MIDWEST ECONOMETRICS GROUP

Fourteenth Annual Meeting

Northwestern University, Evanston, IL

October 15-16, 2004

 

CONFERENCE  PROGRAM

 

Friday, October 15th

 

 

12:00 noon  Registration Desk Opens

Norris University Center, 2nd Floor, Louis Lobby

 

 

 

1:00 – 1:30  Opening Session

 

Opening Remarks, by Lawrence C. Marsh* (University of Notre Dame)

Indiana Room, Norris University Center, 2nd Floor

 

 

 

1:30 – 3:30  Parallel Sessions

 

 

Session 1: Econometric Theory I

Indiana Room, Norris University Center, 2nd Floor

Session chair:  Amos Golan

 

Understanding Instrumental Variables, by James Heckman* (University of Chicago) and Sergio Urzua (University of Chicago)

 

Nonlinear Panel Data Models with Lagged Dependent Variables, by Xiaohong Chen (NYU) and Edward Vytlacil* (Stanford University)

 

Image Reconstruction: An Information – Theoretic Approach, by Avi Bhati (Urban Institute), Bahattin Buyuksahin (American University), and Amos Golan* (American University)

 

 

1:30 – 3:00  Parallel Session

 

Session 2:  Macroeconometrics I

Purdue Room B, Norris University Center, 1st Floor

Session chair:  Masao Ogaki

 

The Marshallian Macroeconomic Model: A Progress Report, by Arnold Zellner* (University of Chicago) and Guillermo Israilevich (University of Chicago)

 

Testing for and Quantifying Frequency Dependence in Feedback Time Series Relationships, with an Application to the Phillips Curve, by Richard Ashley* (VPI & SU) and Randal J. Verbrugge (Bureau of Labor Statistics)

 

Interpreting Permanent Shocks to Inflation when Money Growth is Endogenous, by John Keating* (University of Kansas)

 

A Spurious Regression Approach to Estimating Structural Parameters, by Chi-Young Choi (University of New Hampshire), Ling Hu (Ohio State University), and Masao Ogaki* (Ohio State University)

 

 

1:30 – 3:30  Parallel Sessions (continued)

 

Session 3: Empirical Approaches I

Iowa Room, Norris University Center, 2nd Floor

Session chair: Amil Petrin

 

Forecasting U.S. Business Fixed Investment Spending, by David Rapach* (Saint Louis University) and Mark Wohar (University of Nebraska)

 

Who’s Patenting in the University? Evidence from the Survey of Doctorate Recipients, by Paula Stephan (Georgia State University), Shiferaw Gurmu* (Georgia State University), A.J. Sumell (Georgia State University), and Grant Black (Georgia State University)

 

Estimation of a Discrete Choice Model When Individual Choices are Not Observable, by Lyubov A. Kurkalova* (Iowa State University) and Sergey Rabotyagov (Iowa State University)

 

Omitted Product Attributes in Differentiated Product Models, by Amil Petrin* (University of Chicago and NBER) and Kenneth Train (University of California, Berkeley)

 

 

Session 4: Volatility

Purdue Room A, Norris University Center, 1st Floor

Session chair: Torben G. Andersen

 

Nonparametric Estimation of Volatility Models with Serially Dependent Innovations, by Christian M. Dahl* (Purdue University) and Michael Levine (Purdue University)

 

Simultaneous Equations and Weak Instruments under Conditionally Heteroscedastic Disturbances, by Emma M. Iglesias* (Michigan State University) and Garry D.A. Phillips (Cardiff University)


Volatility Spillover and Co-movement: Some New Evidence from Singapore, by Lakshmi Bala* (Pennsylvania State University) and Gamini Premaratne (National University of Singapore) 

 

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility, by Torben G. Andersen* (Northwestern University), Tim Bollerslev (Duke University), and Francis Diebold (University of Pennsylvania)

 

 

3:30 – 4:00  Break

 

 

4:00 – 5:30  Parallel Sessions

 

 

Session 5: Econometric Theory II

Indiana Room, Norris University Center, 2nd Floor

Session Chair: Ana María Herrera

 

Uniform Convergence Rates for Nonparametric Estimation, by Bruce Hansen* (University of Wisconsin)

 

The MIDAS Touch: Mixed Data Sampling Regression Models, by Eric Ghysels* (University of North Carolina), Pedro Santa-Clara (UCLA), and Rossen Valkanov (UCLA)

 

Dynamic Censored Regression and the Open Market Desk Reaction Function, by Robert de Jong (Ohio State University) and Ana María Herrera* (Michigan State University)

 

 

Session 6: Bayesian Methods

Iowa Room, Norris University Center, 2nd Floor

Session chair: George Chang

 

Bayesian Analysis of Cointegration in a Structural Error Correction Model, by Chew Lian Chua (University of Melbourne) and Peter M. Summers* (Melbourne Institute of Applied Economic and Social Research and Federal Reserve Bank of Kansas City)

 

Stochastic Search Model Selection for Restricted VAR Models, by Edward George (University of Pennsylvania), Dongchu Sun (University of Missouri-Columbia), and Shawn Ni* (University of Missouri-Columbia)


A Bayesian Analysis of Log-Periodic Precursors to Financial Crashes, by George Chang* (University of Missouri-Kansas City) and James Feigenbaum (University of Pittsburgh)

 

 

Session 7: Estimation Methods

Purdue Room B, Norris University Center, 1st Floor

Session chair: Zhong Zhao

 

Combining Datasets to Overcome Selection Caused by Censoring and Truncation in Moment Based Models, by Paul Devereux (UCLA) and Gautam Tripathi* (University of Wisconsin, Madison)

 

Efficient Estimation of Average Treatment Effects with Mixed Categorical and Continuous Data, by Qi Li (Texas A&M University), Jeff Racine* (Syracuse University), and Jeff Wooldridge (Michigan State University)

 

Data Issues of Using Matching Methods to Estimate Treatment Effects: An Illustration with NSW Data Set, by Zhong Zhao* (Peking University)

 

 

Session 8: Semiparametric and Nonparametric Methods

 Purdue Room A, Norris University Center, 1st Floor

Session chair: Kusum Mundra

 

Semiparametric Bayesian Inference for Dynamic Tobit Panel Data Models with Unobserved Heterogeneity, by Tong Li (Indiana University) and Xiaoyong Zheng* (Indiana University)

 

Testing a Nonparametric Null Hypothesis against a Nonparametric Alternative, by Arie Beresteanu* (Duke University)

 

Nonparametric Slope Estimators for Fixed-Effect Panel Data, by Kusum Mundra* (San Diego State University)

 

 

Reception  6:00 – 7:00,  and  Dinner  7:00 –

Northwestern Room, Norris University Center, 1st Floor

 

After Dinner Presentation: Lars P. Hansen (University of Chicago)

 

 

 

Saturday, October 16th

 

 

9:00 – 10:00  Parallel Session

 

Session 9: Econometric Theory III

Leverone Hall, G36

Session chair: Song Xi Chen

  

An Alternative Asymptotic Analysis of Residual-Based Statistics, by Elena Andreou* (University of Cyprus) and Bas J.M. Werker (Tilburg University)

 

On the Second Order Properties of Empirical Likelihood with Moment Restrictions, by Song Xi Chen* (Iowa State University) and Hengjian Cui (Beijing Normal University)

 

 9:00 – 10:30  Parallel Sessions

 

 

Session 10: Cointegration

Leverone Hall, G42

Session chair: A.K.M. Mahbub Morshed


Money Demand Function Estimation by Nonlinear Cointegration, by Youngsoo Bae* (Ohio State University) and Robert M. de Jong (Ohio State University)  

 

Searching for Cointegration in a Dynamic System, by Zhongjun Qu* (Boston University)

 

Price Index Convergence among Indian Cities: A Cointegration Approach, by A.K.M. Mahbub Morshed* (Washington State University), Sung K. Ahn (Washington State University), and Minsoo Lee (Lincoln University)

 

 

Session 11: Bootstrap and Jacknife

Leverone Hall, G43

Session chair: Nelson C. Mark

 

The Bootstrap's Finite Sample Distribution: An Analytical Approach, by Lawrence C. Marsh* (University of Notre Dame)

 

Bagging Time Series Models, by Atsushi Inoue (North Carolina State University) and Lutz Kilian* (University of Michigan)

 

The Use of Predictive Regressions at Alternative Horizons in Finance and Economics, by Nelson C. Mark* (University of Notre Dame and NBER) and Donggyu Sul (University of Auckland)

 

 

Session 12: Testing Methods I

Leverone Hall, G44

Session chair: Serena Ng

 

Optimal Test for Markov Switching, by Marine Carrasco (University of Rochester), Liang Hu* (University of Rochester), and Werner Ploberger (University of Rochester)

 

Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model, by Frédérique Bec (CREST-ENSAE), Mélika Ben Salem (Université de Marne-la-Vallée), and Marine Carrasco* (University of Rochester)

 

Testing Cross-Section Correlation in Panel Data Using Spacings, by Serena Ng* (University of Michigan)

 

 

Session 13: Nonparametric Methods

Leverone Hall, G45

Session chair: Dek Terrell

 

Nonparametric Regression under Alternative Data Environments, by Abdoul G. Sam* (University of Arizona) and Alan P. Ker (University of Arizona)

 

Finite Sample Performance of Backfitting, Marginal Integration and Two Stage Estimators under Common Bandwidth Selection Criterion, by Carlos Martins-Filho (Oregon State University) and Ke Yang* (Oregon State University)

 

Does Theory Matter: Assessing the Impact of Monotonicity and Concavity Constraints on Forecasting Accuracy, by Dennis Edwards (Coastal Carolina University) and Dek Terrell* (Louisiana State University)

 

 

 

10:30 – 11:00  Break

 

 

 

11:00 – 12:30  Parallel Sessions

 

 

Session 14: Financial Econometrics

Leverone Hall, G36

Session chair: Qiang Zhang

 

An Unbiased Measure of Realized Variance, by Peter Reinhard Hansen* (Brown University) and Asger Lunde (Aarhus School of Business)

 

Estimation of Partial Differential Equation with Application in Finance, by Dennis Kristensen* (University of Wisconsin-Madison)

 

Accounting for Human Capital and Weak Identification in Evaluating the Epsten-Zin-Weil Non-expected Utility Model of Asset Pricing, by Qiang Zhang* (University of Memphis)

 

 

Session 15: Testing Methods II

Leverone Hall, G42

Session chair: Claude Lopez

 

Monotonic Power in Tests for Changing Mean, by Ted Juhl* (University of Kansas) and Zhijie Xiao (Boston College)

 

Testing for a Unit Root with a Nonlinear Fourier Function, by Walter Enders and Junsoo Lee* (University of Alabama)

 

An Improved Panel Unit Root Test Using GLS-Detrending, by Claude Lopez* (University of Cincinnati)

 

 

Session 16: Estimation and Testing

Leverone Hall, G43

Session chair: Avinash Singh Bhati

 

Deconvolution Estimator of Treatment Effect Distribution, by Ximing Wu* (University of Guelph) and Jeffrey Perloff (University of California, Berkeley)

 

Selection of Competing Structural Econometric Models, by Tong Li* (Indiana University)

 

Extracting Information from Observed Counts, by Avinash Singh Bhati* (Urban Institute)

 

 

Session 17: Macroeconometrics II

Leverone Hall, G44

Session chair: Stephen Gordon

 

Combined Forecasts, Hidden Common Factors, and International Linkages, by Yongil Jeon* (Central Michigan University)

 

Reduced-Rank Identification of Structural Shocks in VAR’s, by Yuriy Gorodnichenko* (University of Michigan)

 

Learning, Forecasting and Structural Breaks, by John Maheu (University of Toronto) and Stephen Gordon* (Université Laval)

 

 

Session 18: Panel Data

 Leverone Hall, G45

Session chair: Sheng-Kai Chang

 

Identification in Discrete Choice Models with Fixed Effects, by Edward G. Johnson* (Bureau of Labor Statistics)

 

Specification Testing in Panel Data Models Estimated by Fixed Effects with Instrumental Variables, by Carrie Falls* (Michigan State University)

 

Simulation Estimation of Dynamic Panel Tobit Models, by Sheng-Kai Chang* (Wayne State University)
 

 

 

 

 

12:30 – 2:00  Lunch

Leverone Hall

 

 

2:00 – 3:30  Parallel Sessions


 
Session 19: Time Series

Leverone Hall, G42

Session chair: Chi-Young Choi

 

Normalization and Mixed Degrees of Integration in Cointegrated Time Series Systems, by Robert J. Rossana* (Wayne State University)

 

On the Long-Run Variance Ratio Test for a Unit Root, by Ye Cai (Vanderbilt University) and Mototsugu Shintani* (Vanderbilt University)

 

Bias Reduction by Recursive Mean Adjustment in Dynamic Panel Data Models, by Chi-Young Choi* (University of New Hampshire), Nelson C. Mark (University of Notre Dame and NBER), and Donggyu Sul (University of Auckland)

 

 

  

Session 20: Empirical Approaches II

Leverone Hall, G43

Session chair: Joseph Terza

 

The Human Capital Dynamic Linkage in Early Childhood Development: How Pre-Kindergarten Experience Affects Schooling Outcomes, by Xuejuan Su* (University of Alabama)

 

An Econometric Framework for Analyzing Health Policy with Non-experimental Data, by Joseph Terza* (Medical University of South Carolina)

 

Econometric Analysis of Prenatal Advice as a Preventive Measure for Fetal Alcohol Syndrome, by Donald Kenkel (Cornell University), Tsui-Fang Lin (Cornell University), Shinichi Sakata* (University of British Columbia), and Joseph Terza (Medical University of South Carolina)

 

 

 

Session 21: Macroeconomics III

Leverone Hall, G44

Session chair: Ming Chien Lo

 

Permanent and Transitory Movements in Output and Unemployment: Okun's Law Persists, by Tara Sinclair* (Washington University)

 

Nonparametric Estimation of Demand and Supply Shocks in East Asia, by Tsunao Okumura* (Yokohama National University)

 

An Alternative Approach to the Analysis of the U.S. per-Capita Income Convergence, by Ming Chien Lo* (St. Cloud State University) and Mark Partridge (University of Saskatchewan)

 

 

 

Session 22: Exchange Rates

Leverone Hall, G45

Session chair: Rehim Kilic

 

Evaluating the Predictability of Exchange Rates Using Long Horizon Regressions: Mind your p’s and q’s!, by Michael W. McCracken* (University of Missouri-Columbia) and Stephen Sapp (University of Western Ontario)

 

Purchasing Power Parity under a Taylor Rule Type Monetary Policy, by Hyeongwoo Kim* (Ohio State University)

 

Asymmetry and Nonlinearity in Uncovered Interest Rate Parity, by Rehim Kilic* (Georgia Institute of Technology)