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Program: CIREQ Conference on GMM

Vendredi 16 novembre                                                                          Friday, November 16


8:30 – 9:00

Bienvenue et inscriptions / Welcome and registration


9:00 – 10:30

Président / Chair : Nour MEDDAHI (Imperial College London, CIREQ)

Manual Arellano (CEMFI), Lars Peters HANSEN (University of Chicago), Enrique Sentana (CEMFI)
Underidentification Revisited

Alastair HALL (University of Manchester, North Carolina State University), Sanggohn Han (Hyundai Research Institute), Otilia Boldea (Tilburg University)
Inference Regarding Multiple Changes in Linear Models Estimated via Two Stage Least Squares

Caio Almeida (Getulio Vargas Foundation, Rio de Janeiro), René GARCIA (Université de Montréal, CIREQ, CIRANO)
Empirical Likelihood Estimators for Stochastic Discount Factors


10:30 – 11:00

Pause / Break


11:00 – 12:30

Président / Chair : Silvia GONÇALVES (Université de Montréal, CIREQ)

Donald Andrews (Yale University), Marcelo Moreira, James H. STOCK (Harvard University)
Efficient Two-Sided Nonsimilar Invariant Tests in IV Regression with Weak Instruments

Guido KUERSTEINER (University of California at Davis), Ryo Okui (Hong Kong University of Science and Technology)
Estimator Averaging for Two Stage Least Squares

Mehmet CANER (North Carolina State University), Nese Yildiz (Rochester University)
Jackknife CUE with Many Weak Moments and Nearly-Singular Design


12:30 – 14:00

Lunch (Salle/Room Gérard-Delage, 6e étage/6th floor)


14:00 – 15:30



Président / Chair : Fallaw SOWELL (Carnegie Mellon University)

Donald W.K. ANDREWS (Yale University, CIREQ)
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection

Jean-Marie DUFOUR (McGill University, CIREQ, CIRANO), Frédéric Jouneau-Sion, Olivier Torrès (Université de Lille)
Testability and Methods of Moments in Nonparametric and Semiparametric Models”

Yuichi KITAMURA, Taisuke Otsu, Kirill Evdokimov (Yale University)
Robustness, Infinitesimal Neighborhoods, and Moment Restrictions


15:30 – 17:00

Pause / Break – POSTER SESSION (Salle/Room Gérard-Delage, 6e étage/6th floor)

Mike AGUILAR, Éric Renault (University of North Carolina at Chapel Hill)
Simulation – Based Truncated GMM

Stanislav ANATOLYEV (New Economic School, Moscow)
Inference in Regression Models with Many Regressors

Bertille ANTOINE (Simon Fraser University), Éric Renault (University of North Carolina at Chapel Hill, CIREQ, CIRANO)
Testing Parameters in GMM without Assuming that They are Identified : A Comment

Martin BURDA (University of Toronto)
Locally Weighted Generalized Minimum Contrast Estimation under Conditional Moment Restrictions

Pierre CHAUSSÉ (Université du Québec à Montréal)
Generalized Empirical Likelihood for a Continuum of Moment Conditions

Nikolay GOSPODINOV (Concordia University, CIREQ), Taisuke Otsu (Yale University)
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions

Alain GUAY (Université du Québec à Montréal, CIREQ), Jean-François Lamarche (Brock University)
The Information Content of Implied Probabilities to Detect Structural Change

Marine Carrasco, Rachidi KOTCHONI (Université de Montréal, CIREQ)
Optimal Choice of the Regularization Parameter for GMM Estimation Based on the Characteristic Function

Pascal LAVERGNE (Simon Fraser University), Valentin Patilea (CREST-ENSAI)
Efficient Smooth GMM and Dimension Reduction

Victoria Hnatkovska, Vadim MARMER, Yao Tang (University of British Columbia)
“Comparison of Misspecified Calibrated Models: The Minimum Distance Approach


17:00 – 18:00

Président / Chair : Benoit PERRON (Université de Montréal, CIREQ, CIRANO)

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

Thomas Severini, Gautam TRIPATHI (University of Connecticut)
Efficiency Bounds for Estimating Linear Functionals of Nonparametric Regression Models with Endogenous Regressors


Conference Dinner

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