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22nd Canadian Econometrics Study Group Conference

Model Uncertainty, Identification and Selection in Econometrics

October 21-22, 2005
Simon Fraser University at Harbour Centre

 

Friday, October 21st
All speakers and sessions in Fletcher Challenge Theatre

8:00am-8:45am Registration (Harbour Centre Concourse)
8:50am-9:00am Welcoming Remarks
9:00am-10:30am Financial Econometrics
Session Chair: Alfred Haug (York University)

“Efficient Derivative Pricing by Extended Method of Moments”
Christian Gourieroux (University of Toronto)
Patrick Gagliardini (University of St. Gallen and University of Lugano)
Eric Renault (University of Montreal)
Discussant: Eric Zivot (University of Washington)

“On the Power of Cross-Sectional and Multivariate Tests of the CAPM”
Robert Grauer (Simon Fraser University)
Johannus A. Janmaat (Acadia University)
Discussant: Rene Garcia (University of Montreal)
10:30am-11:00am Refreshment Break (Harbour Centre Concourse)
11:00am-12:30pm Microeconometrics
Session Chair: Brian Krauth (Simon Fraser University)

“Decomposing Wage Distributions: Identification and Inference”
Thomas Lemieux (University of British Columbia)
Sergio Firpo (University of British Columbia)
Nicole Fortin (University of British Columbia)
Discussant: Simon Woodcock (Simon Fraser University)

“The Impact of Family Income and Child Achievement”
Lance Lochner (University of Western Ontario)
Discussant: Krishna Pendakur (Simon Fraser University)
12:30pm-1:55pm Lunch (Harbour Centre Concourse)
1:00pm-1:55pm Poster Session I (Segal Centre Rooms)
Session Chair: Nikola Gradojevic (Lakehead University)
2:00pm-3:30pm Natural Experiments and Large Deviations
Session Chair: Judith Clarke (Victoria University)

“Time-Series Estimation of the Effects of Natural Experiments”
Invited Speaker: Halbert White (University of California, San Diego)
Discussant: Jean-Marie Dufour (University of Montreal)

“Minimax Estimation and Testing for Moment condition Models via
Large Deviations”
Taisuke Otsu (Yale University)
Discussant: Shinichi Sakata (University of British Columbia)
3:30pm-4:00pm Refreshment Break (Harbour Centre Concourse)
4:00pm-5:30pm Forecasting and Identification
Session Chair: Jean-Francois Lamarche (Brock University)

“Nonlinearity, Nonstationarity and Spurious Forecasts”
Vadim Marmer, (University of British Columbia)
Discussant: Joann Jasiak (York University)

“Another Look at the Identification of Dynamic Discrete Decision Processes”
Victor Aguirregabiria (Boston University)
Discussant: Russell Davidson (McGill University)
5:45pm-7:00pm Panel Discussion

Panel Theme: "Model Uncertainty, Identification and Selection in Econometrics"

Chair: Peter Kennedy (Simon Fraser University)

Panel Members:
Russell Davidson (McGill University)
Jean-Marie Dufour (University of Montreal)
Bruce Hansen (University of Wisconsin-Madison)
Hal White (UCSD)
7:00pm-9:00pm Reception (Segal Centre Conference Room)


Saturday, October 22nd
All speakers and sessions in Fletcher Challenge Theatre

8:00am-8:45am Breakfast (Segal Centre Conference Room)
9:00am-10:30am Volatility
Session Chair: Geoffrey Poitras (Simon Fraser University)

“A Comparison of Univariate Stochastic Volatility Models for U.S. Short Rates Using EMM Estimation”
Ying Gu (University of Washington)
Eric Zivot (University of Washington)
Discussant: Angelo Melino (University of Toronto)

“Bootstrapping Realized Volatility”
Silvia Goncalves (University of Montreal)
Nour Meddahi (University of Montreal)
Discussant: Jason Allen (Bank of Canada)
10:30am-11:00am Refreshment Break (Segal Centre Rooms)
11:00am-12:30pm Dimensionality and Nonparametrics
Session Chair: Adonis Yatchew (University of Toronto)

“Reduced-Dimension Controls in Instrumental Variables Regression”
Victoria Zinde-Walsh (McGill University) and John Galbraith (McGill University)
Discussant: Paul Rilstone (York University)

“Breaking the curse of dimensionality in nonparametric testing”
Pascal Lavergne (Simon Fraser University) and Valentin Patilea (ENSAI Rennes)
Discussant: Yanqin Fan (Vanderbilt University)
12:30pm-1:25pm Lunch (Segal Centre Rooms)
1:30pm-3:00pm Least Squares Averaging and K-Step Estimation
Session Chair: Victoria Zinde-Walsh (McGill University)

“Least Squares Model Averaging”
Invited Speaker: Bruce Hansen (University of Wisconsin)
Discussant: Eric Renault (University of North Carolina)

“K-step Estimation and Bootstrap-based Inference for Structural Discrete Markov Decision Models”
Katsumi Shimotsu (Queen’s University) and Hiroyuki Kasahara (University of Western Ontario)
Discussant: Silvia Goncalves (University of Montreal)
3:00pm-3:30pm Refreshment Break (Segal Centre Rooms)
3:30pm-5:00pm Filtering & Semiparametric Estimation
Session Chair: Gordon Fisher (Concordia University)

“Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering”
Chad Stroomer (University of Victoria) and David Giles (University of Victoria)
Discussant: Ken Kasa (Simon Fraser University)

“Nonstandard Asymptotics for Quantile Regression”
Chuan Goh (University of Toronto)
Discussant: Jeff Racine (McMaster University)
5:00pm-6:00pm Poster Session II (Segal Centre Rooms)
Session Chair: Marie Rekkas (Simon Fraser University)
7:00 pm Dinner Banquet
Top of Vancouver Revolving Restaurant