Program

Friday, May 3 - Knight Center, Room 220

1:30 p.m. – 3:00 p.m.              SESSION 1 – Nonparametrics/Semiparametric      Room 220
Chair:  Siddhartha Chib, Washington University

• Hwan-sik Choi, Purdue University, “Expert Information and Nonparametric Bayesian Inference of Rare Events.”
• Jiaying Gu, University of Illinois, “Unobserved Heterogeneity in Longitudinal Data: An Empirical Bayes Perspective.”
• Rob McCulloch, University of Chicago, “Monotonically-constrained nonparametric high-dimensional function estimation using Bayesian additive regression trees.”
• Liao Yuan, University of Maryland, “Semi-parametric Bayesian Partially Identified Models based on Support Function.”

3:00 - 3:15                               Refreshment Break                                    2^nd Floor Break Area

3:15 - 4:45                               SESSION 2 - Time Series                                            Room 220
Chair:  Nan Lin, Washington University

• Atsushi Inoue, North Carolina State University, “Inference on Impulse Response Functions in Structural VAR Models.”
• Jaeho Kim, University of Washington, “An Efficient Bayesian Inference of Regime-Switching ARMA Models: Dynamics of Ex-Ante Real Interest Rate Under Regime Shifts.”
• Jani Luoto, University of Helsinki, “A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation.”
• Giovanni Petris, University of Arkansas,  “A Bayesian framework for functional time series analysis.”       

4:45 – 5:00                              Refreshment Break                                       2^nd Floor Break Area

5:00 – 6:15                             SESSION 3 – Macroeconomics                                       Room 220
Chair:  Justin Tobias, Purdue University

• Eric Gaus, Ursinus College, “Learning and Loss Functions: Comparing Optimal and Operational Monetary Policy Rules.”
• Ed Herbst, Federal Reserve Board, “Sequential Monte Carlo Sampling for DSGE Models.”
• Dongho Song, University of Pennsylvania, “Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach.”

 6:15 – 7:00                              Reception                                                                        Courtyard

 7:00 – 9:30 p.m.                      DINNER                                            Anheuser-Busch Dining Hall

 
Saturday, May 4 - Knight Center, Room 220

6:30 – 8:30 a.m.                      BREAKFAST                                                     2^nd Floor Break Area

8:30 – 10:15                            SESSION 4 – Finance                                                       Room 220
Chair:  Carlos Carvalho, The University of Texas

• Anatoliy Belaygorod, RGA, “Practical Specification of Affine Jump-Diffusion Stochastic Volatility Models.”
• Brenda Betancourt, University of California, Santa Cruz, “Modelling and prediction of financial trading networks: A case study in the NYMEX natural gas futures market.”
• John Maheu, McMaster University, “A Bayesian Nonparametric Analysis of the Relationship between Returns and Realized Variance.”
• Ravindra Sastry, SMU, “Tales of Tails: Quantifying Extreme Downside Risk.”
• Zhongxian Men, University of Waterloo, “Bayesian Inference of Asymmetric Stochastic Conditional Duration Models.”

 10:15 – 10:30                            Refreshment Break                                        2^nd Floor Break Area

 10:30 – 12:00 p.m.                  SESSION 5 – Regularization, Deviance                          Room 220 
  Chair:  Edward Greenberg, Washington University

• Sounak Chakraborty, University of Missouri, “Bayesian Regularization via Graph Laplacian.”
• Shawn Ni, University of Missouri, “Bayesian Analysis of Multivariate Smoothing Splines.”
• Zhenyu Wang, University of Missouri, “Bayesian Elastic-Net and Fused Lasso for Semiparametric Structural Equation Models.”
• Tao Zeng, Singapore Management University, “Robust Deviance Information Criterion for Latent Variable Models.”

12:00 – 1:15 p.m.                    LUNCH                                                                             Room 340

1:15 – 2:45                              SESSION 6 – Topics                                                         Room 220

 Chair:  Sanjib Basu, Northern Illinois University

• Martin Burda, University of Toronto, “Bayesian Estimation of Games under Rationalizability.”
• Ivan Jeliazkov, University of California, Irvine, “Nonparametric Vector Autoregressions:  Specification, Estimation, and Inference.”
• William McCausland, University of Montreal, “Bayesian Inference and Model Comparison for Random Choice Structures.”
• Andriy Norets, Princeton University, “Credibility of confidence sets in nonstandard econometric problems.”

2:45 – 3:00                              Refreshment Break                                        2^nd Floor Break Area

3:00 - 4:15                               SESSION 7 – Applications                                             Room 220
Chair:  Richard Hahn, University of Chicago

• David S. Matteson, Cornell University, “A Spatio-Temporal Mixture Model for Point Processes with Application to Ambulance Demand.”
• Irina Panovska, Washington University in St. Louis, “What Explains the Recent Jobless Recoveries.”
• Hongxia Yang, IBM, “Dynamic Latent Class Model Averaging for Online Prediction.”