Bienvenue au nouveau site web du CIREQ !

Programme : 2012-05-04

 
Colloque CIREQ en économétrie :
les problèmes de grandes dimensions en économétrie  

4-5 mai 2012
  


PROGRAMME 


 
VENDREDI 4 MAI

 
8:00-8:30 
   Accueil
 
  
8:30-10:00   SESSION I – Présidente : Victoria Zinde-Walsh (McGill University, CIREQ)
 
Joel Horowitz (Northwestern University)
Penalized Estimation of High Dimensional Models under a Generalized Sparsity Condition 

Victor Chernozhukov (Massachusetts Institute of Technology)
Inference in High-Dimensional Sparse Models 

Ivan Fernandez-Val (Boston University)
Conditional Quantile Processes Based on Series or Many Regressors
 
 
10:00-10:30  Pause
 
 
10:30-12 :00   SESSION II – Président : Benoit Perron (Université de Montréal, CIRANO, CIREQ)
 
Jean-Pierre Florens (École d’économie de Toulouse (TSE)), Sébastien Van Bellegem (Université catholique de Louvain)
Functional Linear Instrumental Regression 

Eric Gautier, Alexandre Tsybakov (CREST, ENSAE)
High-Dimensional Instrumental Variables Regression and Confidence Sets

Arun G. Chandrasekhar, Victor Chernozhukov (Massachusetts Institute of Technology), Francesca Molinari (Cornell University), Paul Schrimpf (University of British  Columbia)
Estimation of Best Linear Approximations to Set Identified Functions
 
  
12:00-13:30  Lunch
 
 
13:30-15:00  SESSION III – Président : Xu Cheng (University of  Pennsylvania)
 
Werner Ploberger (Washington University in St Louis)
Optimal Estimators for Models with Infinitely Many Parameters 

Arindam Chatterjee (Indian Statistical Institute),  Soumen Lahiri (Texas A&M University)
Convergence Rates to the Oracle Distribution in High Dimensional Penalized Regression

Bruce Hansen (University of Wisconsin-Madison)
Efficient Shrinkage in Parametric Models
  
 
15:00-15:30  Pause
 
 
15:30-16:30  SESSION IV – Président : John Galbraith (McGill University, CIRANO, CIREQ)
 
Jean-Marie Dufour (McGill University, CIREQ, CIRANO), Eric Renault (Brown University, CIREQ), Victoria Zinde-Walsh (McGill University, CIREQ)
Wald Test When Restrictions Are Locally Singular

Marc Hallin (Université libre de Bruxelles), Marcelo Moreira (Columbia University), Alexei Onatski (University of Cambridge)
Asymptotic Power of Sphericity Tests for High-Dimensional Data 


 16:30-18:00  POSTER SESSION
 
Xu Cheng (University of  Pennsylvania), Bruce Hansen (University of Wisconsin-Madison)
Forecasting with Factor Models : A Frequentist Model Averaging Approach

Ilze Kalnina (Université de Montréal, CIREQ)
High Frequency Data and Positive Semi-Definite Covariance Matrix Estimates

Maximilien Kaffo (Université de Montréal, CIREQ), Wenjie Wang (Kyoto University)
Bootstrapping Anderson-Rubin Statistic and J Statistic in Linear IV Models with Many Weak Instruments

Jerome Krief (World Bank)
Instrumental Nonparametric Estimation under Conditional Moment Restrictions : A Nonlinear Tikhonov Approach

Yoonseok Lee (University of Michigan)
Model Selection in the Presence of Incidental Parameters

Richard Luger (Georgia State University)
Testing Linear Factor Pricing Models with Large Cross-Sections : A Distribution-Free Approach

Pascale Valery (HEC Montréal)
Wald-Type Tests When Rank Conditions Fail : A Smooth Regularization Approach

 


SAMEDI 5 MAI

 
 9:00-10:30  SESSION V – Président : Nikolay Gospodinov
(Concordia University, CIREQ)
 
Jianqing Fan (Princeton University)
High-Dimensional Covariance Estimation in Approximate Factor Models

Michael Wolf (University of Zurich)
Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Seth Pruitt (Federal Reserve Board)
The Three-Pass Regression Filter : A New Approach to Forecasting Using Many Predictors
 
 
10:30-11:00  Pause
 
 
11:00-12:30   SESSION VI – Président : Yoonseok Lee (University of Michigan)
 
Marine Carrasco (Université de Montreal, CIRANO, CIREQ), Guy Tchuente (Université de Montréal, CIREQ)
Regularized LIML with Many Instruments

Mehmet Caner, X. Han (North Carolina State University), Y. Lee (University of Michigan)
Dynamic Panel Data Estimation with Increasing Number of  Invalid Moments

Alexandre Belloni (Duke University), Roberto I. Oliveira
Approximate Group Context Tree : Applications to Dynamic Programming and Dynamic Choice Models
 
 
12:30-14:00  Lunch
 
 
14:00-15:30   SESSION VII – Présidente : Ilze Kalnina (Université de Montréal, CIREQ)
 
Sílvia Gonçalves (Université de Montréal, CIRANO, CIREQ), Benoit Perron (Université de Montréal, CIRANO, CIREQ)
Bootstrapping Factor-Agumented Regression Models 

Georges Kapetanios (Queen Mary, University of London), Lynda Khalaf (Carleton University, CIREQ), Massimiliano Marcellino (European University Institute, Bocconi University & CEPR)
Factor Based Identification-Robust Inference in IV Regressions

Serena Ng (Boston University), Dalibor Stevanovic (Université du Québec à Montréal)
Factor Augmented Autoregressive Distributed Lag Models


 

  
CIREQ Econometrics Conference :
High-Dimensional Problems in Econometrics

May 4-5, 2012
  


PROGRAM 


 
FRIDAY, MAY 4

 
 
8:00-8:30  Welcome
 
 
8:30-10:00  SESSION I – Chair : Victoria Zinde-Walsh
(McGill University, CIREQ)
 
Joel Horowitz (Northwestern University)
Penalized Estimation of High Dimensional Models under a Generalized Sparsity Condition 

Victor Chernozhukov (Massachusetts Institute of Technology)
Inference in High-Dimensional Sparse Models 

Ivan Fernandez-Val (Boston University)
Conditional Quantile Processes Based on Series or Many Regressors
 

 
10:00-10:30  Break
 
 
10:30-12:00  SESSION II – Chair : Benoit Perron
(Université de Montréal, CIRANO, CIREQ)
 
Jean-Pierre Florens (École d’économie de Toulouse (TSE)), Sébastien Van Bellegem (Université catholique de Louvain)
Functional Linear Instrumental Regression 

Eric Gautier, Alexandre Tsybakov (CREST, ENSAE)
High-Dimensional Instrumental Variables Regression and Confidence Sets

Arun G. Chandrasekhar, Victor Chernozhukov (Massachusetts Institute of Technology), Francesca Molinari (Cornell University), Paul Schrimpf (University of British  Columbia)
Estimation of Best Linear Approximations to Set Identified Functions
 
 
12:00-13:30  Lunch
 
 
13:30-15:00  SESSION III – Chair : Xu Cheng (University of  Pennsylvania)

Werner Ploberger (Washington University in St Louis)
Optimal Estimators for Models with Infinitely Many Parameters 

Arindam Chatterjee (Indian Statistical Institute),  Soumen Lahiri (Texas A&M University)
Convergence Rates to the Oracle Distribution in High Dimensional Penalized Regression

Bruce Hansen (University of Wisconsin-Madison)
Efficient Shrinkage in Parametric Models
 
 
15:00-15:30  Break
 
 
15:30-16:30  SESSION IV – Chair : John Galbraith (McGill University, CIRANO, CIREQ)

Jean-Marie Dufour (McGill University, CIREQ, CIRANO), Eric Renault (Brown University, CIREQ), Victoria Zinde-Walsh (McGill University, CIREQ)
Wald Test When Restrictions Are Locally Singular

Marc Hallin (Université libre de Bruxelles), Marcelo Moreira (Columbia University), Alexei Onatski (University of Cambridge)
Asymptotic Power of Sphericity Tests for High-Dimensional Data 


 16:30-18:00  –  POSTER SESSION
 
Xu Cheng (University of  Pennsylvania), Bruce Hansen (University of Wisconsin-Madison)
Forecasting with Factor Models : A Frequentist Model Averaging Approach

Ilze Kalnina (Université de Montréal, CIREQ)
High Frequency Data and Positive Semi-Definite Covariance Matrix Estimates

Maximilien Kaffo (Université de Montréal, CIREQ)
Bootstrapping Anderson-Rubin Statistic and J Statistic in Linear IV Models with Many Weak Instruments

Jerome Krief (World Bank)
Instrumental Nonparametric Estimation under Conditional Moment Restrictions : A Nonlinear Tikhonov Approach

Yoonseok Lee (University of Michigan)
Model Selection in the Presence of Incidental Parameters

Richard Luger (Georgia State University)
Testing Linear Factor Pricing Models with Large Cross-Sections : A Distribution-Free Approach

Pascale Valery (HEC Montréal)
Wald-Type Tests When Rank Conditions Fail : A Smooth Regularization Approach


 
SATURDAY, MAY 5
 
 
9:00-10:30  SESSION V – Chair : Nikolay Gospodinov (Concordia University, CIREQ)
 
Jianqing Fan (Princeton University)
High-Dimensional Covariance Estimation in Approximate Factor Models

Michael Wolf (University of Zurich)
Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Seth Pruitt (Federal Reserve Board)
The Three-Pass Regression Filter : A New Approach to Forecasting Using Many Predictors
 
 
10:30-11:00  Break
 
 
11:00-12:30  SESSION VI – Chair : Yoonseok Lee (University of Michigan)
 
Marine Carrasco (Université de Montreal, CIRANO, CIREQ), Guy Tchuente (Université de Montréal, CIREQ)
Regularized LIML with Many Instruments

Mehmet Caner, X. Han (North Carolina State University), Y. Lee (University of Michigan)
Dynamic Panel Data Estimation with Increasing Number of  Invalid Moments

Alexandre Belloni (Duke University), Roberto I. Oliveira
Approximate Group Context Tree : Applications to Dynamic Programming and Dynamic Choice Models
 
 
12:30-14:00  Lunch
 
 
14:00-15:30  SESSION VII – Chair : Ilze Kalnina (Université de Montréal, CIREQ)

Sílvia Gonçalves (Université de Montréal, CIRANO, CIREQ), Benoit Perron (Université de Montréal, CIRANO, CIREQ)
Bootstrapping Factor-Agumented Regression Models

Georges Kapetanios (Queen Mary, University of London), Lynda Khalaf (Carleton University, CIREQ), Massimiliano Marcellino (European University Institute, Bocconi University & CEPR)
Factor Based Identification-Robust Inference in IV Regressions

Serena Ng (Boston University), Dalibor Stevanovic (Université du Québec à Montréal)
Factor Augmented Autoregressive Distributed Lag Models


 

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