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 |
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| 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 |