Some Advances in Econometrics

June 11-12, 2012

Organizer: Xiaohong Chen

MONDAY
8:00 Continental Breakfast
  SESSION 1. Chaired by Donald Andrews
9:00 James Stock (Harvard), “Inference in Structural VARs with External Instruments” (with José Luis Montiel Olea and Mark W. Watson) (Abstract)
9:50 Break
10:05 Serena Ng (Columbia), “Constructing Common Factors from Continuous and Categorial Data”
11:00 Guido Kuersteiner (Georgetown), The Causal Effect of Fed Target Shifts on the Yield Curve: A Semiparametric Response Analysis” (with Joshua Angrist and Oscar Jorda)
11:50 Lunch
  SESSION 2. Chaired by Graham Elliott
1:00 Eric Renault (Brown), “Variance Targeting for Heavy Tailed Time Series” (with Jonathan B. Hill) [Slides]
1:50 Break
2:05 Qi-man Shao (Hong Kong University), “On Control of False Discovery Rate under Dependence” (with Weidong Liu) (Abstract)
3:00 Anna Mikusheva (MIT), “A Geometric Approach to Weakly Identified Econometric Models” (with Isaiah Andrews)
3:50 Break
  SESSION 3. Chaired by Yixiao Sun
4:05 Jiti Gao (Monash University, Australia), “Estimation and Specification in Nonlinear Nonstationary Time Series Models” (Abstract)
5:00 Victor Chernozhukov (MIT), Inference on Treatment Effects After Selection amongst High-Dimensional Controls” (with Alexandre Belloni and Christian Hansen)
7:00 Dinner, Ibiza Restaurant, 39 High Street
TUESDAY
8:00 Continental Breakfast
  SESSION 4. Chaired by Yuichi Kitamura
9:00 Manuel Arellano (CEMFI, Madrid), “Random Effects Quantile Regression”
9:50 Break
10:05 Ulrich Müller (Princeton), “Credibility of Confidence Sets in Nonstandard Econometric Problems” (with Andriy Norets)
11:00 Patrik Guggenberger (UCSD), “A Proof of the Correct Asymptotic Size of the LM and CLR Test Without Identification Assumptions”
11:50 Lunch
  SESSION 5. Chaired by Bo Honore
1:00 Whitney Newey (MIT), Individual Heterogeneity and Average Welfare”
1:50 Break
2:05 Han Hong (Stanford), “The Asymptotic Distribution of Estimators with Overlapping Simulation Draws” (with Tim Armstrong and A Ronald Gallant and and Huiyu Li)
3:00 Donald Andrews (Yale), “Similar-on-the Boundary Tests for Moment Inequalities Exist, But Have Very Poor Power”
3:50 Break
  SESSION 6. Chaired by James Powell
4:05 Rosa Matzkin (UCLA), “On Independence Assumptions in Simultaneous Equations Models”
5:00 Elie Tamer (Northwestern), “Inference in a Finite Mixture Model with Application to Experimental Data” (with X. Chen and M. Ponomareva)

Attendees

Abadie, Alberto
Andrews, Donald W.K.
Arellano, Manuel
Armstrong, Timothy
Beare, Brendan
Canay, Ivan
Chen, Xiaohong
Cheng, Xu
Chernozhukov, Victor
Ching, Andrew
Elliott, Graham
Evdokimov, Kirill
Gandhi, Amit
Gao, Jiti
Guggenberger, Patrik
Hong, Han
Honore, Bo
Khan, Shakeeb
Kitamura, Yuichi
Kleibergen, Frank
Kuersteiner, Guido
Liao, Zhipeng
Matzkin, Rosa
Meghir, Costas
Mikusheva, Anna
Müller, Ulrich
Newey, Whitney
Ng, Serena
Norets, Andriy
Otsu, Taisuke
Pouzo, Demian
Powell, James
Qu, Zhongjun
Renault, Eric
Santos, Andres
Shaikh, Azeem
Shao, Qi-man
Shi, Xiaoxia
Stock, James
Sun, Yixiao
Tamer, Elie
Torgovitsky, Alexander
Vytlacil, Edward
Zhou, Harrison