SEPT. 24-SEPT. 25, 1993

Session 1

Chair: Tim Bollerslev, Northwestern University
May Hagiwara and Miguel A. Herce, University of North Carolina
"Exchange Rate Volatility and Interest Rate Differential in a Model of Portfolio Selection"
Kiseok Lee, University of Missouri
"Aggregate Stock Return, Output, and Risk Premium: An Analysis of Causal Relations Over Four Frequency Bands"
Narayana R. Kocherlakota, University of Iowa
"Testing the Consumption CAPM with Heavy-Tailed Pricing Errors"

Session 2

Chair: Peter Schmidt, Michigan State University
Arnold Zellner, University of Chicago
"Models, Prior Information and Bayesian Analysis"
John Geweke, University of Minnesota and the Federal Reserve Bank of Minneapolis
"Priors for Macroeconomic Time Series and Their Applications"
Siddhartha Chib, Washington University
"Bayes Estimation via MCMC of Finite Mixture Distributions Subject to Markov Switching"

Session 3

Chair: Roger Koenker, University of Illinois, Urbana-Champaign
Joel L. Horowitz and Marianthi Markatou, University of Iowa and Columbia University
"Semiparametric Estimation of Regression Models for Panel Data"
Daric L. Brummett and Lawrence C. Marsh, University of Notre Dame
"Estimating Neural Network Nonparametric Production Functions"
Hidehiko Ichimura and T. Scott Thompson, University of Minnesota
"Maximum Likelihood Estimation of a Binary Choice Model with Random Coefficients of Unknown Distributions"

Session 4

Chair: Anil K. Bera, University of Illinois, Urbana-Champaign
Mukhtar M. Ali and Subhash C. Sharma, University of Kentucky and Southern Illinois University
"Robustness to Nor-Normality of Regression F-Test"
Yanqin Fan and Qi Li, University of Windsor and Indiana University
"A General Nonparametric Model Specification Test"
Heejoon Kang, Indiana University
"The Simultaneity Bias in the Two-Stage Least Squares Estimation"

Session 5

Chair: Paul Newbold, University of Illinois, Urbana-Champaign
Charles F. Manski, University of Wisconsin-Madison
"What Do Controlled Experiments Reveal about Outcomes When Treatments Vary?"
Weiren Wang and Mai Zhou, University of Kentucky
"Least Squares Estimation of Binary Choice Models: A Semi-Parametric Approach"
Christopher R. Bollinger, Georgia State University and University of Wisconsin-Madison
"Bounding Mean Regressions When a Binary Regressor Is Mismeasured"

Session 6

Chair: Richard T. Baillie, Michigan State University
Eric Ghysels and Alastair Hall, Universite de Montreal and University of Wisconsin-Madison
"Testing for I(1) in Periodic Time Series"
Kurt Hornik and Chung-Ming Kuan, Technische Universitat Wein and University of Illinois, Urbana-Champaign
"The Generalized Fluctuation Tests: A Unifying View"

Software Session

Robert Parks, Washington University
"Online Database for Economics Working Papers"