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Program: Operator Methods in Microeconometrics, Time Series and Finance

5-6 novembre/November 2004

Programme / Program

Vendredi 5 novembre                                                                         Friday, November 5

8:30 – 8:40

Mot de bienvenue / Welcoming Address
Peter Christoffersen (McGill University, CIREQ, CIRANO) 

8:40 – 10:00

Session I: Introduction
Président/Chair: John Galbraith (McGill University, CIREQ, CIRANO)

Marine Carrasco (University of Rochester), Jean-Pierre Florens (Université de Toulouse, IDEI, GREMAQ), Éric Renault (Université de Montréal, University of North Carolina, CIREQ, CIRANO)
Linear Inverse Problems in Structural Econometrics: Estimation Based on Spectral Decomposition and Regularization

Vadim Linetsky (Northwestern University)
Spectral Methods in Asset Pricing 

10:00 – 10:30

Pause / Break 

10:30 – 12:00

Session II: Inverse Problems
Président/Chair: Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO)

Richard Blundell (University College London), Joel Horowitz (Northwestern University, CIREQ)
A Nonparametric Test of Exogeneity

Jean-Pierre Florens (Université de Toulouse, IDEI, GREMAQ)
Endogeneity in Dynamic Models: Instrumental Variables and Decomposition of Semi-Martingales

Richard Blundell (University College London), Xiaohong Chen (New York University), Dennis Kristensen (London School of Economics)
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 

12:00 – 13:30

Lunch (Mezz Bar) 

13:30 – 15:00

Session III: Spectral Methods in Pricing and Statistical Inference
Président/Chair: Benoit Perron (Université de Montréal, CIREQ, CIRANO)

Aït-Sahalia (Princeton University, NBER), Per Mykland (University of Chicago)
Efficiency Properties of Hansen-Scheinkman Estimators

Robert Kimmel (Princeton University)
Moments of Non-Linear Diffusions

Nour Meddahi (Université de Montréal, CIREQ, CIRANO)
Moments of Contiuous Time Stochastic Volatility Models 

15:00 – 15:30

Pause / Break 

15:30 – 17:00

Session IV: Term Structure Models
Président/Chair: Nikolay Gospodinov (Concordia University, CIREQ, CIRANO)

Christian Gouriéroux (University of Toronto, CREST, CIREQ), Razvan Sufana (University of Toronto)
Wishart Quadratic Term Structure Models
(2e papier / 2nd paper)

Qiang Dai (University of North Carolina at Chapel Hill), Kenneth Singleton (Stanford University, NBER)
Nonlinear Dynamic Term Structure Models with Analytical Bond Pricing

Vladislav Kargin (Cornerstone Research), Alexei Onatski (Columbia University)
Dynamics of Interest Rate Curve by Functional Auto-Regression 

Samedi 6 novembre                                                                        Saturday, November 6

9:30 – 10:30

Session V: Statistical Inference
Président/Chair: Sìlvia Gonçalves (Université de Montréal, CIREQ, CIRANO)

Frits Ruymgaart (Texas Tech University)
Inversion of Noisy Laplace Transforms with an Application to the Insurance Ruin Problem

Marine Carrasco (University of Rochester), Jean-Pierre Florens (Université de Toulouse, IDEI, GREMAQ)
A Unified Framework for GMM with an Infinity of Moment Conditions 

10:30 – 11:00

Pause / Break 

11:00 – 12:00

Session VI: Some Econometric Issues
Président/Chair: Bryan Campbell (Concordia University, CIREQ, CIRANO)

Susanne Schennach (University of Chicago)
Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models

Russell Davidson (McGill University, CIREQ), Jean-Yves Duclos (Université Laval)
Bootstrap Tests for First-Order Stochastic Dominance Based on Empirical Likelihood

12:00 – 13:00

Lunch (Mezz Bar) and Adjourn


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