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
