|
Samedi 23 mai 2009 / Saturday, May 23, 2009
|
|
9:00 10:20
|
FRACTIONAL INTEGRATION
|
| |
Soren Johansen (University of Copenhagen), Morten Nielsen (Queen’s University)
Likelihood Inference for a Vector Autoregressive Model which Allows for Fractional and Cofractional Processes
Discussant : Carlos Velasco (Universidad Carlos III de Madrid)
|
| |
Zhongjun Qu (Boston University)
A Test against Spurious Long Memory
Discussant : Benoit Perron (Université de Montréal, CIREQ, CIRANO)
|
|
10:20 – 10:50
|
Pause / Break
|
|
10:50 – 12:10
|
SPECIFICATION TESTS
|
| |
Miguel A. Delgado (Universidad Carlos III de Madrid), Javier Hidalgo (London School of Economics and Political Science), Carlos Velasco (Universidad Carlos III de Madrid)
Bootstrap Assisted Specification Tests for the FARIMA Model
Discussant : Russell Davidson (McGill University, CIREQ)
|
| |
Yongmiao Hong (Cornell University), Yoon-Jin Lee (Indiana University)
A Loss Function Approach to Model Specification Testing and Its Relative Efficiency to the GLR Test
Discussant : Jeffrey Racine (McMaster University)
|
|
12:10 – 13:40
|
Lunch
|
|
13:40 – 15:00
|
HAC
|
| |
Minseong Kim, Yixiao Sun (University of California at San Diego)
Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix
Discussant : Timothy Conley (Chicago Business School)
|
| |
Sílvia Gonçalves (Université de Montréal, CIREQ, CIRANO)
The Moving Blocks Bootstrap for Panel Linear Regression Models with Individual Fixed Effects
Discussant : Timothy Vogelsang (Michigan State University)
|
