June 12, 2017 |
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16:30-18:00 |
Registration 1st floor, Guanghua Guest House |
18:00-20:00 |
Welcome Reception |
June 13, 2017 |
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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
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09:00-09:50 |
ET LectureRoom 109
Chair: YundongTu, Peking University
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Xiaohong Chen, Yale University
Penalized Sieve (Quasi) Likelihood Ratio Inferences on Irregularly or Partially Identified Semiparametric Structural Models
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09:50-10:10 |
Coffee Break |
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Parallel Session 1A/1B |
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Session 1A Room 109
Chair: Tao Zou,The Australian National University
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10:10-10:35 |
DachengXiu, University of Chicago
Inference on Risk Premia in the Presence of Omitted Factors
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10:35-11:00 |
Chuanhai Zhang,Zhongnan University of Economics and Law
A New Estimator for Integrated Volatility with Microstructure Noise and Jumps
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11:00-11:25 |
Qiying Wang, The University of Sydney
Model Checks for Nonlinear Cointegrating Regression
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Session 1B Room 213
Chair: Tingting Cheng, Nankai University
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10:10-10:35 |
Chaohua Dong, Southwestern University of Finance and Economics
Additive Nonparametric Models with Time Variable and Both Stationary and NonstationaryRegressors
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10:35-11:00 |
Yingying Dong, University of California Irvine
Regression Discontinuity Designs with a Continuous Treatment
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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
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11:25-13:00 |
Lunch B1, Guanghua Guest House |
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Invited Session I Room 109
Chair: Xiaojun Song, Peking University
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13:00-13:40 |
Yanqin Fan, Washington University
Partial Identification in Moment Equality Models with Auxiliary Data
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13:40-14:20 |
Juan Carlos Escanciano, Indiana University
Semiparametric Identification and Fisher Information
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14:20-14:35 |
Coffee Break |
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Parallel Session 2A/2B |
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Session 2A Room 109
Chair: Chaohua Dong, Southwestern University of Finance and Economics
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14:35-15:00 |
Qingliang Fan, Xiamen University
Large System of Seemingly Unrelated Regressions: A Penalized Quasi-Maximum Likelihood Estimation Perspective
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15:00-15:25 |
Geert Mesters, UniversitatPompeuFabra
Detecting Granular Time Series in Large Panels
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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
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Session 2B Room 213
Chair: Ye Chen, Capital University of Economics and Business
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14:35-15:00 |
Ying Wang, Peking University
Adaptive Estimation of Functional-coefficient Cointegration Models with Nonstationary Volatility
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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
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15:25-15:50 |
Tingting Cheng, Nankai University
Multi-Step Non- and Semi-Parametric Predictive Regressions
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15:50-16:05 |
Coffee Break |
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Parallel Session 3A/3B |
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Session3A Room 109
Chair:Xuexin Wang, Xiamen University
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16:05-16:30 |
Patrick Wongsa-art, Newcastle University
Correlation Curve Time Series Analysis of Correlation Dynamics
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16:30-16:55 |
ArtemProkhorov, University of Sydney
A New Measure of Vector Dependence, with an Application to Financial Risk and Contagion
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16:55-17:20 |
Young C. Joo, Chung-Ang University
Robust Portfolio Selection with Linear Regression and S-shaped Utility
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17:20-17:45 |
Yin Liao, Queensland University of Technology
Modeling the Cross Section of Stock Returns Using Sensible Models in a Model Pool
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Session3B Room 213
Chair: Yu-Chin Hsu,Academia Sinica
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16:05-16:30 |
Zhengtao Shi, The Chinese University of Hong Kong
A Structural Pairwise Network Model with Individual Heterogeneity
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16:30-16:55 |
Tao Zou, The Australian National University
Network Influence Analysis
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16:55-17:20 |
Wang Miao, Peking University
Identifying Causal Effects With Proxy Variables of an Unmeasured Confounder
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17:20-17:45 |
Pedro H. C. Sant'Anna, Vanderbilt University
Program Evaluation with Right-Censored Data
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June 14, 2017 |
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08:45-09:00 |
Registration |
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Invited Session II Room 109
Chair: Jihai Yu,Peking University
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09:00-09:40 |
Joon Park, Indiana University
Econometric Analysis of Functional Dynamics
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09:40-10:20 |
Zhijie Xiao, Boston College
Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
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10:20-10:35 |
Coffee Break |
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Parallel Session 4A/4B |
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Session 4A Room 109
Chair:Qingliang Fan, Xiamen University
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10:35-11:00 |
Shuo Li, Tianjin University of Finance and Economics
Simultaneous Specification Testing for Nonlinear Time Series Models
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11:00-11:25 |
Zhonghao Fu, Cornell University
Consistent Testing for Structural Change in Time Series Regression Models via the Fourier Transform
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11:25-11:50 |
Ye Chen, Capital University of Economics and Business
Spurious Regressions with Moderately Explosive Processes
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11:50-12:15 |
Xuexin Wang, Xiamen University
A Simple Portmanteau Test for Time Series Models with Weak Innovations
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Session 4B Room 213
Chair: Ying Wang, Peking University
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10:35-11:00 |
ZhentongLu,Shanghai University of Finance and Economics
A Semi-Nonparametric Estimator for Random Coefficient Demand Models
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11:00-11:25 |
Yu-Chin Hsu, Academia Sinica
Testing Generalized Regression Monotonicity
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11:25-11:50 |
Namhyun Kim, University of Exeter
A Note on the Regularized Approach to Biased 2SLS Estimation with Weak Instruments
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11:50-12:15 |
Yu Zhou, Fudan University
Identification and Estimation of Entry Games Under the Symmetry of Unobservables
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12:15-13:30 |
Lunch B1, Guanghua Guest House |
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Invited Session III Room 109
Chair: Hsein Kew, Monash University
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13:30-14:10 |
Elie Tamer, Harvard University
Inference on Parameters in Dynamic Discrete Choice Models
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14:10-14:50 |
Liangjun Su,Singapore Management University
Identifying Latent Grouped Structures in Nonlinear Panels
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14:50-15:05 |
Coffee Break |
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Parallel Session 5A/5B |
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Session 5ARoom 109
Chair: Wang Miao, Peking University
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15:05-15:30 |
Yuya Sasaki, Johns Hopkins University
A Unified Robust Bootstrap Method for Sharp/Fuzzy Mean/Quantile Regression Discontinuity/Kink Designs
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15:30-15:55 |
Dante Amengual,CEMFI
Normality Tests for Latent Variables
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15:55-16:20 |
Naijing Huang, Central University of Finance and Economics
Weak Inference for Dynamic Stochastic General Equilibrium Models with Time-varying Parameters
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Session 5B Room 213
Chair:Shuo Li, Tianjin University of Finance and Economics
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15:05-15:30 |
Yoosoon Chang, Indiana University
Identifying and Estimating the Longrun Effect of Income Distribution on Aggregate Consumption
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15:30-15:55 |
Tsung-Chih Lai, Feng Chia University
A Double Local Polynomial Methodfor Conditional Density
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15:55-16:20 |
Sung Y. Park, Chung-Ang University
Multivariate Density Forecast Evaluation: Smooth Test
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