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

• “Underreaction to New Information in Equity Returns:  Evidence from Commodity Markets,” Mohammad R. Jahan-Parvar, Mark E. Wohar, and Andrew J. Vivian 

• “How Much Do Expected Returns and Expected Dividend Growth Contribute to Movements in Stock Returns?  Issues of Weak Identification Make Existing Estimates Unreliable,” Jun Ma and Mark E. Wohar

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

• “The Contributions of Economic Fundamentals and Risk Premium to Movements in Exchange Rates:  A State-Space Decomposition,” Nathan S. Balke, Jun Ma, and Mark E. Wohar

B.  Applied Macroeconometrics
Chair:  Victor Valcarcel
Room 204

• “Hysteresis vs. Natural Rate of US Unemployment,” Ka Ming Cheng, Nazif Durmaz, Hyeongwoo Kim, and Michael L. Stern

• “End in Sight for Housing Troubles?” D. L. Chertok

• “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

• “Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators,”  SeoJeong Lee

• “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

• “A Plug-In Averaging Estimator for Regressions with Heteroskedastic Errors,” Chu-An Liu

• “Size Distortion and Modification of Classical Vuong Tests,” Xiaoxia Shi

• “Statistical Model Specification and Validation:  Statistical vs. Substantive Information,” Aris Spanos

10:00 – 10:30 am  Break

10:30 am – 12:00 pm  Session 2

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

• “Asymmetric Transmission of Long-Run Volatility in the Stock Market,” Sónia Bentes and Rui Menezes

• “Cholesky Stochastic Volatility,” Hedibert Lopes, Robert McCulloch, and Ruey Tsay

• “Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models,” Martin Burda and John M. Maheu

• “Powerful Tests for Structural Change in Volatility,” Ke-Li Xu

B.  Fiscal Policy
Chair:  Pym Manopimoke
Room 204

• “Fiscal Policy Asymmetries,” Steven Fazzari, James Morely, and Irina Panovska

• “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

• “Gradients via Oracle Estimator for Additive Nonparametric Regression Models with Application to Returns to Schooling,” Deniz Ozabaci and Daniel J. Henderson

• “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

• “Testing the Efficiency of University Admissions,” Debopam Bhattacharya, Shin Kanaya, and Margaret Stevens

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

• “Design-Adaptive Nonparametric Estimation of Conditional Quantile Derivatives,” Chuan Goh

• “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

• “On the Time-Varying Relationship Between Closed-End Fund Prices and Fundamentals: Bond vs. Equity Funds,” Seth C. Anderson, T. Randolph Beard, Hyeongwoo Kim, and Liliana V. Stern

• “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

• “Convergence and Cointegration,” Alfredo García-Hiernaux and David E. Guerrero

• “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

• “Cointegrating MiDaS Regressions and a MiDaS Test,” J. Isaac Miller

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

• “The Estimation of the Effect of Public Expenditure on Household Welfare when Revisiting Aschauer,” Hosin Song

• “Estimating Incentive and Selection Effects in Medigap Insurance Market:  An Application with Dirichlet Process Mixture Model,” Xuequn Hu, Murat K. Munkin, and Pravin K. Trivedi

• “Bounds on Average and Quantile Treatment Effects of Job Corps Training on Participants’ Wages,”  German Blanco, Carlos A. Flores, and Alfonso Flores-Lagunes
• “Errors in Survey Reporting and Imputation and their Effects on Estimates of Food Stamp Program Participation,” Bruce D. Meyer and Robert M. George

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

• “Specification Testing for Panel Spatial Models,” Monalisa Sen and Anil K. Bera
• “A Direct Test for Cross-Sectional Correlation in Panel Data Models,” Ted Juhl

• “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

• “The Dynamic Relationships Among Medium of Exchange, Monetary Index Numbers, and the Macroeconomy,” Richard G. Anderson, Marcelle Chauvet, and Barry Jones

• “Identification and Estimation of Gaussian Affine Term Structure Models,” Jing Cynthia Wu and James D. Hamilton

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

• “Improving Out-of-Sample Equity Premium Prediction: The Role of Adaptive Learning,” David E. Rapach, Tao Zha, and Guofu Zhou
• “A Bayesian Evaluation of Alternative Models of Trend Inflation,” Todd E. Clark and Taeyoung Doh
• “DSGE Estimation of Models with Learning,” Eric Gaus
•  “Inference on Impulse Response Functions in Structural VAR Models,” Atsushi Inoue and Lutz Kilian

C.  High Dimensional Models
Chair:  Yuan Liao
Room 206

• “Entropy-based Model Averaging Partial Effect Estimation with Large Dimensional Data,” Yundong Tu
• “Model Selection and Estimation in a Simultaneous Equation Model with a Large Number of Weak Instruments and Heteroskedasticity,” Enrique Pinzón García
• “The Adaptive Lasso Method for Structural Equation Variable Selection,”  Michael Fan
• “Ultra High Dimensional Variable Selection with Endogenous Covariates,” Jianqing Fan and Yuan Liao

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

• “An Empirical Study of Stock and American Option Prices,” Diego Ronchetti 

• “Fear and Closed-End Fund Discounts: Investor Sentiment Revisited,” Seth Anderson, T. Randolph Beard, Hyeongwoo Kim, and Liliana V. Stern

• “Pricing Central Tendency in Volatility,” Stanislav Khrapov 

• “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

• “Forecast Optimality Tests in the Presence of Instabilities,” Barbara Rossi and Tatevik Sekhposyan

• “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

• “Modeling Gasoline Demand in the United States: A Flexible Semiparametric Approach,” Weiwei Liu

• “In-Store Search and Retail Demand,” Matthew Gentry

• “Portfolio Considerations in Automobile Purchases: An Application to the Japanese Market,”  Naoki Wakamori

• “Econometrics of Welfare Evaluation of Price Changes: The Case of Food Price Increases in México,” Carl Nelson, Benjamin Wood, and Lia Nogueira

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

• “Inference in Semiparametric Conditional Moment Model with Partial Identification,” Shengjie Hong

• “Inference of the Trend in a Partially Linear Model,” Kun-Ho Kim

• “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

•  “Infinitely Divisible Models for Financial Prices,” George Tauchen and Iaryna Grynkiv
• “Two Classes of Drift Parameter Estimators via Infinitesimal Operator Based Characterization,” Zhaogang Song

• “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

• “Do Oil Producers Extract More as They Become Richer?  A Natural Experiment Using Unanticipated Reserve Discoveries,” Mahdi Rastad

• “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

• “Nonparametric Identification of Dynamic Games with Discrete and Continuous Choices,” Jason R. Blevins

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

• “Information Bounds and Impossibility Theorems for Simultaneous Discrete Response Models,” Shakheeb Khan and Denis Nekipelov

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

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

• “Uniform Convergence for Semiparametric Two Step Estimators and Tests,” Juan Carlos Escanciano, David T. Jacho-Chávez, and Arthur Lewbel

• “Smooth Coefficient Estimation of a Seemingly Unrelated Regression,” Daniel J. Henderson, Subal C. Kumbhakar, Qi Li, and Christopher F. Parmeter

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

• "Testing Linearity Against Threshold Effects: Uniform Inference in Quantile Regression," Antonio F. Galvao, Kengo Kato, Gabriel Montes-Rojas, and Jose Olmo

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

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

• “Persistence and Cointegration in the Global Stock Market: Empirical Evidence from Europe,” Rui Menezes and Sónia Bentes

• “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

• “Time Varying Volatilities of Output Growth and Inflation: A Multi-Country Investigation,” John W. Keating and Victor J. Valcarcel

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

• “When the Practioner Saved the Theorist: Theory and Practice of Inference in Regression Discontinuity,”  Otavio Bartalotti

• “Marginal Quantile and Mean Treatment Effect and on the Treated for a Continuous Treatment,” Ying-Ying Lee

• “Testing for Distributional Treatment Effects: A Set Identification Approach,” Sung Jae Jun, Yoonseok Lee, and Youngki Shin

• “Consistent Tests for Conditional Treatment Effects,” Yu-Chin Hsu

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

•  “GMM Estimation of Income Distributions from Grouped Data,” Gholamreza Hajargasht, William E. Griffiths, Joseph Brice, D. S. Prasada Rao, and Duangkamon Chotikapanich
• “On the Use of Continuous Duration Models to Predict Customer Churn in the ADSL Industry in Portugal,” Sofia Portela and Rui Menezes

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

• “Divorce Law Reforms and Divorce Rates in the U.S.: An Interactive Fixed Effects Approach,” Dukpa Kim and Tatsushi Oka

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

•  “Nonparametric Estimation with Binary Endogenous Regressors: An Application to Voluntary Pollution Abatement,” Michael S. Delgado

• “Sampling Variation, Monotone Instrumental Variables, and the Bootstrap Bias Correction,” Hang Qian

• “Wavelet Estimators for LATE under Discontinuous (Kink) Incentive Assignment Mechanism,” Heng Chen 

• “Instrumental Nonparametric Estimation Under Conditional Moment Restrictions: A Nonlinear Tikhonov Approach,” Jerome M. Krief