Website: http://mimas.iserp.columbia.edu/
Chair: Mike West (Duke University)
- On consistency of the bootstrap testing for a parameter on the boundary of the parameter space
- Dynamic Covariance Estimation Using Sparsity Priors with a Bayesian Framework
- Rank Tests at Jump Events
Anders Rahbek (University of Copenhagen), G. Cavaliere and Heino Bohn Nielsen
Sylvia Fruhwirth Schnatter (WU Vienna University of Economics and Business)
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
- Dating structural breaks in functional data without dimension reduction
- Likelihood Ratio Based Tests for Markov Regime Switching
Douglas Staigerwald (University of Californa, Santa Barbara), Andrew Carter and Benjamin Hansen
Alexander Aue (University of California, Davis), G. Rice and O. Sonmez
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
- Spatio-temporal models with space-time interaction and their application to air pollution data
- Directed Multi-graph Models for Network Data
Xi Chen (Duke University), Karou Irie, David. Banks, Robert. Haslinger, Jewell Thomas, and M. West
Ruey Tsay (University of Chicago) and Soudeep Deb
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
- Regularized estimation of linear functionals for high-dimensional time series
- Bayesian Inference on Structural Impulse Response Functions
David Matteson (Cornell University), W. Nicholson and J. Bien
Xiaohui Chen (University of Illinois), Mengyu Xu and Wei Biao Wu
Mikkel Plagborg-Moller (Harvard University)
Coffee Break
Session 5: 11am-12:30pm
Jushan Bai (Columbia University)
- Quantile Factor Models
- Bootstrapping factor models with cross sectional dependence
- Factor model for high dimensional matrix valued time series
Jesus Gonzalo (University Carlos III), Liang Chen and Juan Dolado.
Silvia Goncalves (Western University) and Benoit Perron
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
- Is Robust Inference with OLS Sensible in Time Series Regressions?
- HAR Inference: Recommendations for Practice
Dante Amengual (CEMFI), T. Almuzara and Enrique Sentana
Richard Baillie (Michigan State University) and K. H. Kim
James Stock (Harvard University), E. Lazarus, D. Lewis and M. W. Watson
Adjourn
Poster Session 1, Friday
- A regularization approach to the dynamic panel data model estimation
- Large-dimensional factor modeling based on high-frequency observations
- The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models
- Estimation with Aggregate Shocks
- Dynamic Bayesian predictive synthesis for time series forecasting
- Wild Multiplicative Bootstrap for GMM Estimators in Time Series
- Conditional Tail Expectation for Non-stationary Processes
- Identification of Long-run Effects in Near-Integrated Systems
- Identification, estimation and applications of a bivariate long-range dependent time series model with general phase
- Nonparametric Change Point Detection in Multivariate Nonstationary Time Series
- Estimation of Quadratic Forms for High Dimensional Time Series
- Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models: With an Application
- News or Noise: The Missing Link
- How Risky is Consumption in the Long-Run? Benchmark Estimates from a Robust Eimator
Marine Carrasco (University of Montreal)
Markus Pelger (Stanford University)
Leland Farmer (University of California, San Diego)
Guido Kuersteiner (University of Maryland)
Kenichiro McAlinn (Duke University)
Lorenzo Camponovo (University of St. Gallen)
Henghsiu Tsai (Academia Sinica)
Peter Boswijk (Tinbergen Institute)
Stefanos Kechagias (SAS Institute)
Raanju Sundararajan (Texas A and M University)
Haoyang Liu (University of California, Berkeley)
Francisco Ruge-Murcia (Mcgill University)
Kyle Jurado (Duke University)
Ian Dew-Becker (Northwesten University)
Poster Session 2, Saturday
- Estimating Risk Premia Using Only Large Cross-Sections
- A Max-Correlation White Noise Test for Weakly Dependent Time Series
- Empirical Characteristic Function-based Inference for Locally Stationary Processes
- Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
- Estimated Wold Representation and Spectral Density Riven Bootstrap for Time Series
- The Cepstral Model for Multivariate Time Series: The Vector Exponential Model
- Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
- Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility
- Modeling seasonal adjustment of daily time series
- The Effects of Seasonal Heteroskedasticity in Time Series on Trend Estimation and Seasonal Adjustment
- A Bayesian Infinite Hidden Markov Structural Vector Autoregressive Model
- Pre-test Based Inference for Panel Autoregression
- Monte Carlo Two-Stage Indirect Inference (2SIF) for Autoregressive Panel
- Semiparametric Estimation for Non-Gaussian Non-minimum Phase ARMA Models
Valentina Raponi and Paolo Zaffaroni (Imperial College)
Kaiji Motegi (Waseda University)
Marco Meyer (University of Mannheim)
Dongho Song (Boston College)
Jonas Krampe (TU Braunschweig)
Scott Holan (University of Missouri)
Andrea Carriero (University of London, Queen Mary)
Elmar Mertens (Federal Reserve Board)
Tucker McElroy (U.S. Census Bureau)
Thomas Trimbur (U.S. Census Bureau)
Didier Nibbering (Econometric Institute)
John Chao (University of Maryland)
Lynda Khalaf (Carleton UNiversity)
Jing Zhang (Columbia University)