10th Annual Meeting
October 20 and 21, 2000
University of Chicago
Irving B. Harris Graduate School of Public Policy
1155 E. 60th Street
Chicago IL 60637


Friday, October 20, 2000

Opening Session (Room 142)

Remarks and Instructions
Lawrence Marsh
Notre Dame University

Non-Parametric Methods 1 (Room 140C)
Chair: Rosa Matzkin, Northwestern University

Estimating Parameters Under Conditional Moment Restrictions By Smoothing the Empirical Likelihood
Yuichi Kitamura, Gautam Tripathi,* Hyungtaik Ahn
University of Wisconsin; University of Wisconsin; Korea Information Society Development Institute

Semiparametric Estimation of Heteroscedastic Binary Choice Sample Selection Models under Symmetry
Songnian Chen
Hong Kong University of Science and Technology

Semiparametric Identification of the Average Treatment Effect in Nonseparable Models
Edward Vytlacil
Stanford University

Estimation of a Nonparametric Censored Regression Model
Shakeeb Khan* and Songnian Chen
University of Rochester; Hong Kong University of Science and Technology

Financial Econometrics (Room 140B)
Chair: Jaap Abbring, University of Chicago

Conditional Jump Dynamics in Stock Market Returns
Wing H. Chan* and John M. Maheu
University of Alberta

Beyond Merton's Utopia: Effects of non-normality and dependence on the precision of variance estimates using high-frequency financial data
Xuezheng Bai,* Jeffrey R. Russell and George C. Tiao
University of Chicago

Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method
Jun Yu
University of Auckland

3:30-4:00 Break

Structural Econometrics (Room 140B)
Chair: Jeffrey Campbell, University of Chicago

Identification of Standard Auction Models
Susan Athey and Philip Haile*
Massachusetts Institute of Technology; University of Wisconsin

Deciding between Competition and Collusion in Procurement Auctions
Patrick Bajari* and Lixin Ye
Stanford University

Econometrics of First-Price Auctions with Entry and Binding Reservation Prices
Tong Li
Indiana University

An Equilibrium Model of Health Insurance Provision and Wage Determination
Matthew Dey* and Christopher Flinn
University of Chicago; New York University

Time Series 1 (Room 140C)
Chair: George Tiao, University of Chicago

Complex Unit Roots and Business Cycles: Are They Real?
Herman Bierens
Pennsylvania State University

Tests for Non-Linear Decay Using a Fourier Approximation
Walter Enders* and Jorge Ludlow
University of Alabama; Universidad Autonoma Metropolitana

Measuring lag structure in forecasting models - the introduction of Time Distance
Clive W. J. Granger and Yongil Jeon*
University of California, San Diego; Central Michigan University

Separation, Weak Exogeneity and P-T Decompositions in Cointegrated VAR Systems with Common Features
A. Hecq, F.C.Palm, and J.-P. Urbain*
University of Maastricht

Reception and Dinner

Jackson Harbor Grill
6401 S. Coast Guard Drive
Chicago IL 60649
(773) 288-4442

Annual After-Dinner Speech
Rosa Matzkin
Northwestern University

Saturday, October 21, 2000

Topics in Applied Econometrics(Room 140C)
Chair: James J. Heckman, University of Chicago

The Relationship Between Wage Growth and Wage Levels
Tricia Gladden* and Christopher Taber
Lousiana State University; Northwestern University

Premarital Birth, First Marriage, and the Role of Welfare and Marriage Market Factors: A Nonparametric Competing Risks Analysis
Jose Canals and Shiferaw Gurmu*
University of Colorado; Georgia State University

Econometric Analysis of a Self-Selection Model with Multiple Outcomes Using Simulation-Based Estimation: An Application to the Demand for Healthcare
Murat K. Munkin* and Pravin K. Trivedi
Indiana University

Data Mining and Out of Sample Inference
Michael W. McCracken
Louisiana State University

Quantile Methods (Room 140A)
Chair: Philip Haile, University of Wisconsin

Inference on the Quantile Regression Process
Roger Koenker* and Zhijie Xiao
University of Illinois

Comparing Quantile Estimators for the Linear Model
Keith Knight,* Gilbert W. Bassett, Jr., and Mo-Yin S. Tam
University of Toronto; University of Illinois at Chicago; University of Illinois at Chicago

Simple Resampling Methods for Censored Regression Quantiles
Yannis Bilias,* Songnian Chen, Zhiliang Ying
Iowa State University and University of Cyprus; Hong Kong University of Science and Technology; Rutgers University

Binary Regression Quantiles
Gregory Kordas
University of Illinois

Macroeconomics and the Econometrics of Trade (Room 140B)
Chair: Herman Bierens, Pennsylvania State University

The Structural Error Correction Models for Real Exchange Rates of Traded Goods: A System Approach
Jaebeom Kim
SUNY, Binghamton

Optimal Industrial Classification in a Model of International Transmission of Price Changes
John S. Chipman* and Peter Winker
University of Minnesota; University of Mannheim

European Business Cycles: A Gibbs Sampling Approach
Michael Dueker* and Katrin Wesche
Federal Reserve Bank of St. Louis; University of Bonn

Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long Run
John Keating
University of Kansas

10:00-10:30 Break

Panel Data Analysis (Room 142)
Chair: Jaap Abbring, University of Chicago

A Simple Powerful Unit Root Test in Heterogeneous Panels
Peter Pedroni* and Tim Vogelsang
Indiana University; Cornell University

Confirmatory Analysis in Panel Unit Root Tests and an application
Chi-Young Choi
The Ohio State University

Analysis of Longitudinal Treatment Data
Siddhartha Chib* and Barton Hamilton
Washington University, St. Louis

The Formulation and Estimation of Panel Data Treatment Effects
Karsten Hansen*, James Heckman and Edward Vytlacil
University of Chicago; University of Chicago; Stanford University

Time Series 2 (Room 140B)
Chair: John Chipman, University of Minnesota

Spurious Break in Cointegrated Systems under Heavy Tailed Errors
Mehmet Caner* and Barry Falk
University of Pittsburgh; Iowa State University

Dynamic Seemingly Unrelated Cointegrating Regression
Nelson C. Mark, Masao Ogaki, and Donggyu Sul*
The Ohio State University

A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions
Ventzislav Ivanov and Lutz Kilian*
University of Michigan

Partially Linear Models with Unit Roots
Ted Juhl* and Zhijie Xiao
University of Kansas; University of Illinois

A Nonparametric Prewhitened Covariance Estimator
Zhijie Xiao* and Oliver Linton
University of Illinois; London School of Economics

12:30-1:30 Lunch

Deconvolution, Mixtures and Errors in Variables (Room 142)
Chair: Edward Vytlacil, Stanford University

Limit Results for Mixing Distributions in Exponential Mixtures
Jaap Abbring* and Gerard van den Berg
University of Chicago; Free University, Amsterdam

Estimation of the Structural Errors-in-Variables Negative Binomial Regression Model: Simulation Based Methods and Application
Jie Q. Guo* and Tong Li
Indiana University

Rank Estimation of Tranformation Models
Songnian Chen
Hong Kong University of Science and Technology

A Bayesian GMM in Large Samples
Atsushi Inoue
North Carolina State University

Bayesian Econometrics (Room 140C)
Chair: Arnold Zellner, University of Chicago

Estimating the Efficiency of Labor in Ukranian Collective Farms
Lyubov Kurkalova* and Alicia Carriquiry
Center for Agricultural and Rural Development; Iowa State University

Bayesian Modeling of Economies and Data Requirements
Arnold Zellner* and Bin Chen
University of Chicago

Learning from structural vector autoregression models
Stephen Gordon* and Dorothee Boccanfuso
Universite Laval

Bayesian Inference of Long-memory Stochastic Volatility via Wavelets
Mark J. Jensen
University of Missouri

3:30-4:00 Break

IV and Non-Parametric Methods (Room 140C)
Chair: Matthew Dey, University of Chicago

Can Nonparametric Estimators Outperform Parametric Models With High Dimensional Data?
Qi Li* and Jeff Racine
Texas A&M University; University of South Florida

IV Estimation Methods Robust to Weak Instruments
Alfonso Flores-Lagunes
The Ohio State University

Reliability of Statistical Ranking via Sample Moments
Scott Gilbert
Southern Illinois University

Testing and Entropy (Room 140B)
Chair: Karsten Hansen, University of Chicago

Simple Statistics for Testing Curvature
Jason Abrevaya
University of Chicago

Testing for Autoregressive Conditional Duration
Matthew Higgins
Western Michigan University

An Omnibus Test of Normality Using Geary's Skewness and Kurtosis Statistics
Dong W. Cho and Kyung So Im*
Wichita State University

Maximum Entropy and Information Theory: The Linear Model
Amos Golan
American University