2015 Kansas Econometrics Workshop

2015 Workshop on Advanced Econometrics

                            May 2, 2015

         Department of Economics, University of Kansas

Venue: Adams Alumni Center, Kansas Union

Hotel: Oread Hotel (Address: 1200 Oread Ave, Lawrence, KS 66044, Phone: (785) 843-1200)

8:00: Please walk to Adams Alumni Center, only one block south from the Oread Hotel)

8:15-8:50   Breakfast at Adams Alumni Center (Conference Site)

8:50-9:00 Opening Remark: Ted Juhl, Economics Department, KU

Session I: Chair, Zongwu Cai, University of Kansas

[1] 9:00-9:30 Whitney Newey, Massachusetts Institute of Technology

“The Influence Function of Semiparametric Estimators”

[2] 9:30-10:00 Jack Porter, University of Wisconsin 

“Moment Inequalities for Multinomial Choice with Fixed Effects”

10:00-10:30 Coffee Break

Session II: Chair, Shu Wu, University of Kansas

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

“Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity”

[4] 11:00-11:30 Irina Murtazashvili, Drexel University 

“A Control Function Approach to Estimating Switching Regression Models with Endogenous Explanatory Variables and Endogenous Switching”

[5] 11:30-12:00 Xialu Liu, Rutgers University

“Convolutional Autoregressive Models for Functional Time Series”

12:00-2:00 Lunch (at the conference site)

Session III: Chair, John Keating, University of Kansas 

[6] 2:00-2:30 Rong Chen, Rutgers University

“Sequential Monte Carlo and its Applications in Finance”

[7] 2:30-3:00 Ulrich Muller, Princeton University

“Nearly Minimal Weighted Risk Unbiased Estimation” 

[8] 3:00-3:30 Weiping Li, Oklahoma State University 

“The Early Exercise Premium in American Put Option Using Nonparametric Regression”

3:30-4:00 Coffee Break

Session IV: Chair: Ted Juhl, University of Kansas

[9] 4:00-4:30 Ying Fang, Xiamen University

“Estimation and Testing of Varying-coefficient Heterogenous Panel Data Models with Cross-sectional Dependence”

[10] 4:30-5:00 Yongjin Lee, Kansas State University 

“Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes”

[11] 5:00-5:30 Chiu-Yor Sin, National Tsing Hua University, Taiwan

“Nonseparable Regression Function for Panel Data Models with Correlated Random Effects” 

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

“The Distribution of Rolling Regression”

6:30-9:00 Reception and Dinner (Oread Hotel)