14 sessions, 16 papers

2010 Conference of the Netherlands Econometric Study Group
Complete List of All Sessions

Session 1: Registration + coffee
Session type: invited
Date: June 11, 2010
Time: 12:30 - 13:00
Location: Arenberg Castle, Salons

Session 2: Non-Parametric Methods
Session Chair: Geert Dhaene, KU Leuven
Session type: contributed
Date: June 11, 2010
Time: 13:00 - 14:40
Location: Arenberg Castle, Auditorium
A Kernel Weighted Smoothed Maximum Score Estimator for the Endogenous Binary Choice Model
[slides]
By Jerome M. Krief; LSU
Presented by: jerome Krief, LSU
A local nonparametric analysis of transformations
By Koen Jochmans; CORE
Presented by: Koen Jochmans, UCLouvain
Identification and Inference on the Correlation using Data from Two Independent Samples
By David Pacini; Toulouse School of Economics
Presented by: David Pacini, Universite Toulouse 1
EXPLICIT SOLUTIONS FOR THE ASYMPTOTICALLY-OPTIMAL BANDWIDTH IN CROSS VALIDATION
By Karim M Abadir; Imperial College, London Michel Lubrano; GREQAM, Marseille
Presented by: Michel Lubrano, GREQAM-CNRS

Session 3: Coffee
Session type: invited
Date: June 11, 2010
Time: 14:40 - 15:00
Location: Arenberg Castle, Salons

Session 4: Invited lecture Victor Chernozhukov
Session Chair: Marius Ooms, VU University Amsterdam
Session type: invited
Date: June 11, 2010
Time: 15:00 - 16:00
Location: Arenberg Castle, Auditorium
High-Dimensional Sparse Econometric Models
[slides]
By Alexandre Belloni; Duke University Victor Chernozhukov; MIT
Presented by: Victor Chernozhukov, MIT

Session 5: Short Break
Session type: invited
Date: June 11, 2010
Time: 16:00 - 16:10
Location: Arenberg Castle, Salons

Session 6: Empirical Likelihood Methods
Session Chair: Michael Massmann, public
Session type: contributed
Date: June 11, 2010
Time: 16:10 - 17:00
Location: Arenberg Castle, Auditorium
Z-estimators and auxiliary information under weak dependence
By Federico Crudu; University of Groningen
Presented by: Federico Crudu, University of Groningen
Geometric Interpretations for Constrained Minimum Contrast Problems
By Zhengyuan Gao University of Amsterdam and Tinbergen Institute
Presented by: Zhengyuan Gao, University of Amsterdam and Tinbergen Institute

Session 7: Coffee
Session type: invited
Date: June 11, 2010
Time: 17:00 - 17:20
Location: Arenberg Castle, Salons

Session 8: Time Series Econometrics
Session Chair: Peter Boswijk, University of Amsterdam
Session type: contributed
Date: June 11, 2010
Time: 17:20 - 18:10
Location: Arenberg Castle, Auditorium
Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
By M. Hashem Pesaran; Cambridge University and USC Andreas Pick; Erasmus University Rotterdam, De Nederlandsche Bank and CIMF Allan Timmermann; UC San Diego and CREATES
Presented by: Andreas Pick, Erasmus School of Economics (ESE)
Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
By Charles S. Bos; VU University Amsterdam Siem Jan Koopman; VU University Amsterdam
Presented by: Charles Bos, Vrije Universiteit Amsterdam

Session 9: Conference Dinner
Session type: invited
Date: June 11, 2010
Time: 19:00 - 24:00
Location: = Leuven =

Session 10: Financial Econometrics
Session Chair: Bas Werker, Tilburg University
Session type: contributed
Date: June 12, 2010
Time: 9:00 - 10:15
Location: Naamse Str 69, Room 01.85
Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
By Julia Schaumburg; Humboldt-Universität zu Berlin
Presented by: Julia Schaumburg, Humboldt Universität zu Berlin
On the estimation of dynamic conditional correlation models
By Christian Hafner, UCL Olga Reznikova, UCL
Presented by: Christian Hafner, Université catholique de Louvain
An Improved Pre-averaging Estimator of Integrated Volatility
By Werner Ploberger; Washington University in St. Louis Taesuk Lee; University of Rochester
Presented by: Werner Ploberger, Washington University in St; Louis

Session 11: Coffee
Session type: invited
Date: June 12, 2010
Time: 10:15 - 10:35
Location: Naamse Str. 69, Room 00.10

Session 12: Unit Root Econometrics
Session Chair: Charles Bos, Vrije Universiteit Amsterdam
Session type: contributed
Date: June 12, 2010
Time: 10:35 - 11:25
Location: Naamse Str 69, Room 01.85
Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility
By Stephan Smeekes; Maastricht University A. M. Robert Taylor; University of Nottingham
Presented by: Stephan Smeekes, Maastricht University
Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator
By Matei Demetrescu; Goethe-Universität Frankfurt Christoph Hanck; Rijksuniversiteit Groningen
Presented by: Christoph Hanck, Rijksuniversiteit Groningen

Session 13: Short Break
Session type: invited
Date: June 12, 2010
Time: 11:25 - 11:35
Location: Naamse Str. 69, Room 00.10

This program was last updated on 2010-06-09 16:57:28 EDT

Session 14: Learning in Macro Models
Session Chair: Kees Jan van Garderen, University of Amsterdam
Session type: contributed
Date: June 12, 2010
Time: 11:35 - 12:25
Location: Naamse Str 69, Room 01.85
Adaptive Learning and Long Memory
By Guillaume Chevillon; ESSEC Business School & CREST-INSEE Sophocles Mavroeidis; Brown University
Presented by: Guillaume Chevillon, ESSEC, Paris
Asset Prices and Persistent Macroeconomic Uncertainty
By Michal Pakos; Department of Economics, Center for Economic Research & Graduate Education (CERGE-EI) and Economics Institute of the Academy of Sciences of the Czech Republic, Politickch Vz 7, 111 21 Prague 1, Czech Republic, Cell Phone: (+420)-776-437-017, Email: michal.pakos@cerge-ei.cz; michal.pakos@yahoo.com.
Presented by: Michal Pakos, Center for Economic Research & Graduate Education,