A Celebration of Peter Phillips' Forty Years at Yale

October 19-20, 2018

Location: Yale School of Management 
Evans Hall, 165 Whitney Ave., Room 2400
[Hotel Map - Building Map]

Organizers: Donald Andrews and Yuichi Kitamura

*Presenter

Friday, October 19
8:00am to 9:00am Registration and Breakfast
8:50am to 9:00am Welcome
Session: Dependent Processes
9:00am to 9:30am *Peter M. Robinson (London School of Economics), "Long-Range Dependent Curve Time Series (joint with Degui Li and Han Lin Shang)"
9:30am to 10:00am *Kyungchul (Kevin) Song (University of British Columbia), Mahdi Ebrahimi Kahou (University of British Columbia), "A Decomposition Analysis of Diffusion over a Large Network"
10:00am to 10:30am Jinyong Hahn (University of California, Los Angeles), *Guido Kuersteiner (University of Maryland), Maurizio Mazzocco (University of California, Los Angeles), "Central Limit Theory for Combined Cross-Section and Time Series"
10:30am to 11:00am Coffee Break
Session: Econometric Models Under Time Series Dependence
11:00am to 11:30am *Oliver Linton (University of Cambridge), "Estimation of a Parsimonious Multiplicative Model for Large Covariance Matrices"
11:30am to 12:00pm *Xu Cheng (University of Pennsylvania), Winston Wei Dou (University of Pennsylvania), Zhipeng Liao (University of California, Los Angeles), "Conditional GMM Model Specification Test with Applications to Asset Pricing Models"
12:00pm to 12:30pm *Timothy M. Christensen (New York University), "Dynamic Models with Model Uncertainty: Identification and Estimation"
12:30pm to 2:00pm Lunch
Session: Nonparametrics/Semiparametrics
2:00pm to 2:30pm *Katsumi Shimotsu (Tokyo University), "Nonparametric Identification of Mixture Models by Moment Restrictions"
2:30pm to 3:00pm *Michael Jansson (University of California, Berkeley), "Efficiency and Bootstrap Consistency"
3:00pm to 3:30pm *Yixiao Sun (University of California, San Diego), "Fixed Smoothing Asymptotics Under Weak Identification"
3:30pm to 4:00pm Coffee Break
Session: Nonstationary Time Series
4:00pm to 4:30pm *Joon Park (Indiana University at Bloomington), "Econometric Analysis of Functional Dynamics in the Presence of Persistence"
4:30pm to 5:00pm *Tassos Magdalinos (University of Southampton), "Hypothesis Testing under Matrix Normalization"
5:00pm to 5:30pm *Torben G. Andersen (Northwestern University), Rasmus T. Varneskov (Copenhagen Business School), "Consistent Inference for Multivariate VAR Systems with Persistent Variables"
6:30pm Dinner - Union League Cafe, 1032 Chapel Street
Saturday, October 20
8:00am to 9:00am Breakfast
Session: Small Sample Theory
9:00am to 9:30am *Grant Hillier (University of Southampton), Raymond Kan (University of Toronto), "Some Properties of the Inverse of a Noncentral Wishart Matrix"
9:30am to 10:00am *Bruce Hansen (University of Wisconsin - Madison), "The Exact Distribution of the t-ratio with Robust and Clustered Standard Errors"
10:00am to 10:30am *Benedikt Pötscher (Universität Vienna), "On Autocorrelation Robust Tests"
10:30am to 11:00am Coffee Break
Session: Applied Time Series
11:00am to 11:30am *Steve Durlauf (University of Wisconsin - Madison), "TBA"
11:30am to 12:00pm *Frank Schorfheide (University of Pennsylvania), Minsu Chang (University of Pennsylvania), Xiaohong Chen (Yale University), "Heterogeneity and Aggregate Fluctuations"
12:00pm to 12:30pm *Federico Bandi (Johns Hopkins University), Shomesh Chaudhuri (MIT), Andrew Lo (MIT), Andrea Tamoni (LSE), "Measuring Horizon-Specific Systematic Risk via Spectral Betas"
12:30pm to 2:00pm Lunch
Session: Regularization With Dependent Data
2:00pm to 2:30pm *Hyungsik (Roger) Moon (University of Southern California), "A Random Matrix Theory and its Application to Econometrics"
2:30pm to 3:00pm Jia Li (Duke University), *Zhipeng Liao (University of California, Los Angeles), "Uniform Nonparametric Series Inference for Dependent Data with an Application to the Search and Matching Model"
3:00pm to 3:30pm Xun Lu (Hong Kong University of Science and Technology), *Liangjun Su (Singapore Management University), "Uniform Inference in Linear Panel Data Models with Two-dimensional Heterogeneity"
3:30pm to 4:00pm Coffee Break
Session: Time Series Theory
4:00pm to 4:30pm *Pentti Saikkonen (University of Helsinki), Mika Meitz (University of Helsinki), "Subgeometrically Ergodic Autoregressions"
4:30pm to 5:00pm *Brendan K. Beare (University of California, San Diego), Won-Ki Seo (University of California, San Diego), Alexis Akira Toda (University of California, San Diego), "Tail Behavior of Exponentially Stopped Markov-modulated Levy Processes"
5:00pm to 5:30pm *Liudas Giraitis (University of London), Violetta Dalla (University of Athens), Peter C. B. Phillips (Yale University), "Standard Testing Procedures for White Noise and Heteroskedasticity"

Participants

Anna Mikusheva (Massachusetts Institute of Technology)
Mico Loretan (Swiss National Bank)
Karim Abadir (Imperial College London)
Esfandiar Maasoumi (Emory University)
Christine Amsler (Michigan State University)
Tassos Magdalinos (University of Southampton)
Torben G. Andersen (Kellog School of Management at Northwestern)
Vadim Marmer (University of British Columbia)
Donald Andrews (Yale University)
Alex Maynard (University of Guelph)
Timothy Armstrong (Yale University)
Hyungsik Roger Moon (University of Southern California)
Federico Bandi (Johns Hopkins University)
Giuseppe Moscarini (Yale University)
Eric Becker (Intuit Inc.)
Chris Muris (University of Bristol)
Irene Botosaru (University of Bristol)
Thong Nguyen (Spring Creek Capital)
Giuseppe Cavaliere (University of Bologna)
Taisuke Otsu (London School of Economics and Political Science)
Yoosoon Chang (Indiana University at Bloomington)
Benoit Perron (Université de Montréal)
John Chao (University of Maryland at College Park)
Peter C.B. Phillips (Yale University)
Xiaohong Chen (Yale University)
Werner Ploberger (Washington University in St. Louis)
David Childers (Carnegie Mellon University)
Benedikt Poetscher (Universität Vienna)
Gregory Cox (Columbia University)
Peter Schmidt (Michigan State University)
Manfred Deistler (Vienna University of Technology)
Frank Schorfheide (UPenn)
Yaxin Duan (Goldman Sachs)
Myung Seo (Seoul National University)
Kirill Evdokimov (Massachusetts Institute of Technology)
Xiaoxia Shi (University of Wisconsin - Madison)
Patrik Guggenberger (Pennsylvania State University)
Zhentao Shi (Chinese University of Hong Kong)
Sukjin Han (University of Texas at Austin)
Richard J. Smith (University of Cambridge)
Bruce Hansen (University of Wisconsin - Madison)
Kevin Song (University of British Columbia)
Douglas Hodgson (Université du Québec à Montréal)
Donggyu Sul (University of Texas at Dallas)
Cheng Hsiao (University of Southern California)
Yixiao Sun (University of California, San Diego)
Rustam Ibragimov (Imperial College Business School)
Katsuto Tanaka (Gakushuin University)
Ioannis Kasparis (University of Cyprus)
Robert Taylor (University of Essex)
Yuichi Kitamura (Yale University)
Konstantin Tyurin (Investment Technology Group)
George Korniotis (University of Miami)
Yoon-Jae Whang (Seoul National University)
Guido Kuersteiner (University of Maryland at College Park)
James Wolter (Lord, Abbett and Co.)
Maria Kyriacou (University of Southampton)
Zhijie Xiao (Boston College)
Ji Hyung Lee (University of Illinois at Urbana-Champaign)
Yuewu Xu (Fordham University)
Yoonseok Lee (Syracuse University)
Ke-Li Xu (Indiana University at Bloomington)
Zhipeng Liao (UCLA)
Jun Yu (Singapore Management University)
Offer Lieberman (Bar-Ilan University)
Harrison Zhou (Yale University)

Conference Frequently Asked Questions


Yale provides visitors two Wi-Fi network options:

  • YaleGuest
  • Eduroam

YaleGuest is a public, insecure wireless network available for anyone’s use, but has limited network access. Due to security reasons, certain programs and functionality may not be accessible via the YaleGuest network, e.g., Dropbox, Skype, and Box.  

If possible, we recommended you use the Eduroam wireless network.  Eduroam (education roaming) is a secure, world-wide roaming access service that allows students, researchers and staff from participating institutions to obtain Internet connectivity across campuses when visiting other participating institutions.

If your institution is a partneraccess the Eduroam network by selecting Eduroam from the Wi-Fi list on your mobile device and sign-in using your home institution’s credentials*. View Eduroam’s complete listing of U.S. participating schools; International visitors can look for institutional listings on this country page.

For additional details, please contact your institution’s IT department or search your institution’s support page.

*Credential format is typically ID@UniversityName.edu, e.g., YaleNetID@yale.edu or SUNetID@win.stanford.edu

The conference will be held at the Yale School of Management (SOM), Evans Hall located at 165 Whitney Ave and is about a 15 minute walk from the Omni Hotel. The easiest route to SOM from the Omni Hotel is to go north on Temple St. which merges into Whitney Avenue. SOM will be on the right side of the street across from the Peabody Museum (see map below).

Reimbursement for travel expenses is offered for the General Equilibrium Conference and the Cowles Summer Conferences.

For travel expense reimbursement for the General Equilibrium Conference, please send the following items by Friday, May 18, 2018.

For travel expense reimbursement for the Cowles Summer Conferences, please send the following items by Friday, September 7, 2018.

FOR ALL PARTICIPANTS

FOR INTERNATIONAL VISITORS ONLY
 

IF YOU HOLD A B1/B2/WB/WT VISA:

IF YOU HOLD A G4/H-1B/J1/01 VISA:

IF YOU HOLD A F1 VISA:

Send original receipts, completed travel reimbursement form, and applicable international forms to:

Darlene Smith
Event & Visitor Assistant Administrator
Cowles Foundation at Yale University
30 Hillhouse Avenue
P.O. Box 208281
New Haven, CT 06520

Email questions to Darlene Smith

Yale and New Haven offer many attractions to bide your time while in the Elm City. Below is a list of a few:

Yale Attractions

New Haven Attractions

The conference sessions are held on the second floor in Evans Hall at the Yale School of Management. Restrooms can be found on the perimeter of the building along the sides and back of the building.

Click to enlarge

Use the Yale online campus map to help find your way around.

If you need assistance with an Omni Hotel room reservation, please contact Alyson Perri, Convention Services Manager, Omni Hotels.

In cases of emergency, contact the appropriate department listed below:

Yes, a shuttle bus will be arranged to drive between the hotel and conference location. Typically, an announcement will be sent out from Darlene Smith the day before with additional information.