Programme: Conférence sur les séries temporelles

Vendredi 2 décembre

Friday, December 2

08:25 – 08:30

Mot de bienvenue / Welcome Remarks
Nour Meddahi (Université de Montréal, CIRANO, CIREQ)

08:30 – 10:15

Session I
Président/Chair : James MacKinnon (Queen’s University)

Serena Ng (University of Michigan)
A Simple Test for Non-Stationarity in Mixed Panels

Roger Moon (University of South California), Benoit Perron (Université de Montréal, CIRANO, CIREQ), Peter C.B. Phillips (Yale Unviersity)
Incidental Trends and the Power of Panel Unit Root Tests

Seung Hyun Hong (Concordia University)
Reconsidering Linear Specification of PPP: European Countries

Discussants:
Benoit Perron (Université de Montréal, CIRANO, CIREQ)
Peter Pedroni (Williams College)
Alex Maynard (University of Toronto)

10:15 – 10:45

Pause / Break

10:45 – 12:30

Session II
Président/Chair : Benoit Perron (Université de Montréal, CIRANO, CIREQ)

Ozgen Sayginsoy (University at Albany – SUNY), Tim Vogelsang (Cornell University)
Powerful Tests of Structural Change that Are Robust to Strong Serial Correlation

Donald W.K. Andrews (Yale University), Patrik Guggenberger(University of California at Los Angeles)
The Limit of Finite Sample Size and a Problem with Subsampling

Masayuki Hirukawa (Concordia University)
A Modified Nonparametric Prewhitened Covariance Estimator

Discussants:
Marine Carrasco (University of Rochester)
Russell Davidson (McGill University, CIREQ)
Chuan Goh (University of Toronto)

12:30 – 13:45

Lunch

13:45 – 15:30

Session III
Président/Chair : Russell Davidson (McGill University, CIREQ)

Lars Peter Hansen (University of Chicago, NBER), Jose Scheinkman (Princeton University)
Long Term Risk: An Operator Approach

Lawrence J. Christiano, Martin Eichenbaum (Northwestern University, NBER), Robert Vigfusson (Federal Reserve Board of Governors)
Assessing Structural VARs

Wei Liu, Alex Maynard (University of Toronto)
A New Application of Exact Nonparametric Methods to Long-Horizon Predictability Tests

Discussants:
Angelo Melino (University of Toronto)
Nikolay Gospodinov (Concordia University, CIREQ)
Richard Luger (Emory University)

15:30 – 16:00

Pause / Break

16:00 – 17:45

Session IV
Président/Chair : Bryan Campbell (Concordia University, CIRANO, CIREQ)

Torben G. Andersen (Northwestern University, NBER), Tim Bollerslev (Duke University, NBER), Dobrislav Dobrev (Northwestern University)
Nonparametric Exploration of Continuous Time Volatility Models with Leverage and Jumps
(Appendix)

Javier Hidalgo (London School of Economics), Paolo Zaffaroni (Imperial College, London)
A Goodness of Fit Test for ARCH (Infinity) Models

Antonio Diez de los Rios (Bank of Canada), René Garcia (Université de Montréal, CIRANO, CIREQ)
Assessing and Valuing the Nonlinear Structure of Hedge Funds Returns

Discussants:
Christian Bontemps (Université de Toulouse I, GREMAQ, IDEI)
Pierre Duchesne (Université de Montréal, CRM)
Andrew Patton (London School of Economics)

Samedi 3 décembre

Saturday, December 3

08:30 – 10:15

Session V
Président/Chair : René Garcia (Université de Montréal, CIRANO, CIREQ)

Peter Robinson (London School of Economics)
Diagnostic Testing for Cointegration

Jianqing Fan (Princeton University, London School of Economics), Mingjin Wang, Qiwei Yao (London School of Economics, Peking University)
Modelling Multivariate Volatilities via Conditionally Uncorrelated Components

John Galbraith (McGill University, CIRANO, CIREQ), Victoria Zinde-Walsh (McGill University, CIREQ)
Reduced-Dimension Controls in Time Series Regression (2nd paper)

Discussants:
Joon Park (Rice University)
Christian Gouriéroux (University of Toronto, CREST-INSEE)
James MacKinnon (Queen’s University)

10:15 – 10:45

Pause / Break

10:45 – 12:30

Session VI
Président/Chair : Victoria Zinde-Walsh (McGill University, CIREQ)

William A. Brock, Steven N. Durlauf (University of Wisconsin), Kenneth D. West (University of Wisconsin, NBER)
Model Uncertainty and Policy Evaluations: Some Theory and Empirics

Joshua D. Angrist (MIT, NBER), Guido M. Kuersteiner (Boston University)
Does Monetary Policy Matter? Semiparametric Conditional Independence Tests Using the Policy Propensity Score

Jean-Marie Dufour (Université de Montréal, CIRANO, CIREQ), Abderrahim Taamouti (Université de Montréal)
Short and Long Run Causality Measures: Theory and Inference

Discussants:
Jonathan Wright (Federal Reserve Board, Washington)
Yanqin Fan (Vanderbilt University)
Lutz Kilian (University of Michigan)

12:30 – 13:45

Lunch

13:45 – 15:30

SESSION VII
Président/Chair : William McCausland (Université de Montréal, CIRANO, CIREQ)

Robert de Jong (Ohio State University), Tiemen M. Woutersen (Johns Hopkins University)
Dynamic Time Series Binary Choice

Yoosoon Chang, Joon Park (Rice University)
Endogeneity in Nonlinear Regressions with Integrated Time Series

Katsumi Shimotsu (Queen’s University)
Simple (but Effective) Tests of Long Memory versus Structural Breaks

Discussants:
Victoria Zinde-Walsh (McGill University, CIREQ)
Vadim Marmer (University of British Columbia)
Rohit Deo (New York University)

15h30

Adjourn