Oct. 6-Oct .7, 1995

Session 1

Chair: N.E. Savin, University of Iowa
Richard Baillie, Michigan State University
"Reanalysis of Risk Premium with Long Memory Models"
Mark Jensen, Southern Illinois University
"Ordinary Least Squares Estimate of the Fractional Differencing Parameter Using Wavelets as Derived from Smoothing Kernels"
Ching-Fan Ching, Michigan State University
"The Minimum Distance Estimator for the Fractionally Integrated ARMA Model"
William Barnett, Washington University; Ronald Gallant, University of North Carolina, Chapel Hill; Melvin Hinich, University of Texas, Austin; Jochen Jungeilges, University of Osnabruck; Daniel Kaplan, McGill University; and Mark Jensen, Southern Illinois University
"A Single-Blind Controlled Competition between Tests for Nonlinearity and Chaos"

Session 2

Chair: Jeff Wooldridge, Michigan State University
Narayana Kocherlakota and N.E. Savin, University of Iowa
"Confidence Intervals for Sample Mean of Overdifferenced Models"
Bruce Meyer, Northwestern University
"Semiparametric Estimation of Hazard Models"
Anil Bera, University of Illinois, Urbana-Champaign; and Subhash Sharma, Southern Illinois University
"Estimating Production Uncertainty in Stochastic Production Function Models"
William Horrace and Peter Schmidt, Michigan State University
"Confidence Statements for Efficiency Estimates from Stochastic Frontier Models"

Dinner Program

John Geweke, University of Minnesota and Federal Reserve Bank of Minneapolis

Session 3

John Geweke, University of Minnesota and Federal Reserve Bank of Minneapolis
"Bayesian Communication"
Carmela Quintos and Guofo Zhou, Washington University
"Specification Tests on Nonstationary Reduced Rank Models"
Yuichi Kitamura and Michael Stutzer, University of Minnesota
"An Information theoretic Alternative to Generalized Method of Moments Estimation"

Session 4

Chair: Peter Schmidt, Michigan State University
Yannis Bilias, University of Illinois, Urbana-Champaign
"A Sequential Analysis of Pennsylvania 'Reemployment Bonus' Experiment"
Lawrence Marsh, University of Notre Dame, and Arnold Zellner, University of Chicago
"Bayesian Optimization Procedures for Firms Facing Discrete Product Demand, Economic Random Utility Models and Industry Equilibrium"
Shiferaw Gurmu, University of Charlottesville, and Pravin Trivedi, Indiana University
"Excess Zeros in Count Models for Recreational Boating Trips"

Lunch program

Robert Parks, Washington University
"Economics Working Paper Archive"

Session 5

Chair: Pravin Trivedi, Indiana University
Douglas Miller, Iowa State University; Amos Golan and George Judge, University of California, Berkeley
"Recovering Information and Inference in the Case of Linear Inverse Problems with Discrete Noisy Data"
Siliva Ferrari, Universite of Sao Paulo; Miguel Uribe-Opazo, Universite Estadual do Oeste; and Francisco Cribari-Neto, Southern Illinois University
"Second Order Asymptotics for Score Tests in Exponential Family Models"
Arnold Zellner, University of Chicago
"The Finite Sample Properties of Simultaneous Equations' Estimates and Estimators: Bayesian and Non-Bayesian Approaches"

Session 6

Chair: John Keating, Washington University
Partha Deb, Indiana University-Purdue University at Indianapolis
"Causality from Volatility to Correlation in International Stock Markets: Tests in a Logistic GARCH Framework"
Kiseok Lee, University of Missouri
"Unexpected Inflation, Inflation Uncertainty, and Stock Returns"
Houston Stokes and Hugh Neuburger, University of Illinois, Chicago
"The International Transmission of Conditional Volatility: A 21 Market Study"