Canadian Econometrics Study Group, 2006 Meetings |
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Summary of All Sessions |
| # | Date/Time | Location | Type | Title | Papers | Organizer |
|---|---|---|---|---|---|---|
| 1 | October 19, 2006 18:00-21:00 | Portarana Room | invited | Opening Reception | 0 | |
| 2 | October 20, 2006 8:00-8:45 | Salon A Crush Area | invited | Registration and Breakfast | 0 | |
| 3 | October 20, 2006 8:50-9:00 | Salons B-C | invited | Welcoming Remarks | 0 | |
| 4 | October 20, 2006 9:00-10:30 | Salons B-C | contributed | Panel Data | 2 | |
| 5 | October 20, 2006 10:30-10:45 | Salon A Crush Area | invited | Refreshment Break | 0 | |
| 6 | October 20, 2006 10:45-12:15 | Salons B-C | contributed | Model Selection | 2 | |
| 7 | October 20, 2006 12:15-2:15 | Portarana/Fallsview and Molinara Rooms | invited | Lunch: Steven Durlauf (University of Wisconsin-Madison): Design Limits and Dynamic Policy Analysis | 1 | |
| 8 | October 20, 2006 14:15-15:45 | Salons B-C | contributed | Structural Vector Autoregressions | 2 | |
| 9 | October 20, 2006 15:45-16:00 | Salon A Crush Area | invited | Refreshment Break | 0 | |
| 10 | October 20, 2006 16:00-17:30 | Salons B-C | contributed | Volatility | 2 | |
| 11 | October 20, 2006 17:30-19:00 | Salon A | poster | Poster | 2 | |
| 12 | October 20, 2006 17:30-19:00 | Salon A | poster | Poster | 4 | |
| 13 | October 20, 2006 17:30-19:00 | Salon A | poster | Poster | 3 | |
| 14 | October 20, 2006 17:30-19:00 | Salon A | poster | Poster | 5 | |
| 15 | October 21, 2006 8:00-8:30 | Salon A | invited | Breakfast | 0 | |
| 16 | October 21, 2006 8:30-10:00 | Salons B-C | contributed | Semi and Non Parametric Methods | 2 | |
| 17 | October 21, 2006 10:00-10:15 | Salon A Crush Area | invited | Refreshment Break | 0 | |
| 18 | October 21, 2006 10:15-11:45 | Salons B-C | contributed | Macroeconometrics | 2 | |
| 19 | October 21, 2006 11:45-13:45 | Portarana/Fallsview and Molinara Rooms | invited | Lunch: Eric Ghysels (University of North Carolina - Chapel Hill): On the Economic Sources of Volatility | 0 | |
| 20 | October 21, 2006 13:45-15:15 | Salons B-C | contributed | Nonstationarity | 2 | |
| 21 | October 21, 2006 15:15-15:30 | Salon A Crush Area | invited | Refreshment Break | 0 | |
| 22 | October 21, 2006 15:30-17:00 | Salons B-C | contributed | Instrumental Variables and GMM | 2 | |
| 23 | October 21, 2006 19:00-22:00 | N/A | invited | Conference Diner: Queenston Heights Restaurant (Departure from Marriott at 5:40pm) | 0 |
23 sessions, 31 papers |
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Canadian Econometrics Study Group, 2006 Meetings |
|---|
Complete List of All Sessions |
Session 1: Opening Reception |
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| Session Organizer: , |
| Session type: invited |
| Date: October 19, 2006 |
| Time: 18:00 - 21:00 |
| Location: Portarana Room |
Session 2: Registration and Breakfast |
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| Session Organizer: , |
| Session type: invited |
| Date: October 20, 2006 |
| Time: 8:00 - 8:45 |
| Location: Salon A Crush Area |
Session 3: Welcoming Remarks |
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| Session Organizer: , |
| Session type: invited |
| Date: October 20, 2006 |
| Time: 8:50 - 9:00 |
| Location: Salons B-C |
Session 4: Panel Data |
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| Session Organizer: , |
| Session Chair: Thanasis Stengos, University of Guelph |
| Session type: contributed |
| Date: October 20, 2006 |
| Time: 9:00 - 10:30 |
| Location: Salons B-C |
| A Generalized Spatial Panel Data Model with Random Effects |
| JEL codes: C23; C12 |
| Presented by: Badi Baltagi, Syracuse University |
| Discussant: Russell Davidson, McGill University |
| Panel Cointegration with Global Stochastic Trends |
| Presented by: Chihwa Kao, Syracuse University |
| Discussant: Artem Prokhorov, Concordia University |
Session 5: Refreshment Break |
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| Session Organizer: , |
| Session type: invited |
| Date: October 20, 2006 |
| Time: 10:30 - 10:45 |
| Location: Salon A Crush Area |
Session 6: Model Selection |
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| Session Organizer: , |
| Session Chair: Jeffrey Racine, McMaster University |
| Session type: contributed |
| Date: October 20, 2006 |
| Time: 10:45 - 12:15 |
| Location: Salons B-C |
| A model selection method for S-estimation |
| JEL codes: C22 C52 |
| Presented by: Shinichi Sakata, University of British Columbia |
| Discussant: Abderrahim Taamouti, Université de Montréal |
| Simplified order selection and efficient linear estimation for VARMA Models with a macroeconomic application |
| Presented by: Tarek Jouini, CIREQ, Université de Montréal |
| Discussant: Vadim Marmer, University of British Columbia |
Session 7: Lunch: Steven Durlauf (University of Wisconsin-Madison): Design Limits and Dynamic Policy Analysis |
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| Session Organizer: , |
| Session Chair: James MacKinnon, Queen's University |
| Session type: invited |
| Date: October 20, 2006 |
| Time: 12:15 - 2:15 |
| Location: Portarana/Fallsview and Molinara Rooms |
| Design Limits and Dynamic Policy Analysis |
| JEL codes: C52, E6 |
| Presented by: Steven Durlauf, University of Wisconsin |
Session 8: Structural Vector Autoregressions |
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| Session Organizer: , |
| Session Chair: Liqun Wang, University of Manitoba |
| Session type: contributed |
| Date: October 20, 2006 |
| Time: 14:15 - 15:45 |
| Location: Salons B-C |
| Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions |
| JEL codes: C22, C32, F40 |
| Presented by: Nikolay Gospodinov, Concordia University |
| Discussant: Alex Maynard, Wilfrid Laurier University |
| Reduced Rank Identification of Structural Shocks in VARs |
| Presented by: Yuriy Gorodnichenko, Univeristy of Michigan |
| Discussant: Marcel Voia, Carleton University |
Session 9: Refreshment Break |
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| Session Organizer: , |
| Session type: invited |
| Date: October 20, 2006 |
| Time: 15:45 - 16:00 |
| Location: Salon A Crush Area |
Session 10: Volatility |
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| Session Organizer: , |
| Session Chair: Nikolay Gospodinov, Concordia University |
| Session type: contributed |
| Date: October 20, 2006 |
| Time: 16:00 - 17:30 |
| Location: Salons B-C |
| Asymptotic normality of the QMLE of possibly nonstationary GARCH with serially dependent innovations |
| Presented by: Emma Iglesias, Michigan State University |
| Discussant: Yu Ren, CESG |
| Stochastic Volatility Model under Discrete Mixtures of Normal Specification |
| Presented by: Dinghai Xu, University of Western Ontario |
| Discussant: William McCausland, public |
Session 11: Poster |
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| Session Organizer: , |
| Session type: poster |
| Date: October 20, 2006 |
| Time: 17:30 - 19:00 |
| Location: Salon A |
| Structural Estimation and Evaluation of Calvo-Style Inflation Models |
| JEL codes: C13, C52, E31 |
| Presented by: Maral Kichian, Bank of Canada |
| Approximate Risk Minimization |
| Presented by: Chris Bennett, University of Western Ontario |
Session 12: Poster |
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| Session Organizer: , |
| Session type: poster |
| Date: October 20, 2006 |
| Time: 17:30 - 19:00 |
| Location: Salon A |
| A Note on Covariance Structure Models: First and Second Order Asymptotics |
| JEL codes: c13 |
| Presented by: Artem Prokhorov, Concordia University |
| Dependence Structure between the Equity Market and the Foreign Exchange Market--A Copula Approach |
| Presented by: Cathy Ning, Ryerson University |
| Job Search, Bargaining, and Wage Dynamics |
| Presented by: Shintaro Yamaguchi, McMaster University |
| Panel Cointegration Estimates of the Effect of Interest Rates, Capital Goods Prices, and Taxes on the Capital Stock |
| Presented by: Huntley Schaller, Carleton University |
Session 13: Poster |
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| Session Organizer: , |
| Session type: poster |
| Date: October 20, 2006 |
| Time: 17:30 - 19:00 |
| Location: Salon A |
| Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules |
| JEL codes: C 25, C 32 |
| Presented by: Deepankar Basu, private |
| Nonparametric Inferences on Conditional Quantile Processes |
| Presented by: Chuan Goh, University of Toronto |
| Simulation-based Least Squares Estimation for Nonlinear Panel Data Models |
| Presented by: Liqun Wang, University of Manitoba |
Session 14: Poster |
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| Session Organizer: , |
| Session type: poster |
| Date: October 20, 2006 |
| Time: 17:30 - 19:00 |
| Location: Salon A |
| Nonparametric Identification and Estimation of Finite Mixture Models of Dynamic Discrete Choices |
| JEL codes: C13, C14, C23, |
| Presented by: Katsumi Shimotsu, Queen's University |
| Sensitivity analysis of distortion risk measures |
| Presented by: Wei Liu, University of Toronto |
| Conditionally Heteroskedastic Factor Models with Skewness and Leverage Effects |
| Presented by: Prosper Dovonon, University of Montreal |
| REGIME SWITCHING GARCH MODELS |
| Presented by: Jeroen Rombouts, HEC Montreal and CIRANO |
| Maximization by Parts in Extremum Estimation |
| Presented by: Yanqin Fan, private |
Session 15: Breakfast |
|---|
| Session Organizer: , |
| Session type: invited |
| Date: October 21, 2006 |
| Time: 8:00 - 8:30 |
| Location: Salon A |
Session 16: Semi and Non Parametric Methods |
|---|
| Session Organizer: , |
| Session Chair: Victoria Zinde-Walsh, |
| Session type: contributed |
| Date: October 21, 2006 |
| Time: 8:30 - 10:00 |
| Location: Salons B-C |
| Semiparametric Identification and Estimation Multi-Object, English Auctions |
| JEL codes: C14,D44,L1,Q22 |
| Presented by: Harry Paarsch, University of Iowa |
| Discussant: Victor Aguirregabiria, |
| NONPARAMETRIC ESTIMATION WHEN DATA ON DERIVATIVES ARE AVAILABLE |
| Presented by: Adonis Yatchew, UNIVERSITY OF TORONTO |
| Discussant: David Giles, University of Victoria |
Session 17: Refreshment Break |
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| Session Organizer: , |
| Session type: invited |
| Date: October 21, 2006 |
| Time: 10:00 - 10:15 |
| Location: Salon A Crush Area |
Session 18: Macroeconometrics |
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| Session Organizer: , |
| Session Chair: Cathy Ning, Ryerson University |
| Session type: contributed |
| Date: October 21, 2006 |
| Time: 10:15 - 11:45 |
| Location: Salons B-C |
| Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data |
| JEL codes: D12,D84,E31 |
| Presented by: Atsushi Inoue, NCSU |
| Discussant: Jason Allen, Bank of Canada |
| Sticky contracts or sticky information? Evidence from an estimated Euro area DSGE model |
| Presented by: Matthias Paustian, Bowling Green State University |
| Discussant: Hashmat Khan, Carleton University |
Session 19: Lunch: Eric Ghysels (University of North Carolina - Chapel Hill): On the Economic Sources of Volatility |
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| Session Organizer: , |
| Session Chair: Victoria Zinde-Walsh, |
| Session type: invited |
| Date: October 21, 2006 |
| Time: 11:45 - 13:45 |
| Location: Portarana/Fallsview and Molinara Rooms |
Session 20: Nonstationarity |
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| Session Organizer: , |
| Session Chair: Prosper Dovonon, University of Montreal |
| Session type: contributed |
| Date: October 21, 2006 |
| Time: 13:45 - 15:15 |
| Location: Salons B-C |
| Nonstationary Censored Regression |
| JEL codes: C22 |
| Presented by: Robert de Jong, |
| Discussant: Masayuki Hirukawa, Concordia University |
| Testing for structural breaks in a nonstationary linear model |
| Presented by: Oleg Glouchakov, York University |
| Discussant: Jean-Marie Dufour, Universite de Montreal |
Session 21: Refreshment Break |
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| Session Organizer: , |
| Session type: invited |
| Date: October 21, 2006 |
| Time: 15:15 - 15:30 |
| Location: Salon A Crush Area |
Session 22: Instrumental Variables and GMM |
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| Session Organizer: , |
| Session Chair: James MacKinnon, Queen's University |
| Session type: contributed |
| Date: October 21, 2006 |
| Time: 15:30 - 17:00 |
| Location: Salons B-C |
| Instrumental variables estimator based on principal components |
| JEL codes: C13 |
| Presented by: Marine Carrasco, Universite de Montreal |
| Discussant: John Galbraith, McGill University |
| Efficient GMM with Semi-Weak Identification |
| Presented by: Eric Renault, |
| Discussant: Lonnie Magee, McMaster University |
Session 23: Conference Diner: Queenston Heights Restaurant (Departure from Marriott at 5:40pm) |
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| Session Organizer: , |
| Session type: invited |
| Date: October 21, 2006 |
| Time: 19:00 - 22:00 |
This program was last updated on 2008-05-22 13:1:54 EDT