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

University of Guelph

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

 

Program Notes and Index of Sessions

Welcome Reception and Poster Session I
Science Complex
September 25, 2015 18:30 to 21:00
 
Poster Session I, Science Complex

Keynote Speaker: Don Andrews
Rozanski Hall Room 102
September 26, 2015 08:30 to 09:30
 
Keynote Speaker: Don Andrews

Instrumental Variables and Weak Identification
Rozanski Hall Room 102
September 26, 2015 09:45 to 11:15
 
Instrumental Variables and Weak Identification in Linear and Non-linear Models

Robust Estimation and Inference
Rozanski Hall Room 102
September 26, 2015 11:30 to 13:00
 
Robust Estimation and Inference in Flexible Econometric Models

Bootstrapping
Rozanski Hall Room 102
September 26, 2015 14:30 to 16:00
 
Bootstrapping in Linear and Non-Linear Models

Poster Session II
Rozanski Hall Concourse
September 26, 2015 16:10 to 19:00
 
Poster Session II, Rozanski Hall, Main Concourse

Conference Dinner
BollyWood Bistro, 51 Cork St E, Guelph, ON N1H 2W7
September 26, 2015 20:15 to 22:15
 
Shuttle Buses will pick up after the poster session. Also Red Top taxi can be reached at 519-821-1700.

Keynote Speaker: Qi Li
Rozanski Hall Room 102
September 27, 2015 08:30 to 09:30
 
Keynote Speaker: Qi Li

Time Series and Financial Econometrics
Rozanski Hall Room 102
September 27, 2015 09:35 to 11:50
 
Non-linear Time Series and Financial Econometrics

Heterogeneity
Rozanski Hall Room 102
September 27, 2015 13:00 to 15:15
 
Heterogeneity

 

Summary of All Sessions

Click here for an index of all participants

Date/TimeLocationTitlePapers
September 25, 2015
18:30-21:00
Science Complex Poster Session I12
September 26, 2015
8:30-9:30
Rozanski Hall, Room 102 Keynote Speaker: Don Andrews1
September 26, 2015
9:45-11:15
Rozanski Hall, Room 102 Instrumental Variables and Weak Identification in Linear and Non-linear Models2
September 26, 2015
11:30-13:00
Rozanski Hall, Room 102 Robust Estimation and Inference in Flexible Econometric Models2
September 26, 2015
14:30-16:00
Rozanski Hall, Room 102 Bootstrapping in Linear and Non-Linear Models2
September 26, 2015
16:10-19:00
Rozanski Hall, Main Concourse Poster Session II17
September 27, 2015
8:30-9:30
Rozanski Hall, Room 102 Keynote Speaker: Qi Li1
September 27, 2015
9:35-11:50
Rozanski Hall, Room 102 Non-linear Time Series and Financial Econometrics3
September 27, 2015
13:00-15:15
Rozanski Hall, Room 102 Heterogeneity3
 

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
 

9 sessions, 43 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Andrews, DonaldP2
2Antoine, BertilleD3, P4
3Chausse, PierreD4
4Chen, HengP6
5Davidson, RussellP5, C7
6Dovonon, ProsperD5
7Dufour, Jean-MarieC5
8Exterkate, PeterP6
9Goh, ChuanP4
10Gu, JiayingP3
11Guerin, PierreP6
12He, MingP6
13Hencic, AndrewP1
14Huang, LiquanP6
15Huynh, KimP6
16Indacochea, DanielP1
17Kasahara, HiroyukiP9
18Khalaf, LyndaD3
19Kim, Min SeongP5, D8
20Kim, Kyoo ilP6, D9
21Koroglu, MustafaP1
22Li, QiP7
23Li, NaP1
24Li, HuihuiP6
25Lin, xiaoP1
26Lin, ZhenjiangP6
27Liu, NianqingP6
28Liu, JiaP1
29Lu, YeP8
30Luo, YaoP1
31MacKinnon, JamesC2, D5, P6
32Maheu, JohnP8
33Marcoux, MathieuP1
34Marmer, VadimP3, D8
35McCausland, WilliamD8
36Medovikov, IvanP1
37Melino, AngeloC3
38Michelis, LeoC8
39Morin, LealandP6
40Navarro, SalvadorD9
41Parker, ThomasP9
42Peraza Lopez, BeatrizP6
43Popiel, MichalP6
44Rilstone, PaulC4
45Rivers, DavidP9
46Saunders, CharlesP1, C9
47Shibaev, SergeiP6
48Shintani, MototsuguP8
49Thompson, BrennanD9
50Voia, MarcelP6
51Wan, YuanyuanP1
52Webb, MatthewP6
53Yang, QiaoP1
54Zinde-Walsh, VictoriaD4

 

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