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Cowles Foundation for
Research in Economics
GREATER NEW YORK METROPOLITAN AREA
ECONOMETRICS COLLOQUIUM
December 2, 2006
Coordinators: Yuichi Kitamura and Taisuke Otsu |
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8:30-9:00 |
Coffee, Opening Remarks |
| SESSION 1 |
9:00-10:30 |
Times Series — Chair: Bruce Hansen |
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Jushan Bai, NYU, "Panel
Cointegration with Global Stochastic Trends" (with Chihwa Kao & Serena Ng) |
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Ulrich Mueller, Princeton University,
"t-statistic Based Correlation and Heterogeneity Robust
Inference" (with Rustam Ibragimov) |
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Haipeng Xing, Columbia,"Stochastic
Change-Point ARX-GARCH Models and their Applications to Econometric Time Series" |
|
10:30-10:45 |
Coffee Break |
| SESSION 2 |
10:45-12:15 |
Microeconometrics — Chair: Jean-Marc
Robin |
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Debopam Bhattacharya, Dartmouth and Yale, "Inferring Optimal Resource Allocation from Experimental
Data" |
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Dylan Small, Wharton, "Sensitivity Analysis for Instrumental Variables Regression with
Overidentifying Restrictions" |
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Gautam Tripathi, University of Connecticut,
"Estimating Linear Functionals of Nonparametric Regression Models with Endogenous
Regressors" (with T. Severini) |
|
12:15-1:45 |
Lunch |
| SESSION 3 |
1:45-3:15 |
Special Session by Graduate Students —
Chair: Yuichi Kitamura |
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Brendan Beare, Yale University, "Copulas and Temporal Dependence" |
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Alfred Galichon, Harvard University and
Columbia University, "The Dilation Bootstrap" (with Marc Henry) |
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Demain Pouzo, NYU, "Efficient
Estimation of Semi/Nonparametric Conditional Moment Models with Nonsmooth Moments"
(with Xiaohong Chen) |
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Ke-Li Xu, Yale University, "Empirical
Likelihood Based Inference of Nonlinear Diffusions" |
|
3:15-3:30 |
Coffee Break |
| SESSION 4 |
3:30-5:30 |
Advances in Econometric Theory —
Chair: Peter Phillips |
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Donald Andrews, Yale University, "Hybrid and Size-Corrected Subsample Methods" and "The Limit of Finite-Sample Size and a Problem with
Subsampling" |
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Aureo de Paula, University of Pennsylvania,
"Interdependent Durations" (with Bo Honore) |
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Dennis Kristensen, Columbia University,
"Nonparametric Filtering of the Realised
Spot Volatility: A Kernel-based Approach" |
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Kevin Song, University of Pennsylvania, "Testing Conditional Independence using Conditional Martingale
Transforms" |
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6:30 |
Dinner, Scoozzi Trattoria and Wine Bar |