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Program: Fifth CIREQ Time Series Conference

Fifth CIREQ Time Series Conference

Montreal, May 27-28, 2011

PROGRAM


Friday, May 27, 2011
8:00 – 8:30 Welcome
8:30 – 10:30 SESSION I – STRUCTURAL CHANGE
Chair : Marine Carrasco (Université de Montréal, CIREQ, CIRANO)
 
 

Liudas Giraitis & George Kapetanios (Queen Mary University), Tony Yates (Bank of England)
Inference on Stochastic Time-Varying Coefficient Models
Discussant : Atsushi Inoue (North Carolina State University)

Valentina Corradi (Warwick University), Norman Swanson (Rutgers University)
Testing for Forecast and Structural Stability
Discussant : Moto Shintani (Vanderbilt University)

Ke-li Xu (Texas A&M University)
Testing for Changing Mean, Non-monotonic Power and Testing for Volatility Breaks
Discussant : Ted Juhl (University of Kansas)
 

10:30 – 11:00

Break
 
11:00 – 12:20 SESSION II – TESTS
Chair : Victoria Zinde-Walsh (McGill University, CIREQ)
   
 

Frank Cowell (London School of Economics), Russell Davidson (McGill University, CIREQ), Emmanuel Flachaire (GREQAM, Universite Paul Cezanne)
Goodness of Fit : An Axiomatic Approach
Discussant : Marc Henry (Université de Montréal, CIREQ, CIRANO)

Laura Coroneo (University of Manchester), Valentina Corradi & Paulo Santos Monteiro (University of Warwick)
Testing for the Degree of Commitment via Set-Identification
Discussant : Lynda Khalaf (Carleton University)
 

12:20 – 13:50

Lunch
 

13:50 – 15:10

SESSION III – UNIT ROOT
Chair : Morten NIELSEN (Queen’s University)
  

 

Yoosoon Chang (Indiana University)
Testing for Unit Roots in Time Series of Distributions
Discussant : John Chao (University of Maryland)

Alex Maynard (Guelph University), Katsumi Shimotsu (Hitotsubashi University), Yini Wang (Queen’s University)
Inference in Predictive Quantile Regressions
Discussant : Chi Wan (Carleton University)
 

15:10 – 15:40 Break
 
15:40 – 17:00 SESSION IV – ASSET PRICING
Chair : Prosper DOVONON (Concordia University)
 
 

Frank Kleibergen (Brown University)
Reality Checks for and of Factor Pricing
Discussant : Cesare Robotti (Federal Reserve Bank of Atlanta)

Nikolay Gospodinov (Concordia University, CIREQ), Raymond Kan (University of Toronto), Cesare Robotti (Federal Reserve Bank of Atlanta)
Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models
Discussant : Denis Pelletier (North Carolina State University)
 

17:00 – 18:00

POSTER SESSION
 

  Selma Chaker (Université de Montréal, CIREQ)
Volatility and Liquidity Costs
 
  Firmin Doko Tchatoka (University of Tasmania, Australia)
Alternative Tests for Partial Exogeneity Tests with Weak Instruments
 
  Prosper Dovonon (Concordia University)
Long Run Canonical Correlations : Estimation and Inference
 
  Sílvia Gonçalves (Université de Montréal, CIREQ, CIRANO), Ulrich Hounyo (Université de Montréal, CIREQ), Nour Meddahi (Toulouse School of Economics, GREMAQ, IDEI)
Bootstrapping Pre-averaging Realized Volatility under Market Microstructure Noise
 
  Xu Han, Atsushi Inoue (North Carolina State University)
Tests of Parameter Instability in Dynamic Factor Models
 
  Ted Juhl (University of Kansas)
A Nonparametric Test of the Predictive Regression Model
 
  Shin Kanaya (Oxford University)
A Nonparametric Test for Stationarity in Continuous-Time Markov Processes
   
  Georges Kapetanios (Queen Mary University), Lynda Khalaf (Carleton University), Massimiliano Marcellino (EUI & Bocconi University)
Factor Based Identification-Robust Inference in IV Regressions
 

 

Michael Jansson (University of California), Morten Nielsen (Queen’s University)
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
 
  Mototsugu Shintani & Zheng-Feng Guo (Vanderbilt University)
Consistent Cotrending Rank Selection When Both Stochastic and Nonlinear Deterministic Trends Are Present
 
  Dalibor Stevanovic (Université de Montréal)
Common Sources of Parameter Instability in Macroeconomic Models : A Factor-TVP Approach
 

Saturday, May 28, 2011
 
 
9:00 – 10:20 SESSION V – INFERENCE IN CONTINUOUS TIME MODELS
Chair : Ilze Kalnina (Université de Montréal)
 
 

Joon Park (Indiana University)
Martingale Regressions for Conditional Mean Models in Continuous Time
Discussant : Robert Kimmel (EDHEC Singapore)

Bin Chen (University of Rochester), Zhaogang Song (Cornell University)
Testing whether the Underlying Continuous-Time Process Follows a Diffusion : An Infinitesimal Operator Based Approach
Discussant : Shin Kanaya (Oxford University)
 

10:20 – 10:50 Break
 
10:50 – 12:10 SESSION VI – FACTOR AUGMENTED VAR MODEL
Chair : Lynda KHALAF (Carleton University, CIREQ)
 
 

Jean-Marie Dufour (McGill University, CIREQ, CIRANO), Dalibor Stevanovic (Université de Montréal)
Factor-Augmented VARMA Models : Identification, Estimation, Forecasting and Impulse Responses
Discussant : Anindya Banerjee (University of Birmingham & Banque de France)

Yohei Yamamoto (University of Alberta)
Bootstrap Inference for the Impulse Response Functions in Factor-Augmented Vector Autoregressions
Discussant : Dalibor Stevanovic (Université de Montréal)
 

12:10 – 13:40

Lunch
 

13:40 – 15:00 SESSION VII – BOOTSTRAP
Chair : Atsushi INOUE (North Carolina State University)
 
 

Giuseppe Cavaliere (University of Bologna), Anders Rahbek (University of Copenhagen), A.M. Robert Taylor (The University of Nottingham)
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Discussant : Morten Nielsen (Queen’s University)

Sílvia Gonçalves & Benoit Perron (Université de Montréal, CIREQ, CIRANO)
Bootstrapping Factor-Augmented Regression Models
Discussant : Nikolay Gospodinov (Concordia University, CIREQ)

 

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