Society for Nonlinear Dynamics and Econometrics 16th Annual Symposium

Summary of All Sessions

#Date/TimeLocationTitlePapers
1April 3, 2008
9:00-10:30
4 East Invited Session: Macro3
2April 3, 2008
9:00-10:30
4 West Volatility Modeling3
3April 3, 2008
9:00-10:30
Central 4A Asset Pricing3
4April 3, 2008
9:00-10:30
Central 4B Dynamics3
5April 3, 2008
11:00-12:30
Central 4B Monetary Policy3
6April 3, 2008
11:00-12:30
Central 4A ARCH/GARCH3
7April 3, 2008
11:00-12:30
4 West Advances in Business Cycle Analysis3
8April 3, 2008
11:00-12:30
4 East Invited Session: Time Series3
9April 3, 2008
14:00-13:30
4 East Invited Session: Econometrics3
10April 3, 2008
14:00-15:30
4 West Asset Price Dynamics and Macro3
11April 3, 2008
14:00-15:30
Central 4A Unit Root Tests3
12April 3, 2008
14:00-15:30
Central 4B FX I3
13April 3, 2008
16:00-17:30
Central 4B Mutual and Hedge Funds3
14April 3, 2008
16:00-17:30
Central 4A Growth and the Equity Premium Puzzle3
15April 3, 2008
16:00-17:30
4 West Nonlinear Time Series I3
16April 3, 2008
16:00-17:30
4 East Macro Learning3
17April 4, 2008
9:00-10:30
4 East Asset Prices, Indeterminacy, and Complex Dynamics 3
18April 4, 2008
9:00-10:30
4 West Inflation and the Great Moderation3
19April 4, 2008
9:00-10:30
Central 4A FX II3
20April 4, 2008
9:00-10:30
Central 4B Equity and Bond Markets3
21April 4, 2008
11:00-12:30
Central 4B Forecast Evaluation and Combination3
22April 4, 2008
11:00-12:30
4 West Bubbles and Crashes3
23April 4, 2008
11:00-12:30
Central 4A High Frequency Finance3
24April 4, 2008
11:00-12:30
4 East Long Memory3
25April 4, 2008
14:00-15:30
4 East International Macro3
26April 4, 2008
14:00-15:30
4 West Nonlinear Time Series II3
27April 4, 2008
14:00-15:30
Central 4A Nonlinear Macro3
28April 4, 2008
14:00-15:30
Central 4B Nuisance Parameters and ARCH/GARCH3
29April 4, 2008
16:00-17:30
Central 4 Craig Hiemstra Memorial Lecture1
 

29 sessions, 85 papers


 

Society for Nonlinear Dynamics and Econometrics 16th Annual Symposium

Complete List of All Sessions


Session 1: Invited Session: Macro

Session Chair: Russell Cooper, University of Texas at Austin
Date: April 3, 2008
Time: 9:00 - 10:30
Location: 4 East
 

Stability Theorems for Systems with Bayesian Learners
JEL codes: D84, E00, D83
By James Bullard, Federal Reserve Bank of St. Louis Jacek Suda, Washington University in St. Louis
   Presented by: Jacek Suda, Washington University in St. Louis
 

Monetary Policy and Shifts in TFP Growth
By Troy Davig, Federal Reserve Bank of Kansas City
   Presented by: Troy Davig, Federal Reserve Bank of Kansas City
 

Regime-Switching in Rational Expectations Econometric Models
By William A. Branch, U.C. Irvine Giuseppe Ragusa, U.C. Irvine
   Presented by: William Branch, University of California, Irvine

Session 2: Volatility Modeling

Session Chair: Anders Rahbek, University of Copenhagen
Date: April 3, 2008
Time: 9:00 - 10:30
Location: 4 West
 

A nonparametric approach to estimate volatility and correlation dynamics
JEL codes: C14, C22, C32
By Vanessa Mattiussi and Giulia Iori, City University - London
   Presented by: Vanessa Mattiussi, City University
 

Estimation of Stochastic Volatility Models by Nonparametric Filtering
By Dennis Kristensen, Columbia Shin Kanaya, University of WIsconsin
   Presented by: Dennis Kristensen, Columbia University
 

Bayesian semiparametric stochastic volatility modeling
By Mark J Jensen, Federal Reserve Bank of Atlanta John M Maheu, University of Toronto
   Presented by: Mark Jensen, Atlanta Federal Reserve Bank

Session 3: Asset Pricing

Session Chair: Michael Dueker, Federal Reserve Bank of St. Louis
Date: April 3, 2008
Time: 9:00 - 10:30
Location: Central 4A
 

Joint Modeling of Call and Put Implied Volatility
JEL codes: C32, C53, G13
By Katja Ahoniemi, Helsinki School of Economics and HECER Markku Lanne, University of Helsinki and HECER
   Presented by: Katja Ahoniemi, Helsinki School of Economics
 

Assets returns volatility and investment horizon:
By Frédérique Bec, CREST and THEMA University of Cergy-Pontoise, France Christian Gollier, Toulouse School of Economics, LERNA and IDEI, France
   Presented by: Frederique Bec, CREST-ENSAE
 

A Non-parametric Investigation of Risk Premia
By Chiara Peroni University of East Anglia RCEA
   Presented by: Chiara Peroni, university of east anglia

Session 4: Dynamics

Session Chair: Willi Semmler, New School University
Date: April 3, 2008
Time: 9:00 - 10:30
Location: Central 4B
 

Is Ignorance Bliss? The Cost of Business-Cycle Uncertainty
By Stefano d'Addona, University of Rome 3; Frode Brevik, St. Gallen University
   Presented by: Stefano d'Addona, University of Rome 3
 

Filtering Time Series with Penalized Splines
By Goeran Kauermann, University Bielefeld, Tatyana Krivobokova, Katholieke Universiteit Leuven, Willi Semmler, New School New York
   Presented by: Goeran Kauermann, University Bielefeld
 

Econophysics and Economic Complexity
By J. Barkley Rosser, Jr.
   Presented by: Barkley Rosser, James Madison University

Session 5: Monetary Policy

Session Chair: Carl Chiarella, University of Technology, Sydney
Date: April 3, 2008
Time: 11:00 - 12:30
Location: Central 4B
 

Optimal Backward and Forward Monetary Policy Under Rational Expectations
JEL codes: C61, C63, E52
By Peter A. Zadrozny Bureau of Labor Statistics 2 Massachusetts Ave., NE, Room 3105 Washington, DC 20212
   Presented by: Peter Zadrozny, Bureau of Labor Statistics
 

Monetary Policy and Stock Market Booms and Busts in the 20th Century
By Michael Bordo, Rutgers Univ. Michael Dueker, St. Louis Fed David Wheelock, St. Louis Fed
   Presented by: Michael Dueker, Federal Reserve Bank of St. Louis
 

Monetary policy and endogenous cycles with cost channel heterogeneity
By Marco Airaudo, Collegio Carlo Alberto, Italy Luis-Felipe Zanna, IMF
   Presented by: Marco Airaudo, Collegio Carlo Alberto and University of Turin

Session 6: ARCH/GARCH

Session Chair: Richard Ashley, Virginia Tech
Date: April 3, 2008
Time: 11:00 - 12:30
Location: Central 4A
 

Addressing the IGARCH puzzle
JEL codes: C01, C13, C22
By Anders Tolver Jensen, Department of Natural Sciences, University of Copenhagen Theis Lange, Department of Mathematical Sciences, University of Copenhagen
   Presented by: Theis Lange, University of Copenhagen
 

Falsifying ARCH/GARCH Models using Bispectral Based Tests
By Melvin J. Hinich, The University of Texas at Austin
   Presented by: Melvin Hinich, University of Texas at Austin
 

GARCH Process with Persistent Covariates
By Heejoon Han, Department of Economics and Risk Management Institute, National University of Singapore
   Presented by: Heejoon Han, National University of Singapore

Session 7: Advances in Business Cycle Analysis

Session Chair: Troy Davig, Federal Reserve Bank of Kansas City
Date: April 3, 2008
Time: 11:00 - 12:30
Location: 4 West
 

Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application
By Russell Cooper, University of Texas John Haltiwanger, University of Maryland Jonathan Willis, Federal Reserve Bank of Kansas City
   Presented by: Russell Cooper, University of Texas at Austin
 

Capital-Labor Substitution and Equilibrium Indeterminacy Under Increasing Returns to Scale
By Jang-Ting Guo: University of California, Riverside Kevin J. Lansing: Federal Reserve Bank of San Francisco
   Presented by: Jang-Ting Guo, University of California, Riverside
 

Speculative Growth and Overreaction to Technology Shocks
By Kevin J. Lansing Federal Reserve Bank of San Francisco
   Presented by: Kevin Lansing, Federal Reserve Bank of San Francisco

Session 8: Invited Session: Time Series

Session Chair: Mark Jensen, Atlanta Federal Reserve Bank
Date: April 3, 2008
Time: 11:00 - 12:30
Location: 4 East
 

Bayesian Model Selection for Structural Break Models
By Andrew Levin (Federal Reserve Board) Jeremy Piger (University of Oregon)
   Presented by: Jeremy Piger,
 

The Predictive Power of Output Gap Measures Generated by Nonlinear Models
By Richard Luger, Emory University David E. Rapach, Saint Louis University
   Presented by: David Rapach, St. Louis University
 

The Asymmetric Business Cycle
By James Morley Washington University in St. Louis Jeremy Piger University of Oregon
   Presented by: James Morley, Washington University in St. Louis

Session 9: Invited Session: Econometrics

Session Chair: Christian Dahl, University of Aarhus
Date: April 3, 2008
Time: 14:00 - 13:30
Location: 4 East
 

Classical and Bayesian Analysis of a Probit Panel Data Model with Unobserved Individual Heterogeneity and Autocorrelated Errors
JEL codes: C11, C23, C25
By Martin Burda, University of Toronto Roman Liesenfeld, Christian-Albrecht-Universität, Kiel Jean-François Richard, University of Pittsburgh
   Presented by: Martin Burda, University of Toronto
 

Finite Sample Bias Corrected IV Estimation for Weak and Many Instruments
By Matthew Harding, Department of Economics, Stanford University Jerry Hausman, Department of Economics, MIT
   Presented by: Matthew Harding, Stanford University
 

Money-Income Granger-Causality in Quantiles
By Tae-Hwy Lee, Univeristy of California, Riverside Weiping Yang, Capital One Financial Research
   Presented by: Tae-Hwy Lee, University of California, Riverside

Session 10: Asset Price Dynamics and Macro

Session Chair: Sebastiano Manzan, Baruch College, CUNY
Date: April 3, 2008
Time: 14:00 - 15:30
Location: 4 West
 

Learning about the Interdependence between the Macroeconomy and the Stock Market
JEL codes: E32, E44, E52.
By Fabio Milani, University of California, Irvine
   Presented by: Fabio Milani, University of California, Irvine
 

Measuring the Substitutability of Housing and Non-housing Consumption: A Structural Approach
By Wenli Li, Federal Reserve Bank of Philadelphia, Haiyong Liu, East Carolina University Rui Yao, Baruch College
   Presented by: Wenli Li, Federal Reserve Bank of Philadelphia
 

Learning and Adaptation as a Source of Market Failure
By David Goldbaum, University of Technology Sydney
   Presented by: David Goldbaum, University of Technology Sydney

Session 11: Unit Root Tests

Session Chair: Otilia Boldea, Tilburg U
Date: April 3, 2008
Time: 14:00 - 15:30
Location: Central 4A
 

A Nonlinear Panel Unit Root Test under Cross Sectional Dependence
JEL codes: C12, C15, C22,
By Mario Cerrato, London Metropolitan University. Nicholas Sarantis London Metropolitan University. Christian de Peretti, University of Evry-Val-d'Essonne, France.
   Presented by: Mario Cerrato, london metropolitan university
 

Testing for a Unit Root in the Asymmetric Nonlinear Smooth Transition Framework
By Razvan Pascalau Department of Economics, Finance and Legal Studies University of Alabama
   Presented by: Razvan Pascalau, University of Alabama
 

Panel LM Unit Root Tests with Trend Shifts
By Kyung-So Im, Federal Deposit Insurance Corporation Junsoo Lee, University of Alamaba Margie Tieslau, University of North Texas
   Presented by: MARGIE TIESLAU, DEPARTMENT OF ECONOMICS

Session 12: FX I

Session Chair: Helinä Laakkonen, FDPE and University of Jyväskylä
Date: April 3, 2008
Time: 14:00 - 15:30
Location: Central 4B
 

Searching for Nonlinearities in Real Exchange Rates
JEL codes: F30
By Yamin Ahmad, University of Wisconsin - Whitewater Stuart Glosser, University of Wisconsin - Whitewater
   Presented by: Yamin Ahmad, University of Wisconsin - Whitewater
 

A Bayesian Analysis of Exchange Rate Dynamics
By Ming Chien Lo, St. Cloud State University James Morley, Washington University
   Presented by: Ming Lo, St. Cloud State University
 

The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication
By Christian Conrad KOF Swiss Economic Institute, ETH Zurich Michael J. Lamla KOF Swiss Economic Institute, ETH Zurich
   Presented by: Christian Conrad, ETH Zürich

Session 13: Mutual and Hedge Funds

Session Chair: Douglas Patterson, Virginia Tech
Date: April 3, 2008
Time: 16:00 - 17:30
Location: Central 4B
 

Time Evolution Of Mutual Fund Dynamics
JEL codes: c01,c12,c15,G23
By Yonathan Schwarzkopf, California Institute of Technology and Santa Fe Institute J. Doyne Farmer, Santa Fe Institute
   Presented by: Yonathan Schwarzkopf, Caltech and Santa Fe Institute
 

Hedge Funds Are Not Destabilizing
By Celso Brunetti, Johns Hopkins University Michael S. Haigh, Societe Generale
   Presented by: Celso Brunetti, Johns Hopkins University
 

Realized Portfolio Selection in the Euro Area.
By Claudio Morana, Università del Piemonte Orientale and International Centre for Economic Research
   Presented by: Claudio Morana, Universita' del Piemonte Orientale

Session 14: Growth and the Equity Premium Puzzle

Session Chair: Goeran Kauermann, University Bielefeld
Date: April 3, 2008
Time: 16:00 - 17:30
Location: Central 4A
 

Housing Prices and Growth
JEL codes: O4,R21,R31,E22
By James A. Kahn, Federal Reserve Bank of New York and New York University
   Presented by: James Kahn, Federal Reserve Bank of New York
 

Medium Term Growth Reversals
By Michal Jerzmanowski, Clemson University David Cuberes, Clemson University
   Presented by: Michal Jerzmanowski, Clemson University
 

Idiosyncratic Production Risk and the Equity Premium Puzzle
By Geoffrey Dunbar Simon Fraser University
   Presented by: Geoffrey Dunbar, Simon Fraser University

Session 15: Nonlinear Time Series I

Session Chair: Jeremy Piger,
Date: April 3, 2008
Time: 16:00 - 17:30
Location: 4 West
 

Likelihood-Based Inference in Nonlinear Error-Correction Models
JEL codes: C32; C51
By Anders Rahbek, University of Copenhagen and CREATES Dennis Kristensen, Columbia University and CREATES
   Presented by: Anders Rahbek, University of Copenhagen
 

The Additive Random Field Regression Model
By Christian M. Dahl, University of Aarhus Gloria Gonzalez-Rivera, University of California, Riverside Yu Qin, Countrywide Financial Corporation
   Presented by: Christian Dahl, University of Aarhus
 

Estimation adn Inference in Unstable Nonlinear Least Squares Models
By Otilia Boldea, Tilburg U Alastair R. Hall, NCSU and Univ. of Manchester
   Presented by: Otilia Boldea, Tilburg U

Session 16: Macro Learning

Session Chair: Cees Diks,
Date: April 3, 2008
Time: 16:00 - 17:30
Location: 4 East
 

Learning, Expectations Formation, and the Pitfalls of Optimal Control Monetary Policy
JEL codes: E5
By John C. Williams Federal Reserve Bank of San Francisco Athanasios Orphanides Central Bank of Cyprus
   Presented by: John Williams, Federal Reserve Bank of San Francisco
 

Bounded Rationality and State-Dependent Sticky Plans
By James Costain, Research Division, Bank of Spain Anton Nakov, Research Division, Bank of Spain
   Presented by: James Costain, Banco de España
 

Monetary Policy, Model Uncertainty and Exchange Rate Volatility
By Agnieszka Markiewicz, Catholic University of Leuven
   Presented by: Agnieszka Markiewicz, University of Leuven

Session 17: Asset Prices, Indeterminacy, and Complex Dynamics

Session Chair: Barkley Rosser, James Madison University
Date: April 4, 2008
Time: 9:00 - 10:30
Location: 4 East
 

Dynamic Consumption and Portfolio Decisions with Time Varying Asset Returns
By Lars Gruene (University of Bayreuth), Caroline Oehrlein (University of Bayreuth), and Willi Semmler (New School)
   Presented by: Willi Semmler, New School University
 

Euler Equation Branching
By Brian Raines, Baylor University David R. Stockman, University of Delaware
   Presented by: David Stockman, University of Delaware
 

Consistent Route to Randomness
By Maciej K. Dudek
   Presented by: Maciej Dudek, National Bank of Poland and Main School of Commerce

Session 18: Inflation and the Great Moderation

Session Chair: Gerald Dwyer, FEDERAL RESERVE BANK OF ATLANTA
Date: April 4, 2008
Time: 9:00 - 10:30
Location: 4 West
 

A Resolution to the Price Puzzle
JEL codes: E52, E31, C32
By Marcelle Chauvet Department of Economics, University of California, Riverside; email: chauvet@ucr.edu.
   Presented by: Marcelle Chauvet, University of California
 

Oil and the Great Moderation
By Anton Nakov,BANCO DE ESPAÑA Andrea Pescatori, FEDERAL RESERVE BANK OF CLEVELAND
   Presented by: Anton Nakov, Banco de España
 

Inflation Targeting in Canada: An Expected Loss Analysis by a DSGE Model with Trade Costs
By Hakan Yilmazkuday, Vanderbilt University
   Presented by: HAKAN YILMAZKUDAY, VANDERBILT UNIVERSITY

Session 19: FX II

Session Chair: Yamin Ahmad, University of Wisconsin - Whitewater
Date: April 4, 2008
Time: 9:00 - 10:30
Location: Central 4A
 

Exchange Rate Volatility and First-Time Entry by Multinational Firms
JEL codes: F1,F2,F4
By Katheryn Russ, University of California, Davis and NBER
   Presented by: Katheryn Russ, University of California, Davis
 

Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times
By Helinä Laakkonen, University of Jyväskylä Markku Lanne University of Helsinki
   Presented by: Helinä Laakkonen, FDPE and University of Jyväskylä
 

Stochastic Bifurcation Analysis of an Exchange Rate Model
By C. Chiarella, The University of Technology, Sydney X. He, The University of Technology, Sydney and M. Zheng, The University of Technology, Sydney
   Presented by: Carl Chiarella, University of Technology, Sydney

Session 20: Equity and Bond Markets

Session Chair: Claudio Morana, Universita' del Piemonte Orientale
Date: April 4, 2008
Time: 9:00 - 10:30
Location: Central 4B
 

Testing and Modeling Threshold Asymmetries in Multivariate Distributions of U.S. Equity Returns
JEL codes: C12, C13, C32
By Emre Yoldas, University of California, Riverside
   Presented by: Emre Yoldas, University of California, Riverside
 

Nonlinear Mutual Prediction Test for Synchronization of Stock Markets
By Abdol S. SOOFI, Department of Economics, University of Wisconsin-Platteville, Li ZHE, School of Management, Harbin Institute of Technology, Xiaofeng HUI, School of Management, harbin Institute of Technology
   Presented by: Abdol Soofi, University of Wisconsin-Platteville
 

Macroeconomic Variables, Euler Equation and Future Returns on Treasury Bonds: (Semi) Nonparametric Investigation
By Ai-ru (Meg) Cheng University of California at Santa Cruz Yuriy Kitsul Georgia State University
   Presented by: Ai-ru Cheng, University of California at Santa Cruz

Session 21: Forecast Evaluation and Combination

Session Chair: Ming Lo, St. Cloud State University
Date: April 4, 2008
Time: 11:00 - 12:30
Location: Central 4B
 

Weighted likelihood ratio scores for evaluating density forecasts in tails
JEL codes: C12; C22; C52
By Cees Diks, CeNDEF, University of Amsterdam Valentyn Panchenko, School of Economics, University of New South Wales Dick van Dijk, Econometric Institute, Erasmus University Rotterdam
   Presented by: Cees Diks,
 

Multivariate Forecast Evaluation and Rationality Testing
By Michael Owyang, Federal Reserve Bank of St. Louis Ivana Komunjer, UCSD
   Presented by: Michael Owyang, Federal Reserve Bank of St Louis
 

Time-Varying Combination of Volatility Forecasts: An Empirical Analysis for the Mexican Peso-US Dollar Exchange Rate
By Carlos Capistran, Banco de Mexico Guillermo Benavides, Banco de Mexico
   Presented by: Carlos Capistrán, Banco de México

Session 22: Bubbles and Crashes

Session Chair: David Stockman, University of Delaware
Date: April 4, 2008
Time: 11:00 - 12:30
Location: 4 West
 

A Tension Model of Financial Crashes
JEL codes: A12, C11, G12
By George Chang, Grand Valley State University James Feigenbaum, University of Pittsburgh
   Presented by: James Feigenbaum, University of Pittsburgh
 

Did Herding cause the Stock Market Bubble of 1998-2001?
By Douglas M. Patterson, Virginia Tech Vivek Sharma, University of Michigan-Dearborn
   Presented by: Douglas Patterson, Virginia Tech
 

Sovereign spreads, currency crises, and fundamentals: A non-linear analysis
By Melisso Boschi University of Essex University of Perugia
   Presented by: Melisso Boschi, University of Essex

Session 23: High Frequency Finance

Session Chair: Celso Brunetti, Johns Hopkins University
Date: April 4, 2008
Time: 11:00 - 12:30
Location: Central 4A
 

Intraday overreaction of stock prices
JEL codes: C22, C52, G10
By Martin Becker, Saarland University Ralph Friedmann, Saarland University Stefan Klößner, Saarland University
   Presented by: Stefan Klößner, Universität des Saarlandes
 

The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform
By Michael Fleming, Federal Reserve Bank of New York Bruce Mizrach, Rutgers University
   Presented by: Bruce Mizrach, Rutgers University
 

A new approach to understanding the market impact of large trading orders
By Austin Gerig, Santa Fe Institute J. Doyne Farmer, Santa Fe Institute and LUISS Guido Carli Fabrizio Lillo, Santa Fe Institute and INFM Unita di Palermo Henri Waelbroeck, Pipeline Financial Group, Inc.
   Presented by: Austin Gerig, Santa Fe Institute

Session 24: Long Memory

Session Chair: Ivan Paya, Management School
Date: April 4, 2008
Time: 11:00 - 12:30
Location: 4 East
 

Semi parametric estimation of long memory: Holy Grail or poisoned chalice?
JEL codes: C22
By Richard T Baillie (Michigan State University & QMUL) George Kapetanios (QMUL)
   Presented by: Richard Baillie, Michigan State University
 

Estimating DSGE models with long memory dynamics
By Gianluca Moretti, Bank of Italy Giulio Nicoletti, Bank of Italy
   Presented by: Gianluca Moretti, Bank of Italy
 

Dual Long Memory, Structural Breaks and the link between turnover and range based volatility.
By Menelaos Karanasos,Department of Economics, Brunel University, UK. Aris Kartsaklas, Department of Economics, University of York, UK.
   Presented by: Aris Kartsaklas, Universit of York

Session 25: International Macro

Session Chair: Frederique Bec, CREST-ENSAE
Date: April 4, 2008
Time: 14:00 - 15:30
Location: 4 East
 

International Real Business Cycles and the Real Exchange Rate: A Nonlinear Perspective
JEL codes: F41, C32, C15
By Themis Pavlidis, Lancaster University Management School Ivan Paya, Lancaster University Management School David Peel. Lancaster University Management School
   Presented by: Ivan Paya, Management School
 

Monetary Policy in a Small Open Economy
By Enrique Martinez-Garcia Federal Reserve Bank of Dallas
   Presented by: Enrique Martinez-Garcia, Federal Reserve Bank of Dallas
 

Instability and nonlinearity in the Euro area Phillips curve
By Alberto Musso (ECB) Livio Stracca (ECB) Dick van Dijk (Erasmus University Rotterdam)
   Presented by: Alberto Musso, ECB

Session 26: Nonlinear Time Series II

Session Chair: Chiara Peroni, university of east anglia
Date: April 4, 2008
Time: 14:00 - 15:30
Location: 4 West
 

Autocontours: Dynamic Specification Testing
JEL codes: C12, C15, C16,
By Gloria Gonzalez-Rivera, University of California, Riverside Zeynep Senyuz, University of California, Riverside Emre Yoldas, University of California, Riverside
   Presented by: Emre Yoldas, University of California, Riverside
 

FACTOR DECOMPOSITION OF VARMA MODELS BASED ON WEIGHTED FORECAST-ERROR COVARIANCES: APPLIED TO FORECASTING QUARTERLY U.S. GDP AT MONTHLY INTERVALS
By Baoline Chen, Bureau of Economic Analysis, 1441 L Street, NW, Washington, DC 20230 Peter A. Zadrozny, Bureau of Labor Statistics, 2 Massachusetts Ave., NE, Washington, DC 20212
   Presented by: Baoline Chen, Bureau of Economic Analysis
 

A Threshold Model for Firms' Investment over the Business Cycle
By Juri Marcucci Bank of Italy Francesca Lotti Bank of Italy
   Presented by: Juri Marcucci, Bank of Italy

Session 27: Nonlinear Macro

Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Date: April 4, 2008
Time: 14:00 - 15:30
Location: Central 4A
 

Estimating nonlinear DSGE model using approximate likelihood functions
By Giuseppe Ragusa (UCI) Raffaella Giacomini (UCL) Barbara Rossi (Duke)
   Presented by: Giuseppe Ragusa, University of California, Irvine
 

Statistical Contributions of Business Cycle Indicators in Nowcasting Business Cycle Regimes
By Arabinda Basistha (West Virginia University)
   Presented by: Arabinda Basistha, West Virginia University
 

Yield Curve in an Estimated Nonlinear Macro Model
By Taeyoung Doh (Federal Reserve Bank of Kansas City)
   Presented by: Taeyoung Doh, Economic Research Dept.

Session 28: Nuisance Parameters and ARCH/GARCH

Session Chair: Katja Ahoniemi, Helsinki School of Economics
Date: April 4, 2008
Time: 14:00 - 15:30
Location: Central 4B
 

Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
By Jun Ma, University of Alabama Charles R. Nelson, University of Washington
   Presented by: Jun Ma, Department of Economics, Finance and Legal Studies
 

On the Origins of Conditional Heteroscedasticity in Time Series
By Richard Ashley
   Presented by: Richard Ashley, Virginia Tech
 

The persistence in inflation and output growth and the importance of the latter for the performance-uncertainty link
By Menelaos Karanasos, Brunel University Ning Zeng,Brunel University
   Presented by: menelaos karanasos, public

Session 29: Craig Hiemstra Memorial Lecture

Date: April 4, 2008
Time: 16:00 - 17:30
Location: Central 4
 

Regional Business Cycles
By James D. Hamilton, University of California, San Diego
   Presented by: James Hamilton, University of California, San Diego

This program was last updated on 2008-03-30 19:54:50 EDT