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Program: Third Time Series Conference

Troisième colloque CIREQ sur les séries temporelles /
Third Time Series Conference

Montréal, 22-23 mai / May 2009

PROGRAMME / PROGRAM



Vendredi 22 mai 2009 / Friday, May 22, 2009

8:00 – 8:30

Accueil / Welcome

8:30 – 10:30

DSGE MODELS

 

Ivana Komunjer (University of California at San Diego), Serena Ng (Columbia University)
On Identification of DSGE Models
Discussant : Giuseppe Ragusa (University of California at Riverside)

 

Atsushi Inoue (North Carolina State University), Barbara Rossi (Duke University)
Identifying the Sources of Instabilities in Macroeconomic Fluctuations
Discussant : Pablo Guerron (North Carolina State University)

 

Raffaella Giacomini (University College London), Giuseppe Ragusa (University of California at Irvine)
Discussant : Francisco Ruge-Murcia (Université de Montréal, CIREQ)

10:30 – 11:00

Pause / Break

11:00 – 12:20

UNIT ROOTS

 

David Harvey, Stephen Leybourne, Robert Taylor (University of Nottingham)
Testing of Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition
Discussant : Graham Elliott (University of California at San Diego)

 

Anna Mikusheva (Massachusetts Institute of Technology)
One-Dimensional Inferences in Autoregressive Models with the Potential Presence of a Unit Root
Discussant : Nikolay Gospodinov (Concordia University, CIREQ)

12:20 – 13:50

Lunch

13:50 – 15:10

TIME-VARYING PARAMETER MODELS

 

Zhongjun Qu, Zhijie Xiao (Boston University)
Tests for a Changing Trend with Good Size and Power
Discussant : Bruce Hansen (University of Wisconsin)

 

Aaron Smith (University of California at Davis)
Markov Breaks in Regression Models
Discussant : Jeremy Piger (University of Oregon)

15:10 – 15:40

Pause / Break

15:40 – 17:00

RISK MANAGEMENT AND FORECASTING

 

Nicholas Kiefer (Cornell University)
Correlated Defaults, Temporal Correlation, Expert Information and Predictability of Default Rates
Discussant : William McCausland (Université de Montréal, CIREQ, CIRANO)

 

Òscar Jordà (University of California, Davis), Massimiliano Marcellino (European University Institute)
Path Forecast Evaluation
Discussant : Jean-Marie Dufour (McGill University, CIREQ, CIRANO) 

17:00 – 18:00

POSTER SESSION

 

Sébastien Blais (Banque du Canada)
Forecasting with Weakly Identified Linear State-Space Models

 

Selma Chaker (Université de Montréal, CIREQ)
Bid-Ask Bounds and Volatility(with Nour Meddahi, Toulouse School of Economics)

 

Nikolay Gospodinov (Concordia University, CIREQ)
Inference in Nearly Cointegrated Systems

 

Lynda Khalaf (Carleton University, CIREQ)
Identification Robust Inference in Structural Multivariate Factor Models with Rank Restrictions(with Marie-Claude Beaulieu, Université Laval & Jean-Marie Dufour, McGill University, CIREQ, CIRANO)

 

Rachidi Kotchoni (Université de Montréal, CIREQ)
Assessing the Nature of Pricing Inefficiencies via Realized Measures  (with Marine Carrasco, Université de Montréal, CIREQ, CIRANO)

 

Alex Maynard (University of Guelph)
Sensitivity of Impulse Responses to Small Low Frequency Co-Movements : Reconciling the Evidence on the Effects of Technology Shocks  (with Nikolay Gospodinov, Concordia University, CIREQ & Elena Pesavento, Emory University)

 

William McCausland (Université de Montréal, CIREQ, CIRANO)
The Hessian Method

 

Dalibor Stevanovic (Université de Montréal, CIREQ)
Factor Models and VARMA Processes (with Jean-Marie Dufour, McGill University, CIREQ, CIRANO)

 

Carlos Velasco (Universidad Carlos III de Madrid)
Revisiting the Tests of the Unbiased Hypothesis of Forward Exchange Rates (with S. Moon)

 

Ke-Li Xu (University of Alberta)
Nonparametric Inference for the Conditional Quantiles of Time Series


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)

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