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The13th International Symposium on Econometric Theory and Applications (SETA 2017)
2017年06月12日 09:22

The13th International Symposium on Econometric Theory

and Applications (SETA 2017)

June 12-14, 2017

Building 2, GuanghuaSchool of Management, Peking University

The 13thInternational Symposium on Econometric Theory and Applications (SETA 2017) willbe held on June 12-14, 2017 in Guanghua School of Management, PeakingUniversity, hosted by the Guanghua School of Management and Center forStatistical Science, Peking University.The conference program includes1ETlecture, 6invited talks and35contributed papers.

June 12, 2017

16:30-18:00

Registration                   1st floor,  Guanghua Guest House

18:00-20:00

Welcome Reception

June 13, 2017

08:30-08:45

Registration                                Outside Room  109

08:45-09:00

Welcome Speech

Qiao  Liu, Dean, Guanghua School of Management, Peking  University

Song Xi Chen, Co-Chair,  Department of Business Statistics and Econometrics, Guanghua School of  Management, Peking University

09:00-09:50

ET LectureRoom 109

Chair: YundongTu, Peking  University

Xiaohong Chen,  Yale University

Penalized Sieve (Quasi)  Likelihood Ratio Inferences on Irregularly or Partially Identified  Semiparametric Structural Models

09:50-10:10

Coffee Break

Parallel Session 1A/1B

Session 1A                                           Room  109

Chair: Tao Zou,The  Australian National University

10:10-10:35

DachengXiu, University  of Chicago

Inference on Risk Premia in the Presence of  Omitted Factors

10:35-11:00

Chuanhai Zhang,Zhongnan  University of Economics and Law

A New Estimator for Integrated Volatility with  Microstructure Noise and Jumps

11:00-11:25

Qiying Wang, The  University of Sydney

Model Checks for Nonlinear Cointegrating  Regression

Session 1B  Room 213

Chair: Tingting Cheng, Nankai University

10:10-10:35

Chaohua Dong, Southwestern  University of Finance and Economics

Additive Nonparametric Models with Time  Variable and Both Stationary and NonstationaryRegressors

10:35-11:00

Yingying Dong, University of  California Irvine

Regression Discontinuity Designs with a  Continuous Treatment

11:00-11:25

Heng Chen, Bank of Canada

Robust Wavelet-Based Test for an Abrupt  Mean Shift in the Presence of Unknown Smooth Trend and Long-Memory Errors

11:25-13:00

Lunch                               B1, Guanghua  Guest House

Invited  Session I   Room 109

Chair: Xiaojun Song, Peking  University

13:00-13:40

Yanqin Fan,  Washington University

Partial Identification in  Moment Equality Models with Auxiliary Data

13:40-14:20

Juan Carlos Escanciano,  Indiana University

Semiparametric  Identification and Fisher Information

14:20-14:35

Coffee Break

Parallel Session 2A/2B

Session 2A  Room 109

Chair: Chaohua Dong, Southwestern  University of Finance and Economics

14:35-15:00

Qingliang Fan, Xiamen  University

Large System of  Seemingly Unrelated Regressions: A Penalized Quasi-Maximum Likelihood  Estimation Perspective

15:00-15:25

Geert Mesters, UniversitatPompeuFabra

Detecting  Granular Time Series in Large Panels

15:25-15:50

Xiaohui Zhang, University of Exeter

To Lie or Not to Lie: Survey  Mode Effects on the Validity of Self-Reported Substance Use Data

Session 2B  Room 213

Chair: Ye Chen, Capital  University of Economics and Business

14:35-15:00

Ying Wang, Peking  University

Adaptive Estimation of  Functional-coefficient Cointegration Models with Nonstationary Volatility

15:00-15:25

Hsein Kew, Monash  University

Level Shift Estimation in the Presence of  Non-stationary Volatility with an Application to the Unit Root Testing  Problem

15:25-15:50

Tingting Cheng, Nankai  University

Multi-Step Non- and Semi-Parametric  Predictive Regressions

15:50-16:05

Coffee Break

Parallel Session 3A/3B

Session3A                                           Room 109

Chair:Xuexin Wang, Xiamen  University

16:05-16:30

Patrick Wongsa-art, Newcastle  University

Correlation Curve Time Series Analysis of  Correlation Dynamics

16:30-16:55

ArtemProkhorov, University of  Sydney

A New Measure of Vector Dependence, with an  Application to Financial Risk and Contagion

16:55-17:20

Young C. Joo, Chung-Ang  University

Robust Portfolio Selection with Linear  Regression and S-shaped Utility

17:20-17:45

Yin Liao, Queensland University of Technology

Modeling the Cross Section of Stock Returns  Using Sensible Models in a Model Pool

Session3B  Room 213

Chair: Yu-Chin Hsu,Academia  Sinica

16:05-16:30

Zhengtao Shi, The Chinese  University of Hong Kong

A Structural  Pairwise Network Model with Individual Heterogeneity

16:30-16:55

Tao Zou, The Australian  National University

Network  Influence Analysis

16:55-17:20

Wang Miao, Peking  University

Identifying  Causal Effects With Proxy Variables of an Unmeasured Confounder

17:20-17:45

Pedro H. C. Sant'Anna, Vanderbilt  University

Program  Evaluation with Right-Censored Data

June 14, 2017

08:45-09:00

Registration

Invited Session II  Room 109

Chair: Jihai Yu,Peking  University

09:00-09:40

Joon Park, Indiana  University

Econometric Analysis of  Functional Dynamics

09:40-10:20

Zhijie Xiao,  Boston College

Hybrid Quantile Regression  Estimation for Time Series Models with Conditional Heteroscedasticity

10:20-10:35

Coffee Break

Parallel Session 4A/4B

Session 4A Room 109

Chair:Qingliang Fan, Xiamen  University

10:35-11:00

Shuo Li, Tianjin  University of Finance and Economics

Simultaneous  Specification Testing for Nonlinear Time Series Models

11:00-11:25

Zhonghao Fu, Cornell  University

Consistent  Testing for Structural Change in Time Series Regression Models via the  Fourier Transform

11:25-11:50

Ye Chen, Capital  University of Economics and Business

Spurious  Regressions with Moderately Explosive Processes

11:50-12:15

Xuexin Wang, Xiamen  University

A Simple Portmanteau Test for Time Series  Models with Weak Innovations

Session 4B Room 213

Chair: Ying Wang, Peking University

10:35-11:00

ZhentongLu,Shanghai  University of Finance and Economics

A Semi-Nonparametric Estimator for Random  Coefficient Demand Models

11:00-11:25

Yu-Chin Hsu, Academia Sinica

Testing Generalized Regression Monotonicity

11:25-11:50

Namhyun Kim, University of Exeter

A Note on the Regularized  Approach to Biased 2SLS Estimation with Weak Instruments

11:50-12:15

Yu Zhou, Fudan University

Identification and Estimation of Entry Games Under the  Symmetry of Unobservables

12:15-13:30

Lunch                               B1, Guanghua  Guest House

Invited Session III   Room 109

Chair: Hsein Kew, Monash  University

13:30-14:10

Elie Tamer, Harvard  University

Inference on  Parameters in Dynamic Discrete Choice Models

14:10-14:50

Liangjun Su,Singapore Management  University

Identifying Latent Grouped Structures in  Nonlinear Panels

14:50-15:05

Coffee Break

Parallel Session 5A/5B

Session 5ARoom 109

Chair: Wang Miao,  Peking University

15:05-15:30

Yuya Sasaki, Johns Hopkins University

A Unified Robust Bootstrap  Method for Sharp/Fuzzy Mean/Quantile Regression Discontinuity/Kink Designs

15:30-15:55

Dante Amengual,CEMFI

Normality Tests for Latent Variables

15:55-16:20

Naijing Huang, Central  University of Finance and Economics

Weak Inference for Dynamic Stochastic  General Equilibrium Models with Time-varying Parameters

Session 5B  Room 213

Chair:Shuo Li, Tianjin University of  Finance and Economics

15:05-15:30

Yoosoon Chang, Indiana  University

Identifying and Estimating the Longrun  Effect of Income Distribution on Aggregate Consumption

15:30-15:55

Tsung-Chih Lai, Feng Chia University

A Double Local Polynomial Methodfor Conditional Density

15:55-16:20

Sung Y. Park, Chung-Ang University

Multivariate Density Forecast Evaluation:  Smooth Test