| Spring 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), TBA |
| 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" |
