17 sessions, 50 papers

7th International Symposium on Econometric Theory and Applications
Complete List of All Sessions

Session 1: Keynote Session
Session Chair: Brett Inder, Monash University
Session type: invited
Date: April 14, 2011
Time: 9:30 - 10:30
Location: 1
Nonparametric Bayesian Modelling of Monotone Preferences for Discrete Choice Experiments
By John Geweke; University of Technology Sydney
Presented by: John Geweke, University of Technology Sydney

Session 2: Tail Dependence: Theory and Application
Session Chair: Param Silvapulle, Monash University
Session type: contributed
Date: April 14, 2011
Time: 11:00 - 12:40
Location: 1
Archimedean copulas and temporal dependence
By Brendan Kinnane Beare; University of California, San Diego
Presented by: Brendan Beare, UCSD
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets
By Matteo Barigozzi: London School of Economics Christian Brownlees; New York University Giampiero Gallo; University of Florence David Veredas; Free University of Brussels
Presented by: David Veredas, Université Libre de Bruxelles
Modeling Dependence using Skew t Copulas: Bayesian Inference and Applications
By Michael Smith, University of Melbourne Quan Gan, University of Sydney Robert Kohn, University of New South Wales
Presented by: Michael Smith, University of Melbourne
THE DEPENDENCE OF RETURN QUANTILES: A NEW APPROACH TO MODELING CORRELATIONS
By Nicholas Sim
Presented by: Nicholas Sim, University of Adelaide

Session 3: Tests
Session Chair: Christopher Skeels, The University of Melbourne
Session type: contributed
Date: April 14, 2011
Time: 11:00 - 12:40
Location: 2
A Hausman-Type Test for Measurement Errors in Threshold Variables
By Terence Chong; The Chinese University of Hong Kong Haiqiang Chen; Cornell University Tsz Nga Wong; Washington University at St Louis. Isabel Kit-Ming Yan; City University of Hong Kong
Presented by: Terence Chong, The Chinese University of Hong Kong
A Simple One-Sided Test When the Covariance Matrix Has Non-Negative Eigenvectors
By Zeng-Hua Lu; University of South Australia
Presented by: Zeng-Hua Lu, University of South Australia
Testing for Separability in Structural Equations
By Xun Lu; Hong Kong University of Science and Technology Halbert White; University of California, San Diego
Presented by: Xun Lu, Hong Kong University of Science and Tech
Testing for Central Dominance: Method and Applications
By O-Chia Chuang; National Taiwan University Chung-Ming Kuan; National Taiwan University Larry Y. Tzeng; National Taiwan University
Presented by: O-Chia Chuang, National Taiwan University

Session 4: Poster Session 1
Session type: poster
Date: April 14, 2011
Time: 12:40 - 14:15
Location: 1
Nonparametric Time--Varying Coefficient Panel Data Models with Fixed Effects
By Degui Li; Monash University Jia Chen; Monash University Jiti Gao; Monash University
Presented by: Jia Chen, Monash University
Subset hypotheses testing and instrument exclusion in the linear IV regression
By Firmin Doko Tchatoka; University of Tasmania
Presented by: Firmin Doko Tchatoka, University of Tasmania
Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation
By Chaohua Dong; The university of Adelaide Jiti Gao; Monash University
Presented by: Chaohua DONG, The University of Adelaide

Session 5: The Econometrics of Integrated Time Series
Session Chair: Terence Chong, The Chinese University of Hong Kong
Session type: contributed
Date: April 14, 2011
Time: 14:15 - 15:30
Location: 1
Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
By Don S. Poskitt; Monash University Gael M. Martin; Monash University Simone D. Grose; Monash University
Presented by: Don Poskitt, Monash University
A New Solution to Spurious Regressions
By Shin-Huei Wang; CORE, UCL and FUNDP, Academie Louvain Carlo Rosa; University of Essex, Colchester, United Kingdom
Presented by: Shin-Huei Wang, Universite catholique de Louvain, Belgium
Speci fication Sensitivities in Right-Tailed Unit Root Testing
By Shu-Ping Shi (The Australian National University); Peter C. B. Phillips (Yale University, University of Auckland, University of Southampton & Singapore Management University); Jun Yu (Singapore Management University)
Presented by: shuping shi, The Australian National University

Session 6: Nonlinear Models in Macroeconomics and Finance
Session Chair: Chung-Ming Kuan, National Taiwan University
Session type: contributed
Date: April 14, 2011
Time: 14:15 - 15:30
Location: 2
Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence
By Hui-Ching Chuang; National Taiwan University Chung-Ming Kuan; National Taiwan University
Presented by: Hui-Ching Chuang, National Taiwan University
GEL Estimation for Semi-Strong Non-Linear GARCH with Robust Empirical Likelihood Inference
By Jonathan Hill; UNC Artem Prokhorov; Concordia & CIREQ
Presented by: Artem Prokhorov, Concordia University
Testing for Short-Run Threshold Effects in a Vector Error-Correction Framework: A Reappraisal of the Stability of the U.S. Money Demand
By Bertrand Candelon; Maastricht University Lenard Lieb; Maastricht University
Presented by: Lenard Lieb, Maastricht University

Session 7: Invited Session 1
Session Chair: Maxwell King, Monash University
Session type: invited
Date: April 14, 2011
Time: 16:00 - 17:30
Location: 1
Discrete Choice Nonresponse
By Richard Smith; University of Cambridge
Presented by: Richard Smith, University of Cambridge
Income Taxation in a Life Cycle Model with Human Capital
By Michael Keane; University of New South Wales
Presented by: Michael Keane, University of New South Wales

Session 8: Invited Session 2
Session Chair: Farshid Vahid, Monash University
Session type: invited
Date: April 15, 2011
Time: 9:00 - 10:30
Location: 1
Estimation and Inference in Linear Models with Multiple Breaks and Endogenous Regressors
By Alastair Hall; University of Manchester
Presented by: Alastair Hall, University of Manchester
Inference on stochastic time-varying coefficient models
By George Kapetanios; Queen Mary, University of London
Presented by: George Kapetanios, Queen Mary, University of London

Session 9: Panel Data: Theory and Applications
Session Chair: Denzil Fiebig, UNSW
Session type: contributed
Date: April 15, 2011
Time: 11:00 - 12:40
Location: 1
Finite Mixture for Panels with Fixed Effects
By Partha Deb; Hunter College, CUNY Pravin K. Trivedi; Indiana University
Presented by: Pravin Trivedi, Indiana University
IV Estimation of Panels with Factor Residuals
By Donald Robertson, University of Cambridge Vasilis Sarafidis, University of Sydney James Symons, UCL
Presented by: Vasilis Sarafidis, University of Sydney
Testing Monotonicity in Unobservables with Panel Data
By Liangjun Su; Singapore Management Univeristy Stefan Hoderlein; Brown University Halbert White; University of California, San Diego
Presented by: Liangjun Su, Singapore Management University
Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects
By Degui Li; University of Adelaide Jiti Gao; University of Adelaide Jia Chen; University of Adelaide
Presented by: Degui Li, University of Adelaide

Session 10: Macro-Econometrics
Session Chair: Mardi Dungey, University of Tasmania
Session type: contributed
Date: April 15, 2011
Time: 11:00 - 12:40
Location: 2
Fundamental Asymmetries in US Monetary Policymaking: Evidence from a Nonlinear Autoregressive Distributed Lag Quantile Regression Model
By Matthew Greenwood-Nimmo; Leeds University Business School Tae-Hwan Kim; Department of Economics, Yonsei University Yongcheol Shin; Leeds University Business School Till van Treeck; IMK, Dusseldorf
Presented by: Yongcheol Shin, University of Leeds
Flexible Regime-Switching Projections to Estimate the Dynamic Effects of a Government Spending Stimulus
By Klemens Hauzenberger; Deutsche Bundesbank and European University Institute
Presented by: Klemens Hauzenberger, Deutsche Bundesbank
Detecting and Predicting Recessions
By Don Harding; La Trobe University
Presented by: Don Harding, LaTrobe University
Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
By Laurent L. Pauwels; The University of Sydney Andrey Vasnev; The University of Sydney
Presented by: Laurent Pauwels, The University of Sydney

Session 11: Poster Session 2
Session type: poster
Date: April 15, 2011
Time: 12:40 - 14:20
Location: 1
Insensitivity of the kernel conditional density estimator to correlation among the conditional variables
By Julia Polak; Monash University Xibin Zhang; Monash University Maxwell L. King; Monash University
Presented by: Julia Polak, Monash University
Estimation in a Semiparametric model with Endogeneity
By Nam Hyun Kim; University of Adelaide
Presented by: Nam Hyun Kim, University of Adelaide
Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval
By Song Li; Monash University Param Silvapulle; Monash University Xibin Zhang; public Mervyn Silvapulle; Monash University
Presented by: Song Li, Monash University

Session 12: Micro-Econometrics
Session Chair: Xueyan Zhao, Monash University
Session type: contributed
Date: April 15, 2011
Time: 14:20 - 16:00
Location: 2
Are Active Labour Market Programmes Least Effective Where They Are Most Needed? The Case of the British New Deal for Young People
By Duncan McVicar; University of Melbourne Jan M. Podivinsky; University of Southampton
Presented by: Jan Podivinsky, University of Southampton
Economic Rationality, Risk Presentation, and Retirement Portfolio Choice
By Hazel Bateman; University of New South Wales Christine Ebling; University of Technology Sydney John Geweke; University of Technology Sydney, Jordan Louviere; University of Technology Sydney Stephen Satchell;Trinity College, University of Cambridge Susan Thorp; University of Technology Sydney
Presented by: Susan Thorp, University of Technology, Sydney
The Effects of Cannabis Use on Physical and Mental Health
[slides]
By Jan C. van Ours; Tilburg University and University of Melbourne jenny Williams; University of Melbourne
Presented by: Jenny Williams, University of Melbourne
Modelling health care costs and life expectancy: insights from Australian individual health expenditure data
By Philip Clarke; Sydney School of Public Health, University of Sydney Tue Gørgens; Research School of Economics, Australian National University
Presented by: Tue Gorgens, Australian National University

Session 13: Financial Econometrics: High Frequency Data
Session Chair: Catherine Forbes, Monash University
Session type: contributed
Date: April 15, 2011
Time: 14:20 - 16:00
Location: 1
Observing the Crisis: Characterising the spectrum of financial markets with high frequency data, 2004-2008
By Mardi Dungey; University of Tasmania and University of Cambridge Jet Holloway; University of Tasmania Abdullah Yalama; Eskisehir Osmangazi University
Presented by: Mardi Dungey, University of Tasmania
Synchronizing Asynchronously Traded Financial Assets for Noise-robust Realized Covariance
By Jin-Huei Yeh; National Central University Ruey S. Tsay; Booth University of Chicago Chung-Ming Kuan; National Taiwan University
Presented by: Jin-Huei Yeh, National Central University
Forecasting Covariance Matrices: A Mixed Frequency Approach
By Roxana Halbleib; ECARES, Universite libre de Bruxelles Valeri Voev; CREATES, University of Aarhus
Presented by: Roxana HALBLEIB (neé Chiriac), ECARES
Testing for co-jumps with high-frequency financial data: an approach based on first-high-low-last price
By Yin Liao;Australian National University Heather Anderson; Monash University
Presented by: Yin Liao, Australian National University

Session 14: Keynote session: Econometric Theory Lecture
Session Chair: Heather Anderson, Monash University
Session type: invited
Date: April 15, 2011
Time: 16:30 - 17:30
Location: 1
Granger Causality and Dynamic Structural Systems
By Halbert White; University of California, San Diego Xun Lu
Presented by: Halbert White, University of California, San Diego

Session 15: Invited Session 3
Session Chair: Gael Martin, Monash University
Session type: invited
Date: April 16, 2011
Time: 9:30 - 11:00
Location: 1
Confidence Sets Based on Inverting Anderson-Rubin Tests
By Russell Davidson; McGill University
Presented by: Russell Davidson, McGill University
Nonparametric Approaches to Probabilistic Forecasting
By Brendan McCabe
Presented by: Brendan McCabe,

Session 16: Econometric Applications: Bayesian Methods
Session Chair: Michael Smith, University of Melbourne
Session type: contributed
Date: April 16, 2011
Time: 11:30 - 12:45
Location: 2
Flexible Bayesian Analysis of First Price Auctions Using Simulated Likelihood
By Dong-Hyuk Kim; University of Technology Sydney
Presented by: Dong-Hyuk Kim, University of Technology Sydney
Bayesian estimation of bandwidths for a nonparametric regression model with an unknown error density
By Xibin Zhang; Monash University Maxwell L King; Monash University Han Lin Shang; Monash University
Presented by: Han Lin Shang, Monash University
Evidence on a Real Business Cycle model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
By Rodney W. Strachan; Research School of Economics, The Australian National University Herman K. van Dijk; Econometric and Tinbergen Institutes, Erasmus University Rotterdam
Presented by: Rodney Strachan, The Australian National University

Index of Participants

Legend: C=chair, P=Presenter, D=Disscussant

Session 17: Non-parametric and Semi-parametric Econometrics
Session Chair: Jiti GAO, Monash University
Session type: contributed
Date: April 16, 2011
Time: 11:30 - 12:45
Location: 1
Nonparametric Regression with Nonparametrically Generated Covariates
By Enno Mammen; Mannheim University Christoph Rothe; Toulouse University Melanie Schienle; Humboldt University Berlin
Presented by: Melanie Schienle, Humboldt University
Semi-Nonparametric Indirect Inference
By Francisco Blasques; Maastricht University
Presented by: Francisco Blasques, Maastricht University
Nonparametric Kernel Testing for Semiparametric Autoregressive Condition Duration Model
By Pipat Wongsaart; Monash University Jiti Gao; Monash University
Presented by: Pipat Wongsaart, Monash University

#	Participant	Roles in Conference
1	Anderson, Heather	C14
2	Beare, Brendan	P2
3	Blasques, Francisco	P17
4	Chen, Jia	P4
5	Chong, Terence	P3, C5
6	Chuang, O-Chia	P3
7	Chuang, Hui-Ching	P6
8	Davidson, Russell	P15
9	Doko Tchatoka, Firmin	P4
10	DONG, Chaohua	P4
11	Dungey, Mardi	C10, P13
12	Fiebig, Denzil	C9
13	Forbes, Catherine	C13
14	GAO, Jiti	C17
15	Geweke, John	P1
16	Gorgens, Tue	P12
17	HALBLEIB (neé Chiriac), Roxana	P13
18	Hall, Alastair	P8
19	Harding, Don	P10
20	Hauzenberger, Klemens	P10
21	Inder, Brett	C1
22	Kapetanios, George	P8
23	Keane, Michael	P7
24	Kim, Nam Hyun	P11
25	Kim, Dong-Hyuk	P16
26	King, Maxwell	C7
27	Kuan, Chung-Ming	C6
28	Li, Degui	P9
29	Li, Song	P11
30	Liao, Yin	P13
31	Lieb, Lenard	P6
32	Lu, Xun	P3
33	Lu, Zeng-Hua	P3
34	Martin, Gael	C15
35	McCabe, Brendan	P15
36	Pauwels, Laurent	P10
37	Podivinsky, Jan	P12
38	Polak, Julia	P11
39	Poskitt, Don	P5
40	Prokhorov, Artem	P6
41	Sarafidis, Vasilis	P9
42	Schienle, Melanie	P17
43	Shang, Han Lin	P16
44	shi, shuping	P5
45	Shin, Yongcheol	P10
46	Silvapulle, Param	C2
47	Sim, Nicholas	P2
48	Skeels, Christopher	C3
49	Smith, Michael	P2, C16
50	Smith, Richard	P7
51	Strachan, Rodney	P16
52	Su, Liangjun	P9
53	Thorp, Susan	P12
54	Trivedi, Pravin	P9
55	Vahid, Farshid	C8
56	Veredas, David	P2
57	Wang, Shin-Huei	P5
58	White, Halbert	P14
59	Williams, Jenny	P12
60	Wongsaart, Pipat	P17
61	Yeh, Jin-Huei	P13
62	Zhao, Xueyan	C12

This program was last updated on 2011-04-11 23:0:8 EDT