Stanford University, SIEPR – Stanford Institute for Economic Policy Research.
The Koret-Taube Conference Center, Room 130, 366 Galvez Street, Stanford, CA 94305
Friday, May 25, 2018
1:15-1:25 p.m. Welcoming Remarks
1:30-3:00 p.m. SESSION 1 – Choice Models
Chair: Didier Nibbering, Erasmus School of Economics
- “Shopper: A Probabilistic Model of Consumer Choice with Substitutes and Complements,” Susan Athey, Francisco J.R. Ruiz and David Blei.
- “A Study into Mechanisms of Attitudinal Scale Conversion: A Stochastic Ordering Approach,” Robert McCulloch, Zvi Gilula, Yaacov Ritov, and Oleg Urminsky.
- “Testing the Random Utility Hypothesis Directly,” William J. McCausland, Clintin Davis-Stober, A.A.J. Marley, Sanghyuk Park and Nicholas Brown.
- “A High-Dimensional Multionomial Choice Model with an Application to Holiday Destinations,” Didier Nibbering.
3-3:15 p.m. BREAK
3:15 - 4:30 p.m. SESSION 2 - Theory
Chair: Anna Simoni, CNRS - CREST
4:30-4:45 p.m. BREAK
4:45 - 6:15 p.m. SESSION 3 - VAR
Chair: Tomasz Wozniak, University of Melbourne
7-9 p.m. DINNER
Saturday, May 26, 2018
8-8:30 a.m. CONTINENTAL BREAKFAST
8:30- 10:00 a.m. SESSION 4 - Finance and Factor Models
Chair: Davide Pettenuzzo, Brandeis University
10:00-10:15 a.m. BREAK
10:15 - 11:45 a.m. SESSION 5 - Prediction
Chair: Luis Uzeda, Bank of Canada
11:45 a.m. – 12:45 p.m. LUNCH
12:45-2:15 p.m. SESSION 6 – Topics I
Chair: Guohui Wu, SAS Institute, Inc.
2:15-2:30 p.m. BREAK
2:30 – 5:00 p.m. SESSION 7 – Topics II
Chair: Pawel J. Szerszen, Federal Reserve Board
- “Simultaneous Variable and Covariance Selection with the Multivariate Spike-and-Slab Lasso,” Sameer K. Deshpande, Veronika Rockova, Edward Geroge.
- “Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors,” Mark Jensen and Mark Fisher.
- “Non-Markovian Regime-Switching Models,” Jaeho Kim and Chang-Jin Kim.
- “Bayesian Regression Tree Models for Causal Inference: Regularization, Confounding, and Heterogeneous Effects,” Jared Murray, Richard Hahn and Carlos Carvalho.
- “Noncommon Breaks,” Simon Smith.
- “A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance,” Pawel J. Szerszen, Dobrislav Dobrev, and Darek Hansen.