Program: Time Series Conference

VENDREDI 8 DÉCEMBRE

FRIDAY, DECEMBER 8

08:30 – 10:10

SESSION I
Président / Chair : Katsumi SHIMOTSU (Queen’s University)

Atsushi INOUE (University of British Columbia), Lutz Kilian (University of Michigan, CEPR), Fatma Burcu Kiraz (North Carolina State University)
Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data

Raffaella Giacomini (UCLA), Barbara ROSSI (Duke University)
Non-Nested Model Selection in Unstable Environments

Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO), Lynda KHALAF (Carleton University, CIREQ), Maral Kichian (Bank of Canada)
Structural Multi-Equation Macroeconomic Models : A System-Based Estimation and Evaluation Approach

Commentateurs / Discussants :
Jonathan WRIGHT (Board of Governors, visiting University of Pennsylvania)
Nikolay GOSPODINOV (Concordia University, CIREQ)
Vadim MARMER (University of British Columbia)

10:10 – 10:40

Pause / Break

10:40 – 12:20

SESSION II
Président / Chair : Nicholas KIEFER (Cornell University)

Peter C.B. Phillips (Yale University), Werner PLOBERGER (Washington University in Saint Louis)
Optimal Estimation under Nonstandard Conditions

Yongmiao HONG (Cornell University), Yoonjin Lee (Indiana University)
Detecting Misspecifications in Autoregressive Conditional Duration Models via Generalized Spectrum

Manuel A. Domínguez, Ignacio LOBATO (ITAM)
A Consistent Specification Test for Models Defined by Conditional Moment Restrictions

Commentateurs / Discussants :
Katsumi SHIMOTSU (Queen’s University)
Juan Carlos ESCANCIANO (Indiana University)
Marine CARRASCO (Université de Montréal, CIREQ, CIRANO)

12:20 – 13:45

Lunch

13:45 – 15:25

SESSION III
Président / Chair : Peter CHRISTOFFERSEN (McGill University, CIREQ, CIRANO)

Ronald GALLANT, Han Hong (Duke University)
A Statistical Inquiry into the Plausibility of Recursive Utility

Marco Del Negro (Federal Reserve Bank of Atlanta), Francis X. Diebold, Frank SCHORFHEIDE (University of Pennsylvania)
Priors from Frequency-Domain Dummy Observations

Jean BOIVIN (HÉC Montréal, NBER), Marc P. Giannoni (Columbia University, NBER, CEPR)
DSGE Models in a Data-Rich Environment

Commentateurs / Discussants :
Christian GOURIÉROUX (University of Toronto, CREST)
Alan BESTER (Chicago Graduate School of Business)
Jun YANG (Bank of Canada)

15:25 – 15:55

Pause / Break

15:55 – 17:00

SESSION IV
Président / Chair : Robin SICKLES (Rice University)

Jushan BAI(New York University), Chihwa Kao (Syracuse University), Serena Ng (University of Michigan)
Panel Cointegration with Global Stochastic Trends

Gary Chamberlain, Marcelo MOREIRA (Harvard University)
Decision Theory Applied to a Linear Panel Data Model

Commentateurs / Discussants :
Yoonjin LEE (Indiana University)
Robin SICKLES (Rice University)

SAMEDI 9 DÉCEMBRE

SATURDAY, DECEMBER 9

08:30 – 10:10

SESSION V
Président / Chair : George TAUCHEN (Duke University)

Christian Francq (GREMARS, Université Lille 3), Jean-Michel ZAKOIAN (CREST, Université Lille 3)
Estimating and Testing GARCH Processes when the Parameter is on a Boundary

Joon Y. Park (Texas A&M University), Mototsugu SHINTANI (Vanderbilt University)
The International Diversification Puzzle Revisited : A Stochastic Dominance Analysis of High-Frequency Data

Christian Gouriéroux (University of Toronto, CREST), Joann JASIAK (York University)
Dynamic Quantile Models

Commentateurs / Discussants :
Emma IGLESIAS (Michigan State University)
John GALBRAITH (McGill University, CIREQ, CIRANO)
George TAUCHEN (Duke University)

10:10 – 10:40

Pause / Break

10:40 – 12:20

SESSION VI
Président / Chair : Russell DAVIDSON (McGill University, CIREQ)

Arie Preminger (CORE, Université Catholique de Louvain), Shinichi SAKATA (University of British Columbia)
A Model Selection Method for S-Estimation

Rustam Ibragimov (Harvard University), Ulrich MÜLLER (Princeton University)
T-Statistic Based Correlation and Heterogeneity Robust Inference

Tim Vogelsang (Michigan State University), Silvia GONÇALVES (Université de Montréal, CIREQ, CIRANO)
Block Bootstrap HAC Robust Tests : The Sophistication of the Naive Bootstrap

Commentateurs / Discussants :
Victoria ZINDE-WALSH (McGill University, CIREQ)
Nicholas KIEFER (Cornell University)
Russell DAVIDSON (McGill University, CIREQ)

12:20 – 13:50

Lunch

13:50 – 15:30

SESSION VII
Président / Chair : Federico BANDI (Chicago Graduate School of Business)

Jon Faust (Johns Hopkins University), Jonathan WRIGHT (Board of Governors, visiting University of Pennsylvania)
Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset

Federico Bandi (Chicago Graduate School of Business), Benoit PERRON (Université de Montréal, CIREQ, CIRANO)
Long-Run Risk-Return Trade-offs

Torben Andersen (Kellogg School of Management, Northwestern University), Tim Bollerslev (Duke University), Nour MEDDAHI (Imperial College London, CIREQ, CIRANO)
Realized Volatility Forecasting and Market Microstructure Noise

Commentateurs / Discussants :
Bryan CAMPBELL (Concordia University, CIREQ, CIRANO)
Rossen VALKANOV (University of California at San Diego)
Federico BANDI (Chicago Graduate School of Business)

15h30

Adjourn