1:00 P.M. to 1:30 P.M.
Opening Session
Remarks and Instructions: Lawrence Marsh (Notre Dame University)
1:30 P.M. to 3:00 P.M.
Session 1: Estimation
Chair: Shigeru Iwata (University of Kansas)
"Additive Nonparametric Regression Estimation via Backfitting and Marginal
Integration: Experimental Finite Sample Performance" by Carlos Martins-Filho (Oregon
State University)
"Do Location-Scale M-Estimator Estimate Location?" by Shinichi Sakata
(University of Michigan)
"Inverse Probability Weighted M-Estimators for Sample Selection, Attrition, and
Stratification" by Jeffrey M. Wooldridge (Michigan State University)
Session 2: Indirect Inference
Chair: Todd Clark (Federal Reserve Bank of Kansas City)
"On the Nature of Capital Adjustment Costs" by Russell Cooper (Boston
University) and John Haltiwanger (University of Maryland)
"General Equilibrium of a Monetary Model with State-Dependent Pricing" by
Jonathan Willis (Federal Reserve Bank of Kansas City)
"Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity
Price Speculation in the Steel Market" by George Hall (Yale University) and John Rust
(University of Maryland)
3:00 P.M. to 3:30 P.M. Break
3:30 P.M. to 5:30 P.M.
Session 3: Testing I
Chair: Jeffery Wooldridge (Michigan State University)
"The No-Decision Classification (NDC) Procedure" by Nathan Berg (University
of Kansas)
"Testing Conditional Moment Restrictions: A Smoothed Empirical Likelihood
Approach" by Yuichi Kitamura (University of Wisconsin-Madison) and Gautam Tripathi
(University of Wisconsin-Madison)
"Revisiting the Foundations of Unit Root Testing: Statistical Parameterizations
and Non-Nested Testing" by Aris Spanos (Virginia Tech) and Anya McGuirk (Virginia
Tech)
"Testing for Cointegration Using Partially Linear Models" by Ted Juhl
(University of Kansas) and Zhijie Xiao (University of Illinois at Urbana-Champaign)
Session 4: Exchange Rates
Chair: Michael McCracken (University of Missouri-Columbia)
"Econometric Implications of Uncovered Interest Parity in Continuous Time" by
Nelson C. Mark (The Ohio State University) and Young-Kyu Moh (The Ohio State University)
"Long-Run Determinants of Real Exchange Rates: New Evidence Based on Panel Data
Unit Root and Cointegration Tests for MENA Countries" by Imed Drine and Christopher
Rault (Sorbonne University, Paris)
"A Correlated Bivariate Poisson Jump Model for Foreign Exchange" by Wing H.
Chan (University of Alberta)
"Bias, Persistence, and the Forward Premium Anomaly: How Bad Is It?" by Alex
Maynard (University of Toronto)
6:00 P.M. Reception
7:00 P.M. to 8:00 P.M. After-dinner Presentation: Ken West (University of
Wisconsin)
8:00 A.M. Shuttle Departure from the Marriott Hotel to One Kansas City Place
8:30 A.M. Continental Breakfast, 9th Floor Conference Room
9:00 A.M. to 10:30 A.M.
Session 5: Non-Linear Econometrics
Chair: Mark Jensen (Brigham Young University)
"Identifying Nonlinear Components by Random Fields. An Application to Real US GNP
Growth" by Christian M. Dahl (Purdue University) and Gloria Gonzalez-Rivera
(University of California-Riverside)
"Analyzing Non-Linear Behavior of Real Exchange Rates over the Floating
Period" by Rehim Kilic (Michigan State University)
"Do Long Swings in the Business Cycle Lead to Strong Persistence in Output?"
by Mark J. Jensen (Brigham Young University) and Ming Liu (The Chinese University of Hong
Kong)
Session 6: Microeconometrics
Chair: Gautam Tripathi (University of Wisconsin-Madison)
"Direct Maximum Likelihood and Alternative Methods of Estimating Incomplete
Categorical Response Models" by Lawrence C. Marsh (University of Notre Dame)
"The Cross-Euler Equation Approach to the Intertemporal Substitution in Luxury
Goods and Necessity Goods: An Evidence of Liquidity Constraint?" by Shinichi
Nishiyama (The Ohio State University)
"Estimation of Random Components and Prediction in a One and Two-Way Error
Component Regression Models" by Subhash C. Sharma (Southern Illinois
University-Carbondale) and Anil K. Bera (University of Illinois at Urbana-Champaign)
Session 7: Macroeconometrics
Chair: Marcelle Chauvet (University of California-Riverside )
"A Structural Vector Error Correction Model with Short-run and Long-Run
Restrictions" by Kyungho Jang (The Ohio State University)
"The Remarkable Stability of Monetary Base Velocity in the United States
1919-1999" by Richard Anderson (Federal Reserve Bank of St. Louis)
"Using Dynamic Restrictions to Identify Vector Autoregessions" by John
Keating (University of Kansas)
10:30 A.M. to 10:45 A.M. Break
10:45 A.M. to 12:15 P.M.
Session 8: Testing II
Chair: Michael J. Dueker (Federal Reserve Bank of St. Louis)
"Unit Root Test Using More Moment Conditions Than Least Squares" by Kyung So
Im (Wichita State University)
"Panel Median Unbiased Estimation" by Peter C.B. Phillips (Yale University),
and Donggyu Sul (University of Aukland)
"Testing for Seasonal Unit Roots in a Time Series" by Subhash
Sharma (Southern Illinois University-Carbondale and Petr Zemcik (Southern Illinois
University-Carbondale)
Session 9: Monetary Policy
Chair: Andrew Filardo (Federal Reserve Bank of Kansas City)
"Forecasting Recessions Using the Yield Curve" by Marcelle Chauvet
(University of California-Riverside) and Simon Potter (Federal Reserve Bank of New York)
"Estimating Monetary Policy Effects When Interest Rates are Bounded at Zero"
by Shigeru Iwata (University of Kansas) and Shu Wu (University of Kansas)
"Interest Rate Aggregation: Theory and Empirical Implications" by Barry E.
Jones (Binghamton University) and Travis D. Nesmith (Board of Governors)
Session 10: Applied Econometrics I
Chair: Ted Juhl (University of Kansas)
"Efficient Semiparametric Estimation of a Partially Linear Quantile Regression
Model" by Sokbae "Simon" Lee (University of Iowa)
"Weighted Least Squares Estimation of the Memory Parameter of a Time Series"
by Jon Vilasuso (West Virginia University)
"Exact FGLS Asymptotics for MA Errors" by David M. Mandy (University of
Missouri) and Sandor Fridli (Eotvos L. University)
12:30 P.M. to 1:30 P.M. Lunch at One Kansas City Place
1:30 P.M. to 3:00 P.M.
Session 11: Forecasting
Chair: Kenneth West (University of Wisconsin)
"Evaluating Long-Horizon Forecasts" by Todd E. Clark (Federal Reserve Bank of
Kansas City), Michael McCracken (University of Missouri-Columbia) and Stephen Sapp
(Western Ontario University)
"Forecast-Based Model Selection in the Presence of Structural Breaks" by Todd
E. Clark (Federal Reserve Bank of Kansas City) and Michael McCracken (University of
Missouri-Columbia)
"Sampling Schemes and Tests of Regression Models" by Scott Gilbert (Southern
Illinois University at Carbondale)
Session 12: Health Econometrics
Chair: Lawrence Marsh (University of Notre Dame)
"The Impact of MCOS on Healthcare Market in a General Equilibrium Setup: An
Empirical Model" by Pei Liu (State University of New York at Buffalo)
"Dynamic Equilibrium in the U.S. Prescription Drug Market After Patent
Expiration" by Andrew T. Ching (The Ohio State University)
Session 13: Applied Econometrics II
Chair: Nelson Mark (Ohio State University)
"Testing the Monetary Model of Exchange Rate Determination: New Evidence from a
Century of Data" by Mark Wohar (University of Nebraska-Omaha)
"Testing for Purchasing Power Parity with Conformatory Analysis in Panel
Data" by Chi-Young Choi (University of New Hampshire)
"Inflation Persistence with Structural Breaks" by Gawoon Yoon (Pusan National
University-Korea)
3:00 P.M. to 3:30 P.M. Break
3:30 P.M. to 4:30 P.M.
Session 14: Applied Econometrics III
Chair: Richard Anderson (Federal Reserve Bank of St. Louis)
"The Roots of U.S. Macro Time Series" by Clive W.J. Granger
(University of California-San Diego) and Yongil Jeon (Central Michigan University)
"Covariate Unit Root Test with a Structural Change" by Sukha
Shin (The Ohio State University)
"A Dynamic Ordered Probit of Financial Conditions: An Analysis of
Price Shocks" by Michael D. Bordo (Rutgers University), Michael J. Dueker (Federal
Reserve Bank of St. Louis) and David C. Wheelock (Federal Reserve Bank of St. Louis)
5:00 P.M. Shuttle departure
|
