Friday, October 17
12:00 – 5:00 | Registration Desk Open, Jack Matthews Lobby, Second Floor of Memorial Union South, 518 Hitt Street |
1:00 – 3:00 | Session 1: Information and Entropy Econometrics (Invited Session in Honor of George Judge) Room: Arvarh Strickland Room (South 203) Chair: Amos Golan Maximum Entropy Autoregressive Conditional Heteroskedastic (MEARCH) Models Anil K. Bera and Sung Yong Park Maximum Entropy Density Estimation with Grouped Data Ximing Wu and Jeffrey M. Perloff Modeling Land Use Decisions with Aggregate Data: Dynamic Land Use Douglas Miller and Andrew Plantinga Priors and Information-Theoretic Estimation Amos Golan and Henryk Gzyl |
3:00 – 3:30 | Break, Jack Matthews Lobby, Second Floor of Memorial Union South, 518 Hitt Street |
3:30 – 5:30 | Parallel Sessions Session 2: Panel Techniques Room: Arvarh Strickland Room (South 203) Chair: David Mandy Semiparametric Analysis of Generalized Panel Data: An Application Debasri Mukherjee and Aman Ullah Testing for PPP with Unknown Cross-Sectional Dependence and Heteroskedasticity Hailong Qian and Jack Strauss Bias in Dynamic Panel Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence Peter C. B. Phillips and Donggyu Sul On the Robustness of Fixed Effects and Related Estimators in Correlated Random Coefficient Panel Data Models Jeffrey M. Wooldridge Session 3: Bayesian Techniques Room: Gus Ridgel Room (South 204) Chair: Peter Mueser Bayesian Markov Mixture of Normals Approach to Option Pricing George Chang Compound Markov Mixture Models with Applications in Finance John Geweke and Giovanni Amisano Bayesian Inference when Data are Incidentally Truncated Siddhartha Chib, Edward Greenberg and Ivan Jeliazkov Bayesian Estimation and Hypothesis Testing of Identified Normalized VAR Models Shawn Ni and Dongchu Sun Session 4: Forecasting Room: Todd Room (South 207) Chair: Saku Aura Statistical Inference and the Optimism Principle Scott Gilbert On the Selection of Forecasting Models Atsushi Inoue and Lutz Kilian Forecast Accuracy and the Choice of Observation Window Michael W. McCracken and Todd E. Clark Nonlinear Analysis of Business Cycles Using Diffusion Indexes: Applications to Japan and the U.S. Mototsugu Shintani |
6:30 – 9:00 | Reception and Dinner Columns D & E, Reynolds Alumni Center After – Dinner Presentation: Some Comments on the Start and End of an Econometric Age George Judge (University of California, Berkeley) Also of interest: Bayesian Analysis of Golf by Arnold Zellner |
8:30 – 1:00 | Registration Desk Open, Jack Matthews Lobby, Second Floor of Memorial Union South, 518 Hitt Street |
8:30 – 9:00 | Continental Breakfast, Second Floor of Memorial Union South, 518 Hitt Street |
9:00 – 10:30 | Parallel Sessions Session 5: Econometric Modeling of the Macro Economy (Invited Session in Honor of George Judge) Room: Arvarh Strickland Room (South 203) Chair: Arnold Zellner Forecasting using Relative Entropy John C. Robertson, Ellis W. Tallman, and Charles H. Whiteman Inferring Policy Objectives from Economic Outcomes Richard Dennis The Marshallian Macroeconomic Model: A Progress Report Arnold Zellner and Guillermo Israilevich Session 6: Finance Forecasting Room: Gus Ridgel Room (South 204) Chair: Michael W. McCracken A Test for Density Forecast Comparison with Applications to Risk Management Yong Bao, Tae-Hwy Lee, and Burak Saltoglu Forecasting the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk? Alexei V. Egorov, Yongmiao Hong, and Haitao Li Jumps in Rank and Expected Returns: A Probabilistic Model for Momentum Strategies Gloria González-Rivera, Tae-Hwy Lee, and Santosh Mishra Session 7: Selection Models Room: Todd Room (South 207) Chair: Kenneth R. Troske Semiparametric Estimation of the Link Function in Binary-Choice Single-Index Models A. Tolga Ergün and Alan P. Ker Estimation of Dose-Response Functions and Optimal Treatment Doses with a Continuous Treatment Carlos A. Flores Estimation of Sample Selection Models with Spatial Dependence Alfonso Flores-Lagunes and Kurt Erik Schnier |
10:30 – 11:00 | Break, Jack Matthews Lobby, Second Floor of Memorial Union South, 518 Hitt Street |
11:00 – 12:30 | Parallel Sessions Session 8: Nonlinear Estimation Techniques Room: Arvarh Strickland Room (South 203) Chair: David Mandy Nonparametric Estimation of Sequential English Auctions Bjarne Brendstrup Fixed Effects and Bias Due to the Incidental Parameters Problem in the Tobit Model William Greene Penalized Triograms: Total Variation Regularization for Bivariate Smoothing Roger Koenker and Ivan Mizera Session 9: Macro Econometric Applications Room: Gus Ridgel Room (South 204) Chair: Shawn Ni Disaggregate Evidence on the Persistence of Consumer Price Inflation Todd E. Clark Contemporaneous Threshold Autoregressive Models: Estimation, Forecasting, and Rational Expectations Applications Michael Dueker, Martin Sola, and Fabio Spagnolo Using the Aggregate Demand-Aggregate Supply Model to Identify Structural Demand-Side and Supply-Side Shocks: Results Using a Bivariate VAR James Peery Cover, Walter Enders, and C. James Hueng Session 10: Time Series Estimation and Testing Room: Todd Room (South 207) Chair: Ronald A. Ratti Multivariate ARCH Models: Finite Sample Properties of ML Estimators and an Application to an LM-Type Test Emma M. Iglesias and Garry D. A. Phillips A Testing Procedure for a Unit Root in the STAR Model Rehim Kiliç A Misspecification-Robust Impulse Response Estimator Pao-Li Chang and Shinichi Sakata |
12:30 – 1:30 | Lunch Break, Jack Matthews Lobby, Second Floor of Memorial Union South, 518 Hitt Street |
1:30 – 3:00 | Parallel Sessions Session 11: Topics in Estimation (Invited Session in Honor of George Judge) Room: Arvarh Strickland Room (South 203) Chair: R. Carter Hill Gibbs’ Samplers for a Set of Seemingly Unrelated Regressions William Griffiths and Rebecca Valenzuela Semiparametric Hierarchical Bayes Analysis of Discrete Panel Data with State Dependence and Serial Correlation Siddhartha Chib and Ivan Jeliazkov Imposing parameter inequality restrictions using the principle of maximum entropy Randall C. Campbell and R. Carter Hill Session 12: Estimating Risk and Return Room: Gus Ridgel Room (South 204) Chair: Michael W. McCracken Volatility Asymmetry in High Frequency Data Julia Litvinova Estimation of Value-at-Risk and Expected Shortfall Based on Nonlinear Models of Return Dynamics and Extreme Value Theory Carlos Martins-Filho and Feng Yao Expectations Hypothesis Tests at Long Horizons Barbara Rossi Session 13: Exchange Rates Room: Todd Room (South 207) Chair: Emek Basker The Dominance of Downward Bias in Half-Life Estimates of PPP Deviations Chi-Young Choi, Nelson C. Mark and Donggyu Sul The Role of Adaptive Learning in Explaining the Link between Nominal Exchange Rates and Fundamentals Young Se Kim What do Real Interest Differentials Tell Us about the Real Exchange Rate? Nelson C. Mark and Young-Kyu Moh |
3:00 – 3:30 | Break, Jack Matthews Lobby, Second Floor of Memorial Union South, 518 Hitt Street |
3:30 – 5:30 | Parallel Sessions Session 14: Persistence Room: Arvarh Strickland Room (South 203) Chair: Joseph Haslag Nonlinear Estimators with Integrated Regressors but without Exogeneity Robert M. de Jong Powerful Trend Function Tests that are Robust to Strong Serial Correlation with an Application to the Prebisch-Singer Hypothesis Helle Bunzel and Timothy J. Vogelsang Covariance Based Orthogonality Tests for Regressors with Unknown Persistence Alex Maynard and Katsumi Shimotsu Testing for the Presence of Threshold Cointegration in a Threshold Vector Error Correction Model Myunghwan Seo Session 15: Micro Econometric Applications Room: Gus Ridgel Room (South 204) Chair: Patricia Gladden Financial Development and Innovative Activities Pilhyun Kim Using State Administrative Data to Measure Program Performance Peter Mueser, Kenneth R. Troske and Alexey Gorislavsky Testing Equilibrium Behavior at First-Price, Sealed-Bid Auctions with Discrete Bid Increments Harry J. Paarsch and Jacques Robert Insurance Arrangements among Married Couples and their Effect on Health Care Utilization David M. Zimmer Session 16: Additional Topics in Econometrics Room: Todd Room (South 207) Chair: Xinghe Wang Credible IV Estimation/Inference using Flawed Instruments Richard Ashley Technical Efficiency and Total Factor Productivity Analysis Across U.S. States: 1977-2000 Subhash C. Sharma, Kevin Sylwester, and Heru Margono Testing for Spatial Dependence and a Formulation of Spatial ARCH (SARCH) Model with Applications Anil K. Bera and Pradosh Simlai A New Alternative to Likelihood Ratio and Related Methods of Hypothesis Testing Lawrence C. Marsh and Joseph A. Stevano |
5:30 | End of Conference |