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 | 2009/102010/11 | 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”