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

NOTE: In case of inclememt weather, a bus will be provided from the Omni Hotel to SOM on Saturday at 8:15 a.m.      

*Presenter                                                                                          Program (PDF)

Friday, October 19
8:00am to 8:50am Registration and Breakfast
8:50am to 9:00am Welcome
Session: Dependent Processes
9:00am to 9:30am Degui Li (University of York), *Peter M. Robinson (London School of Economics), Han Lin Shang (Australian National University), "Long-Range Dependent Curve Time Series"
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" [Slides]
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" [Slides]
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" [Slides]
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" [Slides]
12:00pm to 12:30pm *Timothy M. Christensen (New York University), Benjamin Connault (IEX Group), "Counterfactual Sensitivity and Robustness"
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" [Slides]
2:30pm to 3:00pm *Michael Jansson (University of California, Berkeley), "Average Density Estimation: Efficiency and Bootstrap Consistency"
3:00pm to 3:30pm *Yixiao Sun (University of California, San Diego), "Fixed Smoothing Asymptotics Under Weak Identification" [Abstract]
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), Peter C.B. Phillips (Yale University), "Hypothesis Testing under Matrix Normalization" [Abstract] [Slides]
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" [Abstract] [Slides]
6:30pm Dinner - Union League Cafe, 1032 Chapel Street [Map]
Saturday, October 20
8:30am to 9:30am Breakfast
Session: Small Sample Theory
9:30am to 10:00am *Bruce Hansen (University of Wisconsin - Madison), "The Exact Distribution of the t-ratio with Robust and Clustered Standard Errors" [Slides]
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 *Steven Durlauf (University of Chicago), "Measuring the Role of Genes in Socioeconomic Behavior" [Slides]
11:30am to 12:00pm *Frank Schorfheide (University of Pennsylvania), Minsu Chang (University of Pennsylvania), Xiaohong Chen (Yale University), "Heterogeneity and Aggregate Fluctuations" [Slides]Breakfast
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 - Beinecke Terrace Room
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" [Slides]
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" [Slides]
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" [Abstract] [Slides]
5:30pm to 7:00pm Reception - The Forum, Room 1400

Participants

Karim Abadir (Imperial College London)
Yoonseok Lee (Syracuse University)
Christine Amsler (Michigan State University)
Zhipeng Liao (UCLA)
Torben G. Andersen (Kellog School of Management at Northwestern)
Offer Lieberman (Bar-Ilan University)
Donald Andrews (Yale University)
Oliver Linton (University of Cambridge)
Timothy Armstrong (Yale University)
Mico Loretan (Swiss National Bank)
Richard Baillie (Michigan State University)
Biao (Bill) Lu (Aspetuck Capital Management)
Federico Bandi (Johns Hopkins University)
Esfandiar Maasoumi (Emory University)
Brendan Beare (University of California, San Diego)
Tassos Magdalinos (University of Southampton)
Eric Becker (Intuit Inc.)
Vadim Marmer (University of British Columbia)
Dirk Bergemann (Yale University)
Alex Maynard (University of Guelph)
Steven Berry (Yale University)
Anna Mikusheva (Massachusetts Institute of Technology)
Irene Botosaru (University of Bristol)
Jordan Milev (NERA Economic Consulting )
William Brainard (Yale University)
Hyungsik Roger Moon (University of Southern California)
Anna Bykhovskaya (Yale University)
Giuseppe Moscarini (Yale University)
Lorenzo Caliendo (Yale University)
Chris Muris (University of Bristol)
Giuseppe Cavaliere (University of Bologna)
Thong Nguyen (Spring Creek Capital)
Yoosoon Chang (Indiana University at Bloomington)
Taisuke Otsu (London School of Economics and Political Science)
John Chao (University of Maryland at College Park)
Joon Park (Indiana University at Bloomington)
Xiaohong Chen (Yale University)
Kellin Pelrine (Yale University)
Xu Cheng (University of Pennsylvania)
Huaming Peng (Rensselaer Polytechnic Institute)
David Childers (Carnegie Mellon University)
Benoit Perron (Université de Montréal)
Jin Seo Cho (Yonsei University)
Peter C.B. Phillips (Yale University)
Timothy Christensen (New York University)
Werner Ploberger (Washington University in St. Louis)
Gregory Cox (Columbia University)
Benedikt Poetscher (Universität Vienna)
Manfred Deistler (Vienna University of Technology)
David Pollard (Yale University)
Bob Dimand (Brock University)
Vitor Possebom (Yale University)
Yaxin Duan (Goldman Sachs)
Peter Robinson (London School of Economics)
Steven Durlauf (University of Chicago)
Francesca Rossi (University of Verona)
Kirill Evdokimov (Massachusetts Institute of Technology)
Pentti Saikkonen (University of Helsinki)
Ray Fair (Yale University)
Larry Samuelson (Yale University)
Wayne Gao (Yale University)
Peter Schmidt (Michigan State University)
Liudas Giraitis (Queen Mary University of London)
Frank Schorfheide (UPenn)
Patrik Guggenberger (Pennsylvania State University)
Myung Seo (Seoul National University)
Binbin Guo (The Vanguard Group)
Juwon Seo (National University of Singapore)
Phil Haile (Yale University)
Xiaoxia Shi (University of Wisconsin - Madison)
Sukjin Han (University of Texas at Austin)
Zhentao Shi (Chinese University of Hong Kong)
Bruce Hansen (University of Wisconsin - Madison)
Katsumi Shimotsu (Tokyo University)
Douglas Hodgson (Université du Québec à Montréal)
Richard J. Smith (University of Cambridge)
Cheng Hsiao (University of Southern California)
Kevin Song (University of British Columbia)
Jungbin Hwang (University of Connecticut)
Liangjun Su (Singapore Management University)
Rustam Ibragimov (Imperial College Business School)
Donggyu Sul (University of Texas at Dallas)
Michael Jansson (University of California, Berkeley)
Yixiao Sun (University of California, San Diego)
Ilze Kalnina (North Carolina State University)
Katsuto Tanaka (Gakushuin University)
Sid Kankanala (Yale University)
Robert Taylor (University of Essex)
Ioannis Kasparis (University of Cyprus)
Konstantin Tyurin (Investment Technology Group)
Yuichi Kitamura (Yale University)
Ed Vytacil (Yale University)
Al Klevorick (Yale University)
Qiying Wang (University of Sydney)
George Korniotis (University of Miami)
Yoon-Jae Whang (Seoul National University)
Sam Kortum (Yale University)
James Wolter (Lord, Abbett and Co.)
Guido Kuersteiner (University of Maryland at College Park)
Zhijie Xiao (Boston College)
Soonwoo Kwon (Yale University)
Yuewu Xu (Fordham University)
Koohyun Kwon (Yale University)
Ke-Li Xu (Indiana University at Bloomington)
Maria Kyriacou (University of Southampton)
Kohei Yata (Yale University)
Louise Laage (Yale University)
Jun Yu (Singapore Management University)
Ji Hyung Lee (University of Illinois at Urbana-Champaign)
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).

For travel expense reimbursement for the Cowles GE 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 travel expense reimbursement for the Peter Philips Conferences, please send the following items by Friday, November 23, 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

Contacts

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

The Cowles Foundation is located in the heart of Yale’s campus at 30 Hillhouse Avenue.  Use theYale 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:

You can also report a crime or send an anonymous text tip through our Bulldog Mobile (LiveSafe) app. (To register for Bulldog Mobile please visit the Yale LiveSafe page)

For addtional emergency information, visit the Yale Emergency Management website.

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.