2017 Kansas Econometrics Workshop

2017 Workshop on Advanced Econometrics

                            April 29, 2017

         Department of Economics, University of Kansas

Venue: Big 6 Room at Eldridge Hotel

Hotel: Eldridge Hotel (Address: 701 Massachusetts Street, Lawrence, KS 66044, Phone: (785) 749-5011)

8:20-9:00   Breakfast at the Hotel (Conference Site)

9:00-9:10 Opening Remark: Ted Juhl, Chair of Economics Department, KU

Morning Session: Chair, Zongwu Cai, University of Kansas

[1] 9:10-9:50 Esfandiar Maasoumi, Emory University

“Entropy Based Aggregation of Misspecified Asset Pricing Models”

[2] 9:50-10:30 Lung-Fei Lee, Ohio State University

“GEL Estimation and Tests of Spatial Autoregressive Models”

10:30-11:00 Coffee Break

[3] 11:00-10:40 Yanqin Fan, University of Washington

“Partial Identification in Moment Equality Models with Auxiliary Data”

[4] 11:40-12:20 Joon Park, Indiana University

“Econometric Analysis of Functional Dynamics”

12:20-2:00 Lunch (at the conference site)

Afternoon Session: Chair, Ted Juhl, University of Kansas   

[5] 2:00-2:40 Guofu Zhou, Washington University

“Time Series Momentum:  Is it There？”

[6] 2:40-3:20 Yoosoon Chang, Indiana University

“Efficient Inference in Continuous Time Asset Pricing Models with Heteroskedasticity, Endogeneity, Latency and Persistency”

 [7] 3:20-4:00 Michael McCracken, Federal Reserve Bank of St. Louis 

“Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors”

4:00-4:30 Coffee Break

[8] 4:30-5:10 Weibiao Wu, University of Chicago

“Simultaneous Confidence Bands in Time Series”

[9] 5:10-5:50 Zhengjun Zhang, University of Wisconsin

“ATM: Autoregressive Tail-Index Model for Maxima in Financial Time Series” 

6:00-8:30 Reception and Dinner (Eldridge Hotel)