Econometrics Prospectus Workshop, 1998/99 - 2011/12
| 1998/99 | 1999/00 | 2000/01 | 2001/02 | 2002/03 | 2003/04 | 2004/05 |
| 2005/06 | 2006/07 | 2007/08 | 2008/09 | 2009/10 | 2010/11 | 2011/12 |
To find the Archives for more recent years, go to the Events/Seminars page and scroll to the bottom, Past Events
| 2011/12 | |
| Sep. 12 | Han Hong, Stanford University, "The Econometrics of Dynamic Games" [Paper] |
| Sep. 19 | Eric Becker, Yale University Ph.D. student, "Towards Improving Predictions for Demand Side Reactions to Market Changes: A Flexible Framework for Estimation in Multinomial Choice" |
| Sep. 26 | Jean-Michel Loubes, University of Toulouse, "Testing Inverse Problems: A Direct or an Indirect Problem?" (with B. Laurent, C. Marteau) [Paper] and "Non Asymptotic Minimax Rates of Testing in Signal Detection with Heterogeneous Variances"(with B. Laurent, C. Marteau) [Paper] |
| Oct. 3 | Sukjin Han, Yale University Ph.D. student, "Identification and Estimation in Nonparametric Triangular Simultaneous Equations Models with Weak Instruments" |
| Oct. 10 | James Wolter, Yale University Ph.D. student, "Estimation of Hazard Models with Dependence Across Observations" |
| Oct. 24 | Byoung Gun Park, Yale University Ph.D. student, "Nonparametric Identification of the Roy Model" |
| Oct. 31 | James Duffy, Yale University Ph.D. student |
| Nov. 28 | Jihyung Lee, Yale University Ph.D. student, Yale Ph.D. student, "Predictive Regressions in the Vicinity of Unity and Robust Long-Horizon Regressions" |
| Dec. 5 | David Childers, Yale University Ph.D. student, 'Estimating Macroeconomic Determinants of Firm Financing Costs' and Dongkyu Chang, Yale University, Ph.D. student |
| Feb. 27 | Charles F. Manski, Northwestern University and Cowles visitor, "Deterrence and the Death Penalty: Partial Identification Analysis Using Repeated Cross Sections" (with John V. Pepper) [Paper] |
| Mar. 19 | Zhentao Shi, Yale University, "Estimation of a Linear Structural Equation with Many Endogenous Variables" |
| Mar. 26 | Michael Jansson, University of California, Berkeley and Cowles visitor, "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model" (with H.P. Boswijk and M.O. Nielsen) [Paper] |
| Apr. 2 | Byoung Gun Park, Yale University, "Identification and Estimation of the Roy Model" |
| Apr. 9 | David Childers, Yale University, "Long Panel Estimation with Common Shocks" |
| Apr. 16 | Timothy Christensen, Yale University, "Semiparametric Estimation of Long-term Risk" |
| Apr. 23 | Jihyung Lee, Yale University, "Martingale Approximations for Weighted Sums of Stationary Processes and Autoregression under General Dependence" |
| Apr. 30 | James Duffy, Yale University, "Sieve Estimation of Nonlinear Cointegrating Regressions" |
| 2010/11 | |
| Sep. 6 | Peter Phillips, Yale University, "Econometric Beginnings, Endings and Surprises" |
| Sep. 13 | Irene Botosaru, Yale University, "Duration Models with Dynamic Unobserved Heterogeneity: Identification and Estimation" |
| Sep. 20 | Zhipeng Liao, Yale University, "Adaptive GMM Shrinkage Estimation with Consistent Moment Selection" |
| Sep. 27 | Offer Lieberman, Haifa University/Cowles visitor, "A Similarity-Based Approach to Time-Varying Coefficient Nonstationary Autoregression" [Paper] |
| Oct. 4 | Alex Torgovitsky, Yale University, "Identification and Estimation of Nonparametric Quantile Regressions with Endogeneity" |
| Oct. 11 | Scott Murdock, Yale University, "Exponential Tilting and Subsample Based Inference for Weakly Dependent Data" |
| Oct. 18 | Jihyung Lee, Yale University, "Asset Pricing with Financial Bubble Risk" |
| Oct. 25 | Eric Becker, Yale University, "A Nonparametric Estimator for Multinomial Choice" |
| Nov. 1 | James Wolter, Yale University, "Regime Changing Levy Processes: Specification and Estimation of Financial Crisis Dynamics in Continuous Time" |
| Nov. 8 | Sukjin Han, Yale University, "Nonparametric Estimation of Triangular Simultaneous Equations Model in the Presence of Weak Instruments" |
| Nov. 15 | Eduardo Souza-Rodrigues, Yale University, "Nonparametric Estimation of a Generalized Regression Model with Group Effects" |
| Nov. 29 | Zhentao Shi, Yale University, "High-Dimensional Problem in Networks" and James Duffy, Yale University, "Sieve Estimation of Nonlinear Cointegrating Regressions" |
| Dec. 6 | Byoung Park, Yale University, "Nonparametric Identification and Estimation of Generalized Roy Model" |
| Jan. 24 | Peter Robinson, London School of Economics, "Nonparametric Trending Regression with Cross-Sectional Dependence" [Paper] |
| Mar. 21 | Eduardo Souza Rodrigues, Yale University, "Nonparametric Estimation of a Generalized Regression Model with Group Effects" |
| Mar. 28 | Jihyung Lee, Yale University,, "Mildly Explosive Autoregression under Conditional Heteroskedasticity" |
| Apr. 4 | Byoung Park, Yale University, "Nonparametric Identification of Roy Model" and James Wolter, Yale University, "Kernel Estimation of Hazard Models with Dependent and Common Covariate Processes" |
| Apr. 11 | Thierry Magnac, Toulouse, "Set Identified Linear Models" (with Christian Bontemps, Eric Maurin) [Paper] |
| Apr. 18 | Yoon-Jae Whang, Seoul National University, "Testing Functional Inequalities" (with Sokbae Lee, Kyungchul Song) [Paper] |
| Apr. 25 | Eric Becker (Yale), "Estimation in Multinomial Outcomes Models" and Zhentao Shi (Yale), "Estimation of High Dimensional Simultaneous Equation System" |
| May 2 | Laurent Cavalier, Universit´e Aix-Marseille 1, "Inverse Problems in Statistics" [Paper] |
| May 9 | James Duffy, Yale University, "Sieve Estimation of Nonlinear Cointegrating Regressions" Sukjin Han, Yale University, "Nonparametric Identification and Estimation of Triangular Simultaneous Equations Models with Weak Instruments" |
| 2009/10 | |
| Sep. 7 | Peter C. B. Phillips, Yale University, "Econometric Beginnings and Endings" |
| Sep. 14 | Eric Becker, Yale University, "Semiparametric Estimation in Modelsof Multinominal Choice" |
| Sep. 21 | Ioannis Kasparis, University of Cyprus, "Ten Years of Non-Linear Models with Integrated Time Series" |
| Sep. 28 | Xiaoxia Shi, Yale University, "Model Selection Tests: Asymptotic Size of the Classical Vuong test and Vuong-type test for Moment Inequality Models" |
| Oct. 5 | Kirill Evdokimov, Yale University, "Identification & Estimation of a Nonparametric Panel Data Model with Unobserved Heterogeneity" |
| Oct. 12 | Tassos Magdalinos, University of Nottingham, "Mildly Explosive Processes & Cointegrated Systems" |
| Oct. 19 | Vladimir Spokoiny, Yale University, "Modern Nonparametric Statistics" |
| Oct. 26 | Vladimir Spokoiny, Yale University, "Modern Nonparametric Statistics" |
| Nov. 9 | Irene Botosaru, Yale University, "Identification in a Stochastic Survival Model" |
| Nov. 16 | Jihyung Lee, Yale University, "Stock Market Puzzles and Price Bubbles" |
| Nov. 23 | Kirill Evdokimov, Yale University, Identifcaiton and Estimation of a Nonparametric Panel Data Model with Unobserved Heterogeneity" |
| Nov. 30 | Sukjin Han, Yale University |
| Dec. 7 | Alex Torgovitsky, Yale University, "Identification in Nonparametric Quantile IV Modes" |
| Feb. 15 | Lorenzo Camponovo, University of Lugano, visiting Yale, "Robust Resampling Methods for Time Series" (with Olivier Scailett, Fabio Trojani) [Paper] |
| Feb. 22 | Sylvain Chabé-Ferret, Cemagref, visiting Yale, "To Control or Not to Control? Bias of Simple Matching vs Difference-in-Difference Matching in a Dynamic Framework" [Paper] |
| Mar. 1 | Thomas Leirvik, University of Lugano, visiting Yale, "Stochastic Volatility, Event Risk and Transaction Costs" (with Fabio Trojani) [Paper] |
| Mar. 22 | Yoosoon Chang, Indiana University, visiting Yalem "A Reexamination of Fama-French Regressions Using High Frequency Panels" [Paper] |
| Mar. 29 | Yazhen Wang, University of Wisconsin-Madison, "Modeling and Analyzing High-Frequency Financial Data" |
| Apr. 5 | Zhipeng Liao, Yale University, "Adaptive GMM Shrinkage Estimation with Consistent Moment Selection" |
| Apr. 12 | Eric Becker, Yale University, "A Model of Multinomial Outcomes With Multiple Confounding Unobservables" |
| Apr. 19 | Ji Hyung Lee, Yale University, "Stock Market Puzzles and Price Bubbles" |
| Apr. 26 | Alex Torgovitsky, Yale University, "Identification of Nonparametric Quantile Regressions with Endogeneity" |
| May 3 | James Wolter, Yale University, "Estimating Structural Breaks in Levy Processes and Approximating Ito-Semimartingales" |
| May 10 | Irene Botosaru, Yale University, "Identification and Sieve Estimation of a Non-Proportional Hazard Model" |
| 2008/09 | |
| Sep. 15 | Yukitoshi Matsushita, University of Tokyo and Cowles Visitor, "t-Tests in a Structural Equation with Many Instruments" |
| Sep. 22 | Quang Vuong, Penn State "Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions" (with I. Perrigne and E. Guerre) |
| Sep. 29 | Kirill Evdokimov, Yale University "Identification and Estimation of a Nonparametric Panel Data Model with Unobserved Heterogeneity" Xiaoxia Shi, Yale University, "Inference for Parameters Defined by Conditional Moment Inequalities" |
| Oct. 6 | Ilze Kalnina. LSE/Cowles Visitor, "Subsampling High Frequency Data" |
| Oct. 13 | Demian Pouzo, NYU, "Ramsey Taxation with Endogenous Defaults under Incomplete Markets" |
| Oct. 20 | Eric Becker, Yale University, "Multinomial Choice Logit with Random Coefficients: Identification and Estimation Using Deconvolution" and Zhipeng Liao, Yale University, "Uniform Convergence Rate and Pointwise Normality in Linear Sieve M-estimation" |
| Oct. 27 | Irene Botosaru, Yale University, "Identification in Mixed Proportional Hazard Models with Stochastic Heterogeneity" and Eduardo Souza Rodrigues, Yale University, "Semiparametric Identification of Stopping-Time Games" |
| Nov. 3 | Ilze Kalnina, LSE/Cowles Visitor, "Subsampling High Frequency Data" |
| Nov. 10 | Alice Klynge, Yale University, "The Returns of Literacy, Creativity, and Other Abilities" [Paper] |
| Dec. 8 | Alex Torgovitsky, Yale University, "A Sieve-Based Nonparametric Density Estimator" and James Wolter, Yale University, "Estimating Levy Processes with High Frequency Data" |
| Mar. 2 | Kirill Evadokimov, Yale |
| Mar. 23 | Xiaoxia Shi, Yale |
| Mar. 30 | Eric Becker, Yale Zhipeng Liao, Yale |
| Apr. 13 | Irene Botosaru, Yale |
| Apr. 20 | Chunrong Ai, University of Florida, "A Root-N Consistent Estimation of Regression Discontinuity Models" [Paper] |
| Apr. 27 | Alex Torgovitsky, Yale & Sukjin Han, Yale |
| May 4 | James Wolter, Yale University Eduardo Souza Rodrigues, Yale University |
| 2007/08 | |
| Sep. 17 | Continued General Discussion of Research in Econometrics |
| Sep. 24 | Ilze Kalnina, London School of Economics, Visiting the Cowles Foundation, "Inference About Realised Volatility Using Infill Subsampling" (with Oliver Linton) [Paper] |
| Oct. 1 | Huaming Peng, Yale University |
| Nov. 12 | Xu Cheng |
| Nov. 26 | Kirill Evdokimov |
| Dec. 3 | Sun-Young Park Kirill Evdokimov |
| Dec. 6 | Xiaoxia Shi |
| Feb. 25 | Igor Kheifets, Universidad Carlos III de Madrid, visiting Yale, "Specification Tests for Nonlinear Time Series Models" [Paper] |
| Apr. 7 | Xiaoxia Shi, Yale, "Inference on Models Defined by Conditional Moment Restrictions" |
| Apr. 14 | Andrew Chesher, UCL/Cowles visitor, "Lectures on Identification — Lecture 1: Identification: Principles and Practice" [Paper] |
| Apr. 21 | Andrew Chesher, UCL/Cowles visitor, "Lectures on Identification — Lecture 3: Identification under Discrete Variation" [Paper] |
| Apr. 28 | Irene Botosaru, Yale, "Duration Models with Stochastic Unobserved Heterogeneity" Xu Cheng, Yale, "Semiparametric Cointegrating Rank Selection" |
| May 5 | Alice Klynge, Yale,"The Returns to Literacy, Creativity, and Other Competencies" and Sunyoung Park, Yale, "Nonparametric Identification" |
| May 12 | Xu Cheng, Yale, "Inference in Nonlinear Regression" and Kirill Evdokimov, Yale |
| 2006/07 | |
| Sep. 11 | Peter C.B. Phillips, Yale University, "Starting Research in Econometrics" |
| Sep. 18 | Keli Xu, Yale University, "Empirical Likelihood Based Inference of Nonlinear Diffusions" |
| Sep. 25 | Huaming Peng, Yale University, "Model Selection in Factor Model Using Posterior Information" |
| Oct. 2 | Jean-Pierre Florens, University of Toulouse, (Visiting the Cowles Foundation), "Inverse Problems in Econometrics 1: Regularization of Ill-Posed Inverse Problems" |
| Oct. 9 | Brendan Beare, Yale University, "Copulas and Temporal Dependence" |
| Oct. 16 | Jean-Pierre Florens, University of Toulouse, (Visiting the Cowles Foundation), "Inverse Problems in Econometrics 3: Instrumental Variables and Extensions" |
| Oct. 23 | Seik Kim, Yale University, "Economic Assimilation of Foreign-Born Workers in the United States: An Overlapping Rotating Panel Analysis" |
| Nov. 6 | Seik Kim, Yale University, "Economic Assimilation of Foreign-Born Workers in the United States: An Overlapping Rotating Panel Analysis" |
| Nov. 13 | Huaming Peng, Yale University, ""Model Selection in Factor Model Using Posterior Information" |
| Dec. 4 | Scott Murdock, Yale University |
| Apr. 2 | Debopam Bhattacharya, Dartmouth College, Visiting the Cowles Foundation, "Nonparametric Inference on Optimal Healthcare Expenditure: Evidence from Medicare" |
| Apr. 16 | Tong Li, Vanderbilt University, "Simulation Based Selection of Competing Structural Econometric Models" [Paper] |
| Apr. 23 | Scott Murdock, Yale University, "Frequency Domain Empirical Likelihood for Dependent Processes" |
| 2005/06 | |
| Sep. 5 | Peter C.B. Phillips, Yale University, "Starting Research in Econometrics" |
| Sep. 12 | Brendan Beare, Yale University, "Robustifying Unit Root Tests to Permanent Changes to Innovation Variance" |
| Sep. 19 | Yoonseok Lee, Yale University, "Nonparametric Estimation of Dynamic Panel Models with Fixed Effects" |
| Sep. 26 | Joanna Haddock, Yale University, "Long Term Forecasting Using End of Sample Testing" |
| Oct. 10 | Huaming Peng, Yale University, "Model Selection in Factor Models of Grouped Structure" |
| Oct. 17 | Xiaotong (Vivian) Wang, Yale University (SOM), "Earnings Management, Asset Return and Return Volatility" |
| Oct. 24 | Keli Xu, Yale University, "Adaptive Estimation and Bootstrap Inference of Autoregressions Under Nonstationary Volatility" |
| Nov. 7 | Gustavo Soares, Yale University, "Inference with Inequality Moment Constraints" |
| Nov. 14 | P. Jeganathan, Indian Statistical Institute, "Some Asymptotics for Nonlinear Time Series Models" |
| Nov. 28 | Xiaotong (Vivian) Wang, Yale University (SOM), "Stock Return Dynamics Under Earnings Management" and Yoonseok Lee, Yale University, "Nonparametric Estimation of Dynamic Panel Models with Fixed Effects" |
| Jan. 30 | Marcelo Moreira, Harvard University, Visiting the Cowles Foundation, "Heteroskedasticity-Autocorrelation Robust Invariant Similar Tests for Instrumental Variables Regression" (with Don Andrews and Jim Stock) |
| Mar. 20 | Huaming Peng, Yale University, "Determining the Number of Factors from Posterior Information" |
| Mar. 27 | Brendan Beare, Yale University, "Copulas and Temporal Dependence" |
| Apr. 3 | Xiaohong Chen, New York University, "Large Sample Sieve Estimation of Semi-Nonparametric Models" |
| Apr. 10 | Seik Kim, Yale University, "Estimation of a Rotating Panel Data Model" |
| Apr. 17 | Keli Xu, Yale University, "Re-weighted Nadaraya-Watson Estimation of Scalar Diffusion Models" |
| Apr. 24 | Gustavo Soares, Yale University, "Parameter Inference for Partially Identified Models with Moment Inequalities" |
| 2004/05 | |
| Sep. 6 | Peter Phillips, Yale University, "Starting Research in Econometrics" |
| Sep. 13 | Erik Hjalmarsson, Yale University, "Predicting Global Stock-Returns with New Methods for Pooled and Long-Run Forecasting Regressions" |
| Sep. 20 | Vadim Marmer, Yale University, "Nonlinearity, Nonstationarity and Spurious Forecasts" |
| Sep. 27 | Ryo Okui, Yale University and University of Pennsylvania, "Shrinkage Methods for Instrumental Variable Estimation" [Paper] |
| Oct. 4 | Manuel Arellano, CEMFI, "Robust Likelihood Estimation of Dynamic Panel Data Models" (with Javior Alvarez) [Paper] |
| Oct. 5 | Manuel Arellano, CEMFI, "Modelling Optimal Instrumental Variables for Dynamic Panel Data Models" [Paper] |
| Oct. 11 | Rustam Ibragimov, Yale University, "On the Robustness of Economic Models to Heavy-Tailedness Assumptions" |
| Oct. 18 | Kevin Song, Yale University, "Testing Semiparametric Conditional Moment Restrictions via Conditional Martingale Transforms" |
| Oct. 25 | Oliver Linton, London School of Economics, "Efficient Estimation in a Nonparametric Regression with Autocorrelated Errors" (with Enno Mammen) [Paper] |
| Nov. 8 | Brendan Beare, Yale University, "A Heteroskedasticity-Robust Unit Root Test" |
| Nov. 12 | P. Jeganathan, Indian Statistical Institute, "Limit Theorems for Nonlinear Functionals of Sums of Linear Processes" |
| Nov. 15 | Huaming Peng, Yale University, "Model Selection in Small Factor Models" |
| Dec. 6 | Seik Kim and Joanna Haddock, Yale University |
| Jan. | Sainan Jin |
| Feb. 28 | Gautam Tripathi, University of Connecticut, "Optimally Combining Censored and Uncensored Datasets" (with P. Devereux) [Paper] |
| Mar. 21 | Werner Ploberger, University of Rochester/Cowles visitor, "Optimal Tests for Markov Switching" (with M. Carrasco and L. Hu) [Paper] |
| Mar. 28 | Yoonseok Lee, Yale University, "Misspecified Large Dynamic Panel Models with Individual Effects" |
| Apr. 4 | Huaming Peng, Yale University, "Model Selection in Factor Models with Group Effects" |
| Apr. 11 | Roger Koenker, UIUC, "Density Estimation by Total Variation Regularization" |
| Apr. 18 | Tiemen Woutersen, Johns Hopkins University, "A Semi-Parametric Duration Model with Heterogeneity and Time-Varying Regressors" (with J. Hausman) [Paper] |
| Apr. 25 | Geert Ridder, USC, "Mean-Squared-Error Calculations for Average Treatment Effects" (with G. Imbens and W. Newey) [Paper] |
| 2003/04 | |
| Sep. 8 | Peter Phillips, Yale University, "Starting Research in Econometrics" |
| Sep. 15 | Luke Hong, Yale University, "Testing Linearity in Cointegrating Relations" |
| Sep. 22 | Offer Lieberman, Technion-Israel Institute of Technology, "On Plug-In Estimation of Long Memory Models" [Paper] |
| Oct. 13 | Vadim Marmer, Yale University, "The Log Periodogram Regression for Integrable Functions of Integrated Time Series" |
| Oct. 20 | Rustam Ibragimov, Yale University |
| Oct. 27 | Jordan Milev, Yale University, "Search for a Structural Specification of the Earning-Returns Relation" [Paper] |
| Nov. 3 | Kevin Song, Yale University, "Large Panel Models with Fixed Heterogeneous Parameters" |
| Nov. 10 | Jiti Gao, The University of Western Australia, "Model Specification Testing in Nonparametric and Semiparametric Time Series Econometric Models" [Paper] |
| Dec. 1 | Yoonseok Lee, Yale University |
| Dec. 8 | Sainan Jin, Yale University, "Discrete Choice Modeling with Nonstationary Panels" |
| Mar. 1 | Christian Bender, University of Kostanz, "Integration with Respect to a Fractional Brownian Motion and the Fractional Black-Scholes Market" Joint with Econometrics Research Seminar |
| Mar. 29 | Tony Smith, Yale University, "Generalized Indirect Inference for Discrete Choice Models" (with Michael Keane) [Paper] smith-040329.pdf Joint with Econometrics Research Seminar |
| 2002/03 | |
| Sep. 16 | Guido Kuersteiner, MIT, "Estimation with Weak Instruments: Accuracy of Higher Order Bias and MSE Approximations" (with Jinyong Hahn, Jerry Hausman) [Paper] |
| Sep. 23 | Sainan Jin, George Korniotis, Vadim Marmer, Bjorn Tuypens, Yale University, Panel Discussion: "Writing Your Prospectus" |
| Sep. 30 | Bjorn Tuypens, Yale University, "A Frequency Domain Analysis of Mean Reversion Tests" |
| Oct. 14 | Jordan Milev, Yale University, "Can We Do without Linearity in the Earnings-Returns Relation?" |
| Oct. 21 | Luke Hong, Yale University, "Testing Linearity in Cointegration" |
| Oct. 28 | Jun Yu, University of Auckland, "Jacknifing Option Prices" |
| Nov. 4 | Erik Hjalmarsson, Yale University |
| Nov. 11 | Patrik Guggenberger, Yale University, "Generalized Empirical Likelihood Tests under Partial, Weak, and Strong Identification" [Paper] |
| Nov. 18 | Luke Hong, Yale University Vadim Marmer, Yale University |
| Feb. 10 | Kevin Song, Yale University |
| Mar. 24 | Erik Hjalmarsson, Yale University |
| Mar. 31 | Andrea Frazzini and Rustam Ibragimov, Yale University |
| Apr. 7 | Sainan Jin, Yale University |
| Apr. 14 | Katsumi Shimotsu, Yale University |
| Apr. 21 | Patrik Guggenberger and Jong Kim, Yale University |
| 2001/02 | |
| Sep. 10 | Peter Phillips, Yale University, "Starting Research in Econometrics" |
| Sep. 17 | Yixiao Sun, Yale University |
| Sep. 24 | Timo Makela, Yale University |
| Oct. 8 | Richard Smith, University of Bristol, "Alternative Methods for Heteroskedastic and Autocorrelation Variance Matrix Estimation" |
| Oct. 15 | Liang Peng, "Building a Venture Capital Index" |
| Nov. 12 | Timo Makela, "Estimating Average Long Run Relations in Nonstationary Panels with Large Cross Sections" |
| Nov. 26 | Vadim Marmer and Feng Zhu |
| Dec. 3 | Borja Garcia and Sainan Jin |
| Jan. 14 | Peter Phillips, Yale University, "Landmarks in Econometrics" |
| Feb. 11 | Oliver Linton, London School of Economics, "Estimating Semiparametric ARCH(inf) Models by Kernel Smoothing Methods" |
| Feb. 18 | George Korniotis, Yale University |
| Feb. 25 | Morten Nielsen, Aarhus University, Denmark, "Optimal Residual Based Tests for Fractional Cointegration" |
| Mar. 4 | Jong Kim, Patrik Guggenberger, Yale University, "Dynamic Combination of GARCH Models" |
| Mar. 25 | Borja Gracia, Jordan Milev, Yale University |
| Apr. 1 | Luke Hong, Sainan Jin, Yale University |
| Apr. 10 | Keith Knight, University of Toronto, "Asymptotics for Argmin Estimators" |
| Apr. 15 | Zhijie Xiao and Katsumi Shimotsu, Yale University |
| Apr. 22 | Rustam Ibragimov and Vadim Marmer, Yale University |
| Apr. 29 | Dennis Kristensen |
| May 13 | John Geweke, University of Iowa, Bayesian Methods and Decision Making: The Econometrician Gets a Seat at the Table" |
| May 14 | John Geweke, University of Iowa, Markov Chain Monte Carlo Methods and the Revolution in Bayesian Statistics" |
| 2000/01 | |
| Sep. 11 | Peter C. B. Phillips, "Intellectual Influence in Econometrics" |
| Sep. 25 | Panel Discussion – "Writing Your Prospectus," Luke Hong, David McKenzie, Kostya Tyurin, Peter Phillips |
| Oct. 2 | Ling Hu and Yan (Grace) Li, Yale University |
| Oct. 9 | Luke Hong and Yixiao Sun, Yale University |
| Oct. 16 | Timo Makela and Patrik Guggenberger, Yale University |
| Oct. 30 | George Korniotis, Yale University |
| Nov. 6 | Rustam Ibragimov and Bjorn Tuypens, Yale University |
| Nov. 13 | Feng Zhu and Hui Wang, Yale University |
| Nov. 27 | Jordan Milev, Yale University |
| Nov. 29 | Phillippe Jehiel, ENPC, University College and Institute for Advanced Studies, "Analogy-Based Expectation Equilibrium" |
| Feb. 12 | Luke Hong and Rustam Ibragimov, Yale University |
| Feb. 19 | Timo Makela and Makram Talih, Yale University |
| Mar. 19 | Jordan Milev, Yale University |
| Mar. 24 | Wenzhong Fan, Yale University |
| Apr. 2 | Timo Makela and Patrik Guggenberger, Yale University |
| 1999/00 | |
| Sep. 13 | Peter C.B. Phillips, "Climbing the Ice Face: Some Thoughts for Beginning Researchers" |
| Sep. 20 | Luke Hong, "Job Creation and Job Destruction Rates with Factor Intensity" and "Structural Break vs. Long Memory: Spurious Regression" Liang Peng, "The Accuracy of Some Alternative Methods to Repair Sales Regression: A Simulation" Yi Xiao Sun, "Efficient Detrending in the Presence of Fractional Errors" |
| Sep. 27 | Lingfeng Li, "Expectation Errors in Variance Decomposition" Timo Makela Gerard McDonald, Applications of Nonlinear Time Series Econometrics" |
| Oct. 4 | David McKenzie, "Econometric Techniques for Dynamic Heterogeneous Pseudo-Panels" Jong Kim, Ling Hu, "Propositions for Test of Volatility Structure Changes" |
| Oct. 11 | Laura Mayoral, "Generalized Minimum Distance Estimation of ARFIMA Processes" |
| Oct. 18 | Chang Sik Kim, "Asymptotics of Log Periodogram and Modified Log Periodogram Regression in the Nonstationary Case" Katsumi Shimotsu, "Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case" |
| Oct. 23 | Cowles Conference |
| Oct. 24 | Cowles Conference |
| Nov. 1 | Kostya Tyurin, "The Occupation Density of Fractional Brownian Motion and Some of Its Applications" |
| Nov. 8 | Moto Shintani, "Nonstationary Local Polynomial Autoregression" |
| Nov. 15 | Thong Nguyen, "Multi-Factor HJM Models: A Nonparametric Analysis" |
| Nov. 29 | Yixiao Sun, Generalized Gaussian Semiparametric Estimate of Long Range Dependence" Yan Li, "Finite Sample Properties of Nonparametric Tests of Interest Rate Models" and "Estimation of State Price Densities" |
| Dec. 6 | David McKenzie, "Estimation of Dynamic Heterogeneous, Possibly Non-Stationary, Pseudo-Panels" |
| Mar. 27 | Seung Hyun Hong, "Long Memory vs. Structural Break: Spurious Regression Perspective" Yixiao Sun, "Fractional Cointegrating Analysis of the Fisher Hypothesis" |
| Apr. 3 | David McKenzie, "Estimation of Dynamic Unequally Spaced Panels and Pseudo-Panels" |
| Apr. 10 | Timo Makela, "Nonstationary Panel Mixtures" Liang Peng, "Generic Index Model and Indicates of Illiquid Markets" |
| Apr. 17 | Ling Hu, "An Econometric Test of Volatility Structures within HJM Term Structure Models" Yan Li |
| Apr. 24 | Konstantin Tyurin, "Econometric Analysis of a Limit Order Market" |
| 1998/99 | |
| Sep. 21 | Peter C.B. Phillips, "Climbing the Ice Face: Do’s and Don’ts for Beginning Researchers" |
| Sep. 28 | Woocheol Kim, "Evolutionary Time Series Processes" |
| Oct. 5 | Chang Sik Kim, "Fractional Integration: FM Estimation" |
| Oct. 12 | Konstantin Tyurin, "Ultra High Frequency Econometrics" |
| Oct. 19 | Federico Bandi, "Econometric Estimation of Diffusion Models" |
| Oct. 26 | Katsumi Shimotsu, "Log Periodogram Semi-parametric Regression" |
| Nov. 9 | Mototsugu Shintani, "Cointegration Testing by FM-VAR Methods" |
| Nov. 16 | Oliver Linton, "Estimating Yield Curves by Kernel Smoothing" |
| Jan. 18 | Katsutoshi Wakai, "Kernel Estimation of Stochastic Discount Factors" |
| Jan. 25 | Jong Kim, "Testing Convexity in the q-Theory of Investment" |
| Feb. 1 | Tau Wu, "Stochastic General Equilibrium Models of the Term Structure" |
| Mar. 1 | Thong Nguyen, "Estimation of HJM Model of Interest Rates" |
| Mar. 22 | Moto Shintani, "Unit Root Tests, Observational Equivalence and the Divergence Rates" |
| Apr. 5 | Dmitri Dubasov, "Investment Based CAPM" |
| Apr. 12 | Peter C.B. Phillips, "New Tricks with DFT's of Fractional Processes" |
| Apr. 19 | Changsik Kim and Peter C.B. Phillips, "Log Periodogram Regression in the Nonstationary Case" |