Camp Econometrics
April 3-5, 2009
Mirror Lake Inn Resort, Lake Placid, NY
Printable Program Agenda
Friday, April 3, 2009
M. Hashem Pesaran
(
JAE Lecture I (2:30-3:30 p.m.), Jerry Hausman, MIT
1. “IV and GMM with Many Instruments.”
3:30-4:00 p.m.: Coffee break.
Session I (4:00-6:00 p.m.):
Panel Data, Badi
H. Baltagi
(
4:00-4:40 p.m.
2. “Diagnostic Tests of Cross Section
4:40-5:20 p.m.
3. “Testing
for Cross-sectional Dependence in a Fixed Effects Panel Data
Model,” Badi H. Baltagi,
Qu Feng and Chihwa Kao
(
5:20-6:00 p.m.
4. “The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models,” Maurice J.G. Bun (University of Amsterdam) and Frank Windmeijer(University of Bristol).
Saturday, April 4, 2009
Session II (9a.m.-11:00a.m.):
Forecasting, Macro and Finance,
Kajal Lahiri (SUNY-Albany),
Chair
9-9:40 a.m
5. “Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling,” Lennart F. Hoogerheide and Herman K. van Dijk (Erasmus University Rotterdam, and Tinbergen Institute).
9:40-10:20 a.m.
6. “ Forecasting U.S. Inflation: A Look Beyond the Conditional Mean,”
Sebastiano Manzan (
10:20 a.m.-11:00 a.m.
7. “True
vs Spurious Long Memory: A Monte Carlo Study with an
Application to Credit Data,” A. Leccadito (Universit`a
della Calabria, Italy) and
Giovanni Urga (Cass Business School UK and Bergamo University,
Italy).
11:00-11:30 a.m.: Coffee break.
JAE Lecture II (11:30-12:30 p.m.), Jerry Hausman, MIT
M.
Hashem Pesaran (
8. “A Bayesian Mixed Logit-Probit Model for Multinomial Choice.”
12:30-2:00 p.m.: Lunch
Session III (2:00-4:00 p.m.):
Nonlinearity,
Grouped Data and Model Evaluation,
James G. MacKinnon (Queen's University)
Chair
2:00-2:40 p.m.
9. “Birth of a
Nonlinear Model,”
Anil K. Bera (
2:40 -3:20p.m.
10. “Data
–Driven Model
Evaluation: A Test For Revealed Performance,”
Jeffrey S. Racine
(
3:20-4:00 p.m.
11. “Goodness-of-fit
Testing for Duration Models with Censored Grouped Data,”
Yongmiao Hong (
4:00-4:30 p.m.: Coffee break.
Session IV (4:30-6:30 p.m.)
Applied Econometrics, William
Greene (NYU),
Chair
4:30-5:10 p.m.
12. “Nonparametric
Partial and Point Identification of Net or Direct Causal
Effects,” Carlos A. Flores (University of Miami) and
Alfonso Flores-Lagunes
(University of Florida).
5:10-5:50 p.m.
13. “Do
the GSEs Expand the Supply of Mortgage Credit? New Evidence
of Crowd Out in the Secondary Mortgage Market,”
Stuart A. Gabriel (UCLA) and
Stuart S. Rosenthal
(
5:50-6:30p.m.
14. “A
Bivariate Latent Class Correlated Generalized Ordered Probit
Model with an Application to Modeling Observed Obesity
Levels,” William
Greene (NYU),
Mark N. Harris, Bruce Hollingsworth, and Pushkar Maitra (
7:00-9:30 p.m. Cocktail Hour/Dinner for conference participants (the View Restaurant)
Session V (9:00-10:20p.m.):
Nonparametric Identification Jeffrey
S. Racine (
9:00-9:40 a.m.
15. “Estimation of Multiple Output Production Function Using the Primal Approach,” Subal Kumbhakar (SUNY-Binghamton).
16. “Inference
in Partially Identified Nonparametric Instrumental Variables
Models,” Nese
Yildiz (
Session VI (10:50 a.m.-12:10 p.m.):
Structural Change and Cointegration,
Chihwa Kao
(
10:50 -11:30 a.m.
17. “Cointegration
versus Spurious Regression and Heterogeneity in Large Panels,”
Lorenzo Trapani (
18. “Testing
for Smooth Structural Changes in GARCH Models,”
Bin Chen (
Conference closes.
12:15 p.m.-1:30 p.m. Lunch
