Friday, October 1
12:30 p.m. - Shuttle Service from the Sheraton Clayton Plaza to the Charles F. Knight Executive Education Center (2 trips).
12:45-1:30 p.m. – Boxed lunches will be available in the Knight Center, Room 340.
1:15 p.m. – Welcoming remarks.
1:30-3:00 p.m.
Session 1A - Causal Inference, Rm 200
Chair: S. Ramamurthy
Y. Hsu - Inverse Propensity Score Weighted Estimation of Local Average Treatment Effects and a Test of the Unconfoundedness Assumption
T. Kitagawa - Inference and Decision for Set Identified Parameters Using the Posterior Lower and Upper Probabilities
S. Song - Identification and Estimation of Nonseparable Models with Measurement Errors
Session 1B - Kernel and Local Polynomial Estimation, Rm 210
Chair: Xi Qu
C. Liu - Averaging Estimators for Kernel Regressions
J. Krief - A Kernel Weighted Smoothed Maximum Score Estimator for the Endogenous Binary Choice Model
P. Saraiva - On Asymptotic Normality of the Local Polynomial Reegression Estimator with Stochastic Bandwidths
Session 1C - Estimation in Complex Problems, Rm 211
Chair: Jason Abrevaya
B. Chu - Large Deviations Estimation of the Windfall and Shortfall Probabilities for Optimal Diversified Portfolios
A. Mele - Segregation in Social Networks: Theory, Estimation and Policy
K. Song - Robust Estimation of Some Nonregular Parameters
Session 1D - Regression and Correlation Analysis, Rm 220
Chair: Kyu Ho Kang
C. Bennett - On Bidirectional Tests For Stochastic Dominance
Y. Shin - Testing For Threshold Effects in Regresssion Models
M. Wohar - Long Memory Regressors and Predictive Regressions: A Two-Stage Rebalancing Approach
3:00-3:30 p.m. - Break
3:30 – 5:00 p.m.
Session 2A - Bayesian Modeling and Estimation, Rm 200
Chair: Edward Greenberg
M. Burda - Bayesian Multivariate Semiparametric Count Data Model with Selection of Attributes
M. Craioveanu - The Impact of Storms on Firm Survival: A Bayesian Spatial Econometric Model for Firm Survival
K. Kang - State-Space Models with Endogenous Markov Regime Switching Parameters
S. Ramamurthy - Term Structure of Interest Rates in a DSGE model with Regime Changes
Session 2B - Unit Roots, Cointegration, Rm 210
Chair: Bruce Hansen
J. Li - System-Equation ADL Tests for Threshold Cointegration
X. Qu - Sums of Exponentials of Random Walks With Drift
X. Shi - Nonlinear Cointegrating Regression Under Weak Identification
M. Shintani - Consistent cotrending rank selection when both stochastic and nonlinear deterministic trends are present
Session 2C - Finance, Rm 211
Chair: Michael McCracken
R. Luger - Testing linear factor pricing models with large cross-sections: a distribution-free approach
D. Rapach - Out-of-Sample Equity Premium Predictability: Economic Fundamentals vs. Moving-Average Rules
Y Wang - Bias in the Mean Reversion Estimator in the Continuous Time Gaussian and Levy Processes
Session 2D - GMM and Empirical or quasi-Likelihood, Rm 220
Chair: Mehmet Caner
R. Ashley - Sensitivity Analysis of GMM Inference with Potentially Misspecified Moment Conditions
S. Chaudhuri - On the use of the Implied Probabilities in conducting a Score test
Z. Qu - Identification and Frequency Domain QML Estimation of Linearized DSGE Models
5:00 p.m. - Shuttle Service to the Sheraton Clayton Plaza (2 trips).
6:15 p.m. - Shuttle Service to the Charles F. Knight Executive Education Center. (2 trips).
6:30 p.m. - Reception - sponsored by the FRB, St. Louis.
7:00 p.m. - Dinner in the Dining Hall, Charles F. Knight Executive Education Center.
After dinner remarks in memory of Arthur S. Goldberger and Arnold Zellner: Bruce Hansen, Edward Greenberg and Siddhartha Chib.
9:00 p.m. - Shuttle Service to the Sheraton (2 trips).
Saturday, October 2
Breakfast will be available in the hotel restaurant as well as a continental breakfast in the 2nd floor break area of the Charles F. Knight Executive Education Center.
7:45 a.m. - Shuttle Service to the Knight Center (2 trips).
8:30 -10:00 a.m.
Session 3A - Panel Models and Methods, Rm 200
Chair: Siddhartha Chib
J. Abrevaya - On Estimation of Partial Effects in Non-linear Panel Data Models
D. Baglan - Efficient Estimation of a Partially Linear Dynamic Panel Data Model with Fixed Effects: Application to Unemployment Dynamics in the U.S.
G. Eryuruk - The Time Series and Cross-Section Asymptotics of Empirical Likelihood Estimator in Dynamic Panel Data Models
M. Kim - Impact of Initial Conditions on Dynamic Panel Estimation
Session 3B - Testing for Change Points, Rm 210
Chair: Kyoo il Kim
Y. Eo - Bayesian Inference about the Number and Types of Structural Breaks when there are Many Breaks
X. Shao - Testing for Change Points in Time Series
M. Kejriwal - Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation
M. van Kampen - A Nonparametric Constancy Test for Copulas Under Mixing Conditions
Session 3C - Quantile Inference, Rm 211
Chair: Gray Calhoun
C. Goh - Specification Analysis of Structural Quantile Regression Models
Y. Lee - Density-Weighted Average Quantile Derivative
N. Lin - Bayesian Regularized Quantile Regression
Y. Wang - Inference in Predictive Quantile Regressions
Session 3D - Instrumental Variable, Rm 220
Chair: Jeff Mills
Q. Fan - The Adaptive Lasso Method for Instrumental Variable Selection
K. Kim - Control Functions for a Class of Non-Separable Models without Independence and Monotonicity
K. Smolinski - IV Models of Ordered Choice
10-10:15 a.m. – Break
10:15-11:45 a.m.
Session 4A - Forecast Evaluation, Rm 200
Chair: Xiaofeng Shao
G. Calhoun - The Empirical Behavior of Out-of-Sample Forecast Comparisons
B. Hansen - Multi-Step Forecast Model Selection
S. Park - Density Forecast Evaluation Using Data-Driven Smooth Test
M. McCracken - Reality Checks and Nested Forecast Model Comparisons
Session 4B - Panel Methods, Rm 210
Chair: Nan Lin
J. Blevins - Partial Identification and Inference in Binary Choice and Duration Panel Data Models
R. Greenway-McGrevy - Multistep Prediction of Panel Autoregressive Processes
G. Karras - Are the Effects of Tax Changes Asymmetric? Evidence for a panel of OECD countries
J. Lee - Stationarity of Inflation: Evidence from Panel Unit Root Tests with Trend Shifts
D. Sul - X-Differencing and Dynamic Panel Model Estimation
Session 4C - Spatial Econometircs, Rm 211
Chair: Martin Burda
Y. Bao - GMM Estimation of the Spatial Autoregressive Model in a System of Interrelated Networks
C. Hsieh - A Social Interactions Model with Endogenous Friendship Formation and Selectivity
F. Jin - Exploring Spatial Dependence - Starting from the Moran's I and the APLE Statistics
M. Sen - Improbable Nature of Implied Correlation Matrix from Spatial Regression Models
Session 4D - Monetary Policy, Rm 220
Chair: Ricardo DiCecio
V. Valcarcel - The Dynamic Adjustments of Stock Prices to Monetary Shocks
J. Keating - Time Varying Effects of Permanent and Transitory Shocks to Output
P. Kapinos - Forward Looking Monetary Policy and Anticipated Shocks to Inflation
G. Zhou - A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
11:45-1 p.m – Lunch in the Dining Hall, Charles F. Knight Executive Education Center
1-2:30 p.m.
Session 5A - Garch and Volatility Estimation, Rm 200
Chair: Guofu Zhou
D. Cho - Trade Intensity, Carry Trades, and FX Volatility
H. Han - Asymptotic Properties of GARCH-X Processes
M. Jahan-Parvar - Modeling Market Downside Volatility
J. Wu - Threshold GARCH Model: Theory and Application
Session 5B - Nonparametric and Semiparametric Problems, Rm 210
Chair: Edward Greenberg
J. Escanciano - Identification and Estimation of Semiparametric Two Step Models
D. Jacho-Chavez - k-Nearest Neighbour Estimation of Inverse-Density-Weighted Expectations with Dependent Data
Y. Tu - Bagging Nonparametric and Semiparametric Forecasts
Session 5C - Labor Economics, Rm 211
Chair: Kevin Staub
H. Atasoy - Broadband Internet Effects on Labor Market
K. Hood - Aggregate Effects and Measuring Regional Dynamics
N. Le - Wage dispersion and skill premium in the US during the 1980's - The role of primary factor frictions
P. Mueser - Labor-Market Returns to the GED Using Regression Discontinuity Analysis
Session 5D - Discrete Choice, Rm 220
Chair: Seethu Seetharaman
N. Khorunzhina - Dynamic Model of Household's Stock Market Participation
K. Kretschman - Using Primary Elections to Control for Selection of U.S. Congressional Candidates
A. Petrin - The Interaction of Observed and Unobserved Factors in Discrete Choice Demand Models
2:30-2:45 p.m. – Break
2:45 – 4:15 p.m.
Session 6A - Macro-Economics, Rm 200
Chair: John Keating
L. Donayre - The Role of Aggregation in the Nonlinear Relationship between Monetary Policy and Output
J. Miller - A New Perspective on the Oil Price-Macroeconomy Relationship Focusing on Oil Price Forecasts
J. Strauss - Forecasting U.S. State-Level Employment Growth: An Amalgamation Approach
T. Wada - Oil Price Shocks and Industrial Production: Is the Relationship Linear?
Session 6B - Housing, Rm 210
Chair: Peter Mueser
E. Hillebrand - Temporal Correlation of Defaults in Subprime Securitization
K. Kishor - What Moves the Price-Rent Ratio: A Latent Variable Approach
Z.Shan - A Bounds Approach for Housing Price Indexes
Y. Xu - Out-of-State Non-Local Mortgages
Session 6C - Testing, Rm 211
Chair: David Jacho-Chavez
A. Ghosh - Smooth Test for Equality of Distributions
I. Medovikov - A Test Of Independence Assumption In Econometric Models
T. Parker - Goodness of Fit Tests Using Kernel-Transformed Empirical Processes with Estimated Parameters
Shu Shen - Testing for Stochastic Marginal Effects
Session 6D - Health, Trading and Policy Rm 220
Chair: Monalisa Sen
G. Best - Policy Preferences and Policymakers' Beliefs: The causes of the Great Ination in the U.S.
K. Staub - A Causal Interpretation of Extensive and Intensive Margin Effects in Corner Solution Models
V. Vachharajani - Childhood Malnutrition in Ghana
4:15 p.m. - Shuttle Service to the Sheraton (2 trips).
If you will need a cab to the airport from the Knight Center at this time, please let the person at the front desk know.
