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This is a preliminary program and subject to change.
Friday, October 9
| 8:30 a.m. – 8:45 a.m. | Introduction |
| 8:45 a.m. – 10:30 a.m. |
Parallels 1 Microeconometrics 1 (Chair: Ted Juhl) St. Louis Room “Alternative Discrete Kernel Functions for Applied Density and Regression Estimation” Presenter: Chi-Yang Chu (University of Alabama) Authors: Chi-Yang Chu; Daniel Henderson; Christopher Parmeter “Panel Data Models with Two Threshold Variables” Presenter: Nelson Ramire-Rondan (Central Bank of Peru) Authors: Arturo Lamadrid-Contreras; Nelson Ramire-Rondan “On Estimating Partial Effects After Retransformation” Presenter: Shengwu Shang (Ball State University) Authors: Shengwu Shang; Jeff M. Wooldridge “Slope Heterogeneity Bias in Panel Data Models Testing and Inference” Presenter: Ted Juhl (University of Kansas) Authors: Murillo Campello; Antonio Galvao; Ted Juhl Theory 1 (Chair: Thomas Parker) Kentucky Room “Functional autoregressive model for time series of state distributions” Presenter: Bo Hu (Indiana University) Authors: Bo Hu; Joon Park; Junhui Qian “Estimation of Longrun Variance of Continuous Time Process Using Discrete Sample” Presenter: Ye Lu (Indiana University) Authors: Ye Lu; Joon Park “Objective Bayes Factors for Model Selection” Presenter: Hamed Namavari (University of Cincinnati) Authors: Jeffrey Mills; Hamed Namavari “Inference for Stochastic Dominance Using Large-Deviations Asymptotics” Presenter: Thomas Parker (University of Waterloo) Authors: Thomas Parker Monetary Policy (Chair: Randal Verbrugge) Missouri Room “The Joint Services of Money and Credit” Presenter: Liting Su (University of Kansas) Authors: William Barnett; Liting Su “Forward-looking Monetary Policy, Real-time Forecasts, and the Price Puzzle” Presenter: Pavel Kapinos (FDIC) Authors: Gabriela Best; Pavel Kapinos “Nonlinearities, Smoothing, and Countercyclical Monetary Policy” Presenter: Laura Jackson (Bentley University) Authors: Laura Jackson; Michael Owyang; Daniel Soques “Causes and Consequences of Long-Term Inflation Expectations” Presenter: Randal Verbrugge (Federal Reserve Bank of Cleveland) Authors: Carola Conces Binder; Amy Higgins; Randal Verbrugge VARs (Chair: John Keating) Tennessee Room “Inference for VARs Identifed with Sign Restrictions” Presenter: Eleonora Granziera (Bank of Canada) Authors: Eleonora Granziera; Hyungsik Roger Moon; Frank Schorfheide “Weak Inference for Dynamic Stochastic General Equilibrium Models with Time-varying Parameters” Presenter: Naijing Huang (Boston College) Authors: Naijing Huang “Impulse Response Matching Estimators for DSGE Models” Presenter: Atsushi Inoue (Vanderbilt University) Authors: Pablo Guerron-Quintana; Atsushi Inoue; Lutz Kilian “Asymmetric Vector Autoregressive Moving Average Models” Presenter: John Keating (University of Kansas) Authors: John Keating |
| 10:30 a.m. – 10:45 a.m. | Break |
| 10:45 a.m. – 12:30 p.m. |
Parallels 2 Microeconometrics 2 (Chair: Valentin Verdier) St. Louis Room “Test of equilibrium uniqueness in discrete games with a flexible information structure” Presenter: Mathieu Marcoux (University of Toronto) Authors: Mathieu Marcoux “Partial Independence in Nonseparable Models” Presenter: Alexandre Poirier (University of Iowa) Authors: Matthew Masten; Alexandre Poirier “AMH copula ML estimation for the sample selection model” Presenter: Hosin Song (Ewha Womans University) Authors: Hosin Song “Identification and Estimation of Peer Effects with Panel Data” Presenter: Valentin Verdier (University of North Carolina - Chapel Hill) Authors: Valentin Verdier Theory 2 (Chair: Jason Blevins) Kentucky Room “On Standard Inference for GMM with Seeming Local Identification Failure” Presenter: Ji Hyung Lee (University of Illinois) Authors: Zhipeng Liao; Ji Hyung Lee “Uniform inference on quantile treatment effects” Presenter: Antonio Galvao (Sao Paulo School of Economics) Authors: Sergio Firpo; Antonio Galvao “On the Over-detection Probability of the Number of Factors” Presenter: Jaewoo Oh (Syracuse University) Authors: Chihwa Kao; Jaewoo Oh “Identifying Restrictions for Finite Parameter Continuous Time Models with Discrete Time Data” Presenter: Jason Blevins (The Ohio State University) Authors: Jason Blevins Macro Modeling (Chair: Regina Martinez) Missouri Room “Nonlinearities in the U.S. Wage Phillips Curve” Presenter: Luiggi Donayre (University of Minnesota) Authors: Luiggi Donayre; Irina Panovska “Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences” Presenter: Guo Chen (University of Kansas) Authors: William Barnett; Guo Chen “Monetary-Fiscal interaction with endogenous regime change” Presenter: Boreum Kwak (University of Indiana) Authors: Yoosoon Chang; Boreum Kwak; Eric Leeper “Revisiting "The Myth of Economic Recovery" a Multivariate Approach” Presenter: Regina Martinez (George Washington University) Authors: Regina Martinez Financial Modeling (Chair: Xiaming Zeng) Tennessee Room “The Information Content of Equity Derivatives Theory and Empirics” Presenter: Davide Avino (Swansea University) Authors: Davide Avino; Andrei Stancu; Chardin Wese Simen “Asymptotic Theory Of Myopic Loss Aversion: Applications To Intolerance for Decline in Standard Of Living and Asset Pricing” Presenter: G. Charles Cadogan (University of Cape Town) Authors: G. Charles Cadogan “Asset Pricing with a Realized Volatility Risk” Presenter: Jinji Hao (Washington University in St. Louis) Authors: Jinji Hao; Jin Zhang “Non-negative Equity Premium Constraint in Stock Return Prediction, What Is Its Real Value?” Presenter: Xiaming Zeng (Washington University in St. Louis) Authors: Siddhartha Chib; Xiaming Zeng |
| 12:30 p.m. – 1:30 p.m. | Lunch |
| 1:30 p.m. – 3:15 p.m. |
Parallels 3 Microeconometrics 3 (Chair: Daiqiang Zhang) St. Louis Room “A Framework for Eliciting, Incorporating, and Disciplining Identifcation Beliefs in Linear Models” Presenter: Francis DiTraglia (University of Pennsylvania) Authors: Francis DiTraglia; Camilo Garcia-Jimeno “Nonparametric Identifcation of a Time-Varying Frailty Model” Presenter: Georgios Effraimidis (University of Southern California) Authors: Georgios Effraimidis “Local Measures of Intergenerational Mobility of Income, Cognitive, and Noncognitive Skills” Presenter: Andros Kourtellos (University of Cyprus) Authors: Andros Kourtellos; Christa Marr; Chih Ming Tan “Identifcation and Estimation of A Dynamic Cost-Based Contract Model, with an Application to Transport Procurement Contracts in France” Presenter: Daiqiang Zhang (Texas A&M University) Authors: Yonghong An; Daiqiang Zhang Theory 3 (Chair: Yoosoon Chang) Kentucky Room “Mixture Models with Spatial Dependency” Presenter: Gary Cornwall (University of Cincinnati) Authors: Gary Cornwall “Asymptotics for Estimators dating the Origination and Collapse of an Asset Price Bubble” Presenter: Mohitosh Kejriwal (Purdue University) Authors: Mohitosh Kejriwal; Pierre Perron “A Perturbation Approach to Filtering Hidden States” Presenter: Natalia Sizova (Rice University) Authors: Ivana Komunjer; Natalia Sizova “Regime switching model with endogenous autoregressive latent factor” Presenter: Yoosoon Chang (Indiana University) Authors: Yoosoon Chang; Yongok Choi; Joon Park Macroprudential (Chair: Pavel Kapinos) Missouri Room “Early Warning for Financial Stress Events A Credit-Regime Switching Approach” Presenter: Fuchun Li (Bank of Canada) Authors: Fuchun Li; Hong Xiao “PE Ratios and the Risk Taking Channel of Monetary Policy” Presenter: Eric Olson (West Virginia University) Authors: Jack Dorminey; Eric Olson; Mark Wohar “Does Regulatory Bank Oversight Impact Economic Activity? A Local Projections Approach” Presenter: Pavel Kapinos (FDIC) Authors: Vivian Hwa; Pavel Kapinos; Carlos Ramirez Real and Financial Linkages (Chair: Paul Jones) Tennessee Room “Reconsidering the Finance-Growth Nexus A Semiparametric Approach” Presenter: Deniz Baglan (Howard University) Authors: Deniz Baglan “A Reexamination of Stock Returns, Interest Rates, Real Activity, and Inflation: Evidence from a Large Dataset” Presenter: Paul Jones (Pepperdine University) Authors: Paul Jones; Eric Olson; Mark Wohar “The Stock Market and Real Economy A Bayesian Nonparametric Approach” Presenter: Qiao Yang (University of Toronto) Authors: Qiao Yang “Changes in the behaviour of and the relationship between short-term interest rate, inflation and growth: Evidence from the UK, 1820-2014” Presenter: Mark Wohar (University of Nebraska at Omaha) Authors: Erdenebat Bataa; Andrew Vivian; Mark Wohar |
| 3:15 p.m. – 3:30 p.m. | Break |
| 3:30 p.m. – 5:15 p.m. |
Parallels 4 Treatment Effects (Chair: Ke-Li Xu) St. Louis Room “Constructing Robust Confidence Intervals for Regression Discontinuity Designs with Clustered Sampling” Presenter: Otavio Camargo-Bartalotti (Iowa State University) Authors: Quentin Brummet; Otavio Camargo-Bartalotti “Testing for Rank Invariance or Similarity in Program Evaluation: The effect of Training on Earnings Revisited” Presenter: Yingying Dong (University of California Irvine) Authors: Yingying Dong; Shu Shen “Simple Local Regression Distribution Estimators with an Application to Manipulation Testing” Presenter: Xinwei Ma (University of Michigan) Authors: Matias Cattaneo; Michael Jansson; Xinwei Ma “Regression discontinuity with categorical outcomes” Presenter: Ke-Li Xu (Texas A&M University) Authors: Ke-Li Xu Inference (Chair: Rehim Kilic) Kentucky Room “Testing Spatial Regression Models Under Nonregular Conditions” Presenter: Sheena Yu-Hsien Kao (University of Illinois) Authors: Anil Bera; Sheena Yu-Hsien Kao “Bayesian and frequentist tests of sign equality and other non-convex, nonlinear inequalities” Presenter: David Kaplan (University of Missouri) Authors: David Kaplan “Testing Regressor Exogeneity using Many Covariates” Presenter: Jason Parker (Michigan State University) Authors: Chirok Han; Jason Parker; Donggyu Sul “Robust Inference for Predictability in Smooth Transition Predictive Regressions” Presenter: Rehim Kilic (US Treasury) Authors: Rehim Kilic Macro Shocks (Chair: Molin Zhong) Missouri Room “Testing the Fiscal Theory in the Frequency Domain” Presenter: Fei Tan (Saint Louis University) Authors: Fei Tan “Country Shocks, Monetary Policy Expectations and ECB Decisions. A Dynamic Factor Approach” Presenter: Danilo Leiva-Leon (Central Bank of Chile) Authors: Maximo Camacho; Danilo Leiva-Leon; Gabriel Perez-Quiros “The Dynamic Effects of Forward Guidance Shocks” Presenter: Andrew Smith (Federal Reserve Bank of Kansas City) Authors: Brent Bundick; Andrew Smith “A New Approach to Identifying the Real Effects of Uncertainty Shocks” Presenter: Molin Zhong (University of Pennsylvania) Authors: Minchul Shin; Molin Zhong Financial Predictability (Chair: David Rapach) Tennessee Room “Driven by Fear The Tail Risk Premium in the Crude Oil Futures Market” Presenter: Reinhard Ellwanger (European University Institute) Authors: Reinhard Ellwanger “Equity Premium Puzzle in High-Income and Developing Countries: An Empirical Approach with Disasters” Presenter: Jaroslav Horvath (The Ohio State University) Authors: Jaroslav Horvath “The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited” Presenter: Christopher Neely (Federal Reserve Bank of St. Louis) Authors: Jerome Lahaye; Christopher Neely “Industry Interdependencies and Cross-Industry Return Predictability” Presenter: David Rapach (Saint Louis University) Authors: David Rapach; Jack Strauss; Jun Tu; Guofu Zhou |
| 5:15 p.m. – 6:15 p.m. | Reception |
| 6:15 p.m. |
“Complete Subset Regressions: Model Averaging with Many Weak Predictors” Dinner with Guest Speaker Graham Elliott (UCSD) |
Saturday, October 10
| 8:45 a.m. – 10:30 a.m. |
Parallels 5 Topics in Micro Data 1 (Chair: Bruce Meyer) St. Louis Room “The Effect of Minimum Wages on Employment: A Factor Model Approach” Presenter: Evan Totty (Purdue University) Authors: Evan Totty “Trouble in the Tails? Earnings Non-Response and Response Bias across the Distribution” Presenter: Christopher Bollinger (University of Kentucky) Authors: Christopher Bollinger; Barry Hirsch; Charles Hokayem; James Ziliak “Bias from Unit Non-Response in the Measurement of Income in Household Surveys” Presenter: Bruce Meyer (University of Chicago) Authors: C. Adam Bee; Graton Gathright; Bruce Meyer Forecast 1 (Chair: Gray Calhoun) Kentucky Room “Simple Robust Tests for the Specification of High-Frequency Predictors of a Low-Frequency Series” Presenter: J. Isaac Miller (University of Missouri) Authors: J. Isaac Miller “Nonlinear Granger Causality Between Exchange Rates and Real Consumption Spending: A Further Development of Cross Validation Causality Analysis” Presenter: Rick Ashley (Virginia Polytechnic Institute and State University) Authors: Rick Ashley; Mark Wohar “Comparing Nested Predictive Regression Models with Persistent Predictors” Presenter: Tae-Hwy Lee (University of California, Riverside) Authors: Yan Ge; Tae-Hwy Lee; Michael McCracken “A simple block bootstrap for asymptotically normal out-of-sample test statistics” Presenter: Gray Calhoun (Iowa State University) Authors: Gray Calhoun Business Cycles (Chair: Daniel Soques) Missouri Room “Explaining Volatility of Hours through Labor Demand Differences by Gender” Presenter: Amy Guisinger (George Washington University) Authors: Amy Guisinger “Business Cycle Asymmetries and Slow Recoveries in Labor Markets” Presenter: Irina Panovska (Lehigh University) Authors: Irina Panovska “Regional Banking Shocks and Activity: Evidence from Argentinean Regions.” Presenter: Emiliano Luttini (Banco Central de Chile) Authors: Emiliano Luttini “Business Cycles Across Space and Time” Presenter: Daniel Soques (University of North Carolina, Chapel Hill) Authors: Neville Francis; Michael Owyang; Daniel Soques Identification in Games (Chair: Ruli Xiao) Tennessee Room “Nonparametric Identification and Estimation of Double Auctions with Bargaining” Presenter: Huihui Li (Pennsylvania State University) Authors: Huihui Li; Nianqing Liu “Nonparametric Identifcation and Testing in First-Price Auctions with Asymmetric Bidders” Presenter: Zheng Li (Texas A&M University) Authors: Yonghong An; Zheng Li “Identifying power of the Nash-assumption in a linear entry game” Presenter: Peter Toth (University of Texas at Austin) Authors: Peter Toth “Identifcation of Dynamic Games with Multiple Equilibria and Unobserved Heterogeneity” Presenter: Ruli Xiao (Indiana University) Authors: Ruli Xiao |
| 10:30 a.m. – 10:45 a.m. | Break |
| 10:45 a.m. – 12:00 p.m. |
Parallels 6 Topics in Micro Data 2 (Chair: Marie-Helene Felt) St. Louis Room “Retail Payment Innovations and Cash Usage Accounting for Attrition Using Refreshment Samples” Presenter: Marie-Helene Felt (Carleton University) Authors: Heng Chen; Marie-Helene Felt; Kim Huynh “Positive Mental Health and its determinants in Urban India” Presenter: Bidisha Chakraborty (Jadavpur University) Authors: Bidisha Chakraborty; Piyali Dasgupta; Siddhartha Mitra “Canadian households' payment habits: 'Partnering up' aggregated household data and individual data” Presenter: Marie-Helene Felt (Carleton University) Authors: Marie-Helene Felt Forecast 2 (Chair: Mehmet Pasaogullari) Kentucky Room “The Role of Inflation Expectations, Core Inflation, and Slack in Real-Time Inflation Forecasting” Presenter: Kundan Kishor (University of Wisconsin-Milwaukee) Authors: Kundan Kishor; Evan Koenig “Nowcasting BRICS+M in Real Time” Presenter: Garima Vasishtha (Bank of Canada) Authors: Tatjana Dahlhaus; Justin-Damien Guenette; Garima Vasishtha “Forecasts from reduced-form models under the zero lower bound constraint” Presenter: Mehmet Pasaogullari (Federal Reserve Bank of Cleveland) Authors: Mehmet Pasaogullari Volatility (Chair: Todd Prono) Missouri Room “Forecasting Crude Oil Price Volatility” Presenter: Ana Maria Herrera (University of Kentucky) Authors: Ana Maria Herrera; Liang Hu; Daniel Pastor “Improving Forecasts from Markov Switching Models using Realized Variance” Presenter: Jia Liu (McMaster University) Authors: Jia Liu; John Maheu “Reconsidering Instrumental Variables Estimators for ARCH Processes” Presenter: Todd Prono (American University) Authors: Todd Prono Quantiles (Chair: Chuan Goh) Tennessee Room “Quantile Treatment Effects in Difference in Differences Models with Panel Data” Presenter: Brantly Callaway (Vanderbilt University) Authors: Brantly Callaway; Tong Li “Within-group Estimators for Fixed Effects Quantile Models with Large N and Large T” Presenter: Heng Chen (Bank of Canada) Authors: Heng Chen “Quantile-Regression Inference With Adaptive Control of Size” Presenter: Chuan Goh (University of Wisconsin-Milwaukee) Authors: Juan Carlos Escanciano; Chuan Goh |
| 12:00 p.m. – 1:00 p.m. | Lunch |
| 1:00 p.m. – 2:15 p.m. |
Parallels 7 Semiparametrics (Chair: Byoung Park) St. Louis Room “Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models” Presenter: Emir Malikov (St. Lawrence University) Authors: Emir Malikov; Yiguo Sun “Squre-root-N consistent estimator of the intercept of a sample selection model” Presenter: Byoung Park (SUNY at Albany) Authors: Byoung Park Forecast 3 (Chair: Brad Speigner) Kentucky Room “Real Time Monitoring for Abnormal Events: the Case of Influenza Outbreaks” Presenter: Yao Rao (The University of Liverpool) Authors: Brendan McCabe; Yao Rao “Diffusion Index Forecasts and Factor-Augmented Regressions in Nonstationary Time Series” Presenter: Shulin Shen (Syracuse University) Authors: Chihwa Kao; Shulin Shen “Nonlinear Unemployment Dynamics Disaggregated by Duration” Presenter: Brad Speigner (Bank of England) Authors: Brad Speigner International (Chair: AKM Mahbub Morshed) Missouri Room “Reduced Form and Structural Models in Productivity Analysis” Presenter: Binlei Gong (Rice University) Authors: Binlei Gong “Is China's Monetary Policy Constrained by its Foreign Exchange Interventions? A Structural Perspective” Presenter: Hao Jin (Indiana University Bloomington) Authors: Hao Jin; Fei Tan “Unconditional Convergence of Labor Productivity in the Service Sector” Presenter: AKM Mahbub Morshed (Southern Illinois University Carbondale) Authors: Bisrat Kinfemichael; AKM Mahbub Morshed Microeconometrics 4 (Chair: Wei Lin) Tennessee Room “Measurement Errors in Quantile Regression Models” Presenter: Suyong Song (University of Iowa) Authors: Sergio Firpo; Antonio Galvao; Suyong Song “Control Function Approach in Two-Step Sieve M-estimation of Binary Response Models with Endogenous Explanatory Variables” Presenter: Wei Lin (Michigan State University) Authors: Wei Lin |
