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Cowles Foundation for
Research in Economics
NEW DEVELOPMENTS IN TIME SERIES ECONOMETRICS
October 23–24, 1999
Program Chair: Peter C. B. Phillips
PHOTOGRAPHS TAKEN AT CONFERENCE |
| SATURDAY |
8:40 |
WELCOME: John Geanakoplos (Director, Cowles
Foundation) and Peter C.B. Phillips |
SESSION 1A |
8:45–10:45 |
FRACTIONAL PROCESSES AND NONSTATIONARITY
— Chair: Bruce Hansen (University of Wisconsin) |
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Rohit Deo (New York University) and
Clifford Hurvich (New York University), On the Log
Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic
Volatility Models
Discussant: Miguel Delgado (Universidad Carlos III de Madrid) |
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Marc Henry (Columbia University), Averaged Periodogram Spectral Estimation With Long Memory
Conditional Heteroscedasticity
Discussant: Juan Dolado (Universidad Carlos III de Madrid) |
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Peter C.B. Phillips (Yale University), Discrete Fourier Transforms of Fractional Processes
Discussant: Carlos Velasco (Universidad Carlos III de Madrid) |
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Peter M. Robinson (London School of
Economics), Analysis of Cointegrated Nonstationary
Fractional Processes
Discussant: Katsumi Shimotsu (Yale University) |
SESSION A2 |
11:00–12:30 |
TRENDS — Chair: Peter M. Robinson
(London School of Economics) |
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Herman Bierens (Pennsylvania State
University), Nonparametric Nonlinear Co-Trending
Analysis, With an Application to Interest Rates and Inflation in the U.S.
Discussant: Joon Park (Seoul National University) |
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Yoosoon Chang (Rice University), Joon Park
(Seoul National University), and Peter C.B. Phillips (Yale University), Nonlinear Econometric Models with Cointegrated and
Deterministically Trending Regressors
Discussant: Serena Ng (Boston College) |
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Woocheol Kim (Humboldt-Universitaet zu
Berlin), Econometric Analysis of Evolutionary Time
Series
Discussant: Pentti Saikkonen (University of Helsinki) |
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Timothy Vogelsang (Cornell University), Testing for a Shift in Trend When Serial Correlation
is of Unknown Form
Discussant: Bruce Hansen (University of Wisconsin) |
SESSION B2 |
11:00-12:30 |
APPLIED DYNAMIC MODELING — Chair:
Frank Diebold (University of Pennsylvania) |
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Torben Andersen (Northwestern University),
Tim Bollerslev (Duke University), Francis X. Diebold (University
of Pennsylvania) and Paul Labys (University of Pennsylvania), The Distribution of Exchange Rate Volatility
Discussant: Jushan Bai (Boston College) |
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Rex Bergstrom (University of Essex) and Ben
Nowman (University of Kent at Canterbury), Gaussian
Estimation of a Continuous Time Macroeconomic Model of the United Kingdom With
Unobservable Stochastic Trends
Discussant: Yacine Aït-Sahalia (Princeton University) |
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Marcus Chambers (University of Essex) and
Joanne McGarry (Loughborough University), Modelling
Cyclical Behaviour With Differential-Difference Equations in an Unobserved Components
Framework
Discussant: Neil Shephard (Oxford University) |
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Michael Wickens (University of York), Can the Stochastic Discount Factor Models Explain the
FOREX Risk Premium
Discussant: Sam Ouliaris (International Monetary Fund) |
|
1:30–2:40 |
PANEL SESSION: LONG MEMORY IN ECONOMICS
— Chair: Peter C.B. Phillips (Yale University) |
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Clive W. Granger (University of California,
San Diego), Aspects of Research Strategies for Time
Series Analysis
Panelists: Richard Baillie (Michigan State University); Robert
Engle (University of California, San Diego), Jegan Jeganathan (University of Michigan),
and Peter M. Robinson (London School of Economics) |
SESSION A3 |
2:45–4:15 |
SESSION A3: NONLINEAR MODELS — Chair:
Guido Kuersteiner (Massachusetts Institute of Technology) |
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Robert de Jong (Michigan State University),
Nonlinear Minimization Estimators in the Presence of
Cointegrating Relations
Discussant: Jae-Young Kim (State University of New York at
Albany) |
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Yongmiao Hong (Cornell University) and
Tae-Hwy Lee (University of California, Riverside), Diagnostic
Checking for Adequacy of Linear and Nonlinear Time Series Models
Discussant: Zhijie Xiao (University of Illinois at
Urbana-Champaign) |
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Joon Park (Seoul National University) and
Peter C.B. Phillips (Yale University), Nonlinear
Regressions with Integrated Time Series
Discussant: Herman Bierens (The Pennsylvania State University) |
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Dag Tjøstheim (University of Bergen), Nonparametric Estimates in a Nonlinear Cointegration
Type Model
Discussant: Yoosoon Chang (Rice University) |
SESSION B3 |
2:45–4:15 |
SPECIFICATION AND LAGS — Chair: Tim
Bollerslev(Duke University) |
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A. Ronald Gallant (University of North
Carolina) and Halbert White (University of California, San Diego), Finite Lag Estimation of Non-Markovian Processes
Discussant: Donald W.K. Andrews (Yale University) |
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Yuichi Kitamura (University of Wisconsin), Predictive Inference and the Bootstrap
Discussant: Joel Horowitz (University of Iowa) |
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Hannes Leeb (University of Vienna) and
Benedikt M. Pötscher (University of Vienna), A Fundamental Difficulty in Estimating the
Distribution of Post-Model-Selection Estimators
Discussant: Frank Schorfheide (University of Pennsylvania) |
SESSION A4 |
4:30–6:00 |
UNIT ROOTS — Chair: Benedikt Pötscher
(University of Vienna) |
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In Choi (Kookmin University), Instrumental Variables Estimation of a Nearly
Nonstationary Error Component Model
Discussant: Xiaohong Chen (London School of Economics) |
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Jegan Jeganathan (University of Michigan),
Asymptotic Inference in VAR(1) Models With Approximate Unit Roots and With Fractionally
Integrated Errors Formed by Heavy Tailed Innovations
Discussant: Ngai Hang Chan (Carnegie Mellon University) |
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Werner Ploberger (University of Rochester),
A Complete Class of Tests When the Likelihood Is
Locally Asymptotically Quadratic
Discussant: Christian Gourieroux (CEPREMAP) |
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Zhijie Xiao (University of Illinois at
Urbana-Champaign), Likelihood-Based Inference in
Trending Time Series Models with a Root Near Unity
Discussant: Francesc Marmol (Universidad Carlos Ill de Madrid) |
SESSION B4 |
4:30–6:00 |
DIAGNOSTICS — Chair: Yacine Aït
Sahalia (Princeton University) |
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Steven Durlauf (University of Wisconsin),
"Interactive-Based Models" [106 pp] [pdf1, pdf2, pdf3]
Discussant: John Geweke (University of Iowa) |
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Joel Horowitz and Gene
Savin (University of Iowa), Testing for
Autocorrelation Under Weak Assumptions
Discussant: Binbin Guo (University of California, Santa Cruz) |
|
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Peter Schmidt and Christine Amsler
(Michigan State University), Tests of Short Memory
With Thick-Tailed Errors
Discussant: Jesus Gonzalo (Universidad Carlos III de Madrid) |
|
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Eric Zivot (University of Washington),
Threshold Cointegration and Nonlinearity in the Adjustment to the Law of One Price [Tables]
Discussant: Giovanni Petris (University of Arkansas) |
| SUNDAY |
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SESSION A5 |
8:30–10:00 |
UNIT ROOTS AND COINTEGRATION — Chair:
Herman Bierens (Pennsylvania State University) |
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Juan Dolado, Jesus Gonzalo and Laura Mayoral (Universidad Carlos
III de Madrid), A Fractional Dickey-Fuller Test
Discussant: Mototsugu Shintani (Yale University) |
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Jae-Young Kim (State University of New York
at Albany), Generalized Bayesian Information Criterion
Discussant: Tim Vogelsang (Cornell University) |
|
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Pentti Saikkonen (University of Helsinki), Testing for a Unit Root in a Time Series With a Level
Shift at Unknown Time
Discussant: In Choi (Kookmin University) |
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Yoon-Jae Whang (Ewha Women's University), Testing for the Martingale Hypothesis
Discussant: Atsushi Inoue (North Carolina State University) |
SESSION B5 |
8:30–10:00 |
GMM AND NONLINEAR ESTIMATION — Chair:
Jushan Bai (Boston College) |
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Donald W.K. Andrews (Yale University), Testing When a Parameter Is on the
Boundary of the Maintained Hypothesis [50pp] abstract
Discussant: Javier Hidalgo (London School of Economics) |
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Douglas Hodgson (University of Rochester), Efficient Semiparametric Estimation of Dynamic
Nonlinear Systems Under Elliptical Symmetry
Discussant: Jegan Jeganathan (University of Michigan) |
|
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Guido Kuersteiner (Massachusetts Institute
of Technology), RMSE Reduction for GMM
Estimators of Linear Time Series Models
Discussant: A Ronald Gallant (University of North Carolina) |
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Richard Smith (University of Bristol), Generalized Empirical Likelihood Criteria for Generalized
Method of Moments Estimation and Inference [30pp]
Discussant: Yuichi Kitamura (University of Wisconsin) |
SESSION A6 |
10:15–12:00 |
LONG MEMORY — Chair: Clifford Hurvich
(New York University) |
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Ngai Hang Chan (Carnegie Mellon University)
and Giovanni Petris (University of Arkansas), A
Bayesian Analysis of Long Memory Stochastic Volatility
Discussant: Benoit Perron (Université de Montréal) |
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Miguel Delgado (Universidad Carlos III de
Madrid) and Javier Hidalgo (London School of Economics), Bootstrap Goodness-of-Fit Tests for FARIMA Models [36pp]
Discussant: Laura Mayoral (Universidad Carlos III de Madrid) |
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Frank Diebold (University of Pennsylvania) and Atsushi Inoue (North Carolina State University), Long Memory and Structural Change
Discussant: Steven Durlauf (University of Wisconsin) |
|
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Christian Gourieroux and Joanna Jasiak
(CEPREMAP), Nonlinear Autocorrelogram and Canonical Analysis" [32pp]
Discussant: Benedict Pötscher (University of Vienna) |
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Konstantin Tyurin and Peter C. B. Phillips
(Yale University), The Occupation Density of
Fractional Brownian Motion and Some of Its Applications
Discussant: Joanna Jasiak (York University) |
SESSION B6 |
10:15–12:00 |
COMPUTATION AND STOCHASTIC VOLATILITY
— Chair: Oliver Linton (Yale University) |
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Robert Engle (University of California, San
Diego), CAViaR: Conditional Value at Risk by
Regression Quantiles
Discussant: Yoon-Jae Whang (Ewha Women's University) |
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John Geweke (University of Iowa), Computational Experiments and Reality
Discussant: Gene Savin (University of Iowa) |
|
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John Rust and George Hall (Yale
University), Econometric Methods for Endogenously Sampled Time Series
Discussant: Halbert White (University of California, San Diego) |
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Alex Maynard (Federal Reserve System) and Peter C. B. Phillips (Yale University), Rethinking an Old
Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly [pdf1 pdf2
pdf3]
Discussant: Michael Wickens (University of York) |
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Neil Shephard (Oxford University), Non-Gaussian OU Based Models and Some of Their Uses in
Financial Economics
Discussant: George Tauchen (Duke University) |
SESSION A7 |
1:00–2:30 |
DIFFUSIONS — Chair: Christian
Gourieroux (CEPREMAP) |
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Federico Bandi (University of Chicago) and
Peter C. B. Phillips (Yale University), Accelerated
Asymptotics for Diffusion Model Estimation
Discussant: Robert de Jong (Michigan State University) |
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Xiaohong Chen (London School of Economics),
Lars Hansen (University of Chicago) and José Scheinkman (Princeton University), Principal Components and the Long Run
Discussant: Yongmiao Hong (Cornell University) |
|
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Oliver Linton (Yale University), Nonparametric Estimation of Stochastic Discount Factors
Discussant: Dag Tjøstheim (University of Bergen) |
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Yacine Aït Sahalia (Princeton University),
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed Form Approach
Discussant: Arthur Lewbel (Boston College) |
SESSION B7 |
1:00–2:30 |
FINANCIAL DATA AND PANELS — Chair:
Steven Durlauf (University of Wisconsin) |
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Richard Baillie (Michigan State
University), Multivariate ARFIMA Models for Climatic and Financial Data
Discussant: Marcus Chambers (University of Essex) |
|
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Michael Binder (University of Maryland),
Cheng Hsiao (University of Southern California) and Hashem Pesaran (University of
Cambridge), Likelihood Based Inference for Panel Vector Autoregressions
Discussant: Peter Schmidt (Michigan State University) |
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H. Roger Moon (University of California,
Santa Barbara) and Peter C. B. Phillips (Yale University), Maximum Likelihood Estimation in Panels with Incidental Trends
Discussant: Richard Smith (University of Bristol) |
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Doug Steigerwald (University of California,
Santa Barbara), Explaining Stochastic Volatility
in Asset Prices
Discussant: Alex Maynard (Federal Reserve System) |
SESSION A8 |
2:45–4:45 |
STRONG DEPENDENCE AND FREQUENCY DOMAIN
METHODS — Chair: George Tauchen (Duke University) |
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Javier Hidalgo (London School of
Economics), Prediction of Strongly Dependent
Processes in the Frequency Domain With Application to Signal Extraction
Discussant: Konstantin Tyurin (Yale University) |
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Chang Sik Kim and Peter C.B. Phillips (Yale
University), Log Periodogram Regression: The
Nonstationary Case
Discussant: Marc Henry (Columbia University) |
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Katsumi Shimotsu and Peter C.B. Phillips
(Yale University), Modified Local Whittle
Estimation of the Memory Parameter in the Nonstationary Case
Discussant: Clifford Hurvich (New York University) |
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Carlos Velasco (Universidad Carlos III de
Madrid), Nonparametric Frequency Domain Analysis of
Non-Stationary Multivariate Time Series
Discussant: Chang Sik Kim (Yale University) |
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4:45 |
CLOSE: Peter C.B. Phillips |