Conference on Some Advances in Econometrics, June 11-12, 2012

CONFERENCE ON
SOME ADVANCES IN ECONOMETRICS

June 11 – 12, 2012
Yale SOM, Watson Center, 60 Sachem St., Room A53

Organizer: Xiaohong Chen

MONDAY	8:00	Continental Breakfast
	8:55	Opening Remarks
	Session 1	Chair: Donald Andrews
	9:00 - 9:50	James Stock (Harvard), "Inference in Structural VARs with External Instruments" (with José Luis Montiel Olea and Mark W. Watson) [Abstract]
	9:50 - 10:05	Break
	10:05 - 10:55	Serena Ng (Columbia), "Constructing Common Factors from Continuous and Categorial Data"
	11:00 - 11:50	Guido Kuersteiner (Georgetown), The Causal Effect of Fed Target Shifts on the Yield Curve: A Semiparametric Response Analysis" (with Joshua Angrist and Oscar Jorda)
	11:50 - 1:00	Lunch
	Session 2	Chair: Graham Elliott
	1:00 - 1:50	Eric Renault (Brown), "Variance Targeting for Heavy Tailed Time Series" (with Jonathan B. Hill) [Slides]
	1:50 - 2:05	Break
	2:05 - 2:55	Qi-man Shao (Hong Kong University), "On Control of False Discovery Rate under Dependence" (with Weidong Liu) (Abstract)
	3:00 - 3:50	Anna Mikusheva (MIT), "A Geometric Approach to Weakly Identified Econometric Models" (with Isaiah Andrews)
	3:50 - 4:05	Break
	Session 3	Chair: Yixiao Sun
	4:05 - 4:55	Jiti Gao (Monash University, Australia), "Estimation and Specification in Nonlinear Nonstationary Time Series Models" [Abstract]
	5:00 - 5:50	Victor Chernozhukov (MIT), Inference on Treatment Effects After Selection Amongst High-Dimensional Controls" (with Alexandre Belloni and Christian Hansen) [Abstract]
	7:00	Dinner, Ibiza Restaurant, 39 High Street
TUESDAY	8:00 - 9:00	Continental Breakfast
	Session 4	Chair: Yuichi Kitamura
	9:00 - 9:50	Manuel Arellano (CEMFI, Madrid), "Random Effects Quantile Regression"
	9:50 - 10:05	Break
	10:05 - 10:55	Ulrich Müller (Princeton), "Credibility of Confidence Sets in Nonstandard Econometric Problems" (with Andriy Norets)
	11:00 - 11:50	Patrik Guggenberger (UCSD), "A Proof of the Correct Asymptotic Size of the LM and CLR Test Without Identification Assumptions"
	11:50 - 1:00	Lunch
	Session 5	Chair: Bo Honore
	1:00 - 1:50	Whitney Newey (MIT), Individual Heterogeneity and Average Welfare"
	1:50 - 2:05	Break
	2:05 - 2:55	Han Hong (Stanford), "The Asymptotic Distribution of Estimators with Overlapping Simulation Draws" (with Tim Armstrong and A Ronald Gallant and and Huiyu Li)
	3:00 - 3:50	Donald Andrews (Yale), "Similar-on-the Boundary Tests for Moment Inequalities Exist, But Have Very Poor Power"
	3:50 - 4:05	Break
	Session 6	Chair: James Powell
	4:05 - 4:55	Rosa Matzkin (UCLA), "On Independence Assumptions in Simultaneous Equations Models"
	5:00 - 5:50	Elie Tamer (Northwestern), "Inference in a Finite Mixture Model with Application to Experimental Data" (with X. Chen and M. Ponomareva)

ATTENDEES
Abadie, Alberto Andrews, Donald W.K. Arellano, Manuel Armstrong, Timothy Beare, Brendan Canay, Ivan Chen, Xiaohong Cheng, Xu Chernozhukov, Victor Ching, Andrew Elliott, Graham Evdokimov, Kirill Gandhi, Amit Gao, Jiti Guggenberger, Patrik Hong, Han Honore, Bo Khan, Shakeeb Kitamura, Yuichi Kleibergen, Frank Kuersteiner, Guido Liao, Zhipeng	Matzkin, Rosa Meghir, Costas Mikusheva, Anna Müller, Ulrich Newey, Whitney Ng, Serena Norets, Andriy Otsu, Taisuke Pouzo, Demian Powell, James Qu, Zhongjun Renault, Eric Santos, Andres Shaikh, Azeem Shao, Qi-man Shi, Xiaoxia Stock, James Sun, Yixiao Tamer, Elie Torgovitsky, Alexander Vytlacil, Edward Zhou, Harrison