NBER/NSF TIME SERIES CONFERENCE

September 19 and 20, 2003

September 19^th

8:00   –   8:30             Registration/Continental Breakfast

8:30   –   8:35             Opening Remarks

8:35   – 10:15             Session 1:  Inference and State Space Models

Chair: Ruey Tsay

                  Author -   Richard A. Davis – rdavis@stat.colostate.edu

                  Paper -   Estimation for State-Space Models:  an Approximate Likelihood Approach.

                  Discussant  -   John Aston– john.alexander.aston@census.gov

                  Author -   Rong Chen  – rongchen@uic.edu

                  Paper -   Compositional Seasonal Time Series Models.

                  Discussant  -  David Findley  – david.f.findley@census.gov

                  Author -   Xiao-Li Meng – meng@stat.harvard.edu

                  Paper   -   From Unit Root to Stein Estimator to Fisher K-statistic – If You Have a Moment, I can Tell you More …

                  Discussant –  Henry Lin (Jin-Lung Lin) – jlin@beta.wsl.sinica.edu.tw

10:15 – 10:40        Break

10:40 – 12:20             Session 2:  ARCH Models

Chair: Frank Diebold

                  Author -   Rainer Dahlhaus – dahlhaus@statlab.uni-heidelberg.de

                  Paper -   Statistical inference for time-varying ARCH processes

                  Discussant – Doug Steigerwald – doug@econ.ucsb.edu

Author -   Gloria Gonzalez-Rivera – ggonzale@galaxy.ucr.edu

Paper   -   Jumps in Rank and Expected Returns Introducing Varying Cross-sectional Risk

                  Discussant – Ray Chou – rchou@econ.sinica.edu.tw

                  Author -   Qiwei Yao – q.yao@lse.ac.uk

                  Paper -   Least absolute deviations estimation for GARCH models

                  Discussant –  Xiaohong Chen – xiaohong.chen@nyu.edu

12:20 –   1:45            Lunch

1:45   –   3:25             Session 3: Specification and Testing

Chair: John Geweke

                  Author -   Jin-chuan Duan – Jcduan@Rotman.Utoronto.Ca

                  Paper   -   A Specification Test for Time Series Models by a Normality Transformation

                  Discussant – Atsushi Inoue – atsushi@unity.ncsu.edu

                  Author -   Chuang-Ming Kuan – ckuan@econ.sinica.edu.tw

                  Paper -   A New Test of the Martigale Difference Hypothesis

                  Discussant – Guido Kuersteiner – gkuerste@MIT.EDU

                  Author -   Granville Tunnicliffe-Wilson – g.tunnicliffe-wilson@lancaster.ac.uk

                  Paper -   A test for improved forecasting performance at higher lead times

                  Discussant – Robin Carter – cart025@attglobal.net

3:25   –   3:50            Break

3:50   –   5:30             Session 4:  Model Selection and Forecasting

Chair: Jim Stock

                  Author -   Jonathan Hosking – hosking@us.ibm.com

                  Paper -   Models and forecasts based on evolving information

                  Discussant – Siem Jan Koopman  – s.j.koopman@feweb.vu.nl

                  Author -   Robert McCulloch – rem@gsb.uchicago.edu

                  Paper -   On the Determination of General Scientific Models

                  Discussant – Jay Breidt  – jbreidt@stat.colostate.edu

                  Author -   Daniel Pena – dpena@est-econ.uc3m.es

                  Paper -   Multifold Cross-validation in ARMAX Time Series Models

                  Discussant – Lutz Kilian – lutz.kilian@ecb.int

7:00           Conference dinner joint with University of Chicago Graduate School of Business retirement dinner for George Tiao.  To be held on the 6th floor of the Gleacher center.  

September 20^th

8:00 – 8:30 Continental Breakfast

8:30  – 10:10             Session 5:  Multivariate Time Series

Chair: Jeffrey Russell

                  Author -   Kung-Sik Chan – kchan@stat.uiowa.edu

                  Paper -   Multivariate Reduced-rank Nonlinear Time Series Modelling

                  Discussant – Mohsen Purahmadi – pourahm@math.niu.edu

                  Author -   Manfred Deistler – deistler@tuwien.ac.at

                  Paper   -   An analysis of the parametrization by data driven local coordinates for
                                  multivariable linear systems

                  Discussant –R. J. Bhansali – sa17@liverpool.ac.uk

                  Author -   Mark Watson – mwatson@Princeton.edu

                  Paper   -   Optimal Tests for Reduced Rank Time Variation in Regression Coefficents and for Level Variation in the Multivariate Local Level Model

                  Discussant – Zongwu Cai – zcai@uncc.edu

10:10 – 10:30            Break

10:30 – 12:10             Session 6:  Financial Applications and Continuous Time Models

Chair: Mark Watson

                  Author -   Peter Brockwell – pjbrock@stat.colostate.edu

                  Paper -   Fractional Integration of Continuous-time ARMA Processes

                   Discussant – Howell Tong

                  Author -   John Geweke – john-geweke@uiowa.edu

                  Paper -   Compound Markov Mixture Models with Applications in Finance

                  Discussant – Hedibert Lopes – hedibert@im.ufrj.br

                  Author -   Takeaki Kariya – kariya@kier.kyoto-u.ac.jp

                  Paper -   Weather Risk Swap Pricing

                  Discussant – Steven Kou – sk75@columbia.edu

12:10 –    2:00            Lunch and Poster Session

2:00   –   3:40             Session 7:  Spacial Statistics and Applications

Chair: Mike Stein

                  Author -   Ngai Hang  Chan – nhchan@stapc123.sta.cuhk.edu.hk

                  Paper -   A class of Models for Aggregated Network Traffic Volume

                  Discussant – Nick Polson – nickolas.polson@gsb.uchicago.edu

                  Author -   Marc G. Genton – genton@stat.ncsu.edu

                  Paper -   Predictive spatio-temporal models for spatially sparse environmental data

                  Discussant – Dongseok Choi  – choid@ohsu.edu

                  Author -   Xu-Feng Niu – niu@stat.fsu.edu –

                  Paper   -   Space-Time Models for Count Processes with Application to Hurricane Activity Analysis

                  Discussant  -  Cathy Chen  – chenws@fcu.edu.tw 

3:40   –   4:00             Break

4:00   –   5:40             Session 8:  Regime Switching and Jumps

Chair: Richard Davis

                  Author -   Tim Bollerslev – boller@econ.duke.edu

                  Paper -   Measuring, Modeling, and Forecasting Realized Volatilities and Jumps

Discussant – Valentina Corradi – V.Corradi@exeter.ac.uk

Author -   Aaron Smith – adsmith@ucdavis.edu

                  Paper -   Level Shifts and the Illusion of Long Memory in Economic Time Series

                  Discussant – Rohit Deo – rohitdeo@yahoo.com

                  Author -   George Tauchen – george.tauchen@duke.edu

                  Paper   -   Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle

                  Discussant – Douglas Patterson  - amex@vt.edu

9:00           Desert party hosted by George Tiao.  Location TBA

POSTER SESSION

Mr. John Aston

US Census Bureau

A Non-Gaussian Airline Model for Robust Seasonal Adjustment

Prof. Yong Bao

University of California, Riverside

The Second-Order Bias and Mean Squared Error of Estimators in Time Series Models*

Prof. Xiaohong Chen (coauthor in place of Prof. Yanquin Fan)

Vanderbilt University

Simple Tests for the Specification of a Parametric Copula in Semiparametric Copula-Based Multivariate Time Series Models

Prof. David D. Cho

SUNY Buffalo

Uncertainty in Second Moments: Implications for Portfolio Allocation.

Prof. Rohit Deo

New York University

On Forecasting Realized Volatility with High Frequency Returns

Michael Eichler

Department of Statistics

University of Chicago

Graphical modelling of causal structures with latent variables

Prof. Silvia Goncalves

Universite de Montreal

Asymptotic and Bootstrap Inference for AR(00) Processes with Conditional Heteroskedasticity

Mr. Jan Groen

Bank of England

Real Exchange Rates and the Relative Prices of Non-Traded and Traded Goods: An Empirical Analysis

Prof. Yongil Jeon

Central Michigan University

Density Forecasting with Macroeconomic Survey Data

Prof. Sune Karlsson

Stockholm School of Economics

Forecasting with many predictors

Prof. Haitao Li

Cornell University

Out-of-Sample Evaluation for Multivariate Continuous-Time Models with Applications to Affine Term Structure Models

Prof. Henry Lin and Chung-Hsu Wu

Academia Sinica

Testing for Nonlinear Cointegration

Prof. Ka Sing Man

Syracuse University

On a Multiple Hypotheses Testing Procedure

Prof. Tucker McElroy

University of California, San Diego

Mean Estimation for Heavy-Tailed, Long-Range Dependent Data

Prof. Elena Pesavento

Emory University

Small Sample Confidence Intervals for Multivariate Impulse Response

Prof. Christopher Rault

EPEE, Universite d’Evry-Val d’Essone

Modelling productivity and employment using time series: lessons from the French experience

Prof. Marco Reale

University of Canterbury

Causal diagrams for I (1) structural VAR models

Peter Summers

The University of Melbourne

Identification and normalization in Markov switching models of 'business cycles'

Dr. Thomas Trimbur in place of Prof. Andrew Harvey

Cambridge University

Detrending, Signal-Noise Ratios and the Frequency of Observations

Prof. Henghsiu Tsai

Academia Sinica

Quasi-maximum likelihood estimation for a class of continuous-time long-memory processes

Prof. Yashen Wang

Univeristy of Connecticut

Option Pricing Equivalence of GARCH models and Diffusions

Prof. Wayne Woodward

Southern Methodist University

Detecting and Analyzing the Presence of Changing Periods in Time Series Data

Prof. Gawon Yoon

University of York

Stochastic unit roots and long memory

Prof. Zhengjun Zhang

Washington University in St. Louis

Jumps in Returns Are Not Transient: Evidences and a New Non-linear Time Series Model