New Developments in Time Series Econometrics
October 23-24, 1999
Program Chair: Peter C. B. Phillips
| SATURDAY | |
| 8:40 | WELCOME: John Geanakoplos (Director, Cowles Foundation) and Peter C. B. Phillips |
| 8:45 | SESSION A1. FRACTIONAL PROCESSES AND NONSTATIONARITY — Chair: Bruce Hansen (University of Wisconsin) |
| Rohit Deo (New York University) and Clifford Hurvich (New York University), "On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models" Discussant: Miguel Delgado (Universidad Carlos III de Madrid) |
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| Marc Henry (Columbia University), "Averaged Periodogram Spectral Estimation With Long Memory Conditional Heteroscedasticity" Discussant: Juan Dolado (Universidad Carlos III de Madrid) |
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| Peter C. B. Phillips (Yale University), "Discrete Fourier Transforms of Fractional Processes" Discussant: Carlos Velasco (Universidad Carlos III de Madrid) |
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| Peter M. Robinson (London School of Economics), "Analysis of Cointegrated Nonstationary Fractional Processes" Discussant: Katsumi Shimotsu (Yale University) |
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| 11:00 | SESSION A2. TRENDS — Chair: Peter M. Robinson (London School of Economics) |
| Herman Bierens (Pennsylvania State University), "Nonparametric Nonlinear Co-Trending Analysis, With an Application to Interest Rates and Inflation in the U.S." Discussant: Joon Park (Seoul National University) |
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| Yoosoon Chang (Rice University), Joon Park (Seoul National University), and Peter C. B. Phillips (Yale University), "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors" Discussant: Serena Ng (Boston College) |
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| Woocheol Kim (Humboldt-Universitaet zu Berlin), "Econometric Analysis of Evolutionary Time Series" Discussant: Pentti Saikkonen (University of Helsinki) |
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| Timothy Vogelsang (Cornell University), "Testing for a Shift in Trend When Serial Correlation is of Unknown Form" Discussant: Bruce Hansen (University of Wisconsin) |
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| 11:00 | SESSION B2. APPLIED DYNAMIC MODELING — Chair: Frank Diebold (University of Pennsylvania) |
| Torben Andersen (Northwestern University), Tim Bollerslev (Duke University), Francis X. Diebold (University of Pennsylvania), and Paul Labys (University of Pennsylvania), "The Distribution of Exchange Rate Volatility" Discussant: Jushan Bai (Boston College) |
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| Rex Bergstrom (University of Essex) and Ben Nowman (University of Kent at Canterbury), "Gaussian Estimation of a Continuous Time Macroeconomic Model of the United Kingdom with Unobservable Stochastic Trends" Discussant: Yacine Aït-Sahalia (Princeton University) |
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| Marcus Chambers (University of Essex) and Joanne McGarry (Loughborough University), "Modelling Cyclical Behaviour with Differential-Difference Equations in an Unobserved Components Framework" Discussant: Neil Shephard (Oxford University) |
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| Michael Wickens (University of York), "Can the Stochastic Discount Factor Models Explain the FOREX Risk Premium" Discussant: Sam Ouliaris (International Monetary Fund) |
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| 1:30 | PANEL SESSION. LONG MEMORY IN ECONOMICS — Chair: Peter C. B. Phillips (Yale University) |
| Clive W. Granger (University of California, San Diego), "Aspects of Research Strategies for Time Series Analysis" Panelists: Richard Baillie (Michigan State University), Robert Engle (University of California, San Diego), Jegan Jeganathan (University of Michigan), and Peter M. Robinson (London School of Economics) |
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| 2:45 | SESSION A3. SESSION A3: NONLINEAR MODELS — Chair: Guido Kuersteiner (Massachusetts Institute of Technology) |
| Robert de Jong (Michigan State University), "Nonlinear Minimization Estimators in the Presence of Cointegrating Relations" Discussant: Jae-Young Kim (State University of New York at Albany) |
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| Yongmiao Hong (Cornell University) and Tae-Hwy Lee (University of California, Riverside), "Diagnostic Checking for Adequacy of Linear and Nonlinear Time Series Models" Discussant: Zhijie Xiao (University of Illinois at Urbana-Champaign) |
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| Joon Park (Seoul National University) and Peter C. B. Phillips (Yale University), "Nonlinear Regressions with Integrated Time Series" Discussant: Herman Bierens (The Pennsylvania State University) |
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| Dag Tjøstheim (University of Bergen), "Nonparametric Estimates in a Nonlinear Cointegration Type Model" Discussant: Yoosoon Chang (Rice University) |
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| 2:45 | SESSION B3. SPECIFICATION AND LAGS — Chair: Tim Bollerslev(Duke University) |
| A. Ronald Gallant (University of North Carolina) and Halbert White (University of California, San Diego), "Finite Lag Estimation of Non-Markovian Processes" Discussant: Donald W. K. Andrews (Yale University) |
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| Yuichi Kitamura (University of Wisconsin), "Predictive Inference and the Bootstrap" Discussant: Joel Horowitz (University of Iowa) |
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| Hannes Leeb (University of Vienna) and Benedikt M. Pötscher (University of Vienna), "A Fundamental Difficulty in Estimating the Distribution of Post-Model-Selection Estimators" Discussant: Frank Schorfheide (University of Pennsylvania) |
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| 4:30 | SESSION A4. UNIT ROOTS — Chair: Benedikt Pötscher (University of Vienna) |
| In Choi (Kookmin University), "Instrumental Variables Estimation of a Nearly Nonstationary Error Component Model" Discussant: Xiaohong Chen (London School of Economics) |
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| Jegan Jeganathan (University of Michigan), "Asymptotic Inference in VAR(1) Models with Approximate Unit Roots and With Fractionally Integrated Errors Formed by Heavy Tailed Innovations" Discussant: Ngai Hang Chan (Carnegie Mellon University) |
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| Werner Ploberger (University of Rochester), "A Complete Class of Tests When the Likelihood Is Locally Asymptotically Quadratic" Discussant: Christian Gourieroux (CEPREMAP) |
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| Zhijie Xiao (University of Illinois at Urbana-Champaign), "Likelihood-Based Inference in Trending Time Series Models with a Root Near Unity" Discussant: Francesc Marmol (Universidad Carlos Ill de Madrid) |
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| 4:30 | SESSION B4. DIAGNOSTICS — Chair: Yacine Aït Sahalia (Princeton University) |
| Steven Durlauf (University of Wisconsin), "Interactive-Based Models" Discussant: John Geweke (University of Iowa) |
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| Joel Horowitz and Gene Savin (University of Iowa), "Testing for Autocorrelation Under Weak Assumptions" Discussant: Binbin Guo (University of California, Santa Cruz) |
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| Peter Schmidt and Christine Amsler (Michigan State University), "Tests of Short Memory with Thick-Tailed Errors" Discussant: Jesus Gonzalo (Universidad Carlos III de Madrid) |
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| Eric Zivot (University of Washington), "Threshold Cointegration and Nonlinearity in the Adjustment to the Law of One Price" [Tables] Discussant: Giovanni Petris (University of Arkansas) |
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| SUNDAY | |
| 8:30 | SESSION A5. UNIT ROOTS AND COINTEGRATION — Chair: Herman Bierens (Pennsylvania State University) |
| Juan Dolado, Jesus Gonzalo, and Laura Mayoral (Universidad Carlos III de Madrid), "A Fractional Dickey-Fuller Test" Discussant: Mototsugu Shintani (Yale University) |
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| Jae-Young Kim (State University of New York at Albany), "Generalized Bayesian Information Criterion" Discussant: Tim Vogelsang (Cornell University) |
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| Pentti Saikkonen (University of Helsinki), "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time" Discussant: In Choi (Kookmin University) |
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| Yoon-Jae Whang (Ewha Women's University), "Testing for the Martingale Hypothesis" Discussant: Atsushi Inoue (North Carolina State University) |
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| 8:30 | SESSION B5. GMM AND NONLINEAR ESTIMATION — Chair: Jushan Bai (Boston College) |
| Donald W. K. Andrews (Yale University), "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis" Discussant: Javier Hidalgo (London School of Economics) |
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| Douglas Hodgson (University of Rochester), "Efficient Semiparametric Estimation of Dynamic Nonlinear Systems under Elliptical Symmetry" Discussant: Jegan Jeganathan (University of Michigan) |
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| Guido Kuersteiner (Massachusetts Institute of Technology), "RMSE Reduction for GMM Estimators of Linear Time Series Models" Discussant: A Ronald Gallant (University of North Carolina) |
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| Richard Smith (University of Bristol), "Generalized Empirical Likelihood Criteria for Generalized Method of Moments Estimation and Inference" Discussant: Yuichi Kitamura (University of Wisconsin) |
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| 10:15 | SESSION A6. LONG MEMORY — Chair: Clifford Hurvich (New York University) |
| Ngai Hang Chan (Carnegie Mellon University) and Giovanni Petris (University of Arkansas), "A Bayesian Analysis of Long Memory Stochastic Volatility" Discussant: Benoit Perron (Université de Montréal) |
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| Miguel Delgado (Universidad Carlos III de Madrid) and Javier Hidalgo (London School of Economics), "Bootstrap Goodness-of-Fit Tests for FARIMA Models" Discussant: Laura Mayoral (Universidad Carlos III de Madrid) |
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| Frank Diebold (University of Pennsylvania) and Atsushi Inoue (North Carolina State University), "Long Memory and Structural Change" Discussant: Steven Durlauf (University of Wisconsin) |
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| Christian Gourieroux and Joanna Jasiak (CEPREMAP), "Nonlinear Autocorrelogram and Canonical Analysis" Discussant: Benedict Pötscher (University of Vienna) |
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| Konstantin Tyurin and Peter C. B. Phillips (Yale University), "The Occupation Density of Fractional Brownian Motion and Some of Its Applications" Discussant: Joanna Jasiak (York University) |
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| 10:15 | SESSION B6. COMPUTATION AND STOCHASTIC VOLATILITY — Chair: Oliver Linton (Yale University) |
| Robert Engle (University of California, San Diego), "CAViaR: Conditional Value at Risk by Regression Quantiles" Discussant: Yoon-Jae Whang (Ewha Women's University) |
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| John Geweke (University of Iowa), "Computational Experiments and Reality" Discussant: Gene Savin (University of Iowa) |
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| John Rust and George Hall (Yale University), "Econometric Methods for Endogenously Sampled Time Series" Discussant: Halbert White (University of California, San Diego) |
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| Alex Maynard (Federal Reserve System) and Peter C. B. Phillips (Yale University), "Rethinking an Old Empirical Puzzle: Econometric Evidence on the Forward Discount Anomaly" Discussant: Michael Wickens (University of York) |
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| Neil Shephard (Oxford University), "Non-Gaussian OU Based Models and Some of Their Uses in Financial Economics" Discussant: George Tauchen (Duke University) |
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| 1:00 | SESSION A7. DIFFUSIONS — Chair: Christian Gourieroux (CEPREMAP) |
| Federico Bandi (University of Chicago) and Peter C. B. Phillips (Yale University), "Accelerated Asymptotics for Diffusion Model Estimation" Discussant: Robert de Jong (Michigan State University) |
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| Xiaohong Chen (London School of Economics), Lars Hansen (University of Chicago), and José Scheinkman (Princeton University), "Principal Components and the Long Run" Discussant: Yongmiao Hong (Cornell University) |
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| Oliver Linton (Yale University), "Nonparametric Estimation of Stochastic Discount Factors" Discussant: Dag Tjøstheim (University of Bergen) |
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| Yacine Aït Sahalia (Princeton University), "Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed Form Approach" Discussant: Arthur Lewbel (Boston College) |
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| 1:00 | SESSION B7. FINANCIAL DATA AND PANELS — Chair: Steven Durlauf (University of Wisconsin) |
| Richard Baillie (Michigan State University), "Multivariate ARFIMA Models for Climatic and Financial Data" Discussant: Marcus Chambers (University of Essex) |
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| Michael Binder (University of Maryland), Cheng Hsiao (University of Southern California), and Hashem Pesaran (University of Cambridge), "Likelihood Based Inference for Panel Vector Autoregressions" Discussant: Peter Schmidt (Michigan State University) |
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| H. Roger Moon (University of California, Santa Barbara) and Peter C. B. Phillips (Yale University), "Maximum Likelihood Estimation in Panels with Incidental Trends" Discussant: Richard Smith (University of Bristol) |
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| Doug Steigerwald (University of California, Santa Barbara), "Explaining Stochastic Volatility in Asset Prices" Discussant: Alex Maynard (Federal Reserve System) |
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| 2:45 | SESSION A8. STRONG DEPENDENCE AND FREQUENCY DOMAIN METHODS — Chair: George Tauchen (Duke University) |
| Javier Hidalgo (London School of Economics), "Prediction of Strongly Dependent Processes in the Frequency Domain with Application to Signal Extraction" Discussant: Konstantin Tyurin (Yale University) |
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| Chang Sik Kim and Peter C. B. Phillips (Yale University), "Log Periodogram Regression: The Nonstationary Case" Discussant: Marc Henry (Columbia University) |
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| Katsumi Shimotsu and Peter C. B. Phillips (Yale University), "Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case" Discussant: Clifford Hurvich (New York University) |
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| Carlos Velasco (Universidad Carlos III de Madrid), "Nonparametric Frequency Domain Analysis of Non-Stationary Multivariate Time Series" Discussant: Chang Sik Kim (Yale University) |
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| 4:45 | CLOSE: Peter C. B. Phillips |