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24th Canadian Econometrics Study Group Conference
September 29-30, 2007

« Parametric and nonparametric alternatives »

Program

Invited speakers

Oliver Linton (LSE)
Aman Ullah (UC-Riverside)

 

Friday, September 28, 2007
Welcome reception (hotel Le Cantlie, Mezz Bar) 5:30 p.m.

 

Saturday, September 29, 2007
Breakfast in Mezz AB 7:30-9:00 a.m.
Registration starts at 8:00 a.m.

 

Session 1: Saturday 9:00 -- 10:30

Semiparametric and nonparametric alternatives
Chair: Douglas Hodgson (UQAM)

Gregory Connor, Matthias Hagmann and   Oliver Linton (LSE):   Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

Discussant: Jean-Marie Dufour (McGill)

Vadim Marmer (UBC)   and Artyoum Shneyerov: Quantile-based nonparametric inference for first-price auctions

Discussant: Christian Gourieroux (Toronto)

Break 10:30 -- 10:45

 

Session 2: Saturday 10:45 -- 12:15

Inference
Chair: Gordon Fisher (Concordia)

Chu Ba (Warwick, Carleton)   and Mark Salmon:  Testing conditional distributional assumptions: An L-moments approach

Discussant: Joann Jasiak (York)

Pascal Lavergne (Simon Fraser):    Confirmation of parametric hypotheses

Discussant: Lynda Khalaf (Carleton)

 Lunch 12:15 -- 1:45

 

Session 3: Saturday 1:45 -- 3:15

Estimation
Chair: Hiroyuki Kasahara (Western Ontario)

David Tomás Jacho-Chávez (Indiana):   Optimal bandwidth choice for estimation of inverse conditional-density-weighted expectations addendum

Discussant: Yulia Kotlyarova (Dalhousie)

Martin Burda (Pittsburgh, Toronto)   Sieve-based Empirical Likelihood under semiparametric conditional moment restrictions

Discussant: Nikolay Gospodinov (Concordia)

Break 3:15 -- 3:30

 

Session 4: Saturday 3:30 -- 5:00

Model Identification
Chair: Jean-Francois Lamarche (Brock)

Chuan Goh (Toronto):   Minimax detection of structural change using large deviations

Discussant: Shinichi Sakata (UBC)

Katsumi Shimotsu (Queen's):   Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices

Discussant: Luke Hong (Concordia)

 

Poster session 5:00 -- 6:30   (outside conference room)

Taoufik Bouezmarni and Jeroen Rombouts (HEC Montréal): ``Semiparametric multivariate density estimation for positive data '' (papers: "Nonparametric Density Estimation for Multivariate Bounded Data ", "Semiparametric Multivariate Density Estimation for Positive Data Using Copulas")

Nikolay Gospodinov (Concordia, with T. Otsu, Yale) ``Semiparametric estimation of time series models with conditional moment restrictions''

Emma Iglesias (Michigan State, with C.M.Dahl, Purdue) ``The limiting properties of the QMLE in a general class of asymmetric volatility models''

Sangsoo Park (with Yanqin Fan, Vanderbilt) ``Statistical inference on sharp bounds on the quantile of the treatment effect'' 

Yu Ren (Queen's) ``Estimation of state-price densities in interest rate options''

Paul Rilstone (York)  ``Who's to blame? A structural analysis of income dynamics and marriage durations''

Shinichi Sakata (UBC) ``Testing parameter constancy across many groups''

Brennan Thompson (U of Guelph) ``Nonparametric estimates of poverty measures''

Simon van Norden (HEC Montréal, with J. Jacobs, Groningen) ``Modeling data revisions: measurement error and dynamics of the `true' values''

Marcel Voia (Carleton, with K. P. Huynh, Indiana)) ``Parametric versus nonparametric unobserved heterogeneity for proportional hazard models: an application to entrant firms in Canadian manufacturing''

Linlan Xiao (UWO) ``Estimation of stochastic volatility models using realized volatility''

Dinghai Xu (Univ. of Waterloo) ``Value at risk for stochastic volatility model under bivariate mixtures of normal distributions''

 Ke-Li Xu (Yale/Alberta) ``Empirical likelihood-based inference for nonlinear diffusions''

Pai Xu (UBC) ``Estimation of the truncated density function at its unknown truncation point with application to estimation of the entry cost in first-price auctions''

Conference dinner, 7:00-- Cafe des Beaux Arts, 1384 Sherbrooke St. W.    (walk out of the hotel, turn left, walk straight along Sherbrooke Street on the same side for about five minutes).

 

Sunday, September 30, 2007

Breakfast in Mezz AB 7:30--9:00

 

Session 5: Sunday 9:00--10:30

Semiparametric conditional variance
Chair: Angelo Melino (Toronto)

Mark Jensen and   John Maheu (Toronto):    Bayesian semiparametric stochastic volatility modeling

Discussant: Thanasis Stengos (Guelph)

Xiangdong Long, Liangjun Su and   Aman Ullah (UC Riverside):    Estimation of dynamic conditional covariance: a semiparametric multivariate model - accompanying paper

Discussant: Benoit Perron (U de Montreal)

 Break 10:45 -- 11:00

 

 

Session 6: Sunday 10:45--12:15

Time series
Chair: James MacKinnon (Queen's)

Yanqin Fan (Vanderbilt)    and   Ramazan Gençay (Simon Fraser):   Unit root and cointegration tests with wavelets

Discussant: Russell Davidson (McGill)

Soren Johansen (Copenhagen) and   Morten Nielsen (Cornell):   Likelihood inference for a fractional autoregressive model

Discussant: Marc Henry (U de Montreal)

Lunch 12:15--1:15

 

Session 7: Sunday 1:15--2:45

Cross-sectional models
Chair: Artem Prokhorov (Concordia)

Martijn van Hasselt (UWO):    Bayesian inference in the sample selection and two-part models

Discussant: Bill McCausland (U de Montreal)

Jeff Racine (McMaster)   and Qi Li (Texas A\&M): Nonparametric varying coefficient multilevel models

Discussant: Taoufik Bouezmarni (HEC Montreal)