September 25, 2015
18:30 to 21:00	Welcome Reception and Poster Session I, Science Complex
September 26, 2015
07:30 to 08:00	Breakfast, Rozanski Hall Concourse
08:30 to 09:30	Keynote Speaker: Don Andrews, Rozanski Hall Room 102
09:45 to 11:15	Instrumental Variables and Weak Identification, Rozanski Hall Room 102
11:30 to 13:00	Robust Estimation and Inference, Rozanski Hall Room 102
13:05 to 14:20	Lunch, University Club, 5th Floor, University Center
14:30 to 16:00	Bootstrapping, Rozanski Hall Room 102
16:10 to 19:00	Poster Session II, Rozanski Hall Concourse
20:15 to 22:15	Conference Dinner, BollyWood Bistro, 51 Cork St E, Guelph, ON N1H 2W7
September 27, 2015
07:30 to 08:25	Breakfast, Rozanski Hall Room 102
08:30 to 09:30	Keynote Speaker: Qi Li, Rozanski Hall Room 102
09:35 to 11:50	Time Series and Financial Econometrics, Rozanski Hall Room 102
11:50 to 12:50	Lunch, University Club, 5th Floor, University Center
13:00 to 15:15	Heterogeneity, Rozanski Hall Room 102

Summary of All Sessions
Click here for an index of all participants

Date/Time	Location	Title	Papers
September 25, 2015 18:30-21:00	Science Complex	Poster Session I	12
September 26, 2015 8:30-9:30	Rozanski Hall, Room 102	Keynote Speaker: Don Andrews	1
September 26, 2015 9:45-11:15	Rozanski Hall, Room 102	Instrumental Variables and Weak Identification in Linear and Non-linear Models	2
September 26, 2015 11:30-13:00	Rozanski Hall, Room 102	Robust Estimation and Inference in Flexible Econometric Models	2
September 26, 2015 14:30-16:00	Rozanski Hall, Room 102	Bootstrapping in Linear and Non-Linear Models	2
September 26, 2015 16:10-19:00	Rozanski Hall, Main Concourse	Poster Session II	17
September 27, 2015 8:30-9:30	Rozanski Hall, Room 102	Keynote Speaker: Qi Li	1
September 27, 2015 9:35-11:50	Rozanski Hall, Room 102	Non-linear Time Series and Financial Econometrics	3
September 27, 2015 13:00-15:15	Rozanski Hall, Room 102	Heterogeneity	3

 

9 sessions, 43 papers, and 0 presentations with no associated papers

32nd Meeting of the Canadian Econometrics Study Group Development and Economic Application of Flexible and Non-linear Econometric Models
Detailed List of Sessions

Session: Poster Session I September 25, 2015 18:30 to 21:00 Science Complex
An Infinite Hidden Markov Model for Short-term Interest Rates
By Qiao Yang; University of Toronto John Maheu; McMaster University
Presented by: Qiao Yang, University of Toronto
Financial Modelling with Price Limits
By xiao Lin
Presented by: xiao Lin,
A New Measure of Vector Dependence, with an Application to Financial Contagion.
By Ivan Medovikov; Brock University Artem Prokhorov; University of Sydney, MEAFA & CIREQ
Presented by: Ivan Medovikov, Brock University
Bundling and Nonlinear Pricing in Telecommunications
By Yao Luo; University of Toronto
Presented by: Yao Luo, University of Toronto
Integrated-quantile-based estimation for first price auction models
By Yao Luo; University of Toronto Yuanyuan Wan; University of Toronto
Presented by: Yuanyuan Wan, University of Toronto
Nonparametric Estimation of an Additive Unconditional Quantile Regression Model
By Na Li; University of Toronto
Presented by: Na Li, University of Toronto
On the Misuses of Predictive Performance Tests
By Daniel Indacochea; University of Toronto
Presented by: Daniel Indacochea, University of Toronto
Test of equilibrium uniqueness in discrete games with a flexible information structure
By Mathieu Marcoux; University of Toronto
Presented by: Mathieu Marcoux, University of Toronto
Dynamic Technical Efficiency
By Lynda Khalaf; Carleton University Charles Saunders; Carleton University and University of Western Ontario
Presented by: Charles Saunders, Carleton University and University of Western Ontario
Functional-Coefficient Spatial Durbin Model with Nonparametric Spatial Weights: An Application to Economic Growth
By Yiguo Sun; University of Guelph Mustafa Koroglu; University of Guelph
Presented by: Mustafa Koroglu, University of Guelph
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates
By Andrew Hencic; York University
Presented by: Andrew Hencic, York University
Improving Forecasts from Markov Switching Models using Realized Variance
By Jia Liu; McMaster University John Maheu; McMaster University
Presented by: Jia Liu, McMaster University
Session: Keynote Speaker: Don Andrews September 26, 2015 8:30 to 9:30 Rozanski Hall, Room 102
Session Chair: James MacKinnon, Queen's University
Identification- and Singularity-Robust Inference for Moment Condition Models
By Donald Andrews; Yale University Patrik Guggenberger; Pennsylvania State University
Presented by: Donald Andrews, Yale University
Session: Instrumental Variables and Weak Identification in Linear and Non-linear Models September 26, 2015 9:45 to 11:15 Rozanski Hall, Room 102
Session Chair: Angelo Melino, University of Toronto
Instrumental Variable Estimation with First-Stage Heterogeneity
By Alberto Abadie; Harvard University Jiaying Gu; University of Toronto Shu Shen; University of California, Davis
Presented by: Jiaying Gu, University of Toronto
Discussant:   Lynda Khalaf, Carleton University
Efficient Inference in the Classical IV Regression Model with Weak Identification: Asymptotic Power Against Arbitrarily Large Deviations from the Null Hypothesis
By Vadim Marmer; University of British Columbia Zhengfei Yu; UBC
Presented by: Vadim Marmer, University of British Columbia
Discussant:   Bertille Antoine, Simon Fraser University
Session: Robust Estimation and Inference in Flexible Econometric Models September 26, 2015 11:30 to 13:00 Rozanski Hall, Room 102
Session Chair: Paul Rilstone, York University
Robust Estimation with Exponentially Tilted Hellinger Distance
By Bertille Antoine; Simon Fraser University Prosper Dovonon; Concordia University
Presented by: Bertille Antoine, Simon Fraser University
Discussant:   Pierre Chausse, University of Waterloo
Quantile-Regression Inference With Adaptive Control of Size
By Juan Carlos Escanciano; Indiana University Chuan Goh; University of Wisconsin-Milwaukee
Presented by: Chuan Goh, University of Wisconsin Milwaukee
Discussant:   Victoria Zinde-Walsh, McGill University
Session: Bootstrapping in Linear and Non-Linear Models September 26, 2015 14:30 to 16:00 Rozanski Hall, Room 102
Session Chair: Jean-Marie Dufour, McGill University
A Discrete Model for Bootstrap Iteration
By Russell Davidson; McGill University
Presented by: Russell Davidson, McGill University
Discussant:   Prosper Dovonon, Concordia University
Bootstrap and k-step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models
By Min Seong Kim; Ryerson University Yixiao Sun; University of California, San Diego
Presented by: Min Seong Kim, Ryerson University
Discussant:   James MacKinnon, Queen's University
Session: Poster Session II September 26, 2015 16:10 to 19:00 Rozanski Hall, Main Concourse
Simultaneous Indirect Inference, Impulse Responses and ARMA models
By Beatriz Peraza Lopez; Carleton University Lynda Khalaf; Carleton University
Presented by: Beatriz Peraza Lopez, Carleton University
Distribution Forecasting in Nonlinear Models with Stochastic Volatility
By Peter Exterkate; University of Sydney
Presented by: Peter Exterkate, University of Sydney
Within-group Estimators for Fixed Effects Quantile Models with Large N and Large T
By Heng Chen; Bank of Canada
Presented by: Heng Chen, Bank of Canada
Estimating Production Functions with Control Functions When Capital Is Measured With Error
By Kyoo il Kim; Michigan State University
Presented by: Kyoo il Kim, Michigan State University
Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
By Pierre Guerin; Bank of Canada Danilo Leiva-Leon; Bank of Canada
Presented by: Pierre Guerin, Bank of Canada
Functional Principal Component Analysis of Density Families with Complex Survey Data on UK Prices
By Ba Chu; Carleton University Kim Huynh; Bank of Canada David Jacho-Chavez; Emory University Oleksiy Kryvtsov; Bank of Canada
Presented by: Kim Huynh, Bank of Canada
On Attempts to Rescue Identification in DSGE Models: A Finite-Sample Exact Analysis
By Lynda Khalaf; Carleton University Zhenjiang Lin; Carleton University Abeer Reza; Bank of Canada
Presented by: Zhenjiang Lin, Carleton University
Nonparametric Identification and Estimation of Double Auctions with Bargaining
By Huihui Li; Pennsylvania State University Nianqing Liu; Shanghai University of Finance and Economics
Presented by: Huihui Li, Pennsylvania State University
Semiparametric inference on social interactions with homophily
By Nianqing Liu; Shanghai University of Finance and Economics Haiqing Xu; University of Texas
Presented by: Nianqing Liu, Shanghai University of Finance and Economics
Interest rate pass-through: A nonlinear vector error-correction approach
By Michal Popiel; Queen's University
Presented by: Michal Popiel, Queen's University
Keeping Diffusion Processes within Bounds: Using Information between Observations
By Lealand Morin; Queen's University
Presented by: Lealand Morin, Queen's University
Forecasting daily political opinion polls using the fractionally cointegrated VAR model
By Morten Nielsen; Queen's University Sergei Shibaev; Queen's University
Presented by: Sergei Shibaev, Queen's University
A Simple, Graphical Procedure for Comparing Multiple Treatment Effects
By Brennan Thompson; Ryerson University Matthew Webb; University of Calgary
Presented by: Matthew Webb, University of Calgary
Non-standard Condence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data
By Jean-Thomas Bernard; University of Ottawa Ba Chu; Carleton University Lynda Khalaf; Carleton University Marcel Voia; Carleton University
Presented by: Marcel Voia, Carleton University
Identification and Estimation of a Triangular model with Multiple Edogenous Variables and Insufficiently Many Instrumental Variables
By Liquan Huang; University of Rochester Umair Khalil; University of Rochester Nese Yildiz; University of Rochester
Presented by: Liquan Huang, University of Rochester
A Sensitivity Analysis in the Affiliated Private Value Auction Model with Incomplete Sets of Bids
By Yanqin Fan; University of Washington Ming He; University of Washington Tong Li; Vanderbilt University
Presented by: Ming He, University of Washington
Difference-in-Differences Inference With Few Treated Clusters
By James MacKinnon; Queen's University Matthew Webb; University of Calgary
Presented by: James MacKinnon, Queen's University
Session: Keynote Speaker: Qi Li September 27, 2015 8:30 to 9:30 Rozanski Hall, Room 102
Session Chair: Russell Davidson, McGill University
Detecting Financial Data Dependence Structure by Averaging Mixture Copulas
By Wei Long; Texas A&M University Guannan Liu; Texas A&M University Xinyu Zhang; Academy of Mathematics and Systems Science Qi Li; Texas A&M University
Presented by: Qi Li, Texas A&M University
Session: Non-linear Time Series and Financial Econometrics September 27, 2015 9:35 to 11:50 Rozanski Hall, Room 102
Session Chair: Leo Michelis, Ryerson University
Estimation of Longrun Variance of Continuous Time Stochastic Process Using Discrete Sample
By Ye Lu; Indiana University Joon Park; Indiana University
Presented by: Ye Lu, Indiana University
Discussant:   Min Seong Kim, Ryerson University
Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component
By Pierre Perron; Boston University Mototsugu Shintani; University of Tokyo Tomoyoshi Yabu; Keio University
Presented by: Mototsugu Shintani, University of Tokyo
Discussant:   Vadim Marmer, University of British Columbia
Bayesian Semiparametric Modeling of Realized Covariance Matrices
By John Maheu; McMaster University
Presented by: John Maheu, McMaster University
Discussant:   William McCausland, Universite de Montreal
Session: Heterogeneity September 27, 2015 13:00 to 15:15 Rozanski Hall, Room 102
Session Chair: Charles Saunders, Carleton University and University of Western Ontario
Identification and Estimation of Production Function with Unobserved Heterogeneity
By Hiroyuki Kasahara; University of British Columbia
Presented by: Hiroyuki Kasahara, University of British Columbia
Discussant:   Salvador Navarro, University of Western Ontario
On the Identification of Production Functions: How Heterogeneous is Productivity?
By Amit Gandhi; University of Wisconsin-Madison Salvador Navarro; University of Western Ontario David Rivers; University of Western Ontario
Presented by: David Rivers, University of Western Ontario
Discussant:   Kyoo il Kim, Michigan State University
Inference for Stochastic Dominance Using Large Deviations Asymptotics
By Thomas Parker; University of Waterloo
Presented by: Thomas Parker, University of Waterloo
Discussant:   Brennan Thompson, Ryerson University

 

This program was last updated on 2015-09-17 20:31:46 EDT