Pricing Models,” Lingxiao Zhao, Siddhartha Chib, and Xiaming Zeng.
• “Risk, Ambiguity, and Time-Varying Stochastic Volatility,” Hwagyun Kim, Joon Y. Park.

 

3:15 – 3:30 p.m. REFRESHMENT BREAK

 

3:30 – 5 p.m.  SESSION 7 – Forecasting

Chair: Garo Garabedian, Central Bank of Ireland - Ghent University

• “Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting," Knut Are Asastveit, Kenichiro McAlinn, Jouchi Nakajima, and Mike West.
•  “Reconciling VAR-based Forecasts with Survey Forecasts,” Taeyoung Doh, Andrew Lee Smith.
•  “Forecasting Panel Data with Structural Breaks and Regime-specific Grouped Heterogeneity,” Simon Smith.
• “A Sparse Measure of Liquidity, and the Impact of Monetary Policy,” Garo Garabedian.