MIDWEST ECONOMETRICS GROUP
4TH ANNUAL MEETING
UNIVERSITY OF IOWA
Sept. 23-Sept. 24, 1994
Econometric Methods for Finance
Chair: Narayana Kocherlakota, University of Iowa
- Yacine Ait Sahalia, University of Chicago
- "Nonparametric Pricing of Interest Rate Derivative Securities"
- Torben G. Andersen, Northwestern University, and Bent E. Sorensen, Brown University
- "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study"
- Christopher J. Neely, Federal Reserve Bank of St. Louis
- "A Reconsideration of the Properties of the GMM in Asset Pricing Models"
Methods for Cross-Sectional and Panel Data
Chair: Roger Koenker, University of Illinois
- Wanhong Hun and G.S. Maddala, Ohio State University
- "Estimation and Prediction Problems in Dynamic Heterogeneous Panel Data Models"
- James P. Ziliak, University of Oregon, and Thomas J. Kniesner, Indiana University
- "The Sensitivity of Life-Cycle Labor Supply Estimates to Sample Attrition"
- John R. Schroeter, Iowa State University, and Scott L. Smith, U.S. General Accounting Office
- "An Empirical Study of U.S. Forest Service Timber Auctions"
- Thomas J. Kniesner, Indiana University, and Qi Li, University of Guelph
- "Semiparametric Panel Data Models with Heterogeneous Dynamic Adjustment: Theoretical Considerations and an Application to Labor Supply"
Chair: N.E. Savin, University of Iowa
- David DeJong, University of Pittsburgh, Beth Ingram, University of Iowa, and Charles Whiteman, University of Iowa
- "Beyond Calibration"
- Andrew J. Filardo, Federal Reserve Bank of Kansas City, and Stephen F. Gordon, Universite Laval
- "International Co-Movements of Business Cycles"
- Kiseok Lee, University of Missouri
- "The Natural Rate Hypothesis and Short- and Long-Term Movements of Unanticipated Inflation"
- R. Anton Braun, Federal Reserve Bank of Minneapolis, and Lawrence J. Christiano, National Bureau of Economic Research
- "Is Long-Run M1 Demand Stable?"
Chair: Beth Ingram, University of Iowa
- May Hagiwara and Miguel A. Herce, University of North Carolina
- "Risk Aversion and Stock Price Sensitivity to Dividends"
- Salim M. Darbar, Florida Atlantic University, and Partha Deb, Indiana University-Purdue University at Indianapolis
- "Co-Movements in International Equity Markets"
- Vijay Bhawnani, John A. Carlson and K. Rao Kadiyala, Purdue University
- "Speculative Attacks and Balance of Payments Crises in Developing Economics with Dual Rate Regimes"
Chair: Arnold Zellner, University of Chicago
- Shiferaw Gurmu, University of Virginia, Paul Rilstone, Université Laval, and Steven Stern, University of Virginia
- "Nonparametric Hazard Rate Estimation"
- Steven T. Yen, Iowa State University
- "An Inverse Hyperbolic Sine Double Hurdle Model with Dependent Errors"
- Naresh C. Mallick, University of Illinois
- "Specification Test for Frontier Models"
Spatial and Temporal Dependence
Chair: Thomas J. Kniesner, Indiana University
- Matthew L. Higgins, University of Illinois
- "A Smooth Transition GARCH Model"
- Anil K. Bera, University of Illinois, and Mann J. Yoon, California State University at Los Angeles
- "Simple Diagnostic Tests for Spatial Dependence"
- J.C. Nankervis, University of Sussex, and N.E. Savin, University of Iowa
- "Bootstrapping the t Test in the Trend Model with AR(1) Errors"
Chair: Anil K. Bera, University of Illinois
- Arnold Zellner, University of Chicago
- "Bayesian Method of Moments/Instrumental Variable (BMOM/IV) Analysis of Mean and Regression Models:
- Siddhartha Chib, P.-H. Chun, and Edward Greenberg, Washington University
- "Bayesian Analysis of Simultaneous Equation Models by Markov Chain Monte Carlo Methods"
- Lawrence Marsh, University of Notre Dame, and Arnold Zellner, University of Chicago
- "Bayesian Solutions to a Class of Selection Problems"