2017 IAAE Conference - International Association for Applied Econometrics

Sapporo, Japan

 
June 26, 2017
 
09:30 to 16:30Registration, Foyer (3rd Floor)
 
 
10:40 to 10:50Welcome remarks, Palace Ballroom (3rd Floor)
 
 
10:50 to 11:50IAAE Lecture: Mark Watson , Palace Ballroom (3rd Floor)
 
 
12:00 to 13:00Lunch, Pastel (2nd Floor)
 
 
13:00 to 14:20Parallel sessions 1
 
 
14:20 to 14:50Coffee/Tea Break, Foyer
 
 
14:50 to 16:10Parallel Sessions 2
 
 
17:00 to 17:05Buses leave for reception
 
 
 
June 27, 2017
 
08:30 to 16:30Registration, Foyer (3rd Floor)
 
 
09:00 to 10:20Parallel sessions 3
 
 
10:20 to 10:50Coffee/Tea Break, Foyer
 
 
10:50 to 11:50Keynote Lecture: Yacine Ait-Sahalia , Palace Ballroom (3rd Floor)
 
 
12:00 to 13:00Lunch and Poster session, Pastel (Lunch, 2nd Floor), Foyer(Poster)
 
 
13:00 to 14:00Keynote Lecture: Graham Elliot, Palace Ballroom
 
 
14:15 to 15:35Parallel sessions 4
 
 
15:35 to 16:00Coffee Break, Foyer
 
 
16:00 to 17:00Keynote Lecture: Bruce Hansen, Palace Ballroom
 
 
17:15 to 18:15Parallel sessions 5
 
 
18:35 to 19:15IAAE General Meeting , Palace Ballroom
 
 
 
June 28, 2017
 
08:30 to 16:30Registration, Foyer (3rd Floor)
 
 
09:00 to 10:20Parallel sessions 6
 
 
10:20 to 10:50Coffee Break, Foyer
 
 
10:50 to 11:50Keynote Lecture: Hidehiko Ichimura, Palace Ballroom (3rd Floor)
 
 
12:00 to 13:00Lunch and Poster session, Pastel (Lunch, 2nd Floor), Foyer(Poster)
 
 
13:00 to 14:00Keynote Lecture: Peter Hansen (Murata Lecture), Palace Ballroom
 
 
14:15 to 15:35Parallel Sessions 7
 
 
15:35 to 16:00Coffee Break, Foyer
 
 
16:00 to 17:00Keynote Lecture: Jeffrey Wooldridge, Palace Ballroom
 
 
17:15 to 18:15Parallel Sessions 8
 
 
18:30 to 20:30Conference Dinner, Palace Ballroom
 
 
 
June 29, 2017
 
08:45 to 10:30Registration, Foyer (3rd Floor)
 
 
09:00 to 10:20Parallel Sessions 9
 
 
10:20 to 10:50Coffee Break, Foyer
 
 
10:50 to 11:50Keynote Lecture: Azeem Shaikh, Palace Ballroom (3rd Floor)
 
 
11:50 to 12:00Closing remarks, Palace Ballroom
 
 
 
June 30, 2017
 
08:00 to 17:00Excursion (Yoichi, Otaru, and Sapporo)
 
 

 

Program Notes and Index of Sessions

Welcome remarks
Palace Ballroom (3rd Floor)
June 26, 2017 10:40 to 10:50

IAAE Lecture: Mark Watson
Palace Ballroom (3rd Floor)
June 26, 2017 10:50 to 11:50
 
"Identification of Dynamic Causal Effects in Macroeconomics" by Mark Watson

Parallel sessions 1
June 26, 2017 13:00 to 14:20
 
Applied Bayesian Macroeconometrics, 3D
Applied Econometrics I, 3C
Asset Returns and Predictability, 4A
Business Cycles I, 4B
Health Economics I, 3A
Higher Education, 3B
IO, International Trade and Geography, 4D
Large Panel Data Models, 3E
Macroeconometric theory I, 3F
Unconventional monetary policy, 4C
Unit Roots and Cointegration, 2A

Parallel Sessions 2
June 26, 2017 14:50 to 16:10
 
Bayesian Time Series Modeling, 3D
Applications of Panel Data, 3A
Education, 2A
Instrumental Variables, 3F
IO and Applications of Panel Data, 3B
Macroeconomics at the zero lower bound, 4A
Networks, 3E
Oil and the macroeconomy, 4B
State Space and Stochastic Volatility, 3C
Understanding inflation, 4C
Volatility Modeling with High-Frequency Data, 4D

Parallel sessions 3
June 27, 2017 09:00 to 10:20
 
Applied Econometrics II, 4D
Dynamic Factor Analysis, 2A
Econometric Theory I, 3E
Finance and Time Series, 4C
Fiscal Policy transmission I, 3A
Labor Economics I, 3B
Large dataset methods, 3F
Macroeconomic Forecasting, 4B
Peer Effects and Social Interactions, 3C
Spatial and Network Econometrics, 3D
Time Series Forecasting, 4A

Keynote Lecture: Yacine Ait-Sahalia
Palace Ballroom (3rd Floor)
June 27, 2017 10:50 to 11:50
 
"Closed-form Implied Volatility Surfaces for Stochastic Volatility Models" by Ya...
 
Presented paper is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2977828

Lunch and Poster session
Pastel (Lunch, 2nd Floor), Foyer(Poster)
June 27, 2017 12:00 to 13:00
 
Posters, Foyer

Keynote Lecture: Graham Elliot
Palace Ballroom
June 27, 2017 13:00 to 14:00
 
"Inference in regression with a near unit root" by Graham Elliot

Parallel sessions 4
June 27, 2017 14:15 to 15:35
 
Applied Econometrics III, 3E
Bayesian Econometrics, 3D
Business Cycles II, 3C
Climate and Energy Econometrics, 4B
Dynamic Structural Models, 3F
Econometric Theory II, 2A
Financial Econometrics I, 3A
Forecasting Methods, 3B
Health Economics II, 4A
Labor Economics and Gender, 4C
Trade and macroeconomics, 4D

Keynote Lecture: Bruce Hansen
Palace Ballroom
June 27, 2017 16:00 to 17:00
 
"The Exact Distribution of the t-ratio with Robust and Clustered Standard Errors...

Parallel sessions 5
June 27, 2017 17:15 to 18:15
 
Auctions - Methods, 3D
Breaks in time series, 3C
Financial Econometrics II, 3A
Household Consumption and Finance, 3F
Macroeconomic Time Series I, 3B
Macroeconomics and Uncertainty II, 4A
Macroeconomics and Uncertainty III, 4B
Open economy macro I, 4C
Semiparametrics, 3E
Social Networks, 2A
Volatility, 4D

Parallel sessions 6
June 28, 2017 09:00 to 10:20
 
Applied Econometrics IV, 3C
Bootstrap methods, 3F
Econometrics and Risk Preferences, 3E
Government and Monetary policy, 4C
Growth and Development, 4D
Large time series panels, 3A
Macroeconomics in the long run, 4A
Monetary policy I, 4B
Time Series Methods, 3B
Unemployment and Job Search, 3D
Treatment Effects Econometrics, 2A

Keynote Lecture: Hidehiko Ichimura
Palace Ballroom (3rd Floor)
June 28, 2017 10:50 to 11:50
 
"The Influence Function of Semiparametric Estimators" by Hidehiko Ichimura

Lunch and Poster session
Pastel (Lunch, 2nd Floor), Foyer(Poster)
June 28, 2017 12:00 to 13:00
 
Posters , Foyer

Keynote Lecture: Peter Hansen (Murata Lecture)
Palace Ballroom
June 28, 2017 13:00 to 14:00
 
"Mind the Gap: An Early Empirical Analysis of SEC's “Tick Size Pilot Program""...
 
This lecture is sponsored by the Murata Science Foundation:http://www.murata.co.jp/zaidan/

Parallel Sessions 7
June 28, 2017 14:15 to 15:35
 
Applications of High-Dimensional Time Series, 3B
Central Bank Guidance, 4A
Econometrics of Risk, 3E
Financial Cycles and House Prices, 4B
Fiscal policy transmission II, 4C
Labor Force Participation, 4D
Macroeconomic Time Series II, 3A
Mobility and Transport, 2A
Modelling Heterogeneity in Panel Data, 3F
Monetary Policy II, 3C
Partial Identification, 3D

Keynote Lecture: Jeffrey Wooldridge
Palace Ballroom
June 28, 2017 16:00 to 17:00
 
"Recent Developments in Finite Population and Clustered Standard Errors" by Jeff...

Parallel Sessions 8
June 28, 2017 17:15 to 18:15
 
Demand and Pricing, 3C
Macroeconomics and uncertainty I, 4A
Open economy macro III, 4C
Open economy macro II, 4B
Discrete Choice Models, 3E
Household Consumption and Finance II, 3A
Portfolio selection, 3B
Multivariate Models, 2A
Dynamic Panel Data Models, 3F
Inflation and Exchange Rates, 4D
Auctions and Information, 3D

Parallel Sessions 9
June 29, 2017 09:00 to 10:20
 
Control Function and Instrumental Variable Methods, 3C
Dynamic Panel Data, 3A
Econometric Methodology, 3D
Employment, 4B
Econometrics and Game Theoretic Models, 3F
High-dimensional Econometrics in Finance, 3B
Applied Econometrics V, 4D
Labor Economics II, 4C
Macroeconometric Theory II, 4A
Time Series Econometrics, 3E

Keynote Lecture: Azeem Shaikh
Palace Ballroom (3rd Floor)
June 29, 2017 10:50 to 11:50
 
"Inference under Covariate-Adaptive Randomization” by Azeem Shaikh

Closing remarks
Palace Ballroom
June 29, 2017 11:50 to 12:00

Excursion (Yoichi, Otaru, and Sapporo)
June 30, 2017 08:00 to 17:00
 
Attendees, please come to Hotel Emisia Lobby at 8:00 am.

 

Summary of All Sessions

Click here for an index of all participants

Session
ID code
Date/TimeLocationTypeTitlePapersOrganizer
109June 26, 2017
10:50-11:50
Palace Ballroom invited "Identification of Dynamic Causal Effects in Macroeconomics" by Mark Watson0
22June 26, 2017
13:00-14:20
3D contributed Applied Bayesian Macroeconometrics4Frank Schorfheide
52June 26, 2017
13:00-14:20
3C contributed Applied Econometrics I4Francesca Molinari
4June 26, 2017
13:00-14:20
4A contributed Asset Returns and Predictability4Allan Timmermann
46June 26, 2017
13:00-14:20
4B contributed Business Cycles I4Fabio Canova
54June 26, 2017
13:00-14:20
3A contributed Health Economics I3Peter Arcidiacono
57June 26, 2017
13:00-14:20
3B contributed Higher Education4Peter Arcidiacono
11June 26, 2017
13:00-14:20
4D contributed IO, International Trade and Geography4Jakub Kastl
94June 26, 2017
13:00-14:20
3E contributed Large Panel Data Models3
26June 26, 2017
13:00-14:20
3F contributed Macroeconometric theory I4Fabio Canova
32June 26, 2017
13:00-14:20
4C contributed Unconventional monetary policy4Fabio Canova
77June 26, 2017
13:00-14:20
2A contributed Unit Roots and Cointegration4
21June 26, 2017
14:50-16:10
3D contributed Bayesian Time Series Modeling4Frank Schorfheide
3June 26, 2017
14:50-16:10
3A contributed Applications of Panel Data4Christian Hansen
61June 26, 2017
14:50-16:10
2A contributed Education4Peter Arcidiacono
15June 26, 2017
14:50-16:10
3F contributed Instrumental Variables4Frank Kleibergen
85June 26, 2017
14:50-16:10
3B contributed IO and Applications of Panel Data4
33June 26, 2017
14:50-16:10
4A contributed Macroeconomics at the zero lower bound4Fabio Canova
101June 26, 2017
14:50-16:10
3E contributed Networks4
47June 26, 2017
14:50-16:10
4B contributed Oil and the macroeconomy3Fabio Canova
76June 26, 2017
14:50-16:10
3C contributed State Space and Stochastic Volatility3
28June 26, 2017
14:50-16:10
4C contributed Understanding inflation4Fabio Canova
5June 26, 2017
14:50-16:10
4D contributed Volatility Modeling with High-Frequency Data4Allan Timmermann
53June 27, 2017
9:00-10:20
4D contributed Applied Econometrics II4
93June 27, 2017
9:00-10:20
2A contributed Dynamic Factor Analysis4
16June 27, 2017
9:00-10:20
3E contributed Econometric Theory I4Frank Kleibergen
75June 27, 2017
9:00-10:20
4C contributed Finance and Time Series3
27June 27, 2017
9:00-10:20
3A contributed Fiscal Policy transmission I4Fabio Canova
56June 27, 2017
9:00-10:20
3B contributed Labor Economics I4Peter Arcidiacono
14June 27, 2017
9:00-10:20
3F contributed Large dataset methods3Frank Kleibergen
34June 27, 2017
9:00-10:20
4B contributed Macroeconomic Forecasting4Fabio Canova
59June 27, 2017
9:00-10:20
3C contributed Peer Effects and Social Interactions4Peter Arcidiacono
98June 27, 2017
9:00-10:20
3D contributed Spatial and Network Econometrics4
81June 27, 2017
9:00-10:20
4A contributed Time Series Forecasting4
108June 27, 2017
10:50-11:50
Palace Ballroom invited "Closed-form Implied Volatility Surfaces for Stochastic Volatility Models" by Yacine Ait-Sahalia0
24June 27, 2017
12:00-13:00
Foyer poster Posters10
110June 27, 2017
13:00-14:00
Palace Ballroom invited "Inference in regression with a near unit root" by Graham Elliot0
55June 27, 2017
14:15-15:35
3E contributed Applied Econometrics III4
23June 27, 2017
14:15-15:35
3D contributed Bayesian Econometrics3Frank Schorfheide
38June 27, 2017
14:15-15:35
3C contributed Business Cycles II4Fabio Canova
78June 27, 2017
14:15-15:35
4B contributed Climate and Energy Econometrics4
12June 27, 2017
14:15-15:35
3F contributed Dynamic Structural Models3Jakub Kastl
18June 27, 2017
14:15-15:35
2A contributed Econometric Theory II4Frank Kleibergen
91June 27, 2017
14:15-15:35
3A contributed Financial Econometrics I4
82June 27, 2017
14:15-15:35
3B contributed Forecasting Methods4
62June 27, 2017
14:15-15:35
4A contributed Health Economics II4
70June 27, 2017
14:15-15:35
4C contributed Labor Economics and Gender4Peter Arcidiacono
29June 27, 2017
14:15-15:35
4D contributed Trade and macroeconomics4Fabio Canova
111June 27, 2017
16:00-17:00
Palace Ballroom invited "The Exact Distribution of the t-ratio with Robust and Clustered Standard Errors" by Bruce Hansen0
6June 27, 2017
17:15-18:15
3D contributed Auctions - Methods2Jakub Kastl
74June 27, 2017
17:15-18:15
3C contributed Breaks in time series3
92June 27, 2017
17:15-18:15
3A contributed Financial Econometrics II3
68June 27, 2017
17:15-18:15
3F contributed Household Consumption and Finance3
79June 27, 2017
17:15-18:15
3B contributed Macroeconomic Time Series I3
41June 27, 2017
17:15-18:15
4A contributed Macroeconomics and Uncertainty II3Fabio Canova
104June 27, 2017
17:15-18:15
4B contributed Macroeconomics and Uncertainty III3
25June 27, 2017
17:15-18:15
4C contributed Open economy macro I3Fabio Canova
17June 27, 2017
17:15-18:15
3E contributed Semiparametrics3Frank Kleibergen
103June 27, 2017
17:15-18:15
2A contributed Social Networks3
87June 27, 2017
17:15-18:15
4D contributed Volatility3
73June 28, 2017
9:00-10:20
3C contributed Applied Econometrics IV4
19June 28, 2017
9:00-10:20
3F contributed Bootstrap methods4Frank Kleibergen
66June 28, 2017
9:00-10:20
3E contributed Econometrics and Risk Preferences4
90June 28, 2017
9:00-10:20
4C contributed Government and Monetary policy4
80June 28, 2017
9:00-10:20
4D contributed Growth and Development3
102June 28, 2017
9:00-10:20
3A contributed Large time series panels3
31June 28, 2017
9:00-10:20
4A contributed Macroeconomics in the long run4Fabio Canova
44June 28, 2017
9:00-10:20
4B contributed Monetary policy I4Fabio Canova
83June 28, 2017
9:00-10:20
3B contributed Time Series Methods4
72June 28, 2017
9:00-10:20
3D contributed Unemployment and Job Search4
48June 28, 2017
9:00-10:20
2A contributed Treatment Effects Econometrics4
112June 28, 2017
10:50-11:50
Palace Ballroom invited "The Influence Function of Semiparametric Estimators" by Hidehiko Ichimura0
107June 28, 2017
12:00-13:00
Foyer poster Posters 6
113June 28, 2017
13:00-14:00
Palace Ballroom invited "Mind the Gap: An Early Empirical Analysis of SEC's “Tick Size Pilot Program"" by Peter Hansen0
95June 28, 2017
14:15-15:35
3B contributed Applications of High-Dimensional Time Series4
36June 28, 2017
14:15-15:35
4A contributed Central Bank Guidance4Fabio Canova
88June 28, 2017
14:15-15:35
3E contributed Econometrics of Risk4
39June 28, 2017
14:15-15:35
4B contributed Financial Cycles and House Prices4Fabio Canova
43June 28, 2017
14:15-15:35
4C contributed Fiscal policy transmission II4Fabio Canova
60June 28, 2017
14:15-15:35
4D contributed Labor Force Participation4Peter Arcidiacono
106June 28, 2017
14:15-15:35
3A contributed Macroeconomic Time Series II3
100June 28, 2017
14:15-15:35
2A contributed Mobility and Transport4
2June 28, 2017
14:15-15:35
3F contributed Modelling Heterogeneity in Panel Data4Christian Hansen
35June 28, 2017
14:15-15:35
3C contributed Monetary Policy II4Fabio Canova
49June 28, 2017
14:15-15:35
3D contributed Partial Identification4Francesca Molinari
114June 28, 2017
16:00-17:00
Palace Ballroom invited "Recent Developments in Finite Population and Clustered Standard Errors" by Jeffrey Wooldridge0
8June 28, 2017
17:15-18:15
3C contributed Demand and Pricing3Jakub Kastl
30June 28, 2017
17:15-18:15
4A contributed Macroeconomics and uncertainty I3Fabio Canova
45June 28, 2017
17:15-18:15
4C contributed Open economy macro III3Fabio Canova
40June 28, 2017
17:15-18:15
4B contributed Open economy macro II3Fabio Canova
64June 28, 2017
17:15-18:15
3E contributed Discrete Choice Models3
69June 28, 2017
17:15-18:15
3A contributed Household Consumption and Finance II3
89June 28, 2017
17:15-18:15
3B contributed Portfolio selection3
97June 28, 2017
17:15-18:15
2A contributed Multivariate Models3
1June 28, 2017
17:15-18:15
3F contributed Dynamic Panel Data Models3Christian Hansen
105June 28, 2017
17:15-18:15
4D contributed Inflation and Exchange Rates3
7June 28, 2017
17:15-18:15
3D contributed Auctions and Information3Jakub Kastl
51June 29, 2017
9:00-10:20
3C contributed Control Function and Instrumental Variable Methods4
96June 29, 2017
9:00-10:20
3A contributed Dynamic Panel Data4
65June 29, 2017
9:00-10:20
3D contributed Econometric Methodology4
50June 29, 2017
9:00-10:20
3F contributed Econometrics and Game Theoretic Models4Francesca Molinari
63June 29, 2017
9:00-10:20
4B contributed Employment4Peter Arcidiacono
86June 29, 2017
9:00-10:20
3B contributed High-dimensional Econometrics in Finance4
67June 29, 2017
9:00-10:20
4D contributed Applied Econometrics V3
71June 29, 2017
9:00-10:20
4C contributed Labor Economics II3Peter Arcidiacono
42June 29, 2017
9:00-10:20
4A contributed Macroeconometric Theory II4Fabio Canova
84June 29, 2017
9:00-10:20
3E contributed Time Series Econometrics4
115June 29, 2017
10:50-11:50
Palace Ballroom invited "Inference under Covariate-Adaptive Randomization” by Azeem Shaikh0
 

108 sessions, 372 papers, and 0 presentations with no associated papers


 

2017 IAAE Conference - International Association for Applied Econometrics

Detailed List of Sessions

 
Session ID 109: "Identification of Dynamic Causal Effects in Macroeconomics" by Mark Watson
June 26, 2017 10:50 to 11:50
Palace Ballroom
 
Session Organizer: ,
Session type: invited
 
Session ID 22: Applied Bayesian Macroeconometrics
June 26, 2017 13:00 to 14:20
3D
 
Session Organizer: Frank Schorfheide, University of Pennsylvania
Session Chair: Yasutomo Murasawa, Konan University
Session type: contributed
 

Measuring the Distributions of Public Inflation Perceptions and Expectations in the UK
[slides]
By Yasutomo Murasawa; Konan University
   presented by: Yasutomo Murasawa, Konan University
 

Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve
By Yasufumi Gemma; Bank of Japan
Takushi Kurozumi; Bank of Japan
Mototsugu Shintani; University of Tokyo
   presented by: Mototsugu Shintani, University of Tokyo
 

Zero interest rate policy and asymmetric price adjustment in Japan: an empirical analysis of a nonlinear DSGE model
[slides]
By Hirokuni Iiboshi; Tokyo Metropolitan University
Mototsugu Shintani; University of Tokyo
   presented by: Hirokuni Iiboshi, Tokyo Metropolitan University
 

Term Premium, Credit Risk Premium, and Monetary Policy
By Andrea Ajello; Federal Reserve Board
   presented by: Andrea Ajello, Federal Reserve Board
 
Session ID 52: Applied Econometrics I
June 26, 2017 13:00 to 14:20
3C
 
Session Organizer: Francesca Molinari, Cornell
Session Chair: Stacey Chen, GRIPS (National Graduate Institute for Policy Analysis)
Session type: contributed
 

Loss Aversion Index Recovery in The Cross-Section of Subjective Well Being and Happiness On Economic Growth
[slides]
By G. Charles-Cadogan; University of Leicester, School of Business
   presented by: G. Charles-Cadogan, University of Leicester, School of Business
 

Poverty and psychological resilience
By Sara Ayllón; Universitat de Girona
   presented by: Sara Ayllón, Universitat de Girona
 

There and back again - Estimating equivalence scales with measurement error
By Melanie Borah; Otto von Guericke University Magdeburg
Andreas Knabe; Otto von Guericke University Magdeburg
   presented by: Melanie Borah, Otto von Guericke University Magdeburg
 

Measuring Remoteness Using a Data-Driven Approach
By Stacey Chen; GRIPS (National Graduate Institute for Policy Analysis)
Yu-Kuan Chen; Teach-for-Taiwan Association
Hueymin Wu; National Academy for Educational Research
   presented by: Stacey Chen, GRIPS (National Graduate Institute for Policy Analysis)
 
Session ID 4: Asset Returns and Predictability
June 26, 2017 13:00 to 14:20
4A
 
Session Organizer: Allan Timmermann, UCSD
Session Chair: Christoph Frey, Erasmus University Rotterdam
Session type: contributed
 

A New Test on Asset Return Predictability with Structural Breaks
By Seong Yeon Chang; Xiamen University
ZONGWU CAI; Department of Economics
   presented by: Seong Yeon Chang, Xiamen University
 

Sequential Stock Return Prediction Through Copulas
By Christoph Frey; Erasmus University Rotterdam
   presented by: Christoph Frey, Erasmus University Rotterdam
 

News Shock, Long-Run Risk, and Asset Returns
By Soohun Kim; Georgia Institute of Technology
Chang Joo Lee; University of Illinois at Chicago
   presented by: Soohun Kim, Georgia Institute of Technology
 

Measurement of Common Risk Factors - A Panel Quantile Regression Model for Returns
By Frantisek Cech; Charles University
Jozef Barunik; Institute of Economic Studies, Charles U
   presented by: Frantisek Cech, Charles University
 
Session ID 46: Business Cycles I
June 26, 2017 13:00 to 14:20
4B
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Povilas Lastauskas, CEFER
Session type: contributed
 

Asset Prices and Optimal Monetary Policy Rules
By Venoo Kakar; San Francisco State University
Stefano D'Addona; University of Rome 3
Marcelle Chauvet; University of California Riverside
   presented by: Venoo Kakar, San Francisco State University
 

Slow Recoveries and Labor Market Polarization
By Wen Zhang; Renmin University of China
   presented by: Wen Zhang, Renmin University of China
 

The Brazilian Quarterly Real GDP:Temporal Disaggregation and Nowcasting
[slides]
By André Maranhão; Bank of Brazil/University of Brasília
   presented by: André Maranhão, Bank of Brazil/University of Brasília
 

The Knotty Interplay Between Credit and Housing
By Povilas Lastauskas; CEFER
   presented by: Povilas Lastauskas, CEFER
 
Session ID 54: Health Economics I
June 26, 2017 13:00 to 14:20
3A
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Fredrick Manang, University of Dodoma (UDOM)
Session type: contributed
 

The effects of self-reported health: Dealing with misclassification bias
By Philip Clarke; University of Melbourne
Dennis Petrie; University of Melbourne
Kevin Staub; The University of Melbourne
   presented by: Kevin Staub, The University of Melbourne
 

Does the information improvement change the health investment behavior? Evidence from Japan
By Masato Oikawa; University of Tokyo
   presented by: Masato Oikawa, University of Tokyo
 

Build and they will come?:Access to health facilities and Maternal care usage in rural Ethiopia
By Fredrick Manang; University of Dodoma (UDOM)
   presented by: Fredrick Manang, University of Dodoma (UDOM)
 
Session ID 57: Higher Education
June 26, 2017 13:00 to 14:20
3B
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Cecilia Machado, Getulio Vargas Foundation FGV-EPGE
Session type: contributed
 

Estimating the Returns of Attending a Selective University on Earnings using Regression Discontinuity with Multiple Admission Cutoffs
By Paola Bordon; University of Chile
   presented by: Paola Bordon, University of Chile
 

Endogenous Market Formation: Theory and Evidence from Chilean College Admissions
By Ricardo Espinoza; University of Maryland
Soohyung Lee; University of Maryland
Hector Lopez; University of Maryland, College Park
   presented by: Soohyung Lee, University of Maryland
 

Evaluating Professor Value-added: Evidence from Professor and Student Matching in Physics
By Yuta Kikuchi; Hokkaido University
Ryo Nakajima; Keio University
   presented by: Yuta Kikuchi, Hokkaido University
 

Centralized Admission and the Student-College Match
By Cecilia Machado; Getulio Vargas Foundation FGV-EPGE
Christiane Szerman; Climate Policy Initiative (CPI-Rio)
   presented by: Cecilia Machado, Getulio Vargas Foundation FGV-EPGE
 
Session ID 11: IO, International Trade and Geography
June 26, 2017 13:00 to 14:20
4D
 
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Alex Chernoff, Bank of Canada
Session type: contributed
 

Sequential Value Chains, Property Rights, and the Non-Appropriability of Intellectual Assets
By Stefano Bolatto; University of Bologna
Alireza Naghavi; University of Bologna
Gianmarco Ottaviano; London School of Economics
Katja Zajc; University of Ljubljana
   presented by: Alireza Naghavi, University of Bologna
 

The Impact of China's Rare Earth Policy on Downstream Industries
By Zhe Chen; University of International Business and Economics
Zhongzhong Hu; UIBE
Kai Li; Xiamen University
   presented by: Zhe Chen, University of International Business and Economics
 

Firm Heterogeneity, Technological Adoption, and Urbanization: Theory and Measurement
By Alex Chernoff; Bank of Canada
   presented by: Alex Chernoff, Bank of Canada
 

Labor market imperfections, markups and productivity in multinationals and exporters
By Sabien Dobbelaere; Vrije Universiteit Amsterdam
Kozo Kiyota; Keio University
   presented by: Kozo Kiyota, Keio University
 
Session ID 94: Large Panel Data Models
June 26, 2017 13:00 to 14:20
3E
 
Session Organizer: ,
Session Chair: Håvard Hungnes, Statistics Norway
Session type: contributed
 

Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure
By Shou-Yung Yin; Academia Sinica
Chu-An Liu; Academia Sinica
Chang-Ching Lin; National Cheng Kung University
   presented by: Chu-An Liu, Academia Sinica
 

Large scale panel logistic regressions with unobservable effects
By Tomohiro Ando; University of Melbourne
Jushan Bai; Columbia University
   presented by: Tomohiro Ando, University of Melbourne
 

Common factors in a panel with two cross-sectional
[slides]
By Håvard Hungnes; Statistics Norway
   presented by: Håvard Hungnes, Statistics Norway
 
Session ID 26: Macroeconometric theory I
June 26, 2017 13:00 to 14:20
3F
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Atsushi Inoue, Vanderbilt University
Session type: contributed
 

Impulse Response Estimation By Smooth Local Projections
By Regis Barnichon; CREI
Christian Brownlees; Pompeu Fabra University
   presented by: Regis Barnichon, CREI
 

Evaluating FAVARs with Time-Varying Parameters and Stochastic Volatility
By Taiki Yamamura; Queen Mary University of London
   presented by: Taiki Yamamura, Queen Mary University of London
 

A composite likelihood approach for dynamic structural models
By Fabio Canova; Norwegian Business School
Christian Matthes; Federal reserve bank of Richmond
   presented by: Fabio Canova, Norwegian Business School
 

Identifying the Source of Model Misspecification
By Atsushi Inoue; Vanderbilt University
Chun-Hung Kuo; International University of Japan
Barbara Rossi; ICREA-Univ. Pompeu Fabra, Barcelona GSE and CREI
   presented by: Atsushi Inoue, Vanderbilt University
 
Session ID 32: Unconventional monetary policy
June 26, 2017 13:00 to 14:20
4C
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Toyoichiro Shirota, Hokkaido University
Session type: contributed
 

Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies
By Sarah Mouabbi; Banque de France
Jean-Guillaume Sahuc; Banque de France
   presented by: Sarah Mouabbi, Banque de France
 

The Time-Varying Effects of Conventional and Unconventional Monetary Policy: Results from a New Identification Procedure
By Atsushi Inoue; Vanderbilt University
Barbara Rossi; ICREA-Univ. Pompeu Fabra, Barcelona GSE and CREI
   presented by: Barbara Rossi, ICREA-Univ. Pompeu Fabra, Barcelona GSE and CREI
 

Unconventional monetary policy and the anchoring of inflation expectations
By Matteo Ciccarelli; European Central Bank
   presented by: Matteo Ciccarelli, European Central Bank
 

Evaluating the "Unconventional" Unconventional Monetary Policy in Stock Markets: The Propensity Score Approach
By Toyoichiro Shirota; Hokkaido University
   presented by: Toyoichiro Shirota, Hokkaido University
 
Session ID 77: Unit Roots and Cointegration
June 26, 2017 13:00 to 14:20
2A
 
Session Organizer: ,
Session Chair: Ricardo Masini, Escola de Economia de São Paulo - FGV
Session type: contributed
 

Unit Root Testing with Slowly Varying Trends
By Sven Otto; University of Cologne
   presented by: Sven Otto, University of Cologne
 

Testing for Continuous Structural Breaks in Cointegrated Error-Correction Model
[slides]
By Byeongseon Seo; Korea University
   presented by: Byeongseon Seo, Korea University
 

Optimal Jackknife Estimation of Local to Unit Root Models
By Marian Stoykov; University of Essex
   presented by: Marian Stoykov, University of Essex
 

The Perils of Counterfactual Analysis with Integrated Processes
By Ricardo Masini; Escola de Economia de São Paulo - FGV
Marcelo Medeiros; Pontifical Catholic University of Rio de Janeiro
Carlos Carvalho; Central Bank of Brazil and PUC-Rio
   presented by: Ricardo Masini, Escola de Economia de São Paulo - FGV
 
Session ID 21: Bayesian Time Series Modeling
June 26, 2017 14:50 to 16:10
3D
 
Session Organizer: Frank Schorfheide, University of Pennsylvania
Session Chair: Jaeho Kim, University of Oklahoma
Session type: contributed
 

Together in bad times? Connectedness and spillovers in recession and boom
By Mirela Miescu; PhD student at Queen Mary University of London
   presented by: Mirela Miescu, Queen Mary University of London
 

Agnostic Identification of Time-Varying Monetary Policy Rules
By Mark Bognanni; Federal Reserve Bank of Cleveland
   presented by: Mark Bognanni, Federal Reserve Bank of Cleveland
 

Did Quantitative Easing only inflate stock prices? Macroeconomic evidence from the US and UK
By Mirco Balatti; Henley Business school
   presented by: Mirco Balatti, Henley Business school
 

Permanent and Transitory Shocks to the U.S. Economy: Has Their Importance Been Constant over Time?
By Jaeho Kim; University of Oklahoma
Sora Chon; Korea Development Institute
   presented by: Jaeho Kim, University of Oklahoma
 
Session ID 3: Applications of Panel Data
June 26, 2017 14:50 to 16:10
3A
 
Session Organizer: Christian Hansen, University of Chicago
Session Chair: Dandan Niu, Mines Paristech
Session type: contributed
 

Cross-Section Dependence and Latent Heterogeneity to Evaluate the Impact of Human Capital on Country Performance
By Camilla Mastromarco; University of Salento
   presented by: Camilla Mastromarco, University of Salento
 

The Building Blocks of Skill Development
By Cristine Pinto; São Paulo School of Economics - EESP/FGV
Vladimir Ponczek; FGV
   presented by: Vladimir Ponczek, FGV
 

Is Farmer-to-Farmer Extension Effective? The Impact of Training on Technology Adoption and Rice Farming Productivity in Tanzania
By Yuko Nakano; University of Tsukuba
TAKUJI TSUSAKA; International Crops Research Institute for the Semi-arid Tropics, ICRISAT
Takeshi Aida; National Graduate Institute for Policy Studies (GRIPS)
Valerien Pede; IRRI
   presented by: Yuko Nakano, University of Tsukuba
 

Strategic responses to cultural quotas: evidence from French radio
By Margaret Kyle; MINES ParisTech
Dandan Niu; Mines Paristech
   presented by: Dandan Niu, Mines Paristech
 
Session ID 61: Education
June 26, 2017 14:50 to 16:10
2A
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Selver Derya Uysal, LMU Munich
Session type: contributed
 

Marginal Returns to Schooling and Education Policy Change in Japan
By Nobuyoshi Kikuchi; Osaka university
   presented by: Nobuyoshi Kikuchi, Osaka university
 

Rising Wage Inequality & Human Capital Investment
By Carolyn Sloane; UC Riverside
   presented by: Carolyn Sloane, UC Riverside
 

The effect of locally hired teachers on school outcomes (the Dose response function estimation evidence from Kenya)
[slides]
By Ayako Wakano; Osaka University, Japan
   presented by: Ayako Wakano, Osaka University, Japan
 

The Impact of Grade Retention on Educational Attainment
By Selver Derya Uysal; LMU Munich
   presented by: Selver Derya Uysal, LMU Munich
 
Session ID 15: Instrumental Variables
June 26, 2017 14:50 to 16:10
3F
 
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Sophocles Mavroeidis, Oxford University
Session type: contributed
 

Partial Identification of Nonseparable Models with Binary Instruments
By Takuya Ishihara; University of Tokyo
   presented by: Takuya Ishihara, University of Tokyo
 

A more powerful subvector Anderson Rubin test in linear IV regression
[slides]
By Sophocles Mavroeidis; Oxford University
   presented by: Sophocles Mavroeidis, Oxford University
 

On Bootstrap Inconsistency and Bonferroni-Based Size-Correction for the Subset Anderson-Rubin Test
By Wenjie Wang; Hiroshima University
   presented by: Wenjie Wang, Hiroshima University
 

A General Weighted Average Representation of the Ordinary and Two-Stage Least Squares Estimands
By Tymon Słoczyński; Brandeis University
   presented by: Tymon Słoczyński, Brandeis University
 
Session ID 85: IO and Applications of Panel Data
June 26, 2017 14:50 to 16:10
3B
 
Session Organizer: ,
Session Chair: Charles K. Leung, City Univ. of Hong Kong
Session type: contributed
 

The Spillover Effects of Public Investment: Implications for Formal and Informal Sector Firms in India
By Abhinav Narayanan; Reserve Bank of India
   presented by: Abhinav Narayanan, Reserve Bank of India
 

Patent Protection and the Composition of Multinational Activity: Evidence from U.S. Multinational Firms
By Olena Ivus; Queen's University
Walter Park; American University
Kamal Saggi; Vanderbilt University
   presented by: Olena Ivus, Queen's University
 

Impact of Low-cost Carriers on International Air Passenger Movements to and from Major Airports in Asia
[slides]
By Volodymyr Bilotkach; Newcastle University
Keisuke Kawata; Hiroshima University
Tae Seung Kim; Inha University
Yuichiro Yoshida; Hiroshima University
   presented by: Yuichiro Yoshida, Hiroshima University
 

Chinese Real Estate Developers: Location, Pricing and Marketing Strategies
By Ying Fan; Tsinghua University
Charles K. Leung; City Univ. of Hong Kong
Zan Yang; Tsinghua University
   presented by: Charles K. Leung, City Univ. of Hong Kong
 
Session ID 33: Macroeconomics at the zero lower bound
June 26, 2017 14:50 to 16:10
4A
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Arsenios Skaperdas, Federal Reserve Board
Session type: contributed
 

Equilibrium Yield Curves and the Interest Rate Lower Bound
By Taisuke Nakata; Federal Reserve Board
Hiroatsu Tanaka; Federal Reserve Board
   presented by: Hiroatsu Tanaka, Federal Reserve Board
 

Estimating DSGE models with zero interest rate policy
By Mariano Kulish; University of New South Wales
   presented by: Mariano Kulish, University of New South Wales
 

Oil, Equities, and the Zero Lower Bound
By Deepa Datta; Federal Reserve Board of Governors
Benjamin Johannsen; Federal Reserve Board
Robert Vigfusson; Board of Governors of the Federal Reserve
   presented by: Robert Vigfusson, Board of Governors of the Federal Reserve
 

Inferring the Shadow Rate from Real Activity
By Arsenios Skaperdas; Federal Reserve Board
   presented by: Arsenios Skaperdas, Federal Reserve Board
 
Session ID 101: Networks
June 26, 2017 14:50 to 16:10
3E
 
Session Organizer: ,
Session Chair: Anton Badev, Federal Reserve Board
Session type: contributed
 

Econometric Analysis of Production Networks with Dominant Units
By M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge
Cynthia Fan Yang; University of Southern California
   presented by: Cynthia Fan Yang, University of Southern California
 

A Partial Identification Subnetwork Approach to Discrete Games in Large Networks: An Application to Quantifying Peer Effects
By Tong Li; Vanderbilt University
Li Zhao; Shanghai Jiao Tong University
   presented by: Tong Li, Vanderbilt University
 

Network Effects on Labor Contracts of Internal Migrants in China - A Spatial Autoregressive Model
By Badi Baltagi; Syracuse University
Xiangjun Ma; University of International Business and Economics
   presented by: Xiangjun Ma, University of International Business and Economics
 

The Network of Large-Value Loans in the U.S.: Concentration and Segregation
By Anton Badev; Federal Reserve Board
   presented by: Anton Badev, Federal Reserve Board
 
Session ID 47: Oil and the macroeconomy
June 26, 2017 14:50 to 16:10
4B
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Thomas Størdal Gundersen, BI Norwegian Business School
Session type: contributed
 

The US Shale Oil Boom, the Oil Export Ban and the Economy: A General Equilibrium Analysis
By Nida Cakir Melek; Federal Reserve Bank of Kansas City
Michael Plante; Federal Reserve Bank of Dallas
Mine Yucel; Federal Reserve Bank of Dallas
   presented by: Nida Cakir Melek, Federal Reserve Bank of Kansas City
 

Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
By Claudio Morana; University Milano Bicocca
   presented by: Claudio Morana, University Milano Bicocca
 

The Impact of U.S. Supply Shocks on the Global Oil Price
By Thomas Størdal Gundersen; BI Norwegian Business School
   presented by: Thomas Størdal Gundersen, BI Norwegian Business School
 
Session ID 76: State Space and Stochastic Volatility
June 26, 2017 14:50 to 16:10
3C
 
Session Organizer: ,
Session Chair: Mengheng Li, VU University Amsterdam / FEWEB
Session type: contributed
 

A Flexible State-Space Model with Application to Stochastic Volatility
[slides]
By Christian Gourieroux; University of Toronto and CREST
Yang Lu; Aix-Marseille School of Economics
   presented by: Yang Lu, Aix-Marseille School of Economics
 

Using the payment system data to forecast the Italian GDP
[slides]
By Guerino Ardizzi; Banca d'Italia
Libero Monteforte; Banca d'Italia
Valentina Aprigliano; Bank of Italy
   presented by: Guerino Ardizzi, Banca d'Italia
 

The Time-Varying Volatility of U.S. Core Inflation and Its Role in Point, Interval and Density Forecasting
[slides]
By Mengheng Li; VU University Amsterdam / FEWEB
Siem Jan Koopman; VU University Amsterdam / FEWEB
   presented by: Mengheng Li, VU University Amsterdam / FEWEB
 
Session ID 28: Understanding inflation
June 26, 2017 14:50 to 16:10
4C
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Kurt Lewis, Federal Reserve Board
Session type: contributed
 

The Fisher Relation Does Hold: International Evidence Using a New Time-Varying Test
By Sarantis Tsiaplias; The University of Melbourne
Chew Chua; The University of Wollongong
   presented by: Sarantis Tsiaplias, The University of Melbourne
 

Expected Inflation Regimes in Japan
[slides]
By Tatsuyoshi Okimoto; Australian National University
   presented by: Tatsuyoshi Okimoto, Australian National University
 

Nonlinear Intermediary Asset Pricing in the Oil Futures Market
By Daniel Bierbaumer; DIW Berlin
Malte Rieth; DIW Berlin
Anton Velinov; DIW Berlin
   presented by: Anton Velinov, DIW Berlin
 

Measuring the natural rate of interest: Alternative specifications
By Kurt Lewis; Federal Reserve Board
Francisco Vazquez-Grande; Federal Reserve Board
   presented by: Kurt Lewis, Federal Reserve Board
 
Session ID 5: Volatility Modeling with High-Frequency Data
June 26, 2017 14:50 to 16:10
4D
 
Session Organizer: Allan Timmermann, UCSD
Session Chair: Yifan LI, Lancaster University
Session type: contributed
 

Volatility Forecasting Using Multiplicative Component Models
By Christian Conrad; University of Heidelberg
Onno Kleen; Heidelberg University
   presented by: Onno Kleen, Heidelberg University
 

A score-driven conditional correlation model for noisy and asynchronous data: an application to high-frequency covariance dynamics
By Giuseppe Buccheri; Scuola Normale Superiore
Giacomo Bormetti; University of Bologna
Fulvio Corsi; Ca' Foscari University Venezia
Fabrizio Lillo; Scuola Normale Superiore
   presented by: Giuseppe Buccheri, Scuola Normale Superiore
 

Wavelet-based methods for high-frequency lead-lag analysis
By Takaki Hayashi; Keio University
Yuta Koike; Tokyo Metropolitan University
   presented by: Yuta Koike, Tokyo Metropolitan University
 

High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model
By Yifan LI; Lancaster University
Ingmar Nolte; Lancaster University
Sandra Nolte; Lancaster University Management School
   presented by: Yifan LI, Lancaster University
 
Session ID 53: Applied Econometrics II
June 27, 2017 9:00 to 10:20
4D
 
Session Organizer: ,
Session Chair: Thierry Kamionka, CNRS
Session type: contributed
 

Did Shareholders Affect the Credit Rating Process? Evidence from a Semiparametric Ordered Model with Marginal Effects Analysis
By Yixiao Jiang; Rutgers University New Brunswick
   presented by: Yixiao Jiang, Rutgers University New Brunswick
 

Mortgage Rates and Credit Risk: Evidence from Mortgage Pools
By Gaetano Antinolfi; Washington University in Saint Louis
Celso Brunetti; Federal Reserve Board
Jay Im; Duke University
   presented by: Celso Brunetti, Federal Reserve Board
 

American Dream Delayed: Shifting Determinants of Homeownership in the U.S
By Natalia Khorunzhina; Copenhagen Business School
Robert Miller; Carnegie Mellon University
   presented by: Natalia Khorunzhina, Copenhagen Business School
 

Homeownership and Labour Market Transitions
By Thierry Kamionka; CNRS
Guy Lacroix; Université Laval
   presented by: Thierry Kamionka, CNRS
 
Session ID 93: Dynamic Factor Analysis
June 27, 2017 9:00 to 10:20
2A
 
Session Organizer: ,
Session Chair: Kajal Lahiri, State University New York Albany
Session type: contributed
 

An unprecedented housing crisis in 2006-09? Evidence from high-dimensional dynamic factor model
By Meichi Huang; National Taipei University
   presented by: Meichi Huang, National Taipei University
 

Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions
By Yohei Yamamoto; Hitotsubashi University
   presented by: Yohei Yamamoto, Hitotsubashi University
 

Factor augmented VAR revisited - A sparse dynamic factor model approach
By Simon Beyeler
Sylvia Kaufmann; Study Center Gerzensee
   presented by: Sylvia Kaufmann, Study Center Gerzensee
 

The International Propagation of Shocks: A Bayesian Time-Varying Parameter Dynamic Factor Model Analysis Using Survey Forecasts
By Kajal Lahiri; State University New York Albany
Yongchen Zhao; Towson University
   presented by: Kajal Lahiri, State University New York Albany
 
Session ID 16: Econometric Theory I
June 27, 2017 9:00 to 10:20
3E
 
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Alexandre Poirier, University of Iowa
Session type: contributed
 

Consistent Estimation of Linear Regression Models Using Matched Data
By Masayuki Hirukawa; Setsunan University
Artem Prokhorov; University of Sydney
   presented by: Masayuki Hirukawa, Setsunan University
 

A Unified Robust Bootstrap Method for Sharp/Fuzzy Mean/Quantile Regression Discontinuity/Kink Designs
By Harold Chiang; Johns Hopkins University
Yu-Chin Hsu; Academia Sinica
Yuya Sasaki; Johns Hopkins University
   presented by: Harold Chiang, Johns Hopkins University
 

Minimum Contrast Empirical Likelihood Manipulation Testing for Regression Discontinuity Design
By Jun Ma; Renmin University of China
Hugo Jales; Syracuse University
Zhengfei Yu; University of Tsukuba
   presented by: Zhengfei Yu, University of Tsukuba
 

Partial Independence in Nonseparable Models
By Matthew Masten; Duke University
Alexandre Poirier; University of Iowa
   presented by: Alexandre Poirier, University of Iowa
 
Session ID 75: Finance and Time Series
June 27, 2017 9:00 to 10:20
4C
 
Session Organizer: ,
Session Chair: Liudas Giraitis, Queen Mary University
Session type: contributed
 

Testing for Weak Form Efficiency of Stock Markets
By Jonathan Hill; University of North Carolina
Kaiji Motegi; Kobe University
   presented by: Kaiji Motegi, Kobe University
 

Volatility Spillovers in Asian Stock Markets
By Hwee Kwan Chow; Singapore Management University
   presented by: Hwee Kwan Chow, Singapore Management University
 

Estimation of time varying covariance matrices for large datasets
By Liudas Giraitis; Queen Mary University
George Kapetanios; King College London
   presented by: Liudas Giraitis, Queen Mary University
 
Session ID 27: Fiscal Policy transmission I
June 27, 2017 9:00 to 10:20
3A
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Eul Noh, UC San Diego
Session type: contributed
 

Can Uncertainty Explain the Heterogeneous Output Effects of Fiscal Adjustments?
By Madina Karamysheva; National Research University Higher School of Economics
   presented by: Madina Karamysheva, National Research University Higher School of Economics
 

Fiscal consolidation and inequality
By Pedro Brinca; NovaSBE
Miguel Ferreira; Nova SBE
Francesco Franco; Universidade Nova de Lisboa
Hans Holter; University of Oslo
Laurence Malafry; Stockholm University
   presented by: Pedro Brinca, NovaSBE
 

The Effects of Government Spending on Real Exchange Rates: Evidence from Military Spending Panel Data
By Wataru Miyamoto; Bank of Canada
Thuy Lan Nguyen; Santa Clara University
Viacheslav Sheremirov; Federal Reserve Bank of Boston
   presented by: Wataru Miyamoto, Bank of Canada
 

Cyclical Behavior of Government Spending Multipliers: A Markov-switching SVAR Approach
By Yifei Lyu; UCSD
Eul Noh; UC San Diego
   presented by: Eul Noh, UC San Diego
 
Session ID 56: Labor Economics I
June 27, 2017 9:00 to 10:20
3B
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Kensuke Maeba, University of Tokyo
Session type: contributed
 

Fertility and Mothers' Labor Supply: New Evidence using Time-to-Conception
By Claudia Hupkau; CEP - LSE
Leturcq Marion; Ined
   presented by: Marion Leturcq, Ined
 

Gender Wage Gap and Firm Heterogeneity: Evidence from French linked Employer-Employee Data
By Elise Coudin; CREST, INSEE
Sophie Maillard; INSEE
Maxime To; University College London - IFS
   presented by: Sophie Maillard, INSEE
 

Quality Time with Parents: Reconsidering Equality Concerns among Families with an Ill Child
By Francesca Marino; University of Padua
   presented by: Francesca Marino, University of Padua
 

BIRTH ORDER EFFECT CHANGES UNDER A CASH TRANSFER PROGRAM
By Kensuke Maeba; University of Tokyo
   presented by: Kensuke Maeba, University of Tokyo
 
Session ID 14: Large dataset methods
June 27, 2017 9:00 to 10:20
3F
 
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Jérémy L'Hour, CREST
Session type: contributed
 

A Parametric Generalization of the Synthetic Control Method, with High Dimension
By Jérémy L'Hour; CREST
Xavier D'Haultfoeuille; CREST
Marianne Bléhaut; Université Paris Sud
Alexandre Tsybakov; CREST
   presented by: Jérémy L'Hour, CREST
 

Large System of Seemingly Unrelated Regressions: A Penalized Quasi-Maximum Likelihood Estimation Perspective
By QINGLIANG FAN; Xiamen University
   presented by: Qingliang Fan, Xiamen University
 

Robust Standard Errors to Spatial and Time Dependence in Aggregate Panel Models
By Lucciano Villacorta; Central Bank of Chile
   presented by: Lucciano Villacorta, Central Bank of Chile
 
Session ID 34: Macroeconomic Forecasting
June 27, 2017 9:00 to 10:20
4B
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Tatevik Sekhposyan, Texas A&M University
Session type: contributed
 

Survey Design and Forecast Accuracy
By Wagner Gaglianone; Getulio Vargas Foundation
Rafaella Giacomini; UCL
Joao Issler; Getulio Vargas Foundation
Vasiliki Skreta; University College London
   presented by: Joao Issler, Getulio Vargas Foundation
 

Forecasting with FAVAR: Macroeconomic versus Financial Factors
By Alessia Paccagnini; University College Dublin
   presented by: Alessia Paccagnini, University College Dublin
 

The Formation of In ation Forecasts by Canadian Private Sector Forecasters
By Alexandra Málaga Mellado; Universidad del Pacifico
Javier Torres; Universidad del Pacífico
   presented by: Alexandra Málaga Mellado, Universidad del Pacifico
 

Predicting the Relative Forecasting Performance of the Models: Conditional Predictive Ability Approach
By Eleonora Granziera; Bank of Finland
Tatevik Sekhposyan; Texas A&M University
   presented by: Tatevik Sekhposyan, Texas A&M University
 
Session ID 59: Peer Effects and Social Interactions
June 27, 2017 9:00 to 10:20
3C
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Chih-Sheng Hsieh, The Chinese University of Hong Kong
Session type: contributed
 

Wage Dynamics and Peer Referrals
By Vincent Boucher; Université Laval
Marion Gousse
   presented by: Vincent Boucher, Université Laval
 

In Utero ``Social'' Interaction of Twins
By Susumu Imai; University of Technology Sydney
   presented by: Susumu Imai, Hokkaido University
 

Peer Effects in the Adoption of a New Employment Subsidy for Vulnerable Youths
By Claudio Mora-García; Universidad Javeriana
Tomas Rau; Pontificia Universidad Catolica de Chile
   presented by: Claudio Mora-García, Universidad Javeriana
 

Smoking Initiation: Peers and Personality
By Chih-Sheng Hsieh; The Chinese University of Hong Kong
Hans Van Kippersluis; Erasmus School of Economics
   presented by: Chih-Sheng Hsieh, The Chinese University of Hong Kong
 
Session ID 98: Spatial and Network Econometrics
June 27, 2017 9:00 to 10:20
3D
 
Session Organizer: ,
Session Chair: Eirini Tatsi, Stockholm University
Session type: contributed
 

Fixed-Effect Regressions on Network Data
By Koen Jochmans; Sciences Po, Paris
Martin Weidner; University College London
   presented by: Martin Weidner, University College London
 

Modeling cross‐sectional dependence: Where spatial econometrics and global VAR models meet
By J.Paul Elhorst; University of Groningen
Marco Gross; European Central Bank
Eugen Tereanu; European Central Bank
   presented by: Eugen Tereanu, European Central Bank
 

A Structural Pairwise Network Model with Individual Heterogeneity
By Zhentao Shi; The Chinese University of Hong Kong
Xi Chen; Yale University and IZA
   presented by: Zhentao Shi, The Chinese University of Hong Kong
 

Peer Effects, Free-Riding and Team Diversity
By Danny Steinbach; Goethe University Frankfurt
Eirini Tatsi; Stockholm University
   presented by: Eirini Tatsi, Stockholm University
 
Session ID 81: Time Series Forecasting
June 27, 2017 9:00 to 10:20
4A
 
Session Organizer: ,
Session Chair: Yunjong Eo, University of Sydney
Session type: contributed
 

Data Revisions and real-time probabilistic forecasting of macroeconomic variables
By Michael Clements; University of Reading
Ana Beatriz Galvao; University of Warwick
   presented by: Ana Beatriz Galvao, Warwick Business School
 

Improving the Power of the Diebold-Mariano-West Test for Least Squares Predictions
By Walter Mayer; University of Mississippi
Feng Liu; University of Mississippi
Xin Dang; University of Mississippi
   presented by: Walter Mayer, University of Mississippi
 

Optimal density forecast combinations
By Gergely Ganics; Universitat Pompeu Fabra and BGSE
   presented by: Gergely Ganics, Universitat Pompeu Fabra and BGSE
 

Forecasting the Term Structure of Interest Rates with Potentially Misspecified Models
By Yunjong Eo; University of Sydney
   presented by: Yunjong Eo, University of Sydney
 
Session ID 108: "Closed-form Implied Volatility Surfaces for Stochastic Volatility Models" by Yacine Ait-Sahalia
June 27, 2017 10:50 to 11:50
Palace Ballroom
 
Session Organizer: ,
Session type: invited
 
Session ID 24: Posters
June 27, 2017 12:00 to 13:00
Foyer
 
Session Organizer: ,
Session type: poster
 

The Elasticity of Demand for Ambulatory Care Services across Different Socioeconomic Status: Evidence from Taiwan
By Miaw-Chwen LEE; National Chung Cheng University,
   presented by: Miaw-Chwen LEE, National Chung Cheng University,
 

Splash with A Teammate: Peer Effects in High-Stakes Tournaments
By Lingqing Jiang; University of Lausanne
   presented by: Lingqing Jiang, University of Lausanne
 

The Effect of Unemployment on Suicide and Suicide by Employment Status in Japan
By Aya Nushimoto; Osaka University
   presented by: Aya Nushimoto, Osaka University
 

Potential Surplus Gains for Voluntary Community-based Health Insurance Improvement in Rural Lao PDR: A Randomized Conjoint Experiment
By Thiptaiya SYDAVONG; Hiroshima University
Daisaku Goto; Hiroshima University
Keisuke Kawata; Hiroshima University
SHINJI KANEKO; Hiroshima University
Masaru Ichihashi; Hiroshima University
   presented by: Thiptaiya SYDAVONG, Hiroshima University
 

Nonparametric Identification of k-Double Auctions Using Price Data
By Huihui Li; Xiamen University
   presented by: Huihui Li, Xiamen University
 

The impact of shared amenities on condominium resale values in Tokyo
By Kayo Tajima; Rikkyo University
   presented by: Kayo Tajima, Rikkyo University
 

Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations
By Michal Franta; Czech National Bank
   presented by: Michal Franta, Czech National Bank
 

Dynamic Bayesian predictive synthesis in time series forecasting
By Kenichiro McAlinn; Duke University
Mike West; Duke University
   presented by: Kenichiro McAlinn, Duke University
 

Macroeconomic indicators and disaggregated data help to predict credit: A study based on Brazilian data
By Emerson Marçal; CEMAP-EESP-FGV and CSSA-Mackenzie
Pedro Valls Pereira; Sao Paulo School of Economics - FGV
Ronan Cunha; Sao Paulo School of Economics - FGV
   presented by: Pedro Valls Pereira, Sao Paulo School of Economics - FGV
 

Monetary Policy, Private Debt and Financial Stability Risks
By Gregory Bauer; Bank of Canada
Eleonora Granziera; Bank of Finland
   presented by: Gregory Bauer, Bank of Canada
 
Session ID 110: "Inference in regression with a near unit root" by Graham Elliot
June 27, 2017 13:00 to 14:00
Palace Ballroom
 
Session Organizer: ,
Session type: invited
 
Session ID 55: Applied Econometrics III
June 27, 2017 14:15 to 15:35
3E
 
Session Organizer: ,
Session Chair: Neil Davies, University of Bristol
Session type: contributed
 

Labor Market Impact of Labor Cost Increase without Productivity Gain: A Natural Experiment from the 2003 Social Insurance Premium Reform in Japan
By Naomi Kodama; Hitotsubashi University
Izumi Yokoyama; Hitotsubashi UNiversity
   presented by: Naomi Kodama, Hitotsubashi University
 

Estimating Effects of Working Conditions on Labor Surplus: Application to Rural Myanmar
By SHINJI KANEKO; Hiroshima University
Keisuke Kawata; Hiroshima University
Yuichiro Yoshida; Hiroshima University
   presented by: Keisuke Kawata, Hiroshima University
 

City of dreams
By Jorge De la Roca; University of Southern California
Gianmarco Ottaviano; London School of Economics
Diego Puga; CEMFI
   presented by: Jorge De la Roca, University of Southern California
 

The Causal Effects of Education on Health, Mortality, Cognition, Well-being, and Income in the UK Biobank
By Neil Davies; University of Bristol
Matt Dickson; University of Bath
George Davey Smith; University of Bristol
Gerard van den Berg; University of Bristol
Frank Windmeijer; University of Bristol
   presented by: Neil Davies, University of Bristol
 
Session ID 23: Bayesian Econometrics
June 27, 2017 14:15 to 15:35
3D
 
Session Organizer: Frank Schorfheide, University of Pennsylvania
Session Chair: Arpita Chatterjee, University of New South Wales
Session type: contributed
 

Parameter Clustering in a High Dimensional Multinomial Choice Model
By Didier Nibbering; Erasmus University Rotterdam
   presented by: Didier Nibbering, Erasmus University Rotterdam
 

Financial Repression in General Equilibrium
By Alexander Kriwoluzky; Martin-Luther-Universität Halle-Wittenb
Gernot Mueller; University of Tuebingen
Alexander Scheer; University of Bonn
   presented by: Alexander Scheer, University of Bonn
 

Full Information Estimation of Household Income Risk and Consumption Insurance
By Arpita Chatterjee; University of New South Wales
James Morley; University of New South Wales
Aarti Singh; University of Sydney
   presented by: Arpita Chatterjee, University of New South Wales
 
Session ID 38: Business Cycles II
June 27, 2017 14:15 to 15:35
3C
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Gernot Mueller, University of Tuebingen
Session type: contributed
 

A State-Level Analysis of Okun’s Law
By Amy Guisinger; Lafayette College
Ruben Hernandez-Murillo; Federal Reserve Bank of Cleveland
Michael Owyang; Federal Reserve Bank of St Louis
Tara Sinclair; George Washington University
   presented by: Amy Guisinger, Lafayette College
 

Counteracting unemployment in crises: Nonlinear effects of short-time work policy
[slides]
By Brigitte Hochmuth; Friedrich-Alexander University Erlangen-Nuremberg (FAU)
Britta Gehrke; Friedrich-Alexander Universität Erlangen-Nürnberg (FAU)
   presented by: Brigitte Hochmuth, Friedrich-Alexander University Erlangen-Nuremberg (FAU)
 

External imbalances and growth
By Mariam Camarero; Universitat Jaume I
Jesus Peiro-Palomino; University Jaume I
Cecilio Tamarit; University of Valencia
   presented by: Mariam Camarero, Universitat Jaume I
 

Growth expectations, undue optimism, and short-run fluctuations
[slides]
By Gernot Mueller; University of Tuebingen
   presented by: Gernot Mueller, University of Tuebingen
 
Session ID 78: Climate and Energy Econometrics
June 27, 2017 14:15 to 15:35
4B
 
Session Organizer: ,
Session Chair: Martin Wagner, Technical University Dortmund
Session type: contributed
 

Quantile regression model for electricity peak demand forecasting: Approximation by local triangular distribution to avoid blackouts
By Niematallah Elamin; Osaka University
Mototsugu Fukushige; Osaka University
   presented by: Niematallah Elamin, Osaka University
 

Inference Related to Common Breaks in a Multivariate System with Joined Segmented Trends with Applications to Global and Hemispheric Temperatures
By Dukpa Kim; Korea University
Tatsushi Oka; National University of Singapore
Pierre Perron; Boston University
   presented by: Tatsushi Oka, National University of Singapore
 

Probabilistic Forecasting of Daily Extreme Temperature using Bivariate Models of Daily Minimum and Maximum Time Series
By Xiaochun Meng; Oxford University
James Taylor; University of Oxford
   presented by: Xiaochun Meng, Oxford University
 

The Environmental Kuznets Curve for Carbon Dioxide Emissions: A Seemingly Unrelated Cointegrating Polynomial Regression Approach
By Martin Wagner; Technical University Dortmund
Peter Grabarczyk; TU Dortmund
   presented by: Martin Wagner, Technical University Dortmund
 
Session ID 12: Dynamic Structural Models
June 27, 2017 14:15 to 15:35
3F
 
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Mitsukuni Nishida, Johns Hopkins University
Session type: contributed
 

Implementing Faustmann-Marshall-Pressler: Stochastic Dynamic Programming in Space
By Harry Paarsch; University of Central Florida
John Rust; Georgetown University
   presented by: Harry Paarsch, University of Central Florida
 

A Microeconometric Dynamic Structural Model of Copper Mining Decisions
By Victor Aguirregabiria; University of Toronto
Andres Luengo; Universidad Javeriana
   presented by: Andres Luengo, Universidad Javeriana
 

Dynamic Franchising Decisions
By Mitsukuni Nishida; Johns Hopkins University
Nathan Yang; McGill Desautels Faculty of Management
   presented by: Mitsukuni Nishida, Johns Hopkins University
 
Session ID 18: Econometric Theory II
June 27, 2017 14:15 to 15:35
2A
 
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Eric Gautier, Toulouse School of Economics
Session type: contributed
 

The Linear random coefficients model when regressors have limited variation
By Eric Gautier; Toulouse School of Economics
   presented by: Eric Gautier, Toulouse School of Economics
 

Weak Sigma- Convergence: Theory and Applications
By Jianning Kong; Shandong University
Peter Phillips; Yale University
Donggyu Sul; University of Texas at Dallas
   presented by: Jianning Kong, Shandong University
 

MODEL SELECTION AND MODEL AVERAGING FOR NONLINEAR REGRESSION MODELS
By Qingfeng Liu; Otaru University of Commerce
Qingsong Yao; Renmin University of China
Guoqing Zhao; Renmin University of China
   presented by: Qingfeng Liu, Otaru University of Commerce
 

Inference for Clustered Data
By Douglas Steigerwald; University of California, Santa Barbara
   presented by: Douglas Steigerwald, University of California, Santa Barbara
 
Session ID 91: Financial Econometrics I
June 27, 2017 14:15 to 15:35
3A
 
Session Organizer: ,
Session Chair: Peter Exterkate, University of Sydney
Session type: contributed
 

Is Pearson Sample Correlation Coefficient Always Feasible To Test For Correlations ?
By Cindy Shin-Huei Wang; National Tsing Hua University and Catholique Universite de Louvain
   presented by: Cindy Shin-Huei Wang, National Tsing Hua University and Catholique Universite de Louvain
 

Detecting Granger Causality with a Nonparametric Information-based Statistic
By Hao Fang; University of Amsterdam
Cees Diks; University of Amsterdam
   presented by: Hao Fang, University of Amsterdam
 

“Cubic Law of the Stock Returns” in Emerging Markets
[slides]
By Zhiye Gu; Imperial College London
Rustam Ibragimov; Imperial College London
   presented by: Zhiye Gu, Imperial College London
 

A regime-switching stochastic volatility model for forecasting electricity prices
By Oskar Knapik
Peter Exterkate; University of Sydney
   presented by: Peter Exterkate, University of Sydney
 
Session ID 82: Forecasting Methods
June 27, 2017 14:15 to 15:35
3B
 
Session Organizer: ,
Session Chair: Paulo Rodrigues, Bank of Portugal
Session type: contributed
 

Multi-Step Non- and Semi-Parametric Predictive Regressions
By Tingting Cheng; Nankai University
Jiti Gao; Monash University
Oliver Linton; Cambridge University
   presented by: Tingting Cheng, Nankai University
 

Conditional Forecasting Using Nowcasts of Financial Variables
By Edward Knotek II; Federal Reserve Bank of Cleveland
Saeed Zaman; Federal Reserve Bank of Cleveland
   presented by: Edward Knotek II, Federal Reserve Bank of Cleveland
 

Optimal Multi-step VAR Forecasting Averaging
By Jen-Che Liao; Academia Sinica
Wen-Jen Tsay; Academia Sinica
   presented by: Jen-Che Liao, Academia Sinica
 

New CUSUM Based Ratio Tests for Parameter Constancy: With application to variance stability
By Paulo Rodrigues; Economics and Research Department
   presented by: Paulo Rodrigues, Bank of Portugal
 
Session ID 62: Health Economics II
June 27, 2017 14:15 to 15:35
4A
 
Session Organizer: ,
Session Chair: Edward Norton, University of Michigan
Session type: contributed
 

Premium Refunds and Claiming Behaviour in the German Private Health Insurance Market
[slides]
By Daniel Avdic; CINCH and University of Duisburg-Essen
   presented by: Daniel Avdic, CINCH and University of Duisburg-Essen
 

Estimating Effect of Informal Elderly Care on Labor Supply: Exploitation of Government Intervention on the Supply Side of Elderly Care Market
By Yoshinori Nishimura; University of Tokyo
   presented by: Yoshinori Nishimura, University of Tokyo
 

A Bayesian ordered potential outcome analysis: Treatment effects due to a subsidized health insurance
By Andres Ramirez Hassan; Universidad EAFIT
Rosember Guerra; Universidad EAFIT
   presented by: Andres Ramirez Hassan, Universidad EAFIT
 

Moneyball in Medicare
By Edward Norton; University of Michigan
   presented by: Edward Norton, University of Michigan
 
Session ID 70: Labor Economics and Gender
June 27, 2017 14:15 to 15:35
4C
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Matthijs Oosterveen, Erasmus University Rotterdam
Session type: contributed
 

Female Education and Brideprice: Evidence from a Primary Education Reform in Uganda
By Masaru Nagashima; National Graduate Institute for Policy Studies
Chikako Yamauchi; National Graduate Institute for Policy Studies (GRIPS)
   presented by: Masaru Nagashima, National Graduate Institute for Policy Studies
 

The effects of breast cancer on individual labour market outcomes: an evaluation from an administrative panel
[slides]
By Emmanuel Duguet; Université Paris Est, ERUDITE
Thomas BARNAY; Paris-Est University
Christine Le Clainche; CEE
Camille Regaert; IRDES
Mohamed Ali Ben Halima; CEE
   presented by: Emmanuel Duguet, Université Paris Est, ERUDITE
 

Gender Differences in Career
By Kaori Sato; University of Tokyo
   presented by: Kaori Sato, University of Tokyo
 

Wait and See: Gender Gaps throughout Cognitive Tests
By Matthijs Oosterveen; Erasmus University Rotterdam
Pau Balart; Universitat de les Illes Balears
   presented by: Matthijs Oosterveen, Erasmus University Rotterdam
 
Session ID 29: Trade and macroeconomics
June 27, 2017 14:15 to 15:35
4D
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Lola Gadea, University of Zaragoza
Session type: contributed
 

The Evolution of Regional Economic Interlinkages in Europe
By Ana Gómez-Loscos; Banco de España
Lola Gadea; University of Zaragoza
Danilo Leiva Leon; Bank of Chile
   presented by: Ana Gómez-Loscos, Banco de España
 

Determinants of economic development: SEM approach
By Oleg Lugovoy; Environmental Defense Fund
Vladimir Potashnikov; RANEPA
Andrey Zubarev; RANEPA
   presented by: Vladimir Potashnikov, RANEPA
 

Supply Flexibility in the Shale Patch: Evidence from North Dakota
By Hilde Bjørnland; BI Norwegian Business School
Frode Martin Nordvik; BI Norwegian Business School
Maximilian Rohrer; BI Norwegian Business School
   presented by: Hilde Bjørnland, BI Norwegian Business School
 

Services traded for intermediate and final usage: An Analysis of the role of Services FTAs and restrictions
By Deeparghya Mukherjee; Institute of South Asian Studies, National University of Singapore
   presented by: Deeparghya Mukherjee, Institute of South Asian Studies, National University of Singapore
 
Session ID 111: "The Exact Distribution of the t-ratio with Robust and Clustered Standard Errors" by Bruce Hansen
June 27, 2017 16:00 to 17:00
Palace Ballroom
 
Session Organizer: ,
Session type: invited
 
Session ID 6: Auctions - Methods
June 27, 2017 17:15 to 18:15
3D
 
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Yunmi Kong, Rice University
Session type: contributed
 

Sequential Auctions with Synergy and Affiliation Across Auctions
By Yunmi Kong; Rice University
   presented by: Yunmi Kong, Rice University
 

A Quantile Approach for Ascending Auctions under Asymmetry
By Jayeeta Bhattacharya; Queen Mary University of London
Nathalie Gimenes; PUC-Rio
Emmanuel Guerre; Queen Mary, University of London
   presented by: Nathalie Gimenes, PUC-Rio
 
Session ID 74: Breaks in time series
June 27, 2017 17:15 to 18:15
3C
 
Session Organizer: ,
Session Chair: Katsumi Shimotsu, University of Tokyo
Session type: contributed
 

Confidence Sets for the Break Date in Cointegrating Regressions
By Eiji Kurozumi; Hitotsubashi University
Anton Skrobotov; Russian Presidential Academy of National
   presented by: Anton Skrobotov, Russian Presidential Academy of National
 

Robust wavelet-based test for an abrupt mean shift in the presence of unknown smooth trend and long-memory errors
By Heng Chen; Bank of Canada
Mototsugu Shintani; University of Tokyo
Yohei Yamamoto; Hitotsubashi University
   presented by: Heng Chen, Bank of Canada
 

Asymptotic Properties of the Maximum Likelihood Estimator in Regime Switching Econometric Models
By Hiroyuki Kasahara; University of British Columbia
Katsumi Shimotsu; University of Tokyo
   presented by: Katsumi Shimotsu, University of Tokyo
 
Session ID 92: Financial Econometrics II
June 27, 2017 17:15 to 18:15
3A
 
Session Organizer: ,
Session Chair: Julia Schaumburg, VU University Amsterdam
Session type: contributed
 

Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
By Annastiina Silvennoinen; Queensland University of Technology
Timo Terasvirta; Aarhus University
   presented by: Timo Terasvirta, Aarhus University
 

Mean Reversion and Stationarity in Financial Time Series Generated from Diffusion Models
By Jihyun Kim; Toulouse School of Economics
Joon Park; Indiana University
   presented by: Jihyun Kim, Toulouse School of Economics
 

Bank business models at zero interest rates
By Andre Lucas; Vrije Universiteit Amsterdam
Julia Schaumburg; VU University Amsterdam
Bernd Schwaab; European Central Bank
   presented by: Julia Schaumburg, VU University Amsterdam
 
Session ID 68: Household Consumption and Finance
June 27, 2017 17:15 to 18:15
3F
 
Session Organizer: ,
Session Chair: M. Hashem Pesaran, University of Southern California, and Trinity College, Cambridge
Session type: contributed
 

The Impact of Con firmation Bias on Willingness to Pay for Financial Advice
By Julie Agnew; College of William and Mary
Hazel Bateman; UNSW
Christine Eckert; University of Technology, Sydney
Fedor Iskhakov; Australian National University
Jordan Louviere; University of South Australia Business S
Susan Thorp; University of Sydney
   presented by: Susan Thorp, University of Sydney
 

Do households jointly manipulate their debt and filing decisions? Personal bankruptcy with heterogeneous filing behavior
By Shuoxun Zhang; Xiamen University
   presented by: Shuoxun Zhang, Xiamen University
 

Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes
By M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge
Ida Johnsson; University of Southern California
   presented by: M. Hashem Pesaran, University of Southern California, and Trinity College, Cambridge
 
Session ID 79: Macroeconomic Time Series I
June 27, 2017 17:15 to 18:15
3B
 
Session Organizer: ,
Session Chair: Erdem Kilic, MEF University
Session type: contributed
 

PERSISTENCE AND CYCLES IN THE US FEDERAL FUNDS RATE
By LUIS GIL-ALANA; Universidad de Navarra
Guglielmo Maria Caporale; Brunel University London
   presented by: LUIS GIL-ALANA, Universidad de Navarra
 

Investigating the Inefficiency of the CBO's Budgetary Projections
By Natsuki Arai; National Chengchi University
   presented by: Natsuki Arai, National Chengchi University
 

Contagion effects of U.S. Dollar and Chinese Yuan in Forward and Spot Foreign Exchange Markets
By Erdem Kilic; MEF University
   presented by: Erdem Kilic, MEF University
 
Session ID 41: Macroeconomics and Uncertainty II
June 27, 2017 17:15 to 18:15
4A
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Duc (Brian) Tran, University of Melbourne
Session type: contributed
 

Global Spillover Effects of US Uncertainty
By Saroj Bhattarai; University of Texas at Austin
Arpita Chatterjee; University of New South Wales
Woong Yong Park; Seoul National University
   presented by: Woong Yong Park, Seoul National University
 

Uncertainty Shocks and Monetary Policies
By Valentina Colombo; University of Bologna
Alessia Paccagnini; University College Dublin
   presented by: Valentina Colombo, University of Bologna
 

Uncertainty in a disaggregate model: a data rich approach using Google search data
By Duc (Brian) Tran; University of Melbourne
   presented by: Duc (Brian) Tran, University of Melbourne
 
Session ID 104: Macroeconomics and Uncertainty III
June 27, 2017 17:15 to 18:15
4B
 
Session Organizer: ,
Session Chair: Jules Tinang, Toulouse School of Economics
Session type: contributed
 

Measuring macroeconomic uncertainty from surveys -- a mixed frequency approach
By Jeffrey Sheen; Macquarie University
Ben Wang; Macquarie University
   presented by: Ben Wang, Macquarie University
 

Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
By Roberto Casarin; University Ca' Foscari of Venice
Claudia Foroni; European Central Bank
Massimiliano Marcellino; Bocconi University
Francesco Ravazzolo; Free University of Bozen/Bolzano
   presented by: Francesco Ravazzolo, Free University of Bozen/Bolzano
 

Macro Uncertainty and the Term Structure of Risk Premium
By Jules Tinang; Toulouse School of Economics
   presented by: Jules Tinang, Toulouse School of Economics
 
Session ID 25: Open economy macro I
June 27, 2017 17:15 to 18:15
4C
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Feng Zhu, Bank for International Settlements
Session type: contributed
 

Exchange Rate Regime and External Adjustment: An Empirical Investigation for the U.S.
By Alberto Fuertes; Bank of Spain
   presented by: Alberto Fuertes, Bank of Spain
 

Debt intolerance revisited: Where is the borderline between domestic and external finance?
By Hideaki Matsuoka; World Bank
   presented by: Hideaki Matsuoka, World Bank
 

Understanding the changing equilibrium real interest rates in Asia-Pacific
By Feng Zhu; Bank for International Settlements
   presented by: Feng Zhu, Bank for International Settlements
 
Session ID 17: Semiparametrics
June 27, 2017 17:15 to 18:15
3E
 
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Bo Zhou, Tilburg University
Session type: contributed
 

New goodness-of-fit diagnostics for conditional discrete response models
By Igor Kheifets; ITAM
Carlos Velasco; Universidad Carlos III de Madrid
   presented by: Igor Kheifets, ITAM
 

Endogeneity in Semiparametric Threshold Regression∗
By Andros Kourtellos; University of Cyprus
Thanasis Stengos; University of Guelph
Yiguo Sun; UNIVERSITY OF GUELPH
   presented by: Andros Kourtellos, University of Cyprus
 

A New Semiparametric Approach for Nonstandard Econometric Problems
[slides]
By Bo Zhou; Tilburg University
   presented by: Bo Zhou, Tilburg University
 
Session ID 103: Social Networks
June 27, 2017 17:15 to 18:15
2A
 
Session Organizer: ,
Session Chair: Takeshi Aida, National Graduate Institute for Policy Studies (GRIPS)
Session type: contributed
 

Tobit Models with Social Interactions: Complete vs Incomplete Information
By Chao Yang; The School of Economics of SUFE
Lung-fei Lee; Ohio State University
Xi Qu; Shanghai Jiao Tong University
   presented by: Chao Yang, The School of Economics of SUFE
 

Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach
By Ida Johnsson; University of Southern California
Hyungsik Roger Moon; University of Southern California
   presented by: Hyungsik Roger Moon, University of Southern California
 

Spatial vs. Social Network Effects in Risk Sharing
By Takeshi Aida; National Graduate Institute for Policy Studies (GRIPS)
   presented by: Takeshi Aida, National Graduate Institute for Policy Studies (GRIPS)
 
Session ID 87: Volatility
June 27, 2017 17:15 to 18:15
4D
 
Session Organizer: ,
Session Chair: Paolo Santucci de Magistri, Aarhus University and CREATES
Session type: contributed
 

The realized empirical distribution function of volatility
By Kim Christensen; Aarhus University
Martin Thyrsgaard; Aarhus University
Bezirgen Veliyev; Aarhus University
   presented by: Bezirgen Veliyev, Aarhus University
 

Implied volatility smile dynamics in the presence of jumps
[slides]
By Martin Magris; Tampere University of Technology
Perttu Barholm; Tampere University of Technology
Juho Kanniainen; Tampere univeristy of Technology
   presented by: Martin Magris, Tampere University of Technology
 

VIX Options: a Non-Structural Approach
By Paolo Santucci de Magistri; Aarhus University and CREATES
   presented by: Paolo Santucci de Magistri, Aarhus University and CREATES
 
Session ID 73: Applied Econometrics IV
June 28, 2017 9:00 to 10:20
3C
 
Session Organizer: ,
Session Chair: Robin Sickles, Rice University
Session type: contributed
 

Composite Likelihood Estimation of a Dynamic Panel Stochastic Frontier Model
By Hung-pin Lai; Department of Economics
   presented by: Hung-pin Lai, Department of Economics
 

Drilling into Bank Balance Sheets: Examining Portfolio Responses to an Oil Shock
By Rhys Bidder; Federal Reserve Bank of San Francisco
John Krainer; Federal Reserve Bank of San Francisco
Adam Shapiro; Federal Reserve Bank of San Francisco
   presented by: John Krainer, Federal Reserve Bank of San Francisco
 

Cartel Dating
By Peter Boswijk; University of Amsterdam
Maurice Bun; University of Amsterdam
Maarten Pieter Schinkel; University of Amsterdam
   presented by: Peter Boswijk, University of Amsterdam
 

The Spatial Efficiency Multiplier and Random E¤ects in Spatial Stochastic Frontier Models
By Anthony Glass; Loughborough University
Karligash Kenjegalieva; Loughborough University
Robin Sickles; Rice University
Thomas Weyman-Jones; Loughborough University
   presented by: Robin Sickles, Rice University
 
Session ID 19: Bootstrap methods
June 28, 2017 9:00 to 10:20
3F
 
Session Organizer: Frank Kleibergen, University of Amsterdam
Session Chair: Yuya Sasaki, Johns Hopkins University
Session type: contributed
 

Uniform con dence bands in deconvolution with unknown error distribution
By Kengo Kato; University of Tokyo
Yuya Sasaki; Johns Hopkins University
   presented by: Yuya Sasaki, Johns Hopkins University
 

BOOTSTRAPPING NON-CAUSAL AUTOREGRESSIONS: WITH AN APPLICATION TO EXPLOSIVE BUBBLE MODELLING
By Anders Rahbek; University of Copenhagen
Giuseppe Cavaliere; University of Bologna
Heino Bohn Nielsen; University of Copenhagen
   presented by: Anders Rahbek, University of Copenhagen
 

BOOTSTRAP INFERENCE UNDER RANDOM DISTRIBUTIONAL LIMITS
By Giuseppe Cavaliere; University of Bologna
Iliyan Georgiev; University of Bologna
   presented by: Giuseppe Cavaliere, University of Bologna
 

The Subcluster Wild Bootstrap for Few (Treated) Clusters
By James MacKinnon; Queen's University
Matthew Webb; Carleton University
   presented by: Matthew Webb, Carleton University
 
Session ID 66: Econometrics and Risk Preferences
June 28, 2017 9:00 to 10:20
3E
 
Session Organizer: ,
Session Chair: christophe Bontemps, Toulouse School of Economics (INRA)
Session type: contributed
 

Peer Effects and Risk Taking Among Entrepreneurs: Lab-in-the-Field Evidence
By Maria Lopera Baena; LMU (University of Munich)
Steeve Marchand; Université Laval
   presented by: Steeve Marchand, Université Laval
 

Can an economic structural model support hypothetical and experimental evidence? Preference parameters before and after the Great East Japan Earthquake
By Masamune Iwasawa; The University of Tokyo
Hayato Nakanishi; Kyoto University
   presented by: Hayato Nakanishi, Kanagawa University
 

HETEROGENEITY IN RISK AVERSION AND RISK SHARING REGRESSIONS
By Pierfederico Asdrubali; European Commission
Simone Tedeschi; University of Roma Tre
Luigi Ventura; Universita' di Roma
   presented by: Simone Tedeschi, University of Roma Tre
 

Nonparametric Estimation of Risk Preferences: An application to Dairy Farmers
By christophe Bontemps; Toulouse School of Economics (INRA)
Stephane Couture; INRA
   presented by: christophe Bontemps, Toulouse School of Economics (INRA)
 
Session ID 90: Government and Monetary policy
June 28, 2017 9:00 to 10:20
4C
 
Session Organizer: ,
Session Chair: Roberto De Santis, European Central Bank
Session type: contributed
 

One Size Fits All? Monetary Policy and Asymmetric Household Debt Cycles in US States
By Bruno Albuquerque; Ghent University
   presented by: Bruno Albuquerque, Ghent University
 

No-arbitrage determinants of Japanese government bond yield and credit spread curves
By Tatsuyoshi Okimoto; Australian National University
Sumiko Takaoka; Seikei University
   presented by: Sumiko Takaoka, Seikei University
 

Asymmetries in Monetary Policy Uncertainty: New Evidence from Financial Forecasts
By Tatjana Dahlhaus; Bank of Canada
Tatevik Sekhposyan; Texas A&M University
   presented by: Tatjana Dahlhaus, Bank of Canada
 

Relative excess bond premium and economic ativity
By Roberto De Santis; European Central Bank
   presented by: Roberto De Santis, European Central Bank
 
Session ID 80: Growth and Development
June 28, 2017 9:00 to 10:20
4D
 
Session Organizer: ,
Session Chair: Joao Issler, Getulio Vargas Foundation
Session type: contributed
 

The relationship between fiscal deficits and monetary variables: An application of the ARDL bounds testing approach for emerging economies
[slides]
By Ngan Tran; RMIT University
George Tawadros; RMIT University
   presented by: Ngan Tran, RMIT University
 

Are asset price movements driven by international capital flows? The case of emerging markets
By Cho Yiu Ng; City University of Hong Kong
Charles K. Leung; City Univ. of Hong Kong
Siu Fung Matthew Yiu; Hong Kong Monetary Authority
   presented by: Cho Yiu Ng, City University of Hong Kong
 

Measuring Human Capital Using Labor Market Data: An Application to the Study of Cross-Country Economic Growth
By Luiz Brotherhood; Fundacao Getulio Vargas
Joao Issler; Getulio Vargas Foundation
   presented by: Joao Issler, Getulio Vargas Foundation
 
Session ID 102: Large time series panels
June 28, 2017 9:00 to 10:20
3A
 
Session Organizer: ,
Session Chair: Alicia Rambaldi, The University of Queensland
Session type: contributed
 

Detecting Granular Time Series in Large Panels
By Christian Brownlees; Pompeu Fabra University
Geert Mesters; Universitat Pompeu Fabra
   presented by: Geert Mesters, Universitat Pompeu Fabra
 

Stochastic Dominance Based Evaluation of Factor and Shrinkage Type Prediction Models
By Sungkyung Lee; Rutgers University
   presented by: Sungkyung Lee, Rutgers University
 

Weekly Hedonic House Price Indices: An Imputation Approach from a Spatio-Temporal Model
By Robert Hill; University of Graz
Alicia Rambaldi; The University of Queensland
Michael Scholz; University of Graz
   presented by: Alicia Rambaldi, The University of Queensland
 
Session ID 31: Macroeconomics in the long run
June 28, 2017 9:00 to 10:20
4A
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Yoosoon Chang, Indiana University
Session type: contributed
 

Is potential output growth falling?
By Ivan Mendieta-Munoz; University of Utah
   presented by: Ivan Mendieta-Munoz, University of Utah
 

The real effects of household debt in the short and long run
By Marco Lombardi; Bank for International Settlements
Madhusudan Mohanty; Bank for International Settlements
Ilhyock Shim; Bank for International Settlements
   presented by: Marco Lombardi, Bank for International Settlements
 

Identifying and Estimating the Longrun Effect of Income Distribution on Aggregate Consumption
By Yoosoon Chang; Indiana University
Hwagyun Kim; Texas A&M University
Joon Park; Indiana University
   presented by: Yoosoon Chang, Indiana University
 

The Impact of Inequality and Redistribution on Growth
By Makram El-Shagi; Henan University, Kaifeng
Mingliang Shao; Henan University
   presented by: Makram El-Shagi, Henan University, Kaifeng
 
Session ID 44: Monetary policy I
June 28, 2017 9:00 to 10:20
4B
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Gianni Amisano, Federal Reserve Board
Session type: contributed
 

Asymmetric effects of monetary policy in regional housing markets
By Knut Are Aastveit; Norges Bank
André Anundsen; Norges Bank
   presented by: Knut Are Aastveit, Norges Bank
 

The rise and fall of the British monetary policy rule
By Vincenzo De Lipsis; UCL
   presented by: Vincenzo De Lipsis, UCL
 

Optimal Monetary Policy in A New Keynesian Model with Bond and Credit Market Frictions
[slides]
By Xiaoshan Chen; Durham University
Jilei Huang; Shandong University
Campbell Leith
   presented by: Jilei Huang, Shandong University
 

Monetary policy and long-term interest rates
By Gianni Amisano; Federal Reserve Board
Oreste Tristani; ECB
   presented by: Gianni Amisano, Federal Reserve Board
 
Session ID 72: Unemployment and Job Search
June 28, 2017 9:00 to 10:20
3D
 
Session Organizer: ,
Session Chair: Eva Van Belle, Ghent University
Session type: contributed
 

Regulating the Timing of Job Search: Evidence from New College Graduates in Japan
By Hiroko Okudaira; Okayama University
   presented by: Hiroko Okudaira, Okayama University
 

Decision Strategies in Contracting Out Welfare-to-Work Services
By Kenneth Sørensen; Aarhus University
Lars Skipper; University of Aarhus
   presented by: Kenneth Sørensen, Aarhus University
 

Shortening the potential duration of unemployment benefits and labor market outcomes: Evidence from a natural experiment in Germany
By Inna Petrunyk; Leuphana University
Christian Pfeifer; Leuphana University Lueneburg
   presented by: Inna Petrunyk, Leuphana University
 

Why is Unemployment Duration a Sorting Criterion in Hiring?
By Eva Van Belle; Ghent University
Stijn Baert; Ghent University; University of Antwerp; UCLouvain; IZA
   presented by: Eva Van Belle, Ghent University
 
Session ID 83: Time Series Methods
June 28, 2017 9:00 to 10:20
3B
 
Session Organizer: ,
Session Chair: Alain Hecq, Maastricht University
Session type: contributed
 

Structural vector autoregression with time varying transition probabilities: identification via heteroskedasticity
By Wenjuan Chen; Free University of Berlin
Aleksei Netsunajev; Bank of Estonia
   presented by: Wenjuan Chen, Free University of Berlin
 

Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
By Rocio Alvarez; Universidad Central de Chile
Maximo Camacho; Universidad de Murcia
Manuel Ruiz
   presented by: Maximo Camacho, Universidad de Murcia
 

A parametric factor model for the term structure of mortality
By Niels Haldrup; Aarhus University CREATES
Siem Jan Koopman; VU University Amsterdam / FEWEB
   presented by: Niels Haldrup, Aarhus University CREATES
 

Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors
By Alain Hecq; Maastricht University
Joao Issler; Getulio Vargas Foundation
Sean Telg; Maastricht University
   presented by: Alain Hecq, Maastricht University
 
Session ID 48: Treatment Effects Econometrics
June 28, 2017 9:00 to 10:20
2A
 
Session Organizer: ,
Session Chair: Xuan Chen, Renmin University of China
Session type: contributed
 

Average and Quantile Eff ects of Training on Employment and Unemployment Spells: A Bounds Analysis in the Presence of Censoring and Noncompliance
By German Blanco; Illinois State University
Xuan Chen; Renmin University of China
Carlos Flores; California Polytechnic State University
Alfonso Flores-Lagunes; Syracuse University
   presented by: Xuan Chen, Renmin University of China
 

Estimation of average treatment effects using panel data when treatment effects are heterogeneous by unobserved fixed effects
By Shosei Sakaguchi; Kyoto University
   presented by: Shosei Sakaguchi, Kyoto University
 

Specification Tests for the Propensity Score
By Pedro H. C. Sant'Anna; Vanderbilt University
Xiaojun Song; Peking University
   presented by: Pedro H. C. Sant'Anna, Vanderbilt University
 

Revisiting the Synthetic Control Estimator
By Cristine Pinto; São Paulo School of Economics - EESP/FGV
   presented by: Cristine Pinto, São Paulo School of Economics - EESP/FGV
 
Session ID 112: "The Influence Function of Semiparametric Estimators" by Hidehiko Ichimura
June 28, 2017 10:50 to 11:50
Palace Ballroom
 
Session Organizer: ,
Session type: invited
 
Session ID 107: Posters
June 28, 2017 12:00 to 13:00
Foyer
 
Session Organizer: ,
Session type: poster
 

The Effect of Unemployment on Suicide and Suicide by Employment Status in Japan
By Aya Nushimoto; Osaka University
   presented by: Aya Nushimoto, Osaka University
 

Potential Surplus Gains for Voluntary Community-based Health Insurance Improvement in Rural Lao PDR: A Randomized Conjoint Experiment
By Thiptaiya SYDAVONG; Hiroshima University
Daisaku Goto; Hiroshima University
Keisuke Kawata; Hiroshima University
SHINJI KANEKO; Hiroshima University
Masaru Ichihashi; Hiroshima University
   presented by: Thiptaiya SYDAVONG, Hiroshima University
 

Nonparametric Identification of k-Double Auctions Using Price Data
By Huihui Li; Xiamen University
   presented by: Huihui Li, Xiamen University
 

Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations
By Michal Franta; Czech National Bank
   presented by: Michal Franta, Czech National Bank
 

Dynamic Bayesian predictive synthesis in time series forecasting
By Kenichiro McAlinn; Duke University
Mike West; Duke University
   presented by: Kenichiro McAlinn, Duke University
 

Monetary Policy, Private Debt and Financial Stability Risks
By Gregory Bauer; Bank of Canada
Eleonora Granziera; Bank of Finland
   presented by: Gregory Bauer, Bank of Canada
 
Session ID 113: "Mind the Gap: An Early Empirical Analysis of SEC's “Tick Size Pilot Program"" by Peter Hansen
June 28, 2017 13:00 to 14:00
Palace Ballroom
 
Session Organizer: ,
Session type: invited
 
Session ID 95: Applications of High-Dimensional Time Series
June 28, 2017 14:15 to 15:35
3B
 
Session Organizer: ,
Session Chair: Xiaojun Song, Peking University
Session type: contributed
 

Measuring the International Dimension of Output Volatility
By Gerdie Everaert; Ghent University
Martin Iseringhausen; Ghent University
   presented by: Martin Iseringhausen, Ghent University
 

Inflation Targeting as a Shock Absorber
By Marcel Fratzscher; DIW Berlin
Christoph Grosse Steffen; Banque de France
Malte Rieth; DIW Berlin
   presented by: Christoph Grosse Steffen, Banque de France
 

Sufficient and Linear Dimension Reduction Methods in Forecasting
By alessandro barbarino; Federal Reserve Board
   presented by: alessandro barbarino, Federal Reserve Board
 

A better understanding of Granger causality analysis: A big data environment
By Xiaojun Song; Peking University
Abderrahim Taamouti; Durham University Business School
   presented by: Xiaojun Song, Peking University
 
Session ID 36: Central Bank Guidance
June 28, 2017 14:15 to 15:35
4A
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Gregor von Schweinitz, Halle Institute for Economic Research
Session type: contributed
 

Does Anyone Listen when Politicians Talk? The Effect of Political Commentaries on Policy Rate Decisions and Expectations
By Chiara Scotti; Federal Reserve Board
   presented by: Chiara Scotti, Federal Reserve Board
 

The Time Varying Effect of Unconventional Monetary Policy
By Francesca Loria; European University Institute
Carlos Montes-Galdon; European Central Bank
shengliang ou
Donghai Zhang; UPF
   presented by: Francesca Loria, European University Institute
 

Why they keep missing: An empirical investigation of rational inattention of rating agencies
By Gregor von Schweinitz; Halle Institute for Economic Research
Makram El-Shagi; Henan University, Kaifeng
   presented by: Gregor von Schweinitz, Halle Institute for Economic Research
 

Central Bank Information Shocks
By Marek Jarocinski; European Central Bank
Peter Karadi; European Central Bank
   presented by: Marek Jarocinski, European Central Bank
 
Session ID 88: Econometrics of Risk
June 28, 2017 14:15 to 15:35
3E
 
Session Organizer: ,
Session Chair: Susana Martins, University of Minho
Session type: contributed
 

Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion
By Alain Monfort; CREST and Banque de France
Fulvio Pegoraro; Banque de France
Jean-Paul RENNE; University of Lausanne
Guillaume Roussellet; NYU Stern School of Business
   presented by: Jean-Paul RENNE, University of Lausanne
 

Time-varying Crash Risk: The Role of Stock Market Liquidity
By Peter Christoffersen; Rotman School of Management, University
Bruno Feunou; Bank of Canada
Yoontae Jeon; University of Toronto
Chayawat Ornthanalai; University of Toronto
   presented by: Yoontae Jeon, University of Toronto
 

The Share of Systematic Risk in Foreign Exchange and Stock Markets
By MING ZENG; Singapore Management University
   presented by: Ming Zeng, Singapore Management University
 

Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach
By Susana Martins; University of Minho
Cristina Amado; University of Minho
   presented by: Susana Martins, University of Minho
 
Session ID 39: Financial Cycles and House Prices
June 28, 2017 14:15 to 15:35
4B
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: André Casalis, University of York
Session type: contributed
 

What does the house price-to-income ratio tell us about the housing market affordability: A theory and international evidence
By Charles K. Leung; City Univ. of Hong Kong
Chi Ho Tang; Hong Kong Shue Yan University
   presented by: Chi Ho Tang, Hong Kong Shue Yan University
 

US Monetary Policy and the G7 House Business Cycle: FIML Markov Switching Approach
[slides]
By Jae-Ho Yoon
   presented by: Jae-Ho Yoon, POSCO Research Institute
 

Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of trend inflation
By Geraldine Dany; Halle Institute for Economic Research
Oliver Holtemöller; Martin-Luther-University Halle-Wittenberg and Halle Institute for Economic Research (IWH)
   presented by: Geraldine Dany, Halle Institute for Economic Research
 

Non-linear effects of the financial cycle on fiscal multipliers
By André Casalis; University of York
   presented by: André Casalis, University of York
 
Session ID 43: Fiscal policy transmission II
June 28, 2017 14:15 to 15:35
4C
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Etsuro Shioji, Hitotsubashi University
Session type: contributed
 

Government borrowing cost and budget deficits: is investment spending different?
By Jemima Peppel-Srebrny; University of Oxford
   presented by: Jemima Peppel-Srebrny, University of Oxford
 

Should the ECB coordinate EMU …fiscal policies?
By Tatiana Kirsanova; University of Glasgow
Celsa Machado; ISCAP
Ana Paula Ribeiro; CEF.UP, Faculdade de Economia do Porto
   presented by: Tatiana Kirsanova, University of Glasgow
 

Understanding the Transmission of Tax Policy to Employment
By Domenico Ferraro; Arizona State University
Giuseppe Fiori; North Carolina State University
   presented by: Giuseppe Fiori, North Carolina State University
 

Extracting fiscal policy expectations from a cross section of daily stock returns
[slides]
By Etsuro Shioji; Hitotsubashi University
   presented by: Etsuro Shioji, Hitotsubashi University
 
Session ID 60: Labor Force Participation
June 28, 2017 14:15 to 15:35
4D
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Yukiko Abe, Hokkaido University
Session type: contributed
 

Intimate Partner Violence and Women’s Employment: Evidence from Colombia
By Johanna Fajardo; University of Minnesota
   presented by: Johanna Fajardo, University of Minnesota
 

The effect of universal pre-kindergarten on female labor force participation - A synthetic control approach
[slides]
By Hao Li; Southern Methodist University
   presented by: Hao Li, Southern Methodist University
 

Work Incentives in Europe: the Effect of Participation Tax Rates on Labor Supply
By Cortnie Shupe; German Institute for Economic Research
Charlotte Bartels; German Institute for Economic Research
   presented by: Cortnie Shupe, German Institute for Economic Research
 

On the convergence in female participation rates
By Yukiko Abe; Hokkaido University
   presented by: Yukiko Abe, Hokkaido University
 
Session ID 106: Macroeconomic Time Series II
June 28, 2017 14:15 to 15:35
3A
 
Session Organizer: ,
Session Chair: Jungyoon Lee, Royal Holloway, University of London
Session type: contributed
 

Does structural breaks matter to the relationship between energy consumption and economic growth? Evidence from Asia
By Song- Zan Chiou-Wei; National Kaohsiung University of Applied Sciences, Kaohsiung, Taiwan
Sheng-Hung Chen; Nanhua University, Chiayi, Taiwan
   presented by: Sheng-Hung Chen, Nanhua University, Chiayi, Taiwan
 

Detecting a break in the persistence: Application to inflation persistence in European countries
By Stepana Lazarova; Queen Mary University of London
   presented by: Stepana Lazarova, Queen Mary University of London
 

Testing for correct specification of spatial autoregressive models
By Jungyoon Lee; Royal Holloway, University of London
Peter Phillips; Yale University
Francesca Rossi; University of Southampton
   presented by: Jungyoon Lee, Royal Holloway, University of London
 
Session ID 100: Mobility and Transport
June 28, 2017 14:15 to 15:35
2A
 
Session Organizer: ,
Session Chair: Shin Kimura, University of Hyogo
Session type: contributed
 

Counterfactual mobility: The relevance of unchosen paths and personality for the analysis of spatial choices
[slides]
By Reinhard Weisser; Leibniz Universität Hannover
   presented by: Reinhard Weisser, Leibniz Universität Hannover
 

Measuring the Value of Time in Freight Transportation
By YOKO KONISHI; Research Institute of Economiy, Trade and Industry
Se-il Mun; Kyoto University
Yoshihiko Nishiyama; Kyoto University
Ji-Eun Sung; Kyoto University
   presented by: YOKO KONISHI, Research Institute of Economiy, Trade and Industry
 

Identification of A+B Procurement Contracting with an Application to California Highway Projects
By Naibao Zhao; Texas A&M University
   presented by: Naibao Zhao, Texas A&M University
 

Does Inter-municipal Cooperation Lead to Municipal Amalgamation? Evidence from Japanese Municipal Referenda
By Shin Kimura; University of Hyogo
Yoichi Hizen; Kochi University of Technology
   presented by: Shin Kimura, University of Hyogo
 
Session ID 2: Modelling Heterogeneity in Panel Data
June 28, 2017 14:15 to 15:35
3F
 
Session Organizer: Christian Hansen, University of Chicago
Session Chair: Elena Manresa, Massachusetts Institute of Technologhy S
Session type: contributed
 

Discretizing Unobserved Heterogeneity
By Stephane Bonhomme; University of Chicago
Thibaut Lamadon; University of Chicago
Elena Manresa; Massachusetts Institute of Technologhy S
   presented by: Elena Manresa, Massachusetts Institute of Technologhy S
 

Heterogenous structural breaks in panel data models
By Ryo Okui; NYU Shanghai
Wendun Wang; Erasmus University Rotterdam
   presented by: Wendun Wang, Erasmus University Rotterdam
 

Policy Evaluation with Interactive Fixed Effects
By Marc K. Chan; University of Technology Sydney
Sai Man Simon Kwok; The University of Sydney
   presented by: Sai Man Simon Kwok, The University of Sydney
 

Heterogenous Production Functions, Panel Data, and Productivity Dispersion
[slides]
By Jeremy Fox; Rice University
Vitor Hadad; Boston College
Stefan Hoderlein; Boston College
Amil Petrin; University of Minnesota
Robert Sherman; California Institute of Technology
   presented by: Jeremy Fox, Rice University
 
Session ID 35: Monetary Policy II
June 28, 2017 14:15 to 15:35
3C
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Ryuzo Miyao, University of Tokyo
Session type: contributed
 

Same, but different: testing monetary policy shock measures
By Stephanie Ettmeier; Martin-Luther University Halle-Wittenberg
Alexander Kriwoluzky; Martin-Luther-Universität Halle-Wittenb
   presented by: Stephanie Ettmeier, Martin-Luther University Halle-Wittenberg
 

Household Debt Overhang and the Transmission of Monetary Policy
By Sami Alpanda; University of Central Florida
Sarah Zubairy; Texas A&M University
   presented by: Sarah Zubairy, Texas A&M University
 

The Macroeconomic E ffects of Monetary Policy in a Small-Open Economy: Narrative Evidence from Canada
By Julien Champagne; Bank of Canada
Rodrigo Sekkel; Bank of Canada
   presented by: Rodrigo Sekkel, Bank of Canada
 

The Macroeconomic Effects of Japan’s Unconventional Monetary Policies
By Ryuzo Miyao; University of Tokyo
Tatsuyoshi Okimoto; Australian National University
   presented by: Ryuzo Miyao, University of Tokyo
 
Session ID 49: Partial Identification
June 28, 2017 14:15 to 15:35
3D
 
Session Organizer: Francesca Molinari, Cornell
Session Chair: Matthew Masten, Duke University
Session type: contributed
 

Confidence Intervals for Projections of Partially Identified Parameters
By Hiroaki Kaido; Boston University
Francesca Molinari; Cornell
Joerg Stoye; Cornell University
   presented by: Hiroaki Kaido, Boston University
 

Inference on Breakdown Frontiers
By Matthew Masten; Duke University
Alexandre Poirier; University of Iowa
   presented by: Matthew Masten, Duke University
 

Inference in Partially Identified Heteroskedastic Simultaneous Equations Models
By Helmut Lutkepohl; DIW Berlin
George Milunovich; Macquarie University
Minxian Yang; UNSW Australia (The University of New So
   presented by: George Milunovich, Macquarie University
 

Treatment Effects With Unobserved Heterogeneity: A Set Identification Approach using an Instrumental Variable
By Domenico Depalo; Banca d'Italia
   presented by: Domenico Depalo, Banca d'Italia
 
Session ID 114: "Recent Developments in Finite Population and Clustered Standard Errors" by Jeffrey Wooldridge
June 28, 2017 16:00 to 17:00
Palace Ballroom
 
Session Organizer: ,
Session type: invited
 
Session ID 8: Demand and Pricing
June 28, 2017 17:15 to 18:15
3C
 
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Alon Eizenberg, Hebrew University Jerusalem
Session type: contributed
 

Retail Prices in a City
By Alon Eizenberg; Hebrew University Jerusalem
Saul Lach; Hebrew U Jerusalem
Merav Yiftach; Israel Central Bureau of Statistics
   presented by: Alon Eizenberg, Hebrew University Jerusalem
 

Multiproduct Search and Retail Pricing: Some Empirical Results
By Hyunchul Kim; Sungkyunkwan University
   presented by: Hyunchul Kim, Sungkyunkwan University
 

Multi-Dimensional Pass-Through, Incidence, and the Welfare Burden of Taxation in Oligopoly
By Takanori Adachi; Nagoya University
Michal Fabinger; University of Tokyo
   presented by: Michal Fabinger, University of Tokyo
 
Session ID 30: Macroeconomics and uncertainty I
June 28, 2017 17:15 to 18:15
4A
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Gene Ambrocio, Bank of Finland
Session type: contributed
 

Heterogeneous preferences and risk sharing at households level in China
By Jennifer T. Lai; Guangdong University of Foreign Studies
Isabel Kit Ming YAN; City University of Hong Kong
   presented by: Jennifer T. Lai, Guangdong University of Foreign Studies
 

News and Uncertainty Shocks
By Danilo Cascaldi-Garcia; University of Warwick
Ana Beatriz Galvao; University of Warwick
   presented by: Danilo Cascaldi-Garcia, University of Warwick
 

The impact of overconfidence and fundamental uncertainty shocks
By Gene Ambrocio; Bank of Finland
   presented by: Gene Ambrocio, Bank of Finland
 
Session ID 45: Open economy macro III
June 28, 2017 17:15 to 18:15
4C
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Jakub Mućk, Narodowy Bank Polski & Warsaw School of Economics
Session type: contributed
 

Cross-border effects of macroprudential policy - Evidence from the euro area
By Fabio Franch; European Central Bank
Luca Nocciola; independent
Dawid Zochowski; European Central Bank
   presented by: Dawid Zochowski, European Central Bank
 

Fundamental Moments of Aggregate Fluctuations: International Evidence
By Jean Imbs; Paris School of Economics
Laurent Pauwels; University of Sydney
   presented by: Laurent Pauwels, University of Sydney
 

Elasticity of substitution between labor and capital: robust evidence from developed economies
By Jakub Mućk; Narodowy Bank Polski & Warsaw School of Economics
   presented by: Jakub Mućk, Narodowy Bank Polski & Warsaw School of Economics
 
Session ID 40: Open economy macro II
June 28, 2017 17:15 to 18:15
4B
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Raju Huidrom, World Bank
Session type: contributed
 

Exit expectations and debt crises in currency unions
By Martin Wolf; University of Bonn
Gernot Mueller; University of Tuebingen
Alexander Kriwoluzky; Martin-Luther-Universität Halle-Wittenb
   presented by: Alexander Kriwoluzky, Martin-Luther-Universität Halle-Wittenb
 

Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks
By Georgios Georgiadis; European Central Bank
Martina Jancokova; Goethe University Frankfurt
   presented by: Georgios Georgiadis, European Central Bank
 

How Important are Spillovers from Major Emerging Markets?
By Raju Huidrom; World Bank
Ayhan Kose; World Bank
Franziska Ohnsorge; World Bank
   presented by: Raju Huidrom, World Bank
 
Session ID 64: Discrete Choice Models
June 28, 2017 17:15 to 18:15
3E
 
Session Organizer: ,
Session Chair: David Brownstone, University of California, Irvine
Session type: contributed
 

The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification
[slides]
By Chuhui Li; Monash University
Donald Poskitt; Monash University
Xueyan Zhao; Monash University
   presented by: Xueyan Zhao, Monash University
 

Best Subset Binary Prediction
By Le-Yu Chen; Academia Sinica
Sokbae Lee; Columbia University
   presented by: Le-Yu Chen, Academia Sinica
 

Aggregation Biases in Discrete Choice Models
[slides]
By David Brownstone; University of California, Irvine
Timothy Wong; National University of Singapore
David Bunch; University of California, Davis
   presented by: David Brownstone, University of California, Irvine
 
Session ID 69: Household Consumption and Finance II
June 28, 2017 17:15 to 18:15
3A
 
Session Organizer: ,
Session Chair: Eduard Suari-Andreu, University of Groningen
Session type: contributed
 

How do we pay under evolving retail payment technology? Evidence from Japan
[slides]
By Hiroshi Fujiki; Chuo University
Migiwa Tanaka; Charles River Associates
   presented by: Hiroshi Fujiki, Chuo University
 

Building types and materials as determinants of changes in residential electricity consumption in tropical-humid developing country: Case of Indonesia
By Chui Ying Lee; Hiroshima University
   presented by: Chui Ying Lee, Hiroshima University
 

Giving With a Warm Hand: Evidence on Estate Planning and Bequests
By Eduard Suari-Andreu; University of Groningen
   presented by: Eduard Suari-Andreu, University of Groningen
 
Session ID 89: Portfolio selection
June 28, 2017 17:15 to 18:15
3B
 
Session Organizer: ,
Session Chair: Marcelo Fernandes, Queen Mary University of London and FGV
Session type: contributed
 

Market Beta and the Investment Horizon
By Andrei Semenov; York University
   presented by: Andrei Semenov, York University
 

Corporate Bond Portfolios and Macroeconomic Conditions
By Rossen Valkanov; University of California, San Diego
   presented by: Rossen Valkanov, University of California, San Diego
 

Conditional alphas and realized betas
By Valentina Corradi; University of Surrey
Walter Distaso; Imperial College London
Marcelo Fernandes; Queen Mary University of London and FGV
Asger Lunde; Aarhus University
   presented by: Marcelo Fernandes, Queen Mary University of London and FGV
 
Session ID 97: Multivariate Models
June 28, 2017 17:15 to 18:15
2A
 
Session Organizer: ,
Session Chair: Michael Owyang, Federal Reserve Bank of St Louis
Session type: contributed
 

The Losses From Systemic Banking Crises: An Update to Include the Great Recession
By Rob Luginbuhl; CPB Netherlands Bureau for Economic Policy Analysis
   presented by: Rob Luginbuhl, CPB Netherlands Bureau for Economic Policy Analysis
 

Contagion, Systemic Risk and Diagnostic Tests in Large Mixed Panels
By Hao-Hsiang Yang; National Tsing Hua University
   presented by: Hao-Hsiang Yang, National Tsing Hua University
 

Regional Beveridge Curves
By Michael Owyang; Federal Reserve Bank of St Louis
Hannah Shell; Federal Reserve Bank of St. Louis
   presented by: Michael Owyang, Federal Reserve Bank of St Louis
 
Session ID 1: Dynamic Panel Data Models
June 28, 2017 17:15 to 18:15
3F
 
Session Organizer: Christian Hansen, University of Chicago
Session Chair: Alexander Chudik, Federal Reserve Bank of Dallas
Session type: contributed
 

Composite Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors
By Ba Chu; Carleton University
   presented by: Ba Chu, Carleton University
 

Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes
By Yoonjin Lee; Kansas state University
   presented by: Yoonjin Lee, Kansas State University
 

A Bias-Corrected Method of Moments Approach to Estimation of Short-T Autoregressive Panels
By Alexander Chudik; Federal Reserve Bank of Dallas
M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge
   presented by: Alexander Chudik, Federal Reserve Bank of Dallas
 
Session ID 105: Inflation and Exchange Rates
June 28, 2017 17:15 to 18:15
4D
 
Session Organizer: ,
Session Chair: Michael Pedersen, Central Bank of Chile
Session type: contributed
 

Do Exchange Rate Regimes Matter for Inflation Persistence?
By Jo-Wei Wu; Chung-Hua Institution for Economic Research
Jyh-Lin Wu; National Sun Yat-sen University
   presented by: Jyh-Lin Wu, National Sun Yat-sen University
 

Federal Reserve Information When Long-term Inflation Expectations Are Well-anchored
By Hibiki Ichiue; International Monetary Fund
Yoshiyuki Nakazono; Yokohama City University
   presented by: Yoshiyuki Nakazono, Yokohama City University
 

Central Bank Preferences and the Changing Nature of the Real Exchange Rate
By Michael Pedersen; Central Bank of Chile
Rodrigo Caputo; Banco Central de Chile
   presented by: Michael Pedersen, Central Bank of Chile
 
Session ID 7: Auctions and Information
June 28, 2017 17:15 to 18:15
3D
 
Session Organizer: Jakub Kastl, Princeton University
Session Chair: Seung-Hyun Hong, University of Illinois, Urbana-Champaign
Session type: contributed
 

Principal-Agent Problems in Search and Bargaining: Evidence from Dual Agency in Residential Real Estate Transactions
By Seung Hyun Hong; University of Illinois, Urbana-Champaign
   presented by: Seung-Hyun Hong, University of Illinois, Urbana-Champaign
 

An Evaluation of a Bidder Training Program
By Dakshina De Silva; Lancaster University
Tim Hubbard; Colby College
Georgia Kosmopoulou; University of Oklahoma
   presented by: Tim Hubbard, Colby College
 

Using Experiments to Inform Structural Estimation: Robust Inference in First-Price Auctions
By Serafin Grundl; Federal Reserve Board
Yu Zhu; Bank of Canada
   presented by: Yu Zhu, Bank of Canada
 
Session ID 51: Control Function and Instrumental Variable Methods
June 29, 2017 9:00 to 10:20
3C
 
Session Organizer: ,
Session Chair: Haiqing Xu, University of Texas
Session type: contributed
 

Instrumental Variable Quantile Regression with Misclassification
By Takuya Ura; University of California, Davis
   presented by: Takuya Ura, University of California, Davis
 

Non-separable Sample Selection Models with Censored Selection Rules
By Aico van Vuuren; University of Gothenburg
   presented by: Aico van Vuuren, University of Gothenburg
 

Estimation of Semiparametric Models with Mismeasured Endogenous Regressors Using Control Variables
By Kyoo il Kim; Michigan State University
Suyong Song; University of Iowa
   presented by: Suyong Song, University of Iowa
 

Nonparametric estimation of individual treatment effects with endogenous treatments
By Qian Feng; UT Austin
Quang Vuong; New York University
Haiqing Xu; University of Texas
   presented by: Haiqing Xu, University of Texas
 
Session ID 96: Dynamic Panel Data
June 29, 2017 9:00 to 10:20
3A
 
Session Organizer: ,
Session Chair: Milda Norkute, Lund University
Session type: contributed
 

Quasi ML estimation of the panel AR(1) model with additional regressors
By Hugo Kruiniger; University of Durham
   presented by: Hugo Kruiniger, University of Durham
 

Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
By Matthew Harding; University of California, Irvine
Carlos Lamarche; University of Kentucky
M. Hashem Pesaran; University of Southern California, and Trinity College, Cambridge
   presented by: Matthew Harding, University of California, Irvine
 

Bias-adjusted CCE estimators in heterogeneous dynamic panels
By Ignace De Vos; Ghent University
   presented by: Ignace De Vos, Ghent University
 

The Factor Analytical Approach in Near Unit Root Panels
By Milda Norkute; Lund University
Joakim Westerlund; Lund University
   presented by: Milda Norkute, Lund University
 
Session ID 65: Econometric Methodology
June 29, 2017 9:00 to 10:20
3D
 
Session Organizer: ,
Session Chair: Morten Nielsen, Queen's University
Session type: contributed
 

Modeling Time-Varying Uncertainty of Multiple- Horizon Forecast Errors
By Todd Clark; Federal Reserve Bank of Cleveland
Michael McCracken; Federal Reserve Bank of St. Louis
Elmar Mertens; Bank of International Settlements
   presented by: Michael McCracken, Federal Reserve Bank of St. Louis
 

The cointegrated vector autoregressive model with general deterministic terms
By Søren Johansen; University of Copenhagen and CREATES
Morten Nielsen; Queen's University
   presented by: Morten Nielsen, Queen's University
 

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
By Takashi Yamagata; University of York
   presented by: Takashi Yamagata, University of York
 

Testing the Number of Regimes in Markov Regime Switching Models
By Hiroyuki Kasahara; University of British Columbia
Katsumi Shimotsu; University of Tokyo
   presented by: Hiroyuki Kasahara, University of British Columbia
 
Session ID 50: Econometrics and Game Theoretic Models
June 29, 2017 9:00 to 10:20
3F
 
Session Organizer: Francesca Molinari, Cornell
Session Chair: Brendan Kline, University of Texas
Session type: contributed
 

Inference in Repeated Games with Random States
By Arkadiusz Szydlowski; University of Leicester
   presented by: Arkadiusz Szydlowski, University of Leicester
 

Structural estimation of dynamic directional games with multiple equilibria
By Fedor Iskhakov; Australian National University
Dennis Kristensen; University College London
John Rust; Georgetown University
Bertel Schjerning; University of Copenhagen
   presented by: Fedor Iskhakov, Australian National University
 

Multiple Treatments with Strategic Interaction
By Sukjin Han; University of Texas Austin
   presented by: Sukjin Han, University of Texas Austin
 

Robust Identification in Mechanisms
By Brendan Kline; University of Texas
   presented by: Brendan Kline, University of Texas
 
Session ID 63: Employment
June 29, 2017 9:00 to 10:20
4B
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Murat Tasci, Federal Reserve Bank of Cleveland
Session type: contributed
 

Measuring convex adjustment costs of labor employment by intensive computing
[slides]
By Hirokatsu Asano; Asia University
Takahiro Ito; Kobe University
Daiji Kawaguchi; University of Tokyo
   presented by: Hirokatsu Asano, Asia University
 

Duration Dependence and Labor Market Experience
By Arne F. Lyshol; BI Norwegian Business School
Plamen Nenov; BI Norwegian Business School
Thea Wevelstad; Ocean Yield
   presented by: Arne F. Lyshol, BI Norwegian Business School
 

Employment Guarantee Schemes and Wages in India
By Girish Bahal; NCAER, New Delhi and University of Cambridge
   presented by: Girish Bahal, NCAER, New Delhi and University of Cambridge
 

Lessons for Forecasting Unemployment in the U.S.: Use Flow Rates, Mind the Trend
By Brent Meyer; Federal Reserve Bank of Atlanta
Murat Tasci; Federal Reserve Bank of Cleveland
   presented by: Murat Tasci, Federal Reserve Bank of Cleveland
 
Session ID 86: High-dimensional Econometrics in Finance
June 29, 2017 9:00 to 10:20
3B
 
Session Organizer: ,
Session Chair: Heather Anderson, Monash University
Session type: contributed
 

A Large t-Vector AutoRegressive model for Volatility Spillover Analysis
By Luca Barbaglia; KU Leuven
Christophe Croux; KU Leuven
Ines Wilms; KU Leuven
   presented by: Luca Barbaglia, KU Leuven
 

Adaptive Large-Scale Portfolio Allocation Under Transaction Costs: Mixing High-Frequency and Low-Frequency Data
By Nikolaus Hautsch; University of Vienna
Stefan Voigt; WU Vienna
   presented by: Stefan Voigt, WU Vienna
 

Global financial spillovers: A nonlinear assessment of the uncertainty channel
By Marc Joëts; Banque de France and University of Paris
   presented by: Marc Joëts, Banque de France and University of Paris
 

High-dimensional predictive regression in the presence of cointegration
By Bonsoo Koo; Monash University
Heather Anderson; Monash University
myung seo; SEOUL NATIONAL UNIVERSITY
Wenying Yao; Deakin University
   presented by: Heather Anderson, Monash University
 
Session ID 67: Applied Econometrics V
June 29, 2017 9:00 to 10:20
4D
 
Session Organizer: ,
Session Chair: Richard Dunn, University of Connecticut
Session type: contributed
 

The Impact of Social Health Insurance on Consumption: Evidence from Askeskin programme in Indonesia
By Kalyan Kolukuluri; Indian Institute of Management Bangalore
   presented by: Kalyan Kolukuluri, Indian Institute of Management Bangalore
 

How dangerous are drinking drivers now? Replicating and updating Levitt and Porter
By Richard Dunn; University of Connecticut
Nathan Tefft; Bates College
   presented by: Richard Dunn, University of Connecticut
 

A Regression Discontinuity Approach to Assess the Effectiveness of Tax Incentives Programs to Support Business R&D: the Mexican Experience
[slides]
By angel calderon; El Colegio de Mexico
   presented by: Angel Calderon, El Colegio de Mexico
 
Session ID 71: Labor Economics II
June 29, 2017 9:00 to 10:20
4C
 
Session Organizer: Peter Arcidiacono, Duke University
Session Chair: Hsiu-Fen Hsu, National Taipei University
Session type: contributed
 

Heterogeneous impact of the minimum wage: wage differentials and inequality
By Tatsushi Oka; National University of Singapore
Ken Yamada; Kyoto University
   presented by: Ken Yamada, Kyoto University
 

Does Color Matter? Estimating Differences in Promotions and Returns to Promotions between White and Visible Minority Canadian-Borns
By Mohsen Javdani; University of British Columbia Okanagan
   presented by: Mohsen Javdani, University of British Columbia Okanagan
 

Intergenerational Persistence in Latent Socioeconomic Status: Evidence from Taiwan
By Hsiu-Fen Hsu; National Taipei University
   presented by: Hsiu-Fen Hsu, National Taipei University
 
Session ID 42: Macroeconometric Theory II
June 29, 2017 9:00 to 10:20
4A
 
Session Organizer: Fabio Canova, Norwegian Business School
Session Chair: Vegard Larsen, Norges Bank
Session type: contributed
 

Identification and Persistence-Robust Exact Inference in DSGE Models
By Lynda Khalaf; Carleton University
Zhenjiang Lin; School of Economics, University of Nottingham Ningbo China
Abeer Reza; Bank of Canada
   presented by: Zhenjiang Lin, School of Economics, University of Nottingham Ningbo China
 

Identifying SVARs with Sign Restrictions and Heteroskedasticity
By Srecko Zimic; European Central Bank
   presented by: Srecko Zimic, European Central Bank
 

The Impact of Dynamic Covariance on Impulse Response Functions: Applications to Structural VARs and DSGE Models
By Christos Ioannidis; Aston University
   presented by: Christos Ioannidis, Aston University
 

The Components of Uncertainty
By Vegard Larsen; Norges Bank
   presented by: Vegard Larsen, Norges Bank
 
Session ID 84: Time Series Econometrics
June 29, 2017 9:00 to 10:20
3E
 
Session Organizer: ,
Session Chair: Yi-Ting Chen, Academia Sinica
Session type: contributed
 

Choosing Between Robust Inference and Feasible GLS in Time Series Regressions with Possible Breakdown of Strict and Weak Exogeneity.
By Richard Baillie; Michigan State University
   presented by: Richard Baillie, Michigan State University
 

Unbiased estimation of autoregressive models for bounded stochastic processes
By Josep Carrion-i-Silvestre; University of Barcelona
Lola Gadea; University of Zaragoza
antonio montanes; University of Zaragoza
   presented by: antonio montanes, University of Zaragoza
 

Normality tests for latent variables
By Dante Amengual; CEMFI
   presented by: Dante Amengual, CEMFI
 

A Mixed-Frequency Smooth Measurement for the Evolution of Business Conditions
By Yi-Ting Chen; Academia Sinica
   presented by: Yi-Ting Chen, Academia Sinica
 
Session ID 115: "Inference under Covariate-Adaptive Randomization” by Azeem Shaikh
June 29, 2017 10:50 to 11:50
Palace Ballroom
 
Session Organizer: ,
Session type: invited
 

108 sessions, 372 papers, and 0 presentations with no associated papers
 
Index of Participants

Legend: C=chair, P=Presenter, D=Discussant
#ParticipantRoles in Conference
1Aastveit, Knut AreP44
2Abe, YukikoP60, C60
3Aida, TakeshiP103, C103
4Ajello, AndreaP22
5Albuquerque, BrunoP90
6Ambrocio, GeneP30, C30
7Amengual, DanteP84
8Amisano, GianniP44, C44
9Anderson, HeatherP86, C86
10Ando, TomohiroP94
11Arai, NatsukiP79
12Ardizzi, GuerinoP76
13Asano, HirokatsuP63
14Avdic, DanielP62
15Ayllón, SaraP52
16Badev, AntonP101, C101
17Bahal, GirishP63
18Baillie, RichardP84
19Balatti, MircoP21
20Barbaglia, LucaP86
21barbarino, alessandroP95
22Barnichon, RegisP26
23Bauer, GregoryP24, P107
24Bjørnland, HildeP29
25Bognanni, MarkP21
26Bontemps, christopheP66, C66
27Borah, MelanieP52
28Bordon, PaolaP57
29Boswijk, PeterP73
30Boucher, VincentP59
31Brinca, PedroP27
32Brownstone, DavidP64, C64
33Brunetti, CelsoP53
34Buccheri, GiuseppeP5
35Cakir Melek, NidaP47
36Calderon, AngelP67
37Camacho, MaximoP83
38Camarero, MariamP38
39Canova, FabioP26
40Casalis, AndréP39, C39
41Cascaldi-Garcia, DaniloP30
42Cavaliere, GiuseppeP19
43Cech, FrantisekP4
44Chang, Seong YeonP4
45Chang, YoosoonP31, C31
46Charles-Cadogan, G.P52
47Chatterjee, ArpitaP23, C23
48Chen, HengP74
49Chen, Le-YuP64
50Chen, Sheng-HungP106
51Chen, Yi-TingP84, C84
52Chen, WenjuanP83
53Chen, XuanP48, C48
54Chen, StaceyP52, C52
55Chen, ZheP11
56Cheng, TingtingP82
57Chernoff, AlexP11, C11
58Chiang, HaroldP16
59Chow, Hwee KwanP75
60Chu, BaP1
61Chudik, AlexanderP1, C1
62Ciccarelli, MatteoP32
63Colombo, ValentinaP41
64Dahlhaus, TatjanaP90
65Dany, GeraldineP39
66Davies, NeilP55, C55
67De la Roca, JorgeP55
68De Lipsis, VincenzoP44
69De Santis, RobertoP90, C90
70De Vos, IgnaceP96
71Depalo, DomenicoP49
72Duguet, EmmanuelP70
73Dunn, RichardP67, C67
74Eizenberg, AlonP8, C8
75El-Shagi, MakramP31
76Elamin, NiematallahP78
77Eo, YunjongP81, C81
78Ettmeier, StephanieP35
79Exterkate, PeterP91, C91
80Fabinger, MichalP8
81Fajardo, JohannaP60
82Fan, QingliangP14
83Fang, HaoP91
84Fernandes, MarceloP89, C89
85Fiori, GiuseppeP43
86Fox, JeremyP2
87Franta, MichalP24, P107
88Frey, ChristophP4, C4
89Fuertes, AlbertoP25
90Fujiki, HiroshiP69
91Gadea, LolaC29
92Galvao, Ana BeatrizP81
93Ganics, GergelyP81
94Gautier, EricP18, C18
95Gómez-Loscos, AnaP29
96Georgiadis, GeorgiosP40
97GIL-ALANA, LUISP79
98Gimenes, NathalieP6
99Giraitis, LiudasP75, C75
100Grosse Steffen, ChristophP95
101Gu, ZhiyeP91
102Guisinger, AmyP38
103Gundersen, Thomas StørdalP47, C47
104Haldrup, NielsP83
105Han, SukjinP50
106Harding, MatthewP96
107Hecq, AlainP83, C83
108Hirukawa, MasayukiP16
109Hochmuth, BrigitteP38
110Hong, Seung-HyunP7, C7
111Hsieh, Chih-ShengP59, C59
112Hsu, Hsiu-FenP71, C71
113Huang, MeichiP93
114Huang, JileiP44
115Hubbard, TimP7
116Huidrom, RajuP40, C40
117Hungnes, HåvardP94, C94
118Iiboshi, HirokuniP22
119Imai, SusumuP59
120Inoue, AtsushiP26, C26
121Ioannidis, ChristosP42
122Iseringhausen, MartinP95
123Ishihara, TakuyaP15
124Iskhakov, FedorP50
125Issler, JoaoP34, P80, C80
126Ivus, OlenaP85
127Jarocinski, MarekP36
128Javdani, MohsenP71
129Jeon, YoontaeP88
130Jiang, LingqingP24
131Jiang, YixiaoP53
132Joëts, MarcP86
133Kaido, HiroakiP49
134Kakar, VenooP46
135Kamionka, ThierryP53, C53
136Karamysheva, MadinaP27
137Kasahara, HiroyukiP65
138Kaufmann, SylviaP93
139Kawata, KeisukeP55
140Kheifets, IgorP17
141Khorunzhina, NataliaP53
142Kikuchi, NobuyoshiP61
143Kikuchi, YutaP57
144Kilic, ErdemP79, C79
145Kim, HyunchulP8
146Kim, JaehoP21, C21
147Kim, JihyunP92
148Kim, SoohunP4
149Kimura, ShinP100, C100
150Kirsanova, TatianaP43
151Kiyota, KozoP11
152Kleen, OnnoP5
153Kline, BrendanP50, C50
154Knotek II, EdwardP82
155Kodama, NaomiP55
156Koike, YutaP5
157Kolukuluri, KalyanP67
158Kong, JianningP18
159Kong, YunmiP6, C6
160KONISHI, YOKOP100
161Kourtellos, AndrosP17
162Krainer, JohnP73
163Kriwoluzky, AlexanderP40
164Kruiniger, HugoP96
165Kulish, MarianoP33
166Kwok, Sai Man SimonP2
167L'Hour, JérémyP14, C14
168Lahiri, KajalP93, C93
169Lai, Jennifer T.P30
170Lai, Hung-pinP73
171Larsen, VegardP42, C42
172Lastauskas, PovilasP46, C46
173Lazarova, StepanaP106
174Lee, JungyoonP106, C106
175LEE, Miaw-ChwenP24
176Lee, SoohyungP57
177Lee, SungkyungP102
178Lee, YoonjinP1
179Lee, Chui YingP69
180Leturcq, MarionP56
181Leung, Charles K.P85, C85
182Lewis, KurtP28, C28
183Li, HaoP60
184Li, HuihuiP24, P107
185Li, MenghengP76, C76
186LI, YifanP5, C5
187Li, TongP101
188Liao, Jen-CheP82
189Lin, ZhenjiangP42
190Liu, Chu-AnP94
191Liu, QingfengP18
192Lombardi, MarcoP31
193Loria, FrancescaP36
194Lu, YangP76
195Luengo, AndresP12
196Luginbuhl, RobP97
197Lyshol, Arne F.P63
198Ma, XiangjunP101
199Machado, CeciliaP57, C57
200Maeba, KensukeP56, C56
201Magris, MartinP87
202Maillard, SophieP56
203Manang, FredrickP54, C54
204Manresa, ElenaP2, C2
205Maranhão, AndréP46
206Marchand, SteeveP66
207Marino, FrancescaP56
208Martins, SusanaP88, C88
209Masini, RicardoP77, C77
210Masten, MatthewP49, C49
211Mastromarco, CamillaP3
212Matsuoka, HideakiP25
213Mavroeidis, SophoclesP15, C15
214Mayer, WalterP81
215Málaga Mellado, AlexandraP34
216McAlinn, KenichiroP24, P107
217McCracken, MichaelP65
218Mendieta-Munoz, IvanP31
219Meng, XiaochunP78
220Mesters, GeertP102
221Miescu, MirelaP21
222Milunovich, GeorgeP49
223Miyamoto, WataruP27
224Miyao, RyuzoP35, C35
225montanes, antonioP84
226Moon, Hyungsik RogerP103
227Mora-García, ClaudioP59
228Morana, ClaudioP47
229Motegi, KaijiP75
230Mouabbi, SarahP32
231Mućk, JakubP45, C45
232Mueller, GernotP38, C38
233Mukherjee, DeeparghyaP29
234Murasawa, YasutomoP22, C22
235Nagashima, MasaruP70
236Naghavi, AlirezaP11
237Nakanishi, HayatoP66
238Nakano, YukoP3
239Nakazono, YoshiyukiP105
240Narayanan, AbhinavP85
241Ng, Cho YiuP80
242Nibbering, DidierP23
243Nielsen, MortenP65, C65
244Nishida, MitsukuniP12, C12
245Nishimura, YoshinoriP62
246Niu, DandanP3, C3
247Noh, EulP27, C27
248Norkute, MildaP96, C96
249Norton, EdwardP62, C62
250Nushimoto, AyaP24, P107
251Oikawa, MasatoP54
252Oka, TatsushiP78
253Okimoto, TatsuyoshiP28
254Okudaira, HirokoP72
255Oosterveen, MatthijsP70, C70
256Otto, SvenP77
257Owyang, MichaelP97, C97
258Paarsch, HarryP12
259Paccagnini, AlessiaP34
260Park, Woong YongP41
261Pauwels, LaurentP45
262Pedersen, MichaelP105, C105
263Peppel-Srebrny, JemimaP43
264Pesaran, M. HashemP68, C68
265Petrunyk, InnaP72
266Pinto, CristineP48
267Poirier, AlexandreP16, C16
268Ponczek, VladimirP3
269Potashnikov, VladimirP29
270Rahbek, AndersP19
271Rambaldi, AliciaP102, C102
272Ramirez Hassan, AndresP62
273Ravazzolo, FrancescoP104
274RENNE, Jean-PaulP88
275Rodrigues, PauloP82, C82
276Rossi, BarbaraP32
277Sakaguchi, ShoseiP48
278Sant'Anna, Pedro H. C.P48
279Santucci de Magistri, PaoloP87, C87
280Sasaki, YuyaP19, C19
281Sato, KaoriP70
282Sørensen, KennethP72
283Słoczyński, TymonP15
284Schaumburg, JuliaP92, C92
285Scheer, AlexanderP23
286Scotti, ChiaraP36
287Sekhposyan, TatevikP34, C34
288Sekkel, RodrigoP35
289Semenov, AndreiP89
290Seo, ByeongseonP77
291Shi, ZhentaoP98
292Shimotsu, KatsumiP74, C74
293Shintani, MototsuguP22
294Shioji, EtsuroP43, C43
295Shirota, ToyoichiroP32, C32
296Shupe, CortnieP60
297Sickles, RobinP73, C73
298Skaperdas, ArseniosP33, C33
299Skrobotov, AntonP74
300Sloane, CarolynP61
301Song, SuyongP51
302Song, XiaojunP95, C95
303Staub, KevinP54
304Steigerwald, DouglasP18
305Stoykov, MarianP77
306Suari-Andreu, EduardP69, C69
307SYDAVONG, ThiptaiyaP24, P107
308Szydlowski, ArkadiuszP50
309Tajima, KayoP24
310Takaoka, SumikoP90
311Tanaka, HiroatsuP33
312Tang, Chi HoP39
313Tasci, MuratP63, C63
314Tatsi, EiriniP98, C98
315Tedeschi, SimoneP66
316Terasvirta, TimoP92
317Tereanu, EugenP98
318Thorp, SusanP68
319Tinang, JulesP104, C104
320Tran, NganP80
321Tran, Duc (Brian)P41, C41
322Tsiaplias, SarantisP28
323Ura, TakuyaP51
324Uysal, Selver DeryaP61, C61
325Valkanov, RossenP89
326Valls Pereira, PedroP24
327Van Belle, EvaP72, C72
328van Vuuren, AicoP51
329Velinov, AntonP28
330Veliyev, BezirgenP87
331Vigfusson, RobertP33
332Villacorta, LuccianoP14
333Voigt, StefanP86
334von Schweinitz, GregorP36, C36
335Wagner, MartinP78, C78
336Wakano, AyakoP61
337Wang, WenjieP15
338Wang, WendunP2
339Wang, BenP104
340Wang, Cindy Shin-HueiP91
341Webb, MatthewP19
342Weidner, MartinP98
343Weisser, ReinhardP100
344Wu, Jyh-LinP105
345Xu, HaiqingP51, C51
346Yamada, KenP71
347Yamagata, TakashiP65
348Yamamoto, YoheiP93
349Yamamura, TaikiP26
350Yang, Hao-HsiangP97
351Yang, ChaoP103
352Yang, Cynthia FanP101
353Yoon, Jae-HoP39
354Yoshida, YuichiroP85
355Yu, ZhengfeiP16
356Zeng, MingP88
357Zhang, ShuoxunP68
358Zhang, WenP46
359Zhao, NaibaoP100
360Zhao, XueyanP64
361Zhou, BoP17, C17
362Zhu, YuP7
363Zhu, FengP25, C25
364Zimic, SreckoP42
365Zochowski, DawidP45
366Zubairy, SarahP35

 

This program was last updated on 2017-06-26 11:41:00 EDT