NBER/NSF Time Series Conference

Website: http://mimas.iserp.columbia.edu/

Session 1: Sept. 16, Friday, 11am-12:30pm.

Chair: Mike West (Duke University)

  • On consistency of the bootstrap testing for a parameter on the boundary of the parameter space

    • Anders Rahbek (University of Copenhagen), G. Cavaliere and Heino Bohn Nielsen

  • Dynamic Covariance Estimation Using Sparsity Priors with a Bayesian Framework

    • Sylvia Fruhwirth Schnatter (WU Vienna University of Economics and Business)

  • Rank Tests at Jump Events

    • Viktor Todorov (Northwestern University), J. Li, G. Tauchen, and H. Lin

Lunch and Poster Session 1: 12:30-2pm

Session 2: Friday 2:00-3pm

Chair: Richard Davis (Columbia University)

  • Detecting Regime Switching: Analytic Power

    • Douglas Staigerwald (University of Californa, Santa Barbara), Andrew Carter and Benjamin Hansen

  • Dating structural breaks in functional data without dimension reduction

    • Alexander Aue (University of California, Davis), G. Rice and O. Sonmez

  • Likelihood Ratio Based Tests for Markov Regime Switching

    • Zhongjun Qu (Boston University) and Fan Zhuo

Coffee break

Session 3: 3:30-5pm

Chair: Victor Solo (University of New South Wales)

  • Bayesian Dynamic Modeling and Analysis of Streaming Network Data

    • Xi Chen (Duke University), Karou Irie, David. Banks, Robert. Haslinger, Jewell Thomas, and M. West

  • Spatio-temporal models with space-time interaction and their application to air pollution data

    • Ruey Tsay (University of Chicago) and Soudeep Deb

  • Directed Multi-graph Models for Network Data

    • N. H. Chan (Chinese University of Hong Kong)

Dinner at Calle Ocho, 45 W. 81 St.

Breakfast: Saturday, 8:30-9am

Session 4: 9-10:30am

Chair: Michael McCracken (Federal Reserve of St. Louis)

  • High Dimensional Forecasting via Interpretable Vector Autoregression

    • David Matteson (Cornell University), W. Nicholson and J. Bien

  • Regularized estimation of linear functionals for high-dimensional time series

    • Xiaohui Chen (University of Illinois), Mengyu Xu and Wei Biao Wu

  • Bayesian Inference on Structural Impulse Response Functions

    • Mikkel Plagborg-Moller (Harvard University)

Coffee Break

Session 5: 11am-12:30pm

Jushan Bai (Columbia University)

  • Quantile Factor Models

    • Jesus Gonzalo (University Carlos III), Liang Chen and Juan Dolado.

  • Bootstrapping factor models with cross sectional dependence

    • Silvia Goncalves (Western University) and Benoit Perron

  • Factor model for high dimensional matrix valued time series

    • Rong Chen (Rutgers Univresity)

Lunch and Poster Session 2: 12:30-2pm

Session 6: 2-3:30pm

Chair: Serena Ng (Columbia University)

  • Normality tests for latent variables

    • Dante Amengual (CEMFI), T. Almuzara and Enrique Sentana

  • Is Robust Inference with OLS Sensible in Time Series Regressions?

    • Richard Baillie (Michigan State University) and K. H. Kim

  • HAR Inference: Recommendations for Practice

    • James Stock (Harvard University), E. Lazarus, D. Lewis and M. W. Watson

Adjourn

Poster Session 1, Friday

  1. A regularization approach to the dynamic panel data model estimation

    2. Marine Carrasco (University of Montreal)

  2. Large-dimensional factor modeling based on high-frequency observations

    3. Markus Pelger (Stanford University)

  3. The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models

    4. Leland Farmer (University of California, San Diego)

  4. Estimation with Aggregate Shocks

    5. Guido Kuersteiner (University of Maryland)

  5. Dynamic Bayesian predictive synthesis for time series forecasting

    6. Kenichiro McAlinn (Duke University)

  6. Wild Multiplicative Bootstrap for GMM Estimators in Time Series

    7. Lorenzo Camponovo (University of St. Gallen)

  7. Conditional Tail Expectation for Non-stationary Processes

    8. Henghsiu Tsai (Academia Sinica)

  8. Identification of Long-run Effects in Near-Integrated Systems

    9. Peter Boswijk (Tinbergen Institute)

  9. Identification, estimation and applications of a bivariate long-range dependent time series model with general phase

    10. Stefanos Kechagias (SAS Institute)

  10. Nonparametric Change Point Detection in Multivariate Nonstationary Time Series

    11. Raanju Sundararajan (Texas A and M University)

  11. Estimation of Quadratic Forms for High Dimensional Time Series

    12. Haoyang Liu (University of California, Berkeley)

  12. Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models: With an Application

    13. Francisco Ruge-Murcia (Mcgill University)

  13. News or Noise: The Missing Link

    14. Kyle Jurado (Duke University)

  14. How Risky is Consumption in the Long-Run? Benchmark Estimates from a Robust Eimator

    15. Ian Dew-Becker (Northwesten University)

Poster Session 2, Saturday

  1. Estimating Risk Premia Using Only Large Cross-Sections

    2. Valentina Raponi and Paolo Zaffaroni (Imperial College)

  2. A Max-Correlation White Noise Test for Weakly Dependent Time Series

    3. Kaiji Motegi (Waseda University)

  3. Empirical Characteristic Function-based Inference for Locally Stationary Processes

    4. Marco Meyer (University of Mannheim)

  4. Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

    5. Dongho Song (Boston College)

  5. Estimated Wold Representation and Spectral Density Riven Bootstrap for Time Series

    6. Jonas Krampe (TU Braunschweig)

  6. The Cepstral Model for Multivariate Time Series: The Vector Exponential Model

    7. Scott Holan (University of Missouri)

  7. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

    8. Andrea Carriero (University of London, Queen Mary)

  8. Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

    9. Elmar Mertens (Federal Reserve Board)

  9. Modeling seasonal adjustment of daily time series

    10. Tucker McElroy (U.S. Census Bureau)

  10. The Effects of Seasonal Heteroskedasticity in Time Series on Trend Estimation and Seasonal Adjustment

    11. Thomas Trimbur (U.S. Census Bureau)

  11. A Bayesian Infinite Hidden Markov Structural Vector Autoregressive Model

    12. Didier Nibbering (Econometric Institute)

  12. Pre-test Based Inference for Panel Autoregression

    13. John Chao (University of Maryland)

  13. Monte Carlo Two-Stage Indirect Inference (2SIF) for Autoregressive Panel

    14. Lynda Khalaf (Carleton UNiversity)

  14. Semiparametric Estimation for Non-Gaussian Non-minimum Phase ARMA Models

    15. Jing Zhang (Columbia University)

 

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