Programme: Cinquième colloque CIREQ sur les séries temporelles

Cinquième colloque CIREQ sur les séries temporelles

Montréal, 27-28 mai 2011

PROGRAMME

Vendredi 27 mai 2011
8:00 – 8:30	Accueil
8:30 – 10:30	SESSION I – STRUCTURAL CHANGE Présidente : 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 Commentateur : Atsushi Inoue (North Carolina State University) Valentina Corradi (Warwick University), Norman Swanson (Rutgers University) Testing for Forecast and Structural Stability Commentateur : Moto Shintani (Vanderbilt University) Ke-li Xu (Texas A&M University) Testing for Changing Mean, Non-monotonic Power and Testing for Volatility Breaks Commentateur : Ted Juhl (University of Kansas)
10:30 – 11:00	Pause
11:00 – 12:20	SESSION II – TESTS Présidente : 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 Commentateur : 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 Commentateur : Lynda Khalaf (Carleton University)
12:20 – 13:50	Lunch
13:50 – 15:10	SESSION III – UNIT ROOT Président : Morten NIELSEN (Queen’s University)
	Yoosoon Chang (Indiana University) Testing for Unit Roots in Time Series of Distributions Commentateur : John Chao (University of Maryland) Alex Maynard (Guelph University), Katsumi Shimotsu (Hitotsubashi University), Yini Wang (Queen’s University) Inference in Predictive Quantile Regressions Commentateur : Chi Wan (Carleton University)
15:10 – 15:40	Pause
15:40 – 17:00	SESSION IV – ASSET PRICING Président : Prosper DOVONON (Concordia University)
	Frank Kleibergen (Brown University) Reality Checks for and of Factor Pricing Commentateur : 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 Commentateur : 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
Samedi 28 mai 2011
9:00 – 10:20	SESSION V – INFERENCE IN CONTINUOUS TIME MODELS Présidente : Ilze Kalnina (Université de Montréal)
	Joon Park (Indiana University) Martingale Regressions for Conditional Mean Models in Continuous Time Commentateur : 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 Commentateur : Shin Kanaya (Oxford University)
10:20 – 10:50	Pause
10:50 – 12:10	SESSION VI – FACTOR AUGMENTED VAR MODEL Présidente : 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 Commentateur : 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 Commentateur : Dalibor Stevanovic (Université de Montréal)
12:10 – 13:40	Lunch
13:40 – 15:00	SESSION VII – BOOTSTRAP Président : 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 Commentateur : Morten Nielsen (Queen’s University) Sílvia Gonçalves & Benoit Perron (Université de Montréal, CIREQ, CIRANO) Bootstrapping Factor-Augmented Regression Models Commentateur : Nikolay Gospodinov (Concordia University, CIREQ)

événements à venir

6 octobre 2023 (ITHQ)

13-14 octobre 2023 (U. Sherbrooke)

25 octobre 2023 (U. Montréal)

10 novembre 2023, 11h30 - 13h00

16 novembre 2023, 12h00 - 13h30

4-5 décembre 2023 (Allemagne)

8 décembre 2023 (U. Montréal)

10-11 mai 2024 (ITHQ)