26th annual meeting of Canadian Econometric Study Group

Preliminary Program. All Presenters are in Bold Letters.

Saturday September 19, 2009

For presenters: Time allowed 30 minutes

For discussants: Time allowed 12 minutes,

3 minutes left for questions

Information about the Registration and the Rooms of the Conference is available at:

Useful Info

A pdf version of the Program is available at:

CESG Meeting - Carleton 2009

Registration and Coffee: 7:45-8:30.

Opening address: 8:30-8:45: Lynda Khalaf (Carleton University)

 Session 1: 8:45-10:15.

Chair: Thanasis Stengos (Guelph University)

Sung Jae Jun (The Pennsylvania State University), Joris Pinkse (The Pennsylvania State University) and Haiqing Xu (The Pennsylvania State University). Tighter Bounds in Triangular Systems.

Discussant: Jeffrey Racine (McMaster University)

Alfred Galichon (Ecole Polytechnique) and Marc Henry (Université de Montreal). Set identification in models with multiple equilibria.

Discussant: Nese Yildiz (University of Rochester)

Coffee Break: 10:15-10:45.

Session 2: 10:45-12:15.

Chair: (Carleton University)

Invited presentation: Frank Schorfheide (University of Pennsylvania). Bayesian and Frequentist Inference in Partially Identified Models: The Case of Sign-Restriction VARs.

Discussant:  Eric Renault (University of North Carolina at Chapel Hill)

Ivana Komunjer (University of California, San Diego) and Serena Ng (Columbia University). On the Identification of DSGE Models.

Discussant: Sharon Kozicki (Bank of Canada)

LUNCH: 12:15-1:45.

Session 3: 1:45-3:15.

Chair: Benoit Perron(Université de Montréal)

Victoria Zinde-Walsh (McGill University). Errors-in-variables models: a generalized functions approach.

Discussant: Tiemen Woutersen (Johns Hopkins University)

Liqun Wang (University of Manitoba) and Cheng Hsiao (University of Southern California). Method of Moments Estimation and Identifiability of Semiparametric Nonlinear Errors-in-Variables Models.

Discussant: Russell Davidson (McGill University)

Coffee Break: 3:15-3:45

Session 4: 3:45-5:15.

Chair: Leo Michelis(Ryerson University)

Yanqin Fan (Vanderbilt University) and Jisong Wu (Vanderbilt University). Partial Identification of the Distribution of Treatment Effects in Switching Regimes Models and its Confidence Sets.

Discussant: Paul Rilstone (York University)

Charles Bellemare (Université Laval) and Bruce Shearer (Université Laval). Worker Heterogeneity and the Economic Importance of Risk and Matching: Evidence from Contractual Data and Field Experiments.

Discussant:  Marcel Voia (Carleton University)

Saturday September 19, 2009,

Poster Session: 5:15-7h00.

1. Jeffrey S. Racine (McMaster University). Data-Driven Model Evaluation: A Test for Revealed Performance

2. Wanling Huang (Concordia University) and Artem Prokhorov (Concordia University). An Asymptotic Expansion of the Distribution of the DM Test Statistic.

3. Firmin Doko (Université de Sherbrooke and Université de Montréal) and Jean-Marie Dufour (McGill University). Weak identification and confidence sets for covariances between errors and endogenous regressors: finite-sample and asymptotic theory.

4. Cathy Ning (Ryerson University). Extreme Dependence of International stock markets.

5. Gubhinder Khundhi (Carleton University) and Paul Rilstone (York University). Edgeworth and Saddlepoint Expansions for Nonlinear Estimators.

6. Thanasis Stengos (University of Guelph) and Brennan Scott Thompson (Ryerson University). Testing for Bivariate Stochastic Dominance Using Inequality Restrictions.

7. Andrés González (Colombian Central Bank), Kirstin Hubrich (European Central Bank) and Timo Teräsvirta (CREATES, Aarhus University). Forecasting inflation with gradual regime shifts and exogenous information.

8. Hiroyuki Kasahara (University of Western Ontario) and Katsumi Shimotsu  (Hitotsubashi University and Queen's University). Sequential Estimation of Dynamic Programming Models with Unobserved Heterogeneity.

9. Vadim Marmer (University of British Columbia) and Shinichi Sakata (University of British Columbia). Instrumental Variables Estimation and Weak-Identification-Robust Inference Based on Conditional Quantile Restriction.

10. Chuan Goh (University of Toronto). Nonstandard Estimation of Inverse Conditional Density-Weighted Expectations.

11. John M. Maheu (University of Toronto), Thomas H. McCurdy (University of Toronto) and Yong Song (University of Toronto). Extracting bull and bear markets from stock returns.

12. Martin Burda (University of Toronto) and Matthew Harding (Stanford University). Dynamic Panel Probit with Flexible Correlated Effects.

13. Sebastien Laurent (Universit´e de Namur), Jeroen V.K. Rombouts (HEC Montreal)  and Francesco Violante (Universit´e de Namur), Consistent Ranking of Multivariate Volatility Models.

14. Vitali Alexeev (University of Guelph) and Alex Maynard (University of Guelph). Level Crossing Random Walk Test Robust to the Presence of Structural Breaks.

15. Rachidi Kotchoni (Université de Montréal) and Marine Carrasco (Université de Montréal). Assessing the Nature of Pricing Inefficiencies via Realized Measures.

16. Allan W. Gregory (Queen's University)  and Julia Hui Zhu (Queen's University). Updating Forecasts in Vector Autoregression Models with an Application to the Canadian Banking Industry.

17. Stevanovic Dalibor (University of Montreal) and Jean-Marie Dufour (McGill University). Factor Models and VARMA Processes.


Sunday September 20, 2009

 Coffee: 7:45-8:30.

Session 5: 8:30-10:00.

Chair: Maral Kichian(Bank of Canada)

Silvia Goncalves (Université de Montréal). The moving blocks bootstrap for panel linear regression models with individual fixed effects.

Discussant: James G. MacKinnon (Queen's University)

Oscar Jorda (University of California at Davis) and Massimiliano Marcellino (European University Insitute). Path Forecast Evaluation.

Discussant: John Galbraith (McGill University)

Coffee Break: 10:00-10:30.

Session 6: 10:30-12:00.

Chair: Jean-Marie Dufour (McGill University)

Invited presentation: Elie Tamer (Northwestern University). Title to be announced.

Discussant: Edward Vytlacil  (Yale University)

Victor Aguirregabiria (University of Toronto) and Arvind Magesan (University of Toronto).Estimation of Dynamic Discrete Games when Players' Beliefs are not in Equilibrium

Discussant:   (Queen's and Hitotsubashi University).

LUNCH: 12:00-2:00.

Invited presentation, by Tiemen Woutersen. Sponsored by the Centre for Monetary and Financial Economics Carleton UniversityInstrumental Variable Estimation with Discrete Endogenous Regressors

 Session 7: 2:00-3:30.

Chair: Gordon Fisher (Concordia University)

Pascale Valéry (HEC Montréal) and Jean-Marie Dufour (McGill University). GMM and hypothesis tests when rank conditions fail: a regularization approach.

Discussant: Marine Carrasco (Université de Montréal)

Vadim Marmer (University of British Columbia) and Taisuke Otsu (Yale University). Optimal Comparison of Misspecified Moment Restriction Models

Discussant: Denis Pelletier (North Carolina State University)


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