Econometrics Research Seminar, 1998/99 - 2004/05
| 1998/99 | 1999/00 | 2000/01 | 2001/02 | 2002/03 | 2003/04 | 2004/05 |
To find the Archives for more recent years, go to the Events/Seminars page and scroll to the bottom, Past Events
| 2004/05 | |
| Sep. 8 | David Harris, University of Melbourne, "Panel Stationarity Tests for Purchasing Power Parity with Cross-Sectional Dependence" (with Stephen Leybourne and Brendan McCabe) [Paper] |
| Sep. 22 | Rustam Ibragimov, Yale University, "On the Robustness of Economic Models to Heavy-Tailedness Assumptions" |
| Sep. 29 | Kevin Song, Yale University, "Testing Semiparametric Conditional Moment Restrictions via Conditional Martingale Transforms" |
| Oct. 4 | Manuel Arellano, CEMFI, "Robust Likelihood Estimation of Dynamic Panel Data Models" (with Javier Alvarez) [Paper] |
| Oct. 13 | Vadim Marmer, Yale University, "Nonlinearity, Nonstationarity, and Spurious Forecasts" |
| Oct. 20 | Erik Hjalmarsson, Yale University, "Predicting Global Stock-Returns with New Methods for Pooled and Long-Run Forecasting Regressions" |
| Oct. 26 | Ryo Okui, Yale University and University of Pennsylvania, "Shrinkage Methods for Instrumental Variable Estimation" [Paper] |
| Oct. 27 | Oliver Linton, London School of Economics, "Nonparametric Estimation of Homothetic and Homothetically Separable Functions" (with Arthur Lewbel) [Paper] |
| Nov. 3 | P. Jeganathan, Indian Statistical Institute, "Asymptotic Inference in Some Nonlinear Time Series Models" |
| Nov. 10 | Stefan Hoderlein, University of Mannheim, "Nonparametric Demand Analysis in a Heterogeneous Population Using LPR Based Estimators" [Paper] (Second paper with Norbert Christopeit) |
| Dec. 1 | Yuichi Kitamura, Yale University, "Nonparametric Identifiability of Finite Mixtures" |
| Mar. 2 | Masao Ogaki, Ohio State University, "Structural Spurious Regressions and a Hausman-Wu-Type Cointegration Test" (with Ling Hu) [Paper] |
| Mar. 23 | Whitney Newey, MIT, "Improved Inference for GMM with Many Moments" [Paper] (Additional Paper with C. Hansen and J. Hausman [] |
| Mar. 31 | Rosa Matzkin, Northwestern University, "Identification and Estimation in Structural Nonparametric Models" [Paper] Joint with Applied Microeconomics Workshop |
| Apr. 6 | Werner Ploberger, University of Rochester and Yale University, "Optimal Estimation under Nonstandard Conditions" (with Peter Phillips) |
| Apr. 20 | Bryan S. Graham, Harvard University, "Identifying Social Interactions Through Excess Variance Contrasts" [Paper] |
| Apr. 27 | Juan Carlos Escanciano, University of Navarra and Yale University, "Model Checks Using Residual Marked Empirical Processes" [Paper] |
| 2003/04 | |
| Sep. 17 | Jushan Bai, New York University, "Evaluating Latent and Observed Factors in Macroeconomics and Finance" (with Serena Ng) [Paper] and "Confidence Intervals for Principal-Components Forecasts with Large Numbers of Predictors" (with Serena Ng) [Paper] |
| Sep. 24 | Offer Lieberman, Technion – Israel Institute of Technology, "Error Bounds and Asymptotic Expansions for Toeplitz Product Functionals of Unbounded Spectra" (with Peter C.B. Phillips) [Paper] |
| Oct. 1 | Tim Vogelsang, Cornell University, "A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests" (with Nicholas M. Kiefer) [Paper] |
| Oct. 3 | Josh Angrist, MIT, "Treatment Effect Heterogeneity in Theory and Practice" [Paper] Joint with Labor and Population |
| Oct. 8 | Feng Zhu, Yale University, "Central Bank Balanced Sheet Concerns, Monetary and Fiscal Rules, and Macroeconomic Instability" [Paper] |
| Oct. 15 | Sainan Jin, Yale University, "Discrete Choice Modeling with Nonstationary Panels" |
| Oct. 22 | Dietmar Bauer, TU Wien (Vienna University of Technology), "Subspace Methods for the Estimation of ARMA Models" [Paper] |
| Oct. 29 | P. Jeganathan, Indian Statistical Institute, "Asymptotics in Some Nonlinear Cointegrated Models" based on the following two papers: "Second Order Limits of Functionals of Sums of Linear Processes that Converge to Fractional Stable Motions" [Paper] and "Convergence of Functionsld og Dumd of r.v.s. to Local Times of Fractional Stable Motions" [Paper] |
| Nov. 5 | Luke Hong, Yale University, "Testing Linearity in Cointegrating Relations: Application to PPP" |
| Nov. 12 | Jiti Gao, The University of Western Australia, "Model Selection in Nonparametric and Semiparametric Regression" [Paper] |
| Dec. 3 | Guido Kuersteiner, MIT, "Bias Reduction for Dynamic Nonlinear Panel Models with Fixed Effects" (with Jinyong Hahn) [Paper] |
| Dec. 10 | Luke Hong, Yale University, "Testing Linearity in Cointegrating Relations: Application to PPP" |
| Feb. 11 | Yoon-Jae Whang, Korea University, "Consistent Testing for Stochastic Dominance under General Sampling Schemes" (with Oliver Linton and Esfandiar Maasoumi) [Paper] |
| Feb. 25 | Dietmar Bauer, Vienna University of Technology, "State Space Representations for Rational Unit Root Processes" (with Martin Wagner) [Paper] |
| Mar. 1 | Christian Bender, University of Konstanz, "Integration with Respect to a Fractional Brownian Motion and the Fractional Black-Scholes Market" |
| Mar. 3 | Alex Maynard, University of Toronto, "Covariance-based Orthogonality Tests for Regressors with Unknown Persistence with Application to Stock Return Predictability" (with Katsumi Shimotsu) [Paper] |
| Mar. 29 | Tony Smith, Yale, "Generalized Indirect Inference for Discrete Choice Models" (with Michael Keane) [Paper] |
| Apr. 21 | Jack Porter, Harvard University, "Efficiency in Asymptotic Shift Experiments" (with Keisuke Hirano) [Paper] |
| Apr. 28 | Joseph Altonji, Yale, "Selection on Observed and Unobserved Variables: Assessing the Effectiveness of Catholic Schools" (with Todd E. Elder and Christopher R. Taber) [Paper] |
| 2002/03 | |
| Sep. 18 | Guido Kuersteiner, MIT, "Higher Order Properties of Bootstrap and Jackknife Bias Corrected Maximum Likelihood Estimators" (with Jinyong Hahn and Whitney Newey) [Paper] |
| Oct. 2 | Patrik Guggenberger, Yale University, "Generalized Empirical Likelihood and Weak Instruments" [Paper] |
| Oct. 16 | Lingfeng Li, Yale University, "Correlation of Stock and Bond Returns" |
| Oct. 23 | Jun Yu, University of Auckland, "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options" [Paper] |
| Oct. 30 | Bjorn Tuypens, Yale University, "Stock Market Predictability: Theory and Econometric Tests" |
| Nov. 6 | Jong Kim, Yale University, "Higher-Order Improvements of the Restricted Parametric Bootstrap for Tests" |
| Nov. 13 | Katsumi Shimotsu, University of Essex, "Exact Local Whittle Estimation of Fractionally Cointegrated Systems" |
| Nov. 20 | George Korniotis, Yale University, "Testing External Habits in U.S. State Consumption" |
| Dec. 4 | P. Jeganathan, Indian Statistical Institute, "Convergence of Functionals of Sums of Fractionally Integrated Processes" [Paper] |
| Dec. 11 | P. Jeganathan, Indian Statistical Institute, "Asymptotic Inference in Nonlinear Conintegrated Time Series with Fractionally Integrated and Possibly Heavy Tailed Errors" [Paper] and "Asymptotic Inference in A Non-Linear Cointegrated Model" [Paper] |
| Feb. 19 | John Chao, University of Maryland, "Consistent Estimation with a Large Number of Weak Instruments" |
| Feb. 26 | Hannes Leeb, Temple University, "Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results" |
| Mar. 5 | Donald Brown and Marten Wegkamp, Yale University, "Tests of Independence in Separable Econometric Models" [Paper] |
| Apr. 2 | Matthew Rabin, "Piecemeal Preferences" |
| Apr. 9 | Guido Imbens, University of California, Berkeley, "Identification and Inference in Nonlinear Difference-in-differences Models" (with Susan Athey) [Paper] Joint with Labor and Population |
| Apr. 16 | Yuichi Kitamura, University of Pennsylvania, "A Likelihood-based Approach to the Analysis of a Class of Nested and Non-nested Models" [Paper] |
| Apr. 30 | Andrew Chesher, University College London, "Instrumental Values" [Paper] |
| 2001/02 | |
| Sep. 19 | Bo Honoré, Princeton University, "Estimation of Cross Sectional and Panel Data Censored Regression Models with Endogeneity" |
| Oct. 3 | Ling Hu, Yale University, "Dependence Patterns across Markets: Methods and Evidence" |
| Oct. 8 | Richard Smith, University of Bristol, "Alternative Methods for Heteroskedastic and Autocorrelation Variance Matrix Estimation" |
| Oct. 10 | Richard Smith, University of Bristol, "Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators" |
| Oct. 31 | Yixiao Sun, Yale University, "Modeling Panel Clusters with Application in Convergence Clubs" |
| Nov. 7 | Alberto Abadie, John F. Kennedy School, Harvard University, "Simple and Bias-Corrected Matching Estimators for Average Treatment Effects" |
| Nov. 28 | Frank Kleibergen, University of Amsterdam, "Testing Parameters in GMM Without Assuming That They are Identified" |
| Dec. 5 | Ray C. Fair, Yale University, "Bootstrapping Macroeconometric Models" |
| Jan. 30 | Oliver Linton, London School of Economics, "Estimation of Semiparametric Models When the Criterion Function Is Not Smooth" |
| Feb. 6 | Oliver Linton, London School of Economics, "Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems" |
| Feb. 11 | Oliver Linton, London School of Economics, "Estimating Semiparametric ARCH(inf) Models by Kernel Smoothing Methods" Joint with Prospectus Workshop in Econometrics |
| Feb. 27 | Offer Lieberman, Technion-Israel Institute of Technology, "High-order Theory of Fractional Guassian Processes" |
| Mar. 27 | Zhijie Xiao, University of Illinois at Urbana-Champaign, "Efficient Regression in Time Series Partial Linear Models" |
| Apr. 3 | Katsumi Shimotsu, University of Essex, "Exact Local Whittle Estimation of Fractional Integration" |
| Apr. 8 | Keith Knight, University of Toronto, "Asymptotics for Argmin Estimators" Joint with Econometrics Prospectus |
| Apr. 10 | Keith Knight, University of Toronto, "Regression Quantiles: Second Order Considerations" |
| Apr. 24 | Jong Kim, Yale University and Morten Nielsen, Yale University "Semiparametric Estimation of Time Series Regression with Long Range Dependence" |
| May 13 | John Geweke, University of Iowa, "Compound Markov Mixture Models with Appliations in Finance" Joint with Econometrics Prospectus |
| 2000/01 | |
| Sep. 13 | Offer Lieberman, Technion-Israel Institute of Technology/Cowles visitor, "Valid Asymptotic Expansions for the Maximum Likelihood Estimator of the Parameter of a Stationary, Gaussian, Strongly Dependent Process" |
| Sep. 20 | Xiaohong Chen, London School of Economics, "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions" (with Chunrong Ai). |
| Oct. 4 | Konstantin Tyurin, Yale University, "A Semiparametric Competing Risk Model of a Limit Order Market" |
| Oct. 18 | David McKenzie, Yale University, "Consumption Growth in a Booming Economy: Taiwan 1976-96" |
| Nov. 1 | Guido Kuersteiner, MIT, "Weak Instruments in Dynamic Panel Models with Fixed Effects" |
| Nov. 29 | Dmitry Dubasov, Yale University, Corporate Investment and Financing Constraints" |
| Feb. 14 | In Choi, Yale University, "Cointegrating Smooth Transition Regressions with Applications to the Asian Currency Crisis" |
| Feb. 28 | Sam Thompson, Harvard University, "Specification Tests for Conditional Distributions, with an Application to Models for the Spot Interest Rate" |
| Mar. 21 | Javier Hidalgo, LSE, "Estimation of the Location of the Pole: The Parametric and Nonparametric Approach" |
| Mar. 28 | Robert de Jong, Michigan State University, "Least Squares with Powers of Integrated Processes as Regressors" |
| Apr. 11 | Susanne Schennach, University of Chicago, "Estimation of Nonlinear Models with Measurement Error" |
| 1999/00 | |
| Sep. 22 | Peter C.B. Phillips, Yale University, "Discrete Fourier Transforms of Fractional Processes" |
| Sep. 29 | Katsumi Shimotsu, Yale University, "Local Whittle and Modified Local Whittle Regression in the Nonstationary Case" |
| Oct. 6 | Chang Sik Kim, Yale University, "Asymptotics of Log Periodogram Regression: The Nonstationary Case" |
| Oct. 13 | Kostya Tyurin, Yale University, "Local Density of Fractional Brownian Motion" |
| Oct. 20 | Moto Shintani, Yale University, "Is There Chaos in the U.S. Economy? Testing the Statistical Significance of Lyapunov Exponent from Neural Networks" |
| Oct. 22 | Robert Engle, University of California, San Diego, "CAViaR: Conditional Value at Risk by Regression Quantiles" |
| Oct. 23-24 | COWLES CONFERENCE: New Developments in Time Series Econometrics |
| Oct. 27 | Thong Nguyen, Yale University, "A Nonparametric Analysis of the Heath-Jarrow-Morton Models of Interest Rate" |
| Nov. 3 | Joon Park, Seoul National University/Cowles visitor, "Nonlinear Regressions with Integrated Time Series" |
| Nov. 10 | Yoon-Jae Whang, Ewha Womans University/Cowles visitor, "Testing for the Martingale Hypothesis" |
| Nov. 17 | Yoosoon Chang, Rice University/Cowles visitor, A Sieve Bootstrap for the Test of a Unit Root" |
| Dec. 1 | Donald Andrews, Yale University, "Higher-order Improvements of a Computationally Attractive k-step Bootstrap for Extremum Estimators" |
| Jan. 27 | Yacine Ait-Sahalia, Princeton University, "Maximum-likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approach" |
| Feb. 10 | Christopher Sims, Yale University, "A Bayesian Perspective on Non-Parametrics" |
| Feb. 19 | Joel Horowitz, University of Iowa, "An Adaptive, Rate-Optimal Test of a Parametric Model Against a Nonparametric Alternative" |
| Feb. 14 | In Choi, Yale University, "Cointegrating Smooth Transition Regressions with Applications to the Asian Currency Crisis" |
| Feb. 28 | Sam Thompson, Harvard University, "Specification Tests for Conditional Distributions, with an Application to Models for the Spot Interest Rate" |
| Mar. 21 | Javier Hidalgo, London School of Economics, "Estimation of the Location of the Pole: The Parametric and Nonparametric Approach" |
| Mar. 28 | Robert de Jong, Michigan State University, "Least Squares with Powers of Integrated Processes as Regressors" |
| Apr. 11 | Susanne Schennach, University of Chicago, "Estimation of Nonlinear Models with Measurement Error" |
| 1998/99 | |
| Sep. 16 | Peter C.B. Phillips, Yale University, "Nonlinear Integration" |
| Sep. 23 | Mototsugu Shintani, Yale University, "A Simple Cointegrating Rank Test Without Parametric Specification" |
| Sep. 30 | James MacKinnon, Queens University, "Bootstrap Tests of Nonnested Linear Regression Models" |
| Oct. 7 | Binbin Guo, Yale University, "Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form" |
| Oct. 14 | Alex Maynard, Yale University, "Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly" |
| Oct. 21 | Federico Bandi, Yale University, "Some New Methods in the Econometrics of Continuous-Time Finance" |
| Oct. 28 | Woocheol Kim, Yale University, "Econometric Analysis of Locally Stationary Time Series Models" |
| Nov. 4 | Tim Vogelsang, Cornell University, "Simple Robust Testing of Regression Hypotheses" |
| Nov. 11 | Werner Ploberger, University of Rochester, "A Complete Class of Tests When the Likelihood is LAQ" |
| Nov. 18 | Woocheol Kim, Yale University, "Econometric Analysis of Evolving Time Series Models" |
| Dec. 2 | Binbin Guo, Yale University, "Testing, Estimation and Applications of Autoregressive Models with Conditional Heteroskedasticity" |
| Feb. 14 | In Choi, Yale University, "Cointegrating Smooth Transition Regressions with Applications to the Asian Currency Crisis" |
| Feb. 28 | Sam Thompson, Harvard University, "Specification Tests for Conditional Distributions, with an Application to Models for the Spot Interest Rate" |
| Mar. 21 | Javier Hidalgo, LSE, "Estimation of the Location of the Pole: The Parametric and Nonparametric Approach" |
| Mar. 28 | Robert de Jong, Michigan State University, "Least Squares with Powers of Integrated Processes as Regressors" |
| Apr. 11 | Susanne Schennach, University of Chicago, "Estimation of Nonlinear Models with Measurement Error" |