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We are currently working to finalize the program for the 2014 NBER-NSF Time Series Conference.

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Preliminary Program (8/27/14)

Friday September 26

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)
Time-Varying Parameter Models-Achieving Shrinkage and Variable Selection
  Sylvia Fruhwirth-Schnatter (Vienna University of Econometrics and Business)
On the Coverage Bound Problem of Empirical Likelihood Methods for Time Series
  Xianyang Zhang (University of Missouri-Columbia)
  Co-author: Xiaofeng Shao
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)
Fractionally Integrated Panel Data Systems
  Yunus Emre Ergemen (Universidad Carlos III de Madrid)
High Frequency Economic Data and Weekly Economic Index
  Jim Stock (Council of Economic Advisors and Harvard University)
1st Poster session and Cocktails
A Forecast Rationality Test that Allows for Loss Function Asymmetries
 Andrea Naghi (University of Warwick)
Exact Inference in DSGE Models
  Lynda Khalaf (Carleton University)
Testing for spurious multivariate long memory
  Philipp Sibbertsen (Leibniz Universitat Hannover)
  Co-authors: Marie Holzhausen and Christian Leschinski
Quantile Spectral Porcesses: Asyptotic Analysis and Inference
  Tobias Kley (Ruhr University Bochum)
  Co-authors: Stanislav Volgushev, Holger Dette, Marc Hallin
Noncausal Bayesian Vector Autoregression
  Jani Luoto (University of Helsinki)
  Co-author: Markku Lanne
How Persistent are Monetary Policy Effects at the Zero Lower Bound?
  Chris Neely (Federal Reserve Bank of St. Louis)
Dynamic models with parsimoniously time‐varying parameters
  Laurent Callot (VU University Amsterdam)
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)
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)
On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests
  David Preinerstorfer (University of Vienna)
  Co-author: Benedikt M. Pötscher
Structured Regularization for Large Vector Autoregression
  Will Nicholson (Cornell University)
  Co-authors: David Matteson and Jacob Bien
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)
6:30‐8:30 My Dinner with FRED

Saturday, September 27

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)
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
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
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
Nonstationarity in Time Series of State Densities
  Yoosoon Chang (Indiana University)
Testing for Independence Between Functional Time Series
  Greg Rice (The University of Utah)
  Co-author: Lajos Horváth
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)
Estimating (Markov‐Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach
  Mark Bognanni (Federal Reserve Bank of Cleveland)
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)
Local Identification of Nonlinear DSGE Models
  Stephen Morris (University of California San Diego)
Estimating and Forecasting Financial Risk: The Realized Quantile Approach
  Abderrahim Taamouti (Universidad Carlos III de Madrid)
A Bayesian Multivariate Functional Dynamic Linear Model
  Daniel Kowal (Cornell University)
  Co-authors: David S. Matteson and David Ruppert
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)
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)
What Drives the Yield Curve?
  Michel van der Wel (Erasmus University Rotterdam)
  Co-authors: Dennis Kristensen and Oliver Linton
Generalized Autoregressive Method of Moments
  Marcin Zamojski (VU University Amsterdam and Tinbergen Institute)
Granger‐Causal‐Priority and Choice of Variables in Vector Autoregressions
  Marek Jarocinski (European Central Bank)
  Co-author: Bartosz Mackowiak, European Central Bank and CEPR
Bias Reduction in Nonlinear and Dynamic Panels in the Presence of Cross‐Section Dependence, with a GARCH Panel Application
  Cavit Pakel (Bilkent University)
Comparing Predictive Accuracy and Model Combination Using Encompassing Test for Nested Quantile Models
  Tae-Hwy Lee (University of California Riverside)
1:30‐3:00 Session 5: VARs
Joint Confidence Sets for Structural Impulse Responses
  Atsushi Inoue (Southern Methodist University)   
A delta‐method approach for frequentist inference in orthonormal SVARs with (and without) sign restrictions
  Jose Luis Montiel Olea (New York University)
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)
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
Heavy Tail Robust Frequency Domain Estimation
  Jonathan Hill (University of North Carolina‐ Chapel Hill)
  Co-author: Adam McCloskey (Brown University)
Penalized multivariate Whittle likelihood for power spectrum estimation
  Robert Krafty (Temple University)
  Co-author: William O. Collinge (University of Pittsburgh)
5:00 Adjourn