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)
  Marc Henry (Columbia University), “Averaged Periodogram Spectral Estimation With Long Memory Conditional Heteroscedasticity
    Discussant: Juan Dolado (Universidad Carlos III de Madrid)
  Peter C. B. Phillips (Yale University), “Discrete Fourier Transforms of Fractional Processes
    Discussant: Carlos Velasco (Universidad Carlos III de Madrid)
  Peter M. Robinson (London School of Economics), “Analysis of Cointegrated Nonstationary Fractional Processes
    Discussant: Katsumi Shimotsu (Yale University)
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)
  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)
  Woocheol Kim (Humboldt-Universitaet zu Berlin), “Econometric Analysis of Evolutionary Time Series
    Discussant: Pentti Saikkonen (University of Helsinki)
  Timothy Vogelsang (Cornell University), “Testing for a Shift in Trend When Serial Correlation is of Unknown Form
    Discussant: Bruce Hansen (University of Wisconsin)
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)
  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)
  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)
  Michael Wickens (University of York), “Can the Stochastic Discount Factor Models Explain the FOREX Risk Premium
    Discussant: Sam Ouliaris (International Monetary Fund)
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)
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)
  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)
  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)
  Dag Tjøstheim (University of Bergen), “Nonparametric Estimates in a Nonlinear Cointegration Type Model
    Discussant: Yoosoon Chang (Rice University)
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)
  Yuichi Kitamura (University of Wisconsin), “Predictive Inference and the Bootstrap
    Discussant: Joel Horowitz (University of Iowa)
  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)
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)
  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)
  Werner Ploberger (University of Rochester), “A Complete Class of Tests When the Likelihood Is Locally Asymptotically Quadratic
    Discussant: Christian Gourieroux (CEPREMAP)
  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)
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)
  Joel Horowitz and Gene Savin (University of Iowa), “Testing for Autocorrelation Under Weak Assumptions
    Discussant: Binbin Guo (University of California, Santa Cruz)
  Peter Schmidt and Christine Amsler (Michigan State University), “Tests of Short Memory with Thick-Tailed Errors
    Discussant: Jesus Gonzalo (Universidad Carlos III de Madrid)
  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)
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)
  Jae-Young Kim (State University of New York at Albany), “Generalized Bayesian Information Criterion
    Discussant: Tim Vogelsang (Cornell University)
  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)
  Yoon-Jae Whang (Ewha Women’s University), “Testing for the Martingale Hypothesis
    Discussant: Atsushi Inoue (North Carolina State University)
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)
  Douglas Hodgson (University of Rochester), “Efficient Semiparametric Estimation of Dynamic Nonlinear Systems under Elliptical Symmetry
    Discussant: Jegan Jeganathan (University of Michigan)
  Guido Kuersteiner (Massachusetts Institute of Technology), “RMSE Reduction for GMM Estimators of Linear Time Series Models
    Discussant: A Ronald Gallant (University of North Carolina)
  Richard Smith (University of Bristol), “Generalized Empirical Likelihood Criteria for Generalized Method of Moments Estimation and Inference
    Discussant: Yuichi Kitamura (University of Wisconsin)
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)
  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)
  Frank Diebold (University of Pennsylvania) and Atsushi Inoue (North Carolina State University), “Long Memory and Structural Change
    Discussant: Steven Durlauf (University of Wisconsin)
  Christian Gourieroux and Joanna Jasiak (CEPREMAP), “Nonlinear Autocorrelogram and Canonical Analysis
    Discussant: Benedict Pötscher (University of Vienna)
  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)
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)
  John Geweke (University of Iowa), “Computational Experiments and Reality
    Discussant: Gene Savin (University of Iowa)
  John Rust and George Hall (Yale University), “Econometric Methods for Endogenously Sampled Time Series”
    Discussant: Halbert White (University of California, San Diego)
  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)
  Neil Shephard (Oxford University), “Non-Gaussian OU Based Models and Some of Their Uses in Financial Economics
    Discussant: George Tauchen (Duke University)
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)
  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)
  Oliver Linton (Yale University), “Nonparametric Estimation of Stochastic Discount Factors
    Discussant: Dag Tjøstheim (University of Bergen)
  Yacine Aït Sahalia (Princeton University), “Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed Form Approach”
    Discussant: Arthur Lewbel (Boston College)
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)
  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)
  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)
  Doug Steigerwald (University of California, Santa Barbara), “Explaining Stochastic Volatility in Asset Prices
    Discussant: Alex Maynard (Federal Reserve System)
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)
  Chang Sik Kim and Peter C. B. Phillips (Yale University), “Log Periodogram Regression: The Nonstationary Case
    Discussant: Marc Henry (Columbia University)
  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)
  Carlos Velasco (Universidad Carlos III de Madrid), “Nonparametric Frequency Domain Analysis of Non-Stationary Multivariate Time Series
    Discussant: Chang Sik Kim (Yale University)
4:45 CLOSE: Peter C. B. Phillips