2011 Meetings of the Midwest Econometrics Group
October 6-7

Conference Schedule

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NOTE: Names of speakers are in bold. Speakers in sessions with four papers will be allotted 20 minutes, and speakers in sessions with three papers will be allotted 30 minutes.

Thursday, October 6

7:30 – 8:30 am  Breakfast (Room 621)

8:30 – 10:00 am  Session 1

A.  Exchange Rates and Expected Returns
Chair:  Mark E. Wohar
Room 304

  •  “Nonlinear Long Memory Properties and Mean Reverting Behavior of Real Exchange Rates,” Dooyeon Cho

B.  Applied Macroeconometrics
Chair:  Victor Valcarcel
Room 204

  • “The Time Varying Effects of Permanent and Transitory Shocks to Output,” John Keating and Victor Valcarcel

C.  GMM and GEL
Chair:  Saraswata Chaudhuri
Room 206


  • “Cross-Sectional GMM Estimation under a Common Shock,” Serguey Khovansky and Oleksandr Zhylyevskyy
  • “Robust Inference for Moment Restriction Models under Misspecification,” Haiqi Li and Sung Y. Park
  • “Finite-Sample Improvements of Score Tests by the Use of Implied Probabilities from Generalized Empirical Likelihood,” Saraswata Chaudhuri and Eric Renault

 


D.  Model Choice and Averaging
Chair:  Aris Spanos
Room 100


  • “Model Selection in the Presence of Incidental Parameters,”  Yoonseok Lee

 

10:00 – 10:30 am  Break

 

10:30 am – 12:00 pm  Session 2

A.  Volatility Modeling
Chair:  Ke-Li Xu
Room 304


B.  Fiscal Policy
Chair:  Pym Manopimoke
Room 204

  • “Purchasing Power Parity and the Taylor Rule,” Hyeongwoo Kim and Masao Ogaki
  • “Trend Inflation and the New Keynesian Phillips Curve,” Chang-Jin Kim, Pym Manopimoke, and Charles Nelson

C.  Human Capital Formation
Chair:  Debopam Bhattacharya
Room 206

  • “Constructing Economically Justified Aggregates:  An Application to the Early Origins of Health,” Gabriella Conti, James J. Heckman, Hedibert F. Lopes, and Rémi Piatek
  • “Identification of Causal Education Effects Using a Discontinuity in School Entry Tests: First Results from a Pilot Study,”  Stefan Boes, Dominik Hangartner, and Lukas Schmid

D.  Quantile Methods
Chair:  Carlos Lamarche
Room 100

  • “On Testing the Equality of Conditional Mean and Quantile Effects,”  Anil K. Bera, Antonio F. Galvao, Jr., and Liang Wang
  • “Nonparametric Quantile Regression with Discontinuities,” Tatsushi Oka
  • “Censored Quantile Regression for Panel Data with Fixed Effects,” Antonio F. Galvao, Jr., Carlos Lamarche, and Luiz Renato Lima

 

 

12:00 – 1:30 pm  Lunch (Room 621)


1:30 pm – 3:00 pm  Session 3

A.  Applied Multivariate Models
Chair:  Drew Creal
Room 304

  • “Integration of China Stock Market with US Stock Market: An Application of Smooth Transition Conditional Correlation with Double Transition Functions,” M. Fatih Oztek and Nadir Ocal
  • “Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk,” Drew Creal, Bernd Schwaab, Siem Jan Koopman, and André Lucas

B.  Cointegration and Breaks
Chair:  J. Isaac Miller
Room 204

  • “The Asymptotic Properties of Parameter Estimates in Autoregressive Models with a Break in Persistence,” Mohitosh Kejriwal and Pierre Perron
  • “Consistency of Trend Break Point Estimator with Under-specified Break Number,” Jingjing Yang

 

C.  Microeconometrics in Public Economics
Chair:  Bruce Meyer
Room 206


D.  Panel Data with Cross-Sectional Dependence
Chair:  Mehmet Caner
Room 100

  • “Determining the Number of Factors with Potentially Strong Cross-Sectional Correlation in Idiosyncratic Shocks,” Xu Han
  • “Selecting the Correct Number of Factors in Approximate Factor Models:  The Large Panel Case with Bridge Estimators,” Mehmet Caner

 

3:00 – 3:30 pm  Break


3:30 pm – 5:00 pm  Session 4

A.  Term Structure and Monetary Aggregates
Chair:  Jing Cynthia Wu
Room 304

  • “Yield Spreads as Predictors of Economic Activity: A Real-Time VAR Analysis,” N. Kundan Kishor and Evan F. Koenig


B.  Bayesian Macroeconomic Models and Learning
Chair:  Lutz Kilian
Room 204

 

C.  High Dimensional Models
Chair:  Yuan Liao
Room 206


D.  Dynamics and Measurement Error in Panel Models
Chair:  Jeffrey A. Mills
Room 100

  • “Identification and Estimation of Nonparametric Panel Data Regressions with Measurement Error,” Daniel Wilhelm
  • “Identification and Estimation in Nonparametric Dynamic Simultaneous Equations Models,” David M. Kang
  • “Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes,” Yoon-Jin Lee, Ryo Okui, and Mototsugu Shintani
  • “Bayesian Panel Stationarity Testing with Small T,” Jeffrey A. Mills and Olivier Parent

 

 5:00 – 6:00 pm  Break

6:00 – 6:30 pm  Reception

Room 621

6:30 pm  Dinner

Room 621

  • After dinner comments provided by Roger Koenker, William B. McKinley Professor of Economics at the University of Illinois at Urbana-Champaign

 

Friday, October 7

7:30 – 8:30 am  Breakfast (Room 621)

8:30 – 10:00 am  Session 5

A.  Empirical Asset Pricing
Chair:  Maria T. Gonzalez-Perez
Room 304

  • “A Corridor Fix for VIX: Developing a Coherent Model-Free Option-Implied Volatility Measure,” Torben G. Andersen, Oleg Bondarenko, and Maria T. Gonzalez-Perez


B.  Predictive Modeling
Chair:  Gray Calhoun
Room 204

  • “Indirect Inference on Predictive Regression,” Biing-Shen Kuo and Jhih-Gang Chen
  • “Tests of Equal Forecast Accuracy for Overlapping Models,” Todd E. Clark and Michael W. McCracken
  • “An Asymptotically Normal Out-of-Sample Test of Equal Predictive Accuracy for Nested Models,” Gray Calhoun

 

C.  Empirical Demand Estimation
Chair:  Carl Nelson
Room 206

D.  Nonparametric Methods
Chair:  Federico M. Bandi
Room 100

  • “A Test of Independence in Econometric Models,” Ivan Medovikov
  • “Data-Driven Bandwidth Selection for Nonparametric Nonstationary Regressions,” Federico M. Bandi, Valentina Corradi, and Daniel Wilhelm

 

10:00 – 10:30 am  Break


10:30 am – 12:00 pm  Session 6

A.  High Frequency Data and Continuous Time Models
Chair:  Torben G. Andersen
Room 304

  • “A Nonparametric Test for Stationarity in Continuous-Time Markov Processes,” Shin Kanaya
  • “A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation,” Torben G. Andersen, Dobrislav Dobrev, and Ernst Schaumburg

B.  Economics of Oil
Chair:  Richard Ashley
Room 204

  • “Nonlinearities in the Oil Price-Industrial Production Relationship: Evidence from 18 OECD Countries,” Ana María Herrera, Latika Gupta Lagalo, and Tatsuma Wada
  • “The Oil Price-Macroeconomy Relationship: Does Persistence Matter,” Richard Ashley and Kwok Ping Tsang

C.  Discrete Choice Models
Chair:  Shakheeb Khan
Room 206

  • “Generalized Control Function Approach in a Class of Non-Separable Models without Independence and Monotonicity,” Kyoo il Kim and Amil Petrin


D.  Semiparametric Estimation
Chair:  Daniel J. Henderson
Room 100

  •  “Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals and Nonclassical Measurement Errors,” Suyong Song

 

12:00 – 1:30 pm  Lunch (Room 621)


1:30 pm – 3:00 pm  Session 7

A.  Topics in Financial Econometrics
Chair: Mohammad R. Jahan-Parvar
Room 304

  • “Which Parametric Model for Conditional Skewness?” Bruno Feunou, Mohammad R. Jahan-Parvar, and Roméo Tédongap

B.  International Economics
Chair:  John W. Keating
Room 204

  • “Better Off without the Euro? Evaluating Monetary Policy and Macroeconomic Performance for Denmark, Sweden, and the U.K.” Stefan Krause and Claude Lopez
  • “Financial Sector Shocks and G-7 Business Cycle Fluctuations,” David Rapach and Jack Strauss

 

C.  Econometrics of Treatment Effects
Chair:  Yu-Chin Hsu
Room 206


D.  Features of Densities
Chair:  Andriy Norets
Room 100

  • “Asymptotic Covariance of Sample Mean and Sample Quantiles,” Anil K. Bera, Antonio F. Galvao, Jr., and Liang Wang
  • “New Tests for Stochastic Dominance Via Gaussian Field Approximations,” Thomas Parker
  • “Posterior Consistency in Conditional Density Estimation by Covariate Dependent Mixtures,” Andriy Norets and Justinas Pelenis

 

3:00 – 3:30 pm  Break


3:30 pm – 5:00 pm  Session 8

A.  Applied Microeconometrics
Chair:  Dukpa Kim
Room 204

  • “Residential Mobility, Family Relationships, and Spatial Distance,” Olivier Parent and Nicolas Williams


B.  Nonparametric Estimation with Endogeneity
Chair:  Jerome M. Krief
Room 206


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