10th Annual Meeting
October 20 and 21, 2000
University of Chicago
Irving B. Harris Graduate School of Public Policy
1155 E. 60th Street
Chicago IL 60637
Program
Friday, October 20, 2000
1-1:30
Opening Session (Room 142)
Remarks and Instructions
Lawrence Marsh
Notre Dame University
1:30-3:30
Non-Parametric Methods 1 (Room 140C)
Chair: Rosa Matzkin, Northwestern University
Estimating Parameters Under Conditional Moment Restrictions By Smoothing the Empirical Likelihood
Yuichi Kitamura, Gautam Tripathi,* Hyungtaik Ahn
University of Wisconsin; University of Wisconsin; Korea Information Society Development Institute
Semiparametric Estimation of Heteroscedastic Binary Choice Sample Selection Models under Symmetry
Songnian Chen
Hong Kong University of Science and Technology
Semiparametric Identification of the Average Treatment Effect in Nonseparable Models
Edward Vytlacil
Stanford University
Estimation of a Nonparametric Censored Regression Model
Shakeeb Khan* and Songnian Chen
University of Rochester; Hong Kong University of
Science and Technology
Financial Econometrics (Room 140B)
Chair: Jaap Abbring, University of Chicago
Conditional Jump Dynamics in Stock Market Returns
Wing H. Chan* and John M. Maheu
University of Alberta
Beyond Merton's Utopia: Effects of non-normality and dependence on the precision of
variance estimates using high-frequency financial data
Xuezheng Bai,* Jeffrey R. Russell and George C. Tiao
University of Chicago
Estimation of
a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic
Function Method
Jun Yu
University of Auckland
3:30-4:00 Break
4:00-6:00
Structural
Econometrics (Room 140B)
Chair: Jeffrey Campbell, University of Chicago
Identification
of Standard Auction Models
Susan Athey and Philip Haile*
Massachusetts Institute of Technology; University of Wisconsin
Deciding between Competition and Collusion in Procurement Auctions
Patrick Bajari* and Lixin Ye
Stanford University
Econometrics of First-Price Auctions with Entry and Binding Reservation Prices
Tong Li
Indiana University
An Equilibrium Model of Health Insurance Provision and Wage Determination
Matthew Dey* and Christopher Flinn
University of Chicago; New York University
Time Series 1 (Room 140C)
Chair: George Tiao, University of Chicago
Complex Unit Roots and Business Cycles: Are They Real?
Herman Bierens
Pennsylvania State University
Tests for Non-Linear Decay Using a Fourier Approximation
Walter Enders* and Jorge Ludlow
University of Alabama; Universidad Autonoma
Metropolitana
Measuring lag structure in forecasting models - the introduction of Time Distance
Clive W. J. Granger and Yongil Jeon*
University of California, San Diego; Central Michigan University
Separation, Weak Exogeneity and P-T Decompositions in Cointegrated VAR Systems with Common Features
A. Hecq, F.C.Palm, and J.-P. Urbain*
University of Maastricht
7:00-10:00
Reception and Dinner
Jackson Harbor Grill
6401 S. Coast Guard Drive
Chicago IL 60649
(773) 288-4442
Annual After-Dinner Speech
Rosa Matzkin
Northwestern University
Saturday, October 21, 2000
8:00-10:00
Topics in Applied Econometrics(Room 140C)
Chair: James J. Heckman, University of Chicago
The Relationship Between Wage Growth and Wage Levels
Tricia Gladden* and Christopher Taber
Lousiana State University; Northwestern University
Premarital Birth, First Marriage, and the Role of Welfare and Marriage Market Factors: A
Nonparametric Competing Risks Analysis
Jose Canals and Shiferaw Gurmu*
University of Colorado; Georgia State University
Econometric Analysis of a Self-Selection Model with Multiple Outcomes Using
Simulation-Based Estimation: An Application to the Demand for Healthcare
Murat K. Munkin* and Pravin K. Trivedi
Indiana University
Data Mining and Out of Sample Inference
Michael W. McCracken
Louisiana State University
Quantile Methods (Room 140A)
Chair: Philip Haile, University of Wisconsin
Inference on the Quantile Regression Process
Roger Koenker* and Zhijie Xiao
University of Illinois
Comparing Quantile Estimators for the Linear Model
Keith Knight,* Gilbert W. Bassett, Jr., and Mo-Yin S. Tam
University of Toronto; University of Illinois at Chicago; University of Illinois at Chicago
Simple Resampling Methods for Censored Regression Quantiles
Yannis Bilias,* Songnian Chen, Zhiliang Ying
Iowa State University and University of Cyprus; Hong Kong University of Science and
Technology; Rutgers University
Binary Regression Quantiles
Gregory Kordas
University of Illinois
Macroeconomics and the Econometrics of Trade (Room 140B)
Chair: Herman Bierens, Pennsylvania State University
The Structural Error Correction Models for Real Exchange Rates of Traded Goods: A System
Approach
Jaebeom Kim
SUNY, Binghamton
Optimal Industrial Classification in a Model of International Transmission of Price
Changes
John S. Chipman* and Peter Winker
University of Minnesota; University of Mannheim
European Business Cycles: A Gibbs Sampling Approach
Michael Dueker* and Katrin Wesche
Federal Reserve Bank of St. Louis; University of Bonn
Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long Run
John Keating
University of Kansas
10:00-10:30 Break
10:30-12:30
Panel Data Analysis (Room 142)
Chair: Jaap Abbring, University of Chicago
A Simple Powerful Unit Root Test in Heterogeneous Panels
Peter Pedroni* and Tim Vogelsang
Indiana University; Cornell University
Confirmatory Analysis in Panel Unit Root Tests and an application
Chi-Young Choi
The Ohio State University
Analysis of Longitudinal Treatment Data
Siddhartha Chib* and Barton Hamilton
Washington University, St. Louis
The Formulation and Estimation of Panel Data Treatment Effects
Karsten Hansen*, James Heckman and Edward Vytlacil
University of Chicago; University of Chicago; Stanford University
Time Series 2 (Room 140B)
Chair: John Chipman, University of Minnesota
Spurious Break in Cointegrated Systems under Heavy Tailed Errors
Mehmet Caner* and Barry Falk
University of Pittsburgh; Iowa State University
Dynamic Seemingly Unrelated Cointegrating Regression
Nelson C. Mark, Masao Ogaki, and Donggyu Sul*
The Ohio State University
A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions
Ventzislav Ivanov and Lutz Kilian*
University of Michigan
Partially Linear Models with Unit Roots
Ted Juhl* and Zhijie Xiao
University of Kansas; University of Illinois
A Nonparametric Prewhitened Covariance Estimator
Zhijie Xiao* and Oliver Linton
University of Illinois; London School of Economics
12:30-1:30 Lunch
1:30-3:30
Deconvolution, Mixtures and Errors in Variables (Room 142)
Chair: Edward Vytlacil, Stanford University
Limit Results for Mixing Distributions in Exponential Mixtures
Jaap Abbring* and Gerard van den Berg
University of Chicago; Free University, Amsterdam
Estimation of the Structural Errors-in-Variables Negative Binomial Regression Model:
Simulation Based Methods and Application
Jie Q. Guo* and Tong Li
Indiana University
Rank Estimation of Tranformation Models
Songnian Chen
Hong Kong University of Science and Technology
A Bayesian GMM in Large Samples
Atsushi Inoue
North Carolina State University
Bayesian Econometrics (Room 140C)
Chair: Arnold Zellner, University of Chicago
Estimating the Efficiency of Labor in Ukranian Collective Farms
Lyubov Kurkalova* and Alicia Carriquiry
Center for Agricultural and Rural Development; Iowa State University
Bayesian Modeling of Economies and Data Requirements
Arnold Zellner* and Bin Chen
University of Chicago
Learning from structural vector autoregression models
Stephen Gordon* and Dorothee Boccanfuso
Universite Laval
Bayesian Inference of Long-memory Stochastic Volatility via Wavelets
Mark J. Jensen
University of Missouri
3:30-4:00 Break
4:00-6:00
IV and Non-Parametric Methods (Room 140C)
Chair: Matthew Dey, University of Chicago
Can Nonparametric Estimators Outperform Parametric Models With High Dimensional Data?
Qi Li* and Jeff Racine
Texas A&M University; University of South Florida
IV Estimation Methods Robust to Weak Instruments
Alfonso Flores-Lagunes
The Ohio State University
Reliability of Statistical Ranking via Sample Moments
Scott Gilbert
Southern Illinois University
Testing and Entropy (Room 140B)
Chair: Karsten Hansen, University of Chicago
Simple Statistics for Testing Curvature
Jason Abrevaya
University of Chicago
Testing for Autoregressive Conditional Duration
Matthew Higgins
Western Michigan University
An Omnibus Test of Normality Using Geary's Skewness and Kurtosis Statistics
Dong W. Cho and Kyung So Im*
Wichita State University
Maximum Entropy and Information Theory: The Linear Model
Amos Golan
American University