MIDWEST ECONOMETRICS GROUP
4TH ANNUAL MEETING

UNIVERSITY OF IOWA
Sept. 23-Sept. 24, 1994

Econometric Methods for Finance

Chair: Narayana Kocherlakota, University of Iowa

Yacine Ait Sahalia, University of Chicago: "Nonparametric Pricing of Interest Rate Derivative Securities"

Torben G. Andersen, Northwestern University, and Bent E. Sorensen, Brown University: "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study"

Christopher J. Neely, Federal Reserve Bank of St. Louis: "A Reconsideration of the Properties of the GMM in Asset Pricing Models"

Methods for Cross-Sectional and Panel Data

Chair: Roger Koenker, University of Illinois

Wanhong Hun and G.S. Maddala, Ohio State University: "Estimation and Prediction Problems in Dynamic Heterogeneous Panel Data Models"

James P. Ziliak, University of Oregon, and Thomas J. Kniesner, Indiana University: "The Sensitivity of Life-Cycle Labor Supply Estimates to Sample Attrition"

John R. Schroeter, Iowa State University, and Scott L. Smith, U.S. General Accounting Office: "An Empirical Study of U.S. Forest Service Timber Auctions"

Thomas J. Kniesner, Indiana University, and Qi Li, University of Guelph: "Semiparametric Panel Data Models with Heterogeneous Dynamic Adjustment: Theoretical Considerations and an Application to Labor Supply"

Macroeconomics

Chair: N.E. Savin, University of Iowa

David DeJong, University of Pittsburgh, Beth Ingram, University of Iowa, and Charles Whiteman, University of Iowa: "Beyond Calibration"

Andrew J. Filardo, Federal Reserve Bank of Kansas City, and Stephen F. Gordon, Universite Laval: "International Co-Movements of Business Cycles"

Kiseok Lee, University of Missouri: "The Natural Rate Hypothesis and Short- and Long-Term Movements of Unanticipated Inflation"

R. Anton Braun, Federal Reserve Bank of Minneapolis, and Lawrence J. Christiano, National Bureau of Economic Research: "Is Long-Run M1 Demand Stable?"

Empirical Finance

Chair: Beth Ingram, University of Iowa

May Hagiwara and Miguel A. Herce, University of North Carolina: "Risk Aversion and Stock Price Sensitivity to Dividends"

Salim M. Darbar, Florida Atlantic University, and Partha Deb, Indiana University-Purdue University at Indianapolis: "Co-Movements in International Equity Markets"

Vijay Bhawnani, John A. Carlson and K. Rao Kadiyala, Purdue University: "Speculative Attacks and Balance of Payments Crises in Developing Economics with Dual Rate Regimes"

Econometric Theory

Chair: Arnold Zellner, University of Chicago

Shiferaw Gurmu, University of Virginia, Paul Rilstone, UniversitŽ Laval, and Steven Stern, University of Virginia: "Nonparametric Hazard Rate Estimation"

Steven T. Yen, Iowa State University: "An Inverse Hyperbolic Sine Double Hurdle Model with Dependent Errors"

Naresh C. Mallick, University of Illinois: "Specification Test for Frontier Models"

Spatial and Temporal Dependence

Chair: Thomas J. Kniesner, Indiana University

Matthew L. Higgins, University of Illinois: "A Smooth Transition GARCH Model"

Anil K. Bera, University of Illinois, and Mann J. Yoon, California State University at Los Angeles: "Simple Diagnostic Tests for Spatial Dependence"

J.C. Nankervis, University of Sussex, and N.E. Savin, University of Iowa: "Bootstrapping the t Test in the Trend Model with AR(1) Errors"

Bayesian Methods

Chair: Anil K. Bera, University of Illinois

Arnold Zellner, University of Chicago: "Bayesian Method of Moments/Instrumental Variable (BMOM/IV) Analysis of Mean and Regression Models:

Siddhartha Chib, P.-H. Chun, and Edward Greenberg, Washington University: "Bayesian Analysis of Simultaneous Equation Models by Markov Chain Monte Carlo Methods"

Lawrence Marsh, University of Notre Dame, and Arnold Zellner, University of Chicago: "Bayesian Solutions to a Class of Selection Problems"