Yale Department of Economics

Prospectus Workshop in Econometrics

2011
January 24 Professor Peter Robinson, London School of Economics, "Nonparametric Trending Regression with Cross-Sectional Dependence"
March 21 Eduardo Souza Rodrigues (Yale), "Nonparametric Estimation of a Generalized Regression Model with Group Effects"
March 28 Jihyung Lee (Yale), "Mildly Explosive Autoregression under Conditional Heteroskedasticity"
April 4 Byoung Park (Yale),  "Nonparametric Identification of Roy Model" and
James Wolter (Yale),
"Kernel Estimation of Hazard Models with Dependent and Common Covariate Processes"
April 11 Thierry Magnac (Toulouse), "Set Identified Linear Models" (with Christian Bontemps, Eric Maurin)
April 18 Yoon-Jae Whang (Seoul National University), "Testing Functional Inequalities" (with Sokbae Lee, Kyungchul Song)
April 25 Eric Becker (Yale), "Estimation in Multinomial Outcomes Models" and
Zhentao Shi (Yale), "
Estimation of High Dimensional Simultaneous Equation System"
May 2 Laurent Cavalier (Universit´e Aix-Marseille 1), "Inverse Problems in Statistics"
May 9 James Duffy (Yale), "Sieve Estimation of Nonlinear Cointegrating Regressions" and
Sukjin Han (Yale), "
Nonparametric Identification and Estimation of Triangular Simultaneous Equations Models with Weak Instruments"
September 12 Han Hong, Stanford University, "The Econometrics of Dynamic Games"
September 19 Eric Becker, Yale University, PhD student, "Towards Improving Predictions for Demand Side Reactions to Market Changes: A Flexible Framework for Estimation in Multinomial Choice"
September 26 Jean-Michel Loubes, University of Toulouse, "Testing Inverse Problems: A Direct or an Indirect Problem?" and Non Asymptotic Minimax Rates of Testing in Signal Detection with Heterogeneous Variances
October 3 Sukjin Han, Yale University, PhD student, "Identification and Estimation in Nonparametric Triangular Simultaneous Equations Models with Weak Instruments"
October 10 James Wolter, Yale University, PhD student, "Estimation of Hazard Models with Dependence Across Observations"
October 24 Byoung Gun Park, Yale University, PhD student, "Nonparametric Identification of the Roy Model"
October 31 James Duffy, Yale University, PhD student
November 28 Jihyung Lee, Yale University, PhD student, Yale PhD student, "Predictive Regressions in the Vicinity of Unity and Robust Long-Horizon Regressions"
December 5 David Childers, 'Estimating Macroeconomic Determinants of Firm Financing Costs' and
Dongkyu Chang - Yale University, PhD students
2010
February 15 Lorenzo Camponovo, University of Lugano, visiting Yale, "Robust Resampling Methods for Time Series"
February 22 Sylvain Chabé-Ferret, Cemagref, visiting Yale, "To Control or Not to Control? Bias of Simple Matching vs Difference-in-Difference Matching in a Dynamic Framework"
March 1 Thomas Leirvik, University of Lugano, visiting Yale, "Stochastic Volatility, Event Risk and Transaction Costs"
March 22 Yoosoon Chang, Indiana University, visiting Yalem "A Reexamination of Fama-French Regressions Using High Frequency Panels"
March 29 Yazhen Wang, University of Wisconsin-Madison, "Modeling and Analyzing High-Frequency Financial Data"
April 5 Zhipeng Liao, Yale University, "Adaptive GMM Shrinkage Estimation with Consistent Moment Selection"
April 12 Eric Becker, Yale University, "A Model of Multinomial Outcomes With Multiple Confounding Unobservables"
April 19 Ji Hyung Lee, Yale University, "Stock Market Puzzles and Price Bubbles"
April 26 Alex Torgovitsky, Yale University, "Identification of Nonparametric Quantile Regressions with Endogeneity"
May 3 James Wolter, Yale University, "Estimating Structural Breaks in Levy Processes and Approximating Ito-Semimartingales"
May 10 Irene Botosaru, Yale University, "Identification and Sieve Estimation of a Non-Proportional Hazard Model"
September 6 Peter Phillips, Yale University, "Econometric Beginnings, Endings and Surprises"
September 13 Irene Botosaru, Yale University, "Duration Models with Dynamic Unobserved Heterogeneity: Identification and Estimation"
September 20 Zhipeng Liao, Yale University, "Adaptive GMM Shrinkage Estimation with Consistent Moment Selection"
September 27 Offer Lieberman, Haifa University, visiting Yale, "A Similarity-Based Approach to Time-Varying Coefficient Nonstationary Autoregression"
October 4 Alex Torgovitsky, Yale University, "Identification and Estimation of Nonparametric Quantile Regressions with Endogeneity"
October 11 Scott Murdock, Yale University, "Exponential Tilting and Subsample Based Inference for Weakly Dependent Data"
October 18 Jihyung Lee, Yale University, "Asset Pricing with Financial Bubble Risk"
October 25 Eric Becker, Yale University, "A Nonparametric Estimator for Multinomial Choice"
November 1 James Wolter, Yale University, "Regime Changing Levy Processes: Specification and Estimation of Financial Crisis Dynamics in Continuous Time"
November 8 Sukjin Han, Yale University, "Nonparametric Estimation of Triangular Simultaneous Equations Model in the Presence of Weak Instruments"
November 15 Eduardo Souza-Rodrigues, Yale University, "Nonparametric Estimation of a Generalized Regression Model with Group Effects"
November 29 Zhentao Shi, Yale University, "High-Dimensional Problem in Networks" and
James Duffy, Yale University, "Sieve Estimation of Nonlinear Cointegrating Regressions"
December 6 Byoung Park, Yale University, "Nonparametric Identification and Estimation of Generalized Roy Model"
2009
March 2 Kirill Evadokimov, Yale
March 23 Xiaoxia Shi, Yale
March 30 Eric Becker, Yale & Zhipeng Liao, Yale
April 13 Irene Botosaru, Yale
April 20 Chunrong Ai, University of Florida, "A Root-N Consistent Estimation of Regression Discontinuity Models"
April 27 Alex Torgovitsky, Yale & Sukjin Han, Yale
May 4 James Wolter, Yale & Eduardo Souza Rodrigues, Yale
September 7 Peter C. B. Phillips, Yale University, "Econometric Beginnings and Endings"
September 14 Eric Becker, Yale University, "Semiparametric Estimation in Modelsof Multinominal Choice"
September 21 Ioannis Kasparis, University of Cyprus, "Ten Years of Non-Linear Models with Integrated Time Series"
September 28 Xiaoxia Shi, Yale University, "Model Selection Tests: Asymptotic Size of the Classical Vuong test and Vuong-type test for Moment Inequality Models"
October 5 Kirill Evdokimov, Yale University, "Identification & Estimation of a Nonparametric Panel Data Model with Unobserved Heterogeneity"
October 12 Tassos Magdalinos, University of Nottingham, "Mildly Explosive Processes & Cointegrated Systems"
October 19 Vladimir Spokoiny, Yale University, "Modern Nonparametric Statistics"
October 26 Vladimir Spokoiny, Yale University, "Modern Nonparametric Statistics"
November 9 Irene Botosaru, Yale University, "Identification in a Stochastic Survival Model"
November 16 Jihyung Lee, Yale University, "Stock Market Puzzles and Price Bubbles"
November 23 Kirill Evdokimov, Yale University, Identifcaiton and Estimation of a Nonparametric Panel Data Model with Unobserved Heterogeneity"
November 30 Sukjin Han, Yale University
December 7 Alex Torgovitsky, Yale University, "Identification in Nonparametric Quantile IV Modes"
2008
February 25 Igor Kheifets, Universidad Carlos III de Madrid, visiting Yale, "Specification Tests for Nonlinear Time Series Models"
April 7 Xiaoxia Shi, Yale, "Inference on Models Defined by Conditional Moment Restrictions"
April 14 Andrew Chesher, UCL, visiting Cowles,  "Lectures on Identification — Lecture 1: Identification: Principles and Practice"
April 21 Andrew Chesher, UCL, visiting Cowles, "Lectures on Identification — Lecture 3: Identification under Discrete Variation"
April 28 Irene Botosaru, Yale, "Duration Models with Stochastic Unobserved Heterogeneity"
Xu Cheng, Yale, "Semiparametric Cointegrating Rank Selection"
May 5 Alice Klynge, Yale,"The Returns to Literacy, Creativity, and Other Competencies" and
Sunyoung Park, Yale, "Nonparametric Identification"
May 12 Xu Cheng, Yale, "Inference in Nonlinear Regression" and
Kirill Evdokimov, Yale
September 8 Organizational Meeting
September 15 Yukitoshi Matsushita, University of Tokyo and Cowles Visitor, "t-Tests in a Structural Equation with Many Instruments"
September 22 Quang Vuong, Penn State "Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions" (with I. Perrigne and E. Guerre)
September 29 Kirill Evdokimov, Yale University "Identification and Estimation of a Nonparametric Panel Data Model with Unobserved Heterogeneity" and
Xiaoxia Shi, Yale University, "Inference for Parameters Defined by Conditional Moment Inequalities"
October 6 Ilze Kalnina (LSE and Cowles Visitor) "Subsampling High Frequency Data"
October 13 Demian Pouzo (NYU) "Ramsey Taxation with Endogenous Defaults under Incomplete Markets"
October 20 Eric Becker, Yale University, "Multinomial Choice Logit with Random Coefficients: Identification and Estimation Using Deconvolution" and
Zhipeng Liao, Yale University, "Uniform Convergence Rate and Pointwise Normality in Linear Sieve M-estimation"
October 27 Irene Botosaru, Yale University, "Identification in Mixed Proportional Hazard Models with Stochastic Heterogeneity" and Eduardo Souza Rodrigues (Yale University), "Semiparametric Identification of Stopping-Time Games"
November 3 Ilze Kalnina, LSE and Cowles Visitor, "Subsampling High Frequency Data"
November 10 Alice Klynge, Yale University, "The Returns of Literacy, Creativity, and Other Abilities"
December 1 CANCELLED:  Scott Murdock, Yale University, "Fixed-b Asymptotics for Empirical Likelihood with Weakly Dependent Data"
December 8 Alex Torgovitsky, Yale University, "A Sieve-Based Nonparametric Density Estimator" and
James Wolter, Yale University, "Estimating Levy Processes with High Frequency Data"
2007
April 2 Debopam Bhattacharya, Dartmouth College, Visiting the Cowles Foundation, "Nonparametric Inference on Optimal Healthcare Expenditure: Evidence from Medicare"
April 16 Tong Li, Vanderbilt University, "Simulation Based Selection of Competing Structural Econometric Models"
April 23 Scott Murdock, Yale University, "Frequency Domain Empirical Likelihood for Dependent Processes"
September 10 Organizational Meeting
September 17 Continued General Discussion of Research in Econometrics
September 24 Ilze Kalnina, London School of Economics, Visiting the Cowles Foundation, "Inference About Realised Volatility Using Infill Subsampling"
October 1 Huaming Peng, Yale University
November 12 Xu Cheng
November 26 Kirill Evdokimov
December 3 Sun-Young Park & Kirill Evdokimov
December 6 Xiaoxia Shi
2006
January 30 Marcelo Moreira, Harvard University, Visiting the Cowles Foundation, "Heteroskedasticity-Autocorrelation Robust Invariant Similar Tests for Instrumental Variables Regression" (with Don Andrews and Jim Stock)
March 20 Huaming Peng, Yale University, "Determining the Number of Factors from Posterior Information"
March 27 Brendan Beare, Yale University, "Copulas and Temporal Dependence"
April 3 Xiaohong Chen, New York University, "Large Sample Sieve Estimation of Semi-Nonparametric Models"
April 10 Seik Kim, Yale University, "Estimation of a Rotating Panel Data Model"
April 17 Keli Xu, Yale University, "Re-weighted Nadaraya-Watson Estimation of Scalar Diffusion Models"
April 24 Gustavo Soares, Yale University, "Parameter Inference for Partially Identified Models with Moment Inequalities"
September 11 Peter C.B. Phillips, Yale University, "Starting Research in Econometrics"
September 18 Keli Xu, Yale University, "Empirical Likelihood Based Inference of Nonlinear Diffusions"
September 25 Huaming Peng, Yale University, "Model Selection in Factor Model Using Posterior Information"
October 2 Jean-Pierre Florens, University of Toulouse, (Visiting the Cowles Foundation), "Inverse Problems in Econometrics 1: Regularization of Ill-Posed Inverse Problems"
October 9 Brendan Beare, Yale University, "Copulas and Temporal Dependence"
October 16 Jean-Pierre Florens, University of Toulouse, (Visiting the Cowles Foundation), "Inverse Problems in Econometrics 3: Instrumental Variables and Extensions"
October 23 Seik Kim, Yale University, "Economic Assimilation of Foreign-Born Workers in the United States: An Overlapping Rotating Panel Analysis"
November 6 Seik Kim, Yale University, "Economic Assimilation of Foreign-Born Workers in the United States: An Overlapping Rotating Panel Analysis"
November 13 Huaming Peng, Yale University, ""Model Selection in Factor Model Using Posterior Information"
December 4 Scott Murdock, Yale University, "TBA"
2005  
February 28 Gautam Tripathi, University of Connecticut, "Optimally Combining Censored and Uncensored Datasets" (with P. Devereux)
March 21 Werner Ploberger, University of Rochester and Yale University, "Optimal Tests for Markov Switching" (with M. Carrasco and L. Hu)
March 28 Yoonseok Lee, Yale University, "Misspecified Large Dynamic Panel Models with Individual Effects"
April 4 Huaming Peng, Yale University, "Model Selection in Factor Models with Group Effects"
April 11 Roger Koenker, UIUC, "Density Estimation by Total Variation Regularization"
April 18 Tiemen Woutersen, Johns Hopkins University, "A Semi-Parametric Duration Model with Heterogeneity and Time-Varying Regressors" (with J. Hausman)
April 25 Geert Ridder, USC, "Mean-Squared-Error Calculations for Average Treatment Effects" (with G. Imbens and W. Newey)
September 5 Peter C.B. Phillips, Yale University, "Starting Research in Econometrics"
September 12 Brendan Beare, Yale University, "Robustifying Unit Root Tests to Permanent Changes to Innovation Variance"
September 19 Yoonseok Lee, Yale University, "Nonparametric Estimation of Dynamic Panel Models with Fixed Effects"
September 26 Joanna Haddock, Yale University, "Long Term Forecasting Using End of Sample Testing"
October 10 Huaming Peng, Yale University, "Model Selection in Factor Models of Grouped Structure"
October 17 Xiaotong (Vivian) Wang, Yale University (SOM), "Earnings Management, Asset Return and Return Volatility"
October 24 Keli Xu, Yale University, "Adaptive Estimation and Bootstrap Inference of Autoregressions Under Nonstationary Volatility"
November 7 Gustavo Soares, Yale University, "Inference with Inequality Moment Constraints"
November 14 P. Jeganathan, Indian Statistical Institute, "Some Asymptotics for Nonlinear Time Series Models"
November 28 Xiaotong (Vivian) Wang, Yale University (SOM), "Stock Return Dynamics Under Earnings Management" and
Yoonseok Lee, Yale University, "Nonparametric Estimation of Dynamic Panel Models with Fixed Effects"
2004  
September 6 Peter Phillips, Yale University, "Starting Research in Econometrics"
September 13 Erik Hjalmarsson, Yale University, "Predicting Global Stock-Returns with New Methods for Pooled and Long-Run Forecasting Regressions"
September 20 Vadim Marmer, Yale University, "Nonlinearity, Nonstationarity and Spurious Forecasts"
September 27 Ryo Okui, Yale University and University of Pennsylvania, "Shrinkage Methods for Instrumental Variable Estimation"
October 4 Manuel Arellano, CEMFI, "Robust Likelihood Estimation of Dynamic Panel Data Models"
October 5 Manuel Arellano, CEMFI, "Modelling Optimal Instrumental Variables for Dynamic Panel Data Models"
October 11 Rustam Ibragimov, Yale University, "On the Robustness of Economic Models to Heavy-Tailedness Assumptions"
October 18 Kevin Song, Yale University, "Testing Semiparametric Conditional Moment Restrictions via Conditional Martingale Transforms"
October 25 Oliver Linton, London School of Economics, "Efficient Estimation in a Nonparametric Regression with Autocorrelated Errors" (with Enno Mammen)
November 8 Brendan Beare, Yale University, "A Heteroskedasticity-Robust Unit Root Test"
November 12 P. Jeganathan, Indian Statistical Institute, "Limit Theorems for Nonlinear Functionals of Sums of Linear Processes"
November 15 Huaming Peng, Yale University, "Model Selection in Small Factor Models"
December 6 Seik Kim and Joanna Haddock, Yale University, TBA
January 12 Sainan Jin
March 1 Christian Bender, University of Kostanz, "Integration with Respect to a Fractional Brownian Motion and the Fractional Black-Scholes Market" Joint with Econometrics Research Seminar
March 29 Tony Smith, Yale University, "Generalized Indirect Inference for Discrete Choice Models" (with Michael Keane)  Joint with Econometrics Research Seminar
2003  
September 8 Peter Phillips, Yale University, "Starting Research in Econometrics"
September 15 Luke Hong, Yale University, "Testing Linearity in Cointegrating Relations"
September 22 Offer Lieberman, Technion-Israel Institute of Technology, "On Plug-In Estimation of Long Memory Models"
October 13 Vadim Marmer, Yale University, "The Log Periodogram Regression for Integrable Functions of Integrated Time Series"
October 20 Rustam Ibragimov, Yale University
October 27 Jordan Milev, Yale University, "Search for a Structural Specification of the Earning-Returns Relation"
November 3 Kevin Song, Yale University, "Large Panel Models with Fixed Heterogeneous Parameters"
November 10 Jiti Gao, The University of Western Australia, "Model Specification Testing in Nonparametric and Semiparametric Time Series Econometric Models"
December 1 Yoonseok Lee, Yale University
December 8 Sainan Jin, Yale University, "Discrete Choice Modeling with Nonstationary Panels"
February 10 Kevin Song
March 24 Erik Hjalmarsson
March 31 Andrea Frazzini
Rustam Ibragimov
April 7 Sainan Jin
April 14 Katsumi Shimotsu
April 21 Patrik Guggenberger
Jong Kim
2002  
January 14 Peter Phillips, Yale University, "Landmarks in Econometrics"
February 11 Oliver Linton, London School of Economics, "Estimating Semiparametric ARCH(inf) Models by Kernel Smoothing Methods"
February 18 George Korniotis, Yale University
February 25 Morten Nielsen, Aarhus University, Denmark, "Optimal Residual Based Tests for Fractional Cointegration"
March 4 Jong Kim, Patrik Guggenberger, Yale University, "Dynamic Combination of GARCH Models"
March 25 Borja Gracia, Jordan Milev, Yale University
April 1 Luke Hong, Sainan Jin, Yale University
April 10 Keith Knight, University of Toronto, "Asymptotics for Argmin Estimators"
April 15 Zhijie Xiao and Katsumi Shimotsu, Yale University
April 22 Rustam Ibragimov and Vadim Marmer, Yale University
April 29 Dennis Kristensen
May 13 John Geweke, University of Iowa, Bayesian Methods and Decision Making: The Econometrician Gets a Seat at the Table"
May 14 John Geweke, University of Iowa, Markov Chain Monte Carlo Methods and the Revolution in Bayesian Statistics"
September 16 Guido Kuersteiner, MIT, "Estimation with Weak Instruments: Accuracy of Higher Order Bias and MSE Approximations"
September 23 Sainan Jin, George Korniotis, Vadim Marmer, Bjorn Tuypens, Yale University, Panel Discussion: "Writing Your Prospectus"
September 30 Bjorn Tuypens, Yale University, "A Frequency Domain Analysis of Mean Reversion Tests"
October 14 Jordan Milev, Yale University, "Can We Do without Linearity in the Earnings-Returns Relation?"
October 21 Luke Hong, Yale University, "Testing Linearity in Cointegration"
October 28 Jun Yu, University of Auckland, "Jacknifing Option Prices"
November 4 Erik Hjalmarsson, Yale University
November 11 Patrik Guggenberger, Yale University, "Generalized Empirical Likelihood Tests under Partial, Weak, and Strong Identification"
November 18 Luke Hong, Yale University
Vadim Marmer, Yale University
2001  
February 12 Luke Hong and Rustam Ibragimov
February 19 Timo Makela and Makram Talih
March 19 Jordan Milev
March 24 Wenzhong Fan
April 2 Timo Makela and Patrik Guggenberger
September 10 Peter Phillips, Yale University, "Starting Research in Econometrics"
September 17 Yixiao Sun, Yale University
September 24 Timo Makela, Yale University
October 8 Richard Smith, University of Bristol, "Alternative Methods for Heteroskedastic and Autocorrelation Variance Matrix Estimation"
October 15 Liang Peng, "Building a Venture Capital Index"
November 12 Timo Makela, "Estimating Average Long Run Relations in Nonstationary Panels with Large Cross Sections"
November 26 Vadim Marmer and Feng Zhu
December 3 Borja Garcia and Sainan Jin
2000  
March 27 Seung Hyun Hong, "Long Memory vs. Structural Break: Spurious Regression Perspective"
Yixiao Sun, "Fractional Cointegrating Analysis of the Fisher Hypothesis"
April 3 David McKenzie, "Estimation of Dynamic Unequally Spaced Panels and Pseudo-Panels"
April 10 Timo Makela, "Nonstationary Panel Mixtures"
Liang Peng, "Generic Index Model and Indicates of Illiquid Markets"
April 17 Ling Hu, "An Econometric Test of Volatility Structures within HJM Term Structure Models"
Yan Li
April 24 Konstantin Tyurin, "Econometric Analysis of a Limit Order Market"
September 11 Peter C. B. Phillips, "Intellectual Influence in Econometrics"
September 25 Panel Discussion – "Writing Your Prospectus," Luke Hong, David McKenzie, Kostya Tyurin, Peter Phillips
October 2 Ling Hu, Yan (Grace) Li
October 9 Luke Hong, Yixiao Sun
October 16 Timo Makela, Patrik Guggenberger
October 30 George Korniotis
November 6 Rustam Ibragimov, Bjorn Tuypens
November 13 Feng Zhu, Hui Wang
November 27 Jordan Milev
November 29 Phillippe Jehiel (ENPC, University College and Institute for Advanced Studies), "Analogy-Based Expectation Equilibrium"
1999
January 18 Katsutoshi Wakai, "Kernel Estimation of Stochastic Discount Factors"
January 25 Jong Kim, "Testing Convexity in the q-Theory of Investment"
February 1 Tau Wu, "Stochastic General Equilibrium Models of the Term Structure"
March 1 Thong Nguyen, "Estimation of HJM Model of Interest Rates"
March 22 Moto Shintani, "Unit Root Tests, Observational Equivalence and the Divergence Rates"
April 5 Dmitri Dubasov, "Investment Based CAPM"
April 12 Peter C.B. Phillips, "New Tricks with DFT's of Fractional Processes"
April 19 Changsik Kim and Peter C.B. Phillips, "Log Periodogram Regression in the Nonstationary Case"
September 13 Peter C.B. Phillips, "Climbing the Ice Face: Some Thoughts for Beginning Researchers"
September 20 Luke Hong, "Job Creation and Job Destruction Rates with Factor Intensity" and "Structural Break vs. Long Memory: Spurious Regression"
Liang Peng, "The Accuracy of Some Alternative Methods to Repair Sales Regression: A Simulation"
Yi Xiao Sun, "Efficient Detrending in the Presence of Fractional Errors"
September 27 Lingfeng Li, "Expectation Errors in Variance Decomposition"
Timo Makela
Gerard McDonald, Applications of Nonlinear Time Series Econometrics"
October 4 David McKenzie, "Econometric Techniques for Dynamic Heterogeneous Pseudo-Panels"
Jong Kim, Ling Hu, "Propositions for Test of Volatility Structure Changes"
October 11 Laura Mayoral, "Generalized Minimum Distance Estimation of ARFIMA Processes"
October 18 Chang Sik Kim, "Asymptotics of Log Periodogram and Modified Log Periodogram Regression in the Nonstationary Case"
Katsumi Shimotsu, "Modified Local Whittle Estimation of the Memory Parameter in the Nonstationary Case"
October 23-24 COWLES CONFERENCE
November 1 Kostya Tyurin, "The Occupation Density of Fractional Brownian Motion and Some of Its Applications"
November 8 Moto Shintani, "Nonstationary Local Polynomial Autoregression"
November 15 Thong Nguyen, "Multi-Factor HJM Models: A Nonparametric Analysis"
November 29 Yixiao Sun, Generalized Gaussian Semiparametric Estimate of Long Range Dependence"
Yan Li, "Finite Sample Properties of Nonparametric Tests of Interest Rate Models" and "Estimation of StatePrice Densities"
December 6 David McKenzie, "Estimation of Dynamic Heterogeneous, Possibly Non-Stationary, Pseudo-Panels"
1998  
September 21 Peter C.B. Phillips, "Climbing the Ice Face: Do’s and Don’ts for Beginning Researchers"
September 28 Woocheol Kim, "Evolutionary Time Series Processes"
October 5 Chang Sik Kim, "Fractional Integration: FM Estimation"
October 12 Konstantin Tyurin, "Ultra High Frequency Econometrics"
October 19 Federico Bandi, "Econometric Estimation of Diffusion Models"
October 26 Katsumi Shimotsu, "Log Periodogram Semi-parametric Regression"
November 9 Mototsugu Shintani, "Cointegration Testing by FM-VAR Methods"
November 16 Oliver Linton, "Estimating Yield Curves by Kernel Smoothing"