MIDWEST ECONOMETRICS GROUP
2ND ANNUAL MEETING
Sept. 11 & Sept. 12, 1992
Federal Reserve Bank of Minneapolis
Econometric Problems in Panel Data
Chair and discussion leader: David Runkle, Federal Reserve Bank of Minneapolis and University of Minnesota
- Audra Bowlus, University of Iowa
- "Job Match Quality Over the Business Cycle"
- Stephen R. Cosslett, Ohio State University
- "Maximum Likelihood Estimation Subject to Aggregate Constraints
- Beum-Jo Park, University of Illinois-Champaign
- "Quantile Regression and the Duration of Unemployment"
- Lung-fei Lee, University of Michigan
- "Asymptotic Bias in Maximum Simulated Likelihood Estimation of Discrete Choice Models"
Time Series in the Long Run
Chair and discussion leader: Danny Quah, Federal Reserve Bank of Minneapolis and London School of Economics
- In Choi, Ohio State University
- "Residual Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series"
- Beth Fisher Ingram, University of Iowa (with N.E. Savin, University of Iowa)
- "Explaining Business Cycles: A Multiple Shock Approach"
- Naresh C. Mallick, University of Illinois-Champaign
- "The Mean-Squraed Error of Forecast and its Boundedness for the Unit Root and the Trend Stationary Models"
- Margie A. Tieslau, Michigan State University
- "A Generalized Method of Moments Estimator for Long-Memory Processes"
Dinner
- Peter Schmidt, Michigan State University
- "Some Easy-to-Digest After-Dinner Remarks"
Bayesian Methods for Time Series
Chair and Discussion Leader: John Geweke, University of Minnesota and Federal Reserve Bank of Minneapolis
- Siddhartha Chib, Washington University (with Edward Greenberg, Washington University)
- "Bayes Inference via Gibbs Sampling in Regression Models with AR(p) and MA(q) Errors"
- Charles Whiteman, University of Iowa (With Beth Fisher Ingram, University of Iowa)
- "Toward a New 'Minnesota' Prior: Forecasting and Conditional Projection Using Real Business Cycle Model Priors"
- Arnold Zellner, University of Chicago
- "Time Series Analysis, Forecasting and Econometric Modeling: The Structural Econometrics Modeling, Time Series Anlysis 9SEMTSA) Approach"
Regression Methods
Chair and Discussion Leader: John Geweke, University of Minnesota and Federal Reserve Bank of Minneapolis
- Lawrence Marsh, University of Notre Dame (with Kevin Brunson, University of Notre Dame)
- "Selected Shrinkage Estimators and Principal Elements Regression"
- SungSup Ra, University of Illinois-Champaign
- "Testing for the Regression Coefficient Stability"
- N.E. Savin, University of Iowa (with Douglas A. McManus, Federal Reserve System, and John C. Nankervis,City of London Polytechnic)
- "Multiple Optima and Asymptotic Approximations in the Partial Adjustment Model"
- Leigh Tesfatsion, Iowa State University (with Robert Kalaba, Iowa State University)
- "Multicriteria Estimation"
Financial Time Series
Chair and Discussion Leader: Danny Quah, Federal Reserve Bank of Minneapolis and London School of Economics
- Anil K. Bera, University of Illinois-Champaign (with Xiao-Lei Zuo, University of Illinois)
- "Specification Test for a Linear Regression Model with ARCH Process"
- Peter Rossi, University of Chicago (with Eric Jacquier, Cornell University, and Nick Polson, University of Chicago)
- "Bayesian Analysis of Stochastic Volatility Models"
- Houston H. Stokes, University of Illinois-Chicago (with Hugh M. Neuburger, consultant)
- "Detecting and Modeling Nonlinearity in Stock Returns"
Nonstandard Estimation and Testing Problems
Chair and Discussion Leader: Scott Thompson, University of Minnesota
- Joel Horowitz, University of Iowa (with Geert Ridder, University of Groningen)
- "Root-N Consistent Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable"
- Yum-keung Kwan, University of Chicago (with Ingrid Tierens, University of Chicago)
- "Estimating Non-linear Rational Expectation Models by Simulated Method of Partial Likelihood"
- Pravin K. Trivedi, Indiana University (with A. Colin Cameron, University of California-Davis)
- "Tests of Independence in Parametric Models: With Applications and Illustrations"
- Weiren Wang, University of Kentucky (with Mai Zhou, University of Kentucky)
- "Semi-Parametric Estimation of Disequilibrium Models"