2010 Conference of the Netherlands Econometric Study Group

Summary of All Sessions

#Date/TimeLocationTypeTitlePapers
1June 11, 2010
12:30-13:00
Arenberg Castle, Salons invited Registration + coffee0
2June 11, 2010
13:00-14:40
Arenberg Castle, Auditorium contributed Non-Parametric Methods4
3June 11, 2010
14:40-15:00
Arenberg Castle, Salons invited Coffee0
4June 11, 2010
15:00-16:00
Arenberg Castle, Auditorium invited Invited lecture Victor Chernozhukov1
5June 11, 2010
16:00-16:10
Arenberg Castle, Salons invited Short Break0
6June 11, 2010
16:10-17:00
Arenberg Castle, Auditorium contributed Empirical Likelihood Methods2
7June 11, 2010
17:00-17:20
Arenberg Castle, Salons invited Coffee0
8June 11, 2010
17:20-18:10
Arenberg Castle, Auditorium contributed Time Series Econometrics2
9June 11, 2010
19:00-24:00
= Leuven = invited Conference Dinner0
10June 12, 2010
9:00-10:15
Naamse Str 69, Room 01.85 contributed Financial Econometrics3
11June 12, 2010
10:15-10:35
Naamse Str. 69, Room 00.10 invited Coffee0
12June 12, 2010
10:35-11:25
Naamse Str 69, Room 01.85 contributed Unit Root Econometrics2
13June 12, 2010
11:25-11:35
Naamse Str. 69, Room 00.10 invited Short Break0
14June 12, 2010
11:35-12:25
Naamse Str 69, Room 01.85 contributed Learning in Macro Models2
 

14 sessions, 16 papers


 

2010 Conference of the Netherlands Econometric Study Group

Complete List of All Sessions


Session 1: Registration + coffee

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

Session 2: Non-Parametric Methods

Session Chair: Geert Dhaene, KU Leuven
Session type: contributed
Date: June 11, 2010
Time: 13:00 - 14:40
Location: Arenberg Castle, Auditorium
 

A Kernel Weighted Smoothed Maximum Score Estimator for the Endogenous Binary Choice Model
[slides]
By Jerome M. Krief; LSU
   Presented by: jerome Krief, LSU
 

A local nonparametric analysis of transformations
By Koen Jochmans; CORE
   Presented by: Koen Jochmans, UCLouvain
 

Identification and Inference on the Correlation using Data from Two Independent Samples
By David Pacini; Toulouse School of Economics
   Presented by: David Pacini, Universite Toulouse 1
 

EXPLICIT SOLUTIONS FOR THE ASYMPTOTICALLY-OPTIMAL BANDWIDTH IN CROSS VALIDATION
By Karim M Abadir; Imperial College, London
Michel Lubrano; GREQAM, Marseille
   Presented by: Michel Lubrano, GREQAM-CNRS

Session 3: Coffee

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

Session 4: Invited lecture Victor Chernozhukov

Session Chair: Marius Ooms, VU University Amsterdam
Session type: invited
Date: June 11, 2010
Time: 15:00 - 16:00
Location: Arenberg Castle, Auditorium
 

High-Dimensional Sparse Econometric Models
[slides]
By Alexandre Belloni; Duke University
Victor Chernozhukov; MIT
   Presented by: Victor Chernozhukov, MIT

Session 5: Short Break

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

Session 6: Empirical Likelihood Methods

Session Chair: Michael Massmann, public
Session type: contributed
Date: June 11, 2010
Time: 16:10 - 17:00
Location: Arenberg Castle, Auditorium
 

Z-estimators and auxiliary information under weak dependence
By Federico Crudu; University of Groningen
   Presented by: Federico Crudu, University of Groningen
 

Geometric Interpretations for Constrained Minimum Contrast Problems
By Zhengyuan Gao
University of Amsterdam and Tinbergen Institute
   Presented by: Zhengyuan Gao, University of Amsterdam and Tinbergen Institute

Session 7: Coffee

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

Session 8: Time Series Econometrics

Session Chair: Peter Boswijk, University of Amsterdam
Session type: contributed
Date: June 11, 2010
Time: 17:20 - 18:10
Location: Arenberg Castle, Auditorium
 

Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
By M. Hashem Pesaran; Cambridge University and USC
Andreas Pick; Erasmus University Rotterdam, De Nederlandsche Bank and CIMF
Allan Timmermann; UC San Diego and CREATES
   Presented by: Andreas Pick, Erasmus School of Economics (ESE)
 

Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
By Charles S. Bos; VU University Amsterdam
Siem Jan Koopman; VU University Amsterdam
   Presented by: Charles Bos, Vrije Universiteit Amsterdam

Session 9: Conference Dinner

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

Session 10: Financial Econometrics

Session Chair: Bas Werker, Tilburg University
Session type: contributed
Date: June 12, 2010
Time: 9:00 - 10:15
Location: Naamse Str 69, Room 01.85
 

Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
By Julia Schaumburg; Humboldt-Universität zu Berlin
   Presented by: Julia Schaumburg, Humboldt Universität zu Berlin
 

On the estimation of dynamic conditional correlation models
By Christian Hafner, UCL
Olga Reznikova, UCL
   Presented by: Christian Hafner, Université catholique de Louvain
 

An Improved Pre-averaging Estimator of Integrated Volatility
By Werner Ploberger; Washington University in St. Louis
Taesuk Lee; University of Rochester
   Presented by: Werner Ploberger, Washington University in St; Louis

Session 11: Coffee

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

Session 12: Unit Root Econometrics

Session Chair: Charles Bos, Vrije Universiteit Amsterdam
Session type: contributed
Date: June 12, 2010
Time: 10:35 - 11:25
Location: Naamse Str 69, Room 01.85
 

Bootstrap Union Tests for Unit Roots in the Presence of Nonstationary Volatility
By Stephan Smeekes; Maastricht University
A. M. Robert Taylor; University of Nottingham
   Presented by: Stephan Smeekes, Maastricht University
 

Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator
By Matei Demetrescu; Goethe-Universität Frankfurt
Christoph Hanck; Rijksuniversiteit Groningen
   Presented by: Christoph Hanck, Rijksuniversiteit Groningen

Session 13: Short Break

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

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


Session 14: Learning in Macro Models

Session Chair: Kees Jan van Garderen, University of Amsterdam
Session type: contributed
Date: June 12, 2010
Time: 11:35 - 12:25
Location: Naamse Str 69, Room 01.85
 

Adaptive Learning and Long Memory
By Guillaume Chevillon; ESSEC Business School & CREST-INSEE
Sophocles Mavroeidis; Brown University
   Presented by: Guillaume Chevillon, ESSEC, Paris
 

Asset Prices and Persistent Macroeconomic Uncertainty
By Michal Pakos; Department of Economics, Center for Economic Research & Graduate Education (CERGE-EI) and Economics Institute of the Academy of Sciences of the Czech Republic, Politickch Vz 7, 111 21 Prague 1, Czech Republic, Cell Phone: (+420)-776-437-017, Email: michal.pakos@cerge-ei.cz; michal.pakos@yahoo.com.
   Presented by: Michal Pakos, Center for Economic Research & Graduate Education,