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:
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: Huntley
Schaller (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 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 . 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 ( 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.
DINNER: 7h30. NATIONAL ARTS
CENTER , Ottawa
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 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: Katsumi
Shimotsu ( 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
University Instrumental
Variable Estimation with Discrete Endogenous Regressors
Session 7: 2:00-3:30.
Chair: Gordon Fisher (Concordia University
Pascale Valéry 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
Copyright © 2009. CESG 2009 Carleton University. All Rights Reserved.
Program sponsored by:
