2014 Kansas Econometrics Workshop

2014 Workshop on Advanced Econometrics

                            April 26, 2014

         Department of Economics, University of Kansas

Venue: Adams Alumni Center, Kansas Union

7:50 Pick-up at the Hotel Lobby (Please be ready to wait at the Lobby of Hotel before 7:50am of April 26)

8:00-8:45   Breakfast

8:45-9:00 Opening Remark: Joe Sicilian, Chair of Economics Department, KU

Session I: Chair, Zongwu Cai, University of Kansas

[1] 9:00-9:30 Badi Baltagi, Syracuse University 

Firm-level Productivity Spillovers in China's Chemical Industry: A Spatial Hausman-Taylor Approach

[2] 9:30-10:00 Qi Li, Texas A&M University

Determining the Number of Factors When the Number of Factors Can Increase with Sample Size

10:00-10:30 Coffee Break

Session II: Chair, Shu Wu, University of Kansas

[3] 10:30-11:00 Zhijie Xiao, Boston College

Copula Based Time Series with Filtered Nonstationarity

[4] 11:00-11:30 Yixiao Sun, University of California at San Diego 

Fixed-smoothing Asymptotics in a Two-step GMM Framework

[5] 11:30-12:00 Shu Wu, University of Kansas

Expected Consumption Growth, Stochastic Volatility and Long-term Real Interest Rates

12:00-2:00 Lunch

Session III: Chair, John Keating, University of Kansas 

[6] 2:00-2:30 Yongmiao Hong, Cornell University

Characteristic Function Based Testing for Conditional Independence: A Nonparametric Regression Approach

[7] 2:30-3:00 Juan Carlos Escanciano, Indiana University

Semi-parametric Estimation of Risk-Return Relationships

[8] 3:00-3:30 Zack Miller, University of Missouri at Columbia

Testing for Co-integration with Temporally Aggregated and Mixed-Frequency Time Series

3:30-4:00 Coffee Break

Session IV: Chair: Ted Juhl, University of Kansas

[9] 4:00-4:30 Bruce Hansen, Wisconsin University

Robust Inference

[10] 4:30-5:00 Yong Zeng, University of Missouri at Kansas City

Bayesian Inference via Filtering Equations for Financial Ultra-High Frequency Data

[11] 5:00-5:30 Yan Shen, Peking University

Financial Reform and the Efficiency of China's Banking Sector

[12] 5:30-6:00 Ted Juhl, University of Kansas

Distribution Theory for Rolling Regression

6:30-9:00 Reception and Dinner (Alderson Auditorium, Kansas Union)