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Handling Dependence: Temporal, Cross-Sectional, and Spatial

June 22-23, 2009

Organizer: Donald Andrews

MONDAY
8:00 Continental Breakfast
  SESSION 1
9:00 Lung-fei Lee (Ohio State University), "Near Unit Root and Spurious Regression in the Spatial Autoregressive Model" (with Jihai Yu) [Background reading: Paper 1 and Paper 2]
9:35 Tim Conley (University of Chicago), "Inference with Dependent Data Using Cluster Covariance Estimators"
10:10 Break
  SESSION 2
10:30 Guido Kuersteiner (UC-Davis), "Limit Theory for Panel Data Models with Cross Sectional Dependence and Sequential Exogeneity" (with Ingmar Prucha) [Slides]
11:05 Paolo Zaffaroni (Imperial College Business School), "Generalized Least Squares Estimation of Panel with Common Shocks"
11:40 Francesco Moscone (Brunel Business School), "Testing for Error Cross Section Independence in Panels" (with Elisa Tosetti)
12:15 Lunch
  SESSION 3
1:30 Steven Durlauf (University of Wisconsin), "Adoption Curves and Social Interactions" (with William Brock)
  Ulrich Müller (Princeton University), "Pre and Post Break Parameter Inference" (with Graham Elliot)
2:05 Joon J. Park (Texas A&M University), "Inference on Conditional Mean Models in Continuous Time: Theory and Application" [abstract]
3:15 Break
  SESSION 4
3:45 S. N. Lahiri (Texas A&M University), "On Pooled Block Bootstrap Estimation" (with Arnab Maity)
4:25 Sílvia Gonçalves (University of Montreal), "The Moving Blocks Bootstrap for Panel Linear Regression Models with Individual Fixed Effects"
6:30 Dinner, Ibiza, 39 High Street
TUESDAY
8:00 Continental Breakfast
  SESSION 5
9:00 Roger Moon (University of Southern California), "Likelihood Expansion for Panel Regression Models with Factors" (with Martin Weidner)
9:35 Jushan Bai (Columbia University), "Likelihood Approach to Small T Dynamic Panel with Interactive Effects" [Slides]
10:10 Break
  SESSION 6
10:30 C. Alan Bester (University of Chicago), "Fixed-b Asymptotics for Spatially Dependent Robust Nonparametric Covariance Matrix Estimators"
11:05 Badi Baltagi (Syracuse University), "Spatial Panels" [abstract]
11:40 Nazgul Jenish (New York University), "Central Limit Theorems and Uniform Laws of Large Numbers for Dependent Random Fields" (with Ingmar R. Prucha)
12:15 Lunch
  SESSION 7
1:30 Martin Weidner (University of Southern California) "Inference on Panel Regression Models with Unknown Number of Factors" (with Roger Moon)
2:05 Xiaohong Chen (Yale University), "Efficient Estimation of Copula-Based Semiparametric Markov Models" (with Wei Biao Wu, and Yanping Yi)
2:40 Donald Andrews (Yale University), "Heteroskedasticity and Autocorrelation Robust Inference"

Attendees

Jushan Bai (Columbia University)
Badi Baltagi (Syracuse University)
C. Alan Bester (University of Chicago)
Xiaohong Chen (Yale University)
Tim Conley (University of Chicago)
Steven Durlauf (University of Wisconsin)
Silvia Goncalves (University of Montreal)
Christian Hansen (University of Chicago)
Nazgul Jenish (New York University)
Guido Kuersteiner (University of California-Davis)
S.N. Lahiri (Texas A&M University)
Lung-fei Lee (Ohio State University)
Roger Moon (University of California-Davis)
Francesco Moscone (Brunel Business School)
Ulrich Mueller (Princeton University)
Serena Ng (Columbia University)
Joon Park (Texas A&M University)
Michael Stein (University of Chicago)
Martin Weidner (University of Southern California)
Paolo Zaffaroni (Imperial College Business School)