We are currently working to finalize the program for the 2014 NBER-NSF Time Series Conference.
Preliminary Program (8/27/14)
| 12:00-1:15 | Lunch and Registration |
| 1:15-1:30 | Opening Remarks |
| 1:30-3:00 | Session 1: Theory |
| Discriminating between fractional integration and spurious long memory Niels Haldrup (Aarhus University) Co-author: Robinson Kruse (Leibniz Universitat Hannover, CREATES) |
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| Time-Varying Parameter Models-Achieving Shrinkage and Variable Selection Sylvia Fruhwirth-Schnatter (Vienna University of Econometrics and Business) |
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| On the Coverage Bound Problem of Empirical Likelihood Methods for Time Series Xianyang Zhang (University of Missouri-Columbia) Co-author: Xiaofeng Shao |
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| 3:00-3:30 | Break |
| 3:30-5:00 | Session 2: Factors |
| A spectral EM algorithm for dynamic factor models Gabriele Fiorentini (University of Firenze) |
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| Fractionally Integrated Panel Data Systems Yunus Emre Ergemen (Universidad Carlos III de Madrid) |
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| High Frequency Economic Data and Weekly Economic Index Jim Stock (Council of Economic Advisors and Harvard University) |
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5:00-6:30 |
1st Poster session and Cocktails |
| A Forecast Rationality Test that Allows for Loss Function Asymmetries Andrea Naghi (University of Warwick) |
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| Exact Inference in DSGE Models Lynda Khalaf (Carleton University) |
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| Testing for spurious multivariate long memory Philipp Sibbertsen (Leibniz Universitat Hannover) Co-authors: Marie Holzhausen and Christian Leschinski |
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| Quantile Spectral Porcesses: Asyptotic Analysis and Inference Tobias Kley (Ruhr University Bochum) Co-authors: Stanislav Volgushev, Holger Dette, Marc Hallin |
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| Noncausal Bayesian Vector Autoregression Jani Luoto (University of Helsinki) Co-author: Markku Lanne |
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| How Persistent are Monetary Policy Effects at the Zero Lower Bound? Chris Neely (Federal Reserve Bank of St. Louis) |
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| Dynamic models with parsimoniously time‐varying parameters Laurent Callot (VU University Amsterdam) |
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| Forecast Rationality Tests in the Presence of Instabilties: Are Central Banks Rational? Tatevik Sekhposyan (Bank of Canada) Co-authors: Barbara Rossi (ICREA-UPF, Barcelona GSE, and CREI) |
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| State Prices of Conditional Quantiles: New Evidence on Time Variation in the Pricing Kernel Aaron Smith (University of California Davis) Co-author: Konstantinos Metaxoglou (Carleton University) |
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| On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests David Preinerstorfer (University of Vienna) Co-author: Benedikt M. Pötscher |
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| Structured Regularization for Large Vector Autoregression Will Nicholson (Cornell University) Co-authors: David Matteson and Jacob Bien |
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| Regression‐Based Mixed Frequency Granger Causality Tests Kaiji Motegi (Waseda University) Co-authors: Jonathan B. Hill (University of North Carolina at Chapel Hill) and Eric Ghysels (University of North Carolina at Chapel Hill) |
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| 6:30‐8:30 | My Dinner with FRED |
| 8:00‐8:30 | Breakfast |
| 8:30‐10:00 | Session 3: Finance |
| Limited Information Likelihood Inference In Stochastic Volatility Jump‐Diffusion Models Dennis Kristensen (University College London) |
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| Nonparametric Test for a Constant Beta over a Fixed Time Interval Viktor Todorov (Northwestern University) Co-authors: Markus Reiss, Humboldt University and George Tauchen, Duke University |
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| Bootstrapping high‐frequency jump tests Silvia Goncalves (Universite de Montreal) Co-authors: Prosper Dovonon (Concordia University), Ulrich Hounyo (Oxford-man institute and CREATES), Nour Meddahi (Toulouse School of Economics |
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| 10:00‐10:30 | Break |
| 10:30‐12:00 | Session 4: Functional |
| On the prediction of stationary functional time series Alexander Aue (University of California Davis) Co-authors: Siegfried Hörmann and Diogo Dubart Noriho |
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| Nonstationarity in Time Series of State Densities Yoosoon Chang (Indiana University) |
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| Testing for Independence Between Functional Time Series Greg Rice (The University of Utah) Co-author: Lajos Horváth |
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| 12:00‐1:30 | 2nd Poster session and Lunch |
| Heteroskedasticity Autocorrelation Robust Inference in Time Series Regressions with Missing Data Seunghwa Rho (Michigan State University) Co-author: Timothy Vogelsang (MSU) |
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| Estimating (Markov‐Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach Mark Bognanni (Federal Reserve Bank of Cleveland) |
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| Spurious Inference In Unidentified Asset‐Pricing Models Nikolay Gospodinov (Federal Reserve Bank of Atlanta) Co-authors: Raymond Kan (University of Toronto) and Cesare Robotti (Imperial College London) |
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| Local Identification of Nonlinear DSGE Models Stephen Morris (University of California San Diego) |
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| Estimating and Forecasting Financial Risk: The Realized Quantile Approach Abderrahim Taamouti (Universidad Carlos III de Madrid) |
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| A Bayesian Multivariate Functional Dynamic Linear Model Daniel Kowal (Cornell University) Co-authors: David S. Matteson and David Ruppert |
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| Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series J. Isaac Miller(University of Missouri) | |
| Synthetic Control Theory and Inference for Linear Stationary Processes Ricardo Masini (Pontifical Catholic University of Rio de Janeiro) Co-authors: Marcelo Medeiros (Pontifical Catholic University of Rio de Janeiro), and Carlos Carvalho (Pontifical Catholic University of Rio de Janeiro) |
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| Doubly Constrained Factor Models with Applications Henshsiu Tsai (Institute of Statisticall Science, Academia Sinica) Co-authors: Ruey S. Tsay (University of Chicago), Edward M. H. Lin (Academia Sinica), and Ching-Wei Cheng (Purdue University) |
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| What Drives the Yield Curve? Michel van der Wel (Erasmus University Rotterdam) Co-authors: Dennis Kristensen and Oliver Linton |
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| Generalized Autoregressive Method of Moments Marcin Zamojski (VU University Amsterdam and Tinbergen Institute) |
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| Granger‐Causal‐Priority and Choice of Variables in Vector Autoregressions Marek Jarocinski (European Central Bank) Co-author: Bartosz Mackowiak, European Central Bank and CEPR |
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| Bias Reduction in Nonlinear and Dynamic Panels in the Presence of Cross‐Section Dependence, with a GARCH Panel Application Cavit Pakel (Bilkent University) |
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| Comparing Predictive Accuracy and Model Combination Using Encompassing Test for Nested Quantile Models Tae-Hwy Lee (University of California Riverside) |
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| 1:30‐3:00 | Session 5: VARs |
| Joint Confidence Sets for Structural Impulse Responses Atsushi Inoue (Southern Methodist University) |
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| A delta‐method approach for frequentist inference in orthonormal SVARs with (and without) sign restrictions Jose Luis Montiel Olea (New York University) |
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| Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications Jonás Arias (Federal Reserve Board) Co-authors: Juan R. Rubio-Ramirez (Duke University) and Daniel Waggoner (Federal Reserve Bank of Atlanta) |
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| 3:00‐3:30 | Break |
| 3:30‐5:00 | Session 6: Scale |
| The Scale of Predictability Andrea Tamoni (LSE) Co-authors: Federico Bandi, Benoit Perron, and Claudio Tebaldi |
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| Heavy Tail Robust Frequency Domain Estimation Jonathan Hill (University of North Carolina‐ Chapel Hill) Co-author: Adam McCloskey (Brown University) |
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| Penalized multivariate Whittle likelihood for power spectrum estimation Robert Krafty (Temple University) Co-author: William O. Collinge (University of Pittsburgh) |
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| 5:00 | Adjourn |
