|
|
SATURDAY,
OCTOBER 23 |
| 8:40 |
WELCOME: John
Geanakoplos (Director, Cowles Foundation) and Peter C.B. Phillips |
| 8:45–10:45 |
SESSION A1: FRACTIONAL
PROCESSES AND NONSTATIONARITY
CHAIR: BRUCE HANSEN (University of Wisconsin) |
|
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 [29pp]
Discussant: Miguel Delgado (Universidad Carlos III de Madrid) |
Marc Henry (Columbia University), Averaged Periodogram Spectral Estimation With Long Memory
Conditional Heteroscedasticity [34pp]
Discussant: Juan Dolado (Universidad Carlos III de Madrid) |
Peter C.B. Phillips (Yale
University), Discrete Fourier Transforms of Fractional
Processes [58pp]
Discussant: Carlos Velasco (Universidad Carlos III de Madrid) |
Peter M. Robinson (London School of
Economics), Analysis of Cointegrated Nonstationary
Fractional Processes [50pp]
Discussant: Katsumi Shimotsu (Yale University) |
| 11:00–12:30 |
SESSION A2: TRENDS
CHAIR: PETER M. ROBINSON (London School of Economics) |
|
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) |
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 [42pp]
Discussant: Serena Ng (Boston College) |
Woocheol Kim (Humboldt-Universitaet
zu Berlin), Econometric Analysis of Evolutionary
Time Series [108pp]
Discussant: Pentti Saikkonen (University of Helsinki) |
Timothy Vogelsang (Cornell
University), Testing for a Shift in Trend When
Serial Correlation is of Unknown Form [38pp]
Discussant: Bruce Hansen (University of Wisconsin) |
| 11:00-12:30 |
SESSION B2: APPLIED DYNAMIC MODELING
CHAIR: FRANK DIEBOLD (University of Pennsylvania) |
|
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 [29pp]
Discussant: Jushan Bai (Boston College) |
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 [37pp]
Discussant: Yacine Aït-Sahalia (Princeton University) |
Marcus Chambers (University of
Essex) and Joanne McGarry (Loughborough University), Modelling Cyclical Behaviour With Differential-Difference Equations in an
Unobserved Components Framework [39pp]
Discussant: Neil Shephard (Oxford University) |
Michael Wickens (University of
York), Can the Stochastic Discount Factor Models
Explain the FOREX Risk Premium [24pp]
Discussant: Sam Ouliaris (International Monetary Fund) |
| 1:30–2:40
|
PANEL SESSION: LONG MEMORY IN ECONOMICS
CHAIR: PETER C.B. PHILLIPS (Yale University) |
|
Clive W. Granger (University of
California, San Diego), Aspects of Research
Strategies for Time Series Analysis [10pp]
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) |
| 2:45–4:15 |
SESSION A3: NONLINEAR MODELS
CHAIR: GUIDO KUERSTEINER (Massachusetts Institute of Technology) |
|
Robert de Jong (Michigan State
University), Nonlinear Minimization Estimators in the
Presence of Cointegrating Relations [22pp]
Discussant: Jae-Young Kim (State University of New York at
Albany) |
Yongmiao Hong (Cornell University)
and Tae-Hwy Lee (University of California, Riverside), Diagnostic Checking for Adequacy of Linear and Nonlinear Time Series
Models [26pp]
Discussant: Zhijie Xiao (University of Illinois at
Urbana-Champaign) |
Joon Park (Seoul National
University) and Peter C.B. Phillips (Yale University), Nonlinear Regressions with Integrated Time Series [56pp]
Discussant: Herman Bierens (The Pennsylvania State University) |
Dag Tjøstheim (University of
Bergen), Nonparametric Estimates in a Nonlinear
Cointegration Type Model [49 pp]
Discussant: Yoosoon Chang (Rice University) |
| 2:45–4:15 |
SESSION B3: SPECIFICATION AND LAGS
CHAIR: TIM BOLLERSLEV (Duke University) |
|
A. Ronald Gallant (University of
North Carolina) and Halbert White (University of California, San Diego), Finite Lag Estimation of Non-Markovian Processes
[16pp]
Discussant: Donald W.K. Andrews (Yale University) |
Yuichi Kitamura (University of
Wisconsin), Predictive Inference and the Bootstrap
[27pp]
Discussant: Joel Horowitz (University of Iowa) |
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) |
| 4:30–6:00 |
SESSION A4: UNIT ROOTS
CHAIR: BENEDIKT PÖTSCHER (University of Vienna) |
|
In Choi (Kookmin University), Instrumental Variables Estimation of a Nearly
Nonstationary Error Component Model [41pp]
Discussant: Xiaohong Chen (London School of Economics) |
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) |
Werner Ploberger (University of
Rochester), A Complete Class of Tests When the
Likelihood Is Locally Asymptotically Quadratic [29pp]
Discussant: Christian Gourieroux (CEPREMAP) |
Zhijie Xiao (University of Illinois
at Urbana-Champaign), Likelihood-Based Inference in
Trending Time Series Models with a Root Near Unity [34pp]
Discussant: Francesc Marmol (Universidad Carlos Ill de Madrid) |
| 4:30–6:00 |
SESSION B4: DIAGNOSTICS
CHAIR: YACINE AÏT SAHALIA (Princeton University) |
|
Steven Durlauf (University of
Wisconsin), "Interactive-Based Models" [106 pp] [pdf1, pdf2, pdf3]
Discussant: John Geweke (University of Iowa) |
Joel Horowitz
and Gene Savin (University of Iowa), Testing
for Autocorrelation Under Weak Assumptions [32pp]
Discussant: Binbin Guo (University of California, Santa Cruz) |
Peter Schmidt and Christine
Amsler (Michigan State University), Tests of
Short Memory With Thick-Tailed Errors [29pp]
Discussant: Jesus Gonzalo (Universidad Carlos III de Madrid) |
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,
OCTOBER 24 |
| 8:30–10:00 |
SESSION A5: UNIT ROOTS AND
COINTEGRATION
CHAIR: HERMAN BIERENS (Pennsylvania State University) |
|
Juan Dolado, Jesus Gonzalo and Laura Mayoral (Universidad
Carlos III de Madrid), A Fractional Dickey-Fuller
Test" [49pp]
Discussant: Mototsugu Shintani (Yale University) |
Jae-Young Kim (State University of
New York at Albany), Generalized Bayesian Information
Criterion [33pp]
Discussant: Tim Vogelsang (Cornell University) |
Pentti Saikkonen (University of
Helsinki), Testing for a Unit Root in a Time Series
With a Level Shift at Unknown Time [34pp]
Discussant: In Choi (Kookmin University) |
Yoon-Jae Whang (Ewha Women's
University), Testing for the Martingale Hypothesis
[19pp]
Discussant: Atsushi Inoue (North Carolina State University) |
| 8:30–10:00 |
SESSION B5: GMM AND NONLINEAR
ESTIMATION
CHAIR: JUSHAN BAI (Boston College) |
|
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) |
Douglas Hodgson (University of
Rochester), Efficient Semiparametric Estimation of
Dynamic Nonlinear Systems Under Elliptical Symmetry [20pp]
Discussant: Jegan Jeganathan (University of Michigan) |
Guido Kuersteiner (Massachusetts
Institute of Technology), RMSE Reduction for GMM
Estimators of Linear Time Series Models [42pp]
Discussant: A Ronald Gallant (University of North Carolina) |
Richard Smith (University of
Bristol), Generalized Empirical Likelihood Criteria
for Generalized Method of Moments Estimation and Inference [30pp]
Discussant: Yuichi Kitamura (University of Wisconsin) |
| 10:15–12:00 |
SESSION A6: LONG MEMORY
CHAIR: CLIFFORD HURVICH (New York University) |
|
Ngai Hang Chan (Carnegie Mellon
University) and Giovanni Petris (University of Arkansas), A Bayesian Analysis of Long Memory Stochastic Volatility [15pp]
Discussant: Benoit Perron (Université de Montréal) |
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) |
Frank Diebold (University of
Pennsylvania) and Atsushi Inoue (North Carolina State
University), Long Memory and Structural Change
[42pp]
Discussant: Steven Durlauf (University of Wisconsin) |
Christian Gourieroux and Joanna
Jasiak (CEPREMAP), Nonlinear Autocorrelogram and Canonical Analysis" [32pp]
Discussant: Benedict Pötscher (University of Vienna) |
Konstantin Tyurin and Peter C. B.
Phillips (Yale University), The Occupation
Density of Fractional Brownian Motion and Some of Its Applications [31pp]
Discussant: Joanna Jasiak (York University) |
| 10:15–12:00 |
SESSION B6: COMPUTATION AND STOCHASTIC
VOLATILITY
CHAIR: OLIVER LINTON (Yale University) |
|
Robert Engle (University of
California, San Diego), CAViaR: Conditional Value at
Risk by Regression Quantiles [51pp]
Discussant: Yoon-Jae Whang (Ewha Women's University) |
John Geweke (University of Iowa), Computational Experiments and Reality [31pp]
Discussant: Gene Savin (University of Iowa) |
John Rust and George Hall
(Yale University), Econometric Methods for Endogenously Sampled Time Series
Discussant: Halbert White (University of California, San Diego) |
Alex Maynard (Federal Reserve
System) and Peter C. B. Phillips (Yale University),
Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly
[49pp] [pdf1 pdf2 pdf3]
Discussant: Michael Wickens (University of York) |
Neil Shephard (Oxford University), Non-Gaussian OU Based Models and Some of Their Uses in
Financial Economics
Discussant: George Tauchen (Duke University) |
| 1:00–2:30 |
SESSION A7: DIFFUSIONS
CHAIR: CHRISTIAN GOURIEROUX (CEPREMAP) |
|
Federico Bandi (University of
Chicago) and Peter C. B. Phillips (Yale University), Accelerated Asymptotics for Diffusion Model Estimation [21pp]
Discussant: Robert de Jong (Michigan State University) |
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) |
Oliver Linton (Yale University), Nonparametric Estimation of Stochastic Discount Factors
[43pp]
Discussant: Dag Tjøstheim (University of Bergen) |
Yacine Aït Sahalia (Princeton
University), "Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A
Closed Form Approach"
Discussant: Arthur Lewbel (Boston College) |
| 1:00–2:30 |
SESSION B7: FINANCIAL DATA AND PANELS
CHAIR: STEVEN DURLAFU (University of Wisconsin) |
|
Richard Baillie (Michigan State
University), "Multivariate ARFIMA Models for Climatic and Financial Data"
Discussant: Marcus Chambers (University of Essex) |
Michael Binder (University of
Maryland), Cheng Hsiao (University of Southern California) and Hashem Pesaran
(University of Cambridge), Likelihood
Based Inference for Panel Vector Autoregressions [48pp]
Discussant: Peter Schmidt (Michigan State University) |
H. Roger Moon (University of
California, Santa Barbara) and Peter C. B. Phillips (Yale University), Maximum Likelihood Estimation in Panels with Incidental
Trends [30pp]
Discussant: Richard Smith (University of Bristol) |
Doug Steigerwald (University of
California, Santa Barbara), Explaining
Stochastic Volatility in Asset Prices [44pp]
Discussant: Alex Maynard (Federal Reserve System) |
| 2:45–4:45
|
SESSION A8: STRONG DEPENDENCE AND
FREQUENCY DOMAIN METHODS
CHAIR: GEORGE TAUCHEN (Duke University) |
Javier Hidalgo (London School of
Economics), Prediction of Strongly Dependent
Processes in the Frequency Domain With Application to Signal Extraction [26pp]
Discussant: Konstantin Tyurin (Yale University) |
Chang Sik Kim and Peter C.B.
Phillips (Yale University), Log Periodogram
Regression: The Nonstationary Case [27pp]
Discussant: Marc Henry (Columbia University) |
Katsumi Shimotsu and Peter C.B.
Phillips (Yale University), Modified Local
Whittle Estimation of the Memory Parameter in the Nonstationary Case [49pp]
Discussant: Clifford Hurvich (New York University) |
Carlos Velasco (Universidad Carlos
III de Madrid), Nonparametric Frequency Domain
Analysis of Non-Stationary Multivariate Time Series [33pp]
Discussant: Chang Sik Kim (Yale University) |
| 4:45 |
CLOSE: Peter C.B.
Phillips |
