Greater New York Metropolitan Area Econometrics Colloquium

December 2, 2006

Coordinators: Yuichi Kitamura and Taisuke Otsu

8:30 Coffee, Opening Remarks
9:00 SESSION 1. TIME SERIES — Chair: Bruce Hansen
  Jushan Bai (NYU), “Panel Cointegration with Global Stochastic Trends” (with Chihwa Kao & Serena Ng)
  Ulrich Mueller (Princeton University), “t-statistic Based Correlation and Heterogeneity Robust Inference” (with Rustam Ibragimov)
  Haipeng Xing (Columbia University),”Stochastic Change-Point ARX-GARCH Models and their Applications to Econometric Time Series”
10:30 Break
10:45 SESSION 2. MICROECONOMICS — Chair: Jean-Marc Robin
  Debopam Bhattacharya (Dartmouth College & Yale University), “Inferring Optimal Resource Allocation from Experimental Data
  Dylan Small (University of Pennsylvania), “Sensitivity Analysis for Instrumental Variables Regression with Overidentifying Restrictions
  Gautam Tripathi (University of Connecticut), “Estimating Linear Functionals of Nonparametric Regression Models with Endogenous Regressors” (with T. Severini)
12:15 Lunch
1:45 SESSION 3. SPECIAL SESSION BY GRADUATE STUDENTS — Chair: Yuichi Kitamura
  Brendan Beare (Yale University), “Copulas and Temporal Dependence
  Alfred Galichon (Harvard University & Columbia University), “The Dilation Bootstrap” (with Marc Henry)
  Demain Pouzo (NYU), “Efficient Estimation of Semi/Nonparametric Conditional Moment Models with Nonsmooth Moments” (with Xiaohong Chen)
  Ke-Li Xu (Yale University), “Empirical Likelihood Based Inference of Nonlinear Diffusions”
3:15 Break
3:30 SESSION 4. ADVANCES IN ECONOMETRIC THEORY — Chair: Peter Phillips
  Donald Andrews (Yale University), “Hybrid and Size-Corrected Subsample Methods” and “The Limit of Finite-Sample Size and a Problem with Subsampling” (both with Patrik Guggenberger)
  Aureo de Paula (University of Pennsylvania), “Interdependent Durations” (with Bo Honore)
  Dennis Kristensen (Columbia University), “Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach”
  Kevin Song (University of Pennsylvania), “Testing Conditional Independence using Conditional Martingale Transforms
6:30 Dinner, Scoozzi Trattoria and Wine Bar

PARTICIPANTS

FACULTY
Donald Andrews (Yale)
Andres Aradillas (Princeton)
Jushan Bai (NYU)
Debopam Bhattacharaya (Dartmouth and Yale)
Xiaohong Chen (NYU)
Robert Engle (NYU)
Eric Gautier (Yale)
Bill Greene (NYU)
Bruce Hansen (U-WI Madison)
Marc Henry (Columbia
Rustam Ibragimov (Harvard)
Yuichi Kitamura (Yale)
Frank Kleibergen (Brown)
Dennis Kristensen (Columbia)
Sophocles Mavroeidis (Brown)
Ulrich Mueller (Princeton)
Alexei Onatski (Columbia)
Taisuke Otsu (Yale)
Aureo de Paula (U-Penn)
Peter Phillips (Yale)
Gonzalo Rangel (NYU)
Jean-Marc Robin (Univ. of Paris)
Bernard Salanie (Columbia)
Azeem Shaikh (Univ. of Chicago & Yale)
Dylan Small (Wharton)
Kevin Song (U-Penn)
Joerg Stoye (NYU)
Gautam Tripathi (U-Conn)
Ed Vytlacil (Columbia)
Zhijie Xiao (Boston College)
Haipeng Xing (Columbia)

UNIVERSITIES
Brown University
Columbia University
New York University
Princeton University
Rutgers University
University of Connecticut
University of Pennsylvania
Yale University

GRADUATE STUDENTS
Brendan Beare (Yale)
Xu Cheng (Yale)
Wei Dou (Yale)
Yaxin Duan (Yale)
Kirill Evdokimov (Yale)
Alfred Galichon (Columbia and Harvard)
Seik Kim (Yale)
Toru Kitagawa (Brown)
Huaming Peng (Yale)
Demain Pouzo (NYU)
Xiaoxia Shi (Yale)
Ke-Li Xu (Yale)
Mingyuan Zhang (Wharton)