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Maxwell School

Camp Econometrics

New York Camp Econometrics IV
April 3-5, 2009
Mirror Lake Inn Resort, Lake Placid, NY

Friday, April 3, 2009

M. Hashem Pesaran (Cambridge University) Chair


JAE Lecture I (2:30-3:30 p.m.), Jerry Hausman, MIT

1.  “IV and GMM with Many Instruments.”

3:30-4:00 p.m.: Coffee break.

Session I (4:00-6:00 p.m.): Panel Data, Badi H. Baltagi (Syracuse University), Chair


4:00-4:40 p.m.

2. “Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models,” by Cheng Hsiao (University of Southern California ), M. Hashem Pesaran (University of Cambridge), and Andreas Pick (De Nederlandsche Bank).

4:40-5:20 p.m.

3. “Testing for Cross-sectional Dependence in a Fixed Effects Panel Data Model,” Badi H. Baltagi, Qu Feng and Chihwa Kao (Syracuse University).


5:20-6:00 p.m.

4. “The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models,” Maurice J.G. Bun (University of Amsterdam) and Frank Windmeijer(University of Bristol).



Saturday, April 4, 2009

8:00-9:00 am   Breakfast


Session II (9a.m.-11:00a.m.): Forecasting, Macro and Finance, Kajal Lahiri (SUNY-Albany), Chair

9-9:40 a.m

5. “Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling,” Lennart F. Hoogerheide and Herman K. van Dijk (Erasmus University Rotterdam, and Tinbergen Institute).


9:40-10:20 a.m.

6. “ Forecasting U.S. Inflation: A Look Beyond the Conditional Mean,”

Sebastiano Manzan (Baruch College, CUNY), and Dawit Zerom (California State University at Fullerton).


10:20 a.m.-11:00 a.m.

7. “True vs Spurious Long Memory: A Monte Carlo Study with an Application to Credit Data,” A. Leccadito (Universit`a della Calabria, Italy) and Giovanni Urga (Cass Business School UK and Bergamo University, Italy).


11:00-11:30 a.m.: Coffee break.


JAE Lecture II (11:30-12:30 p.m.), Jerry Hausman, MIT

M. Hashem Pesaran (Cambridge University), Chair

8. “A Bayesian Mixed Logit-Probit Model for Multinomial Choice.”


12:30-2:00 p.m.: Lunch


Session III (2:00-4:00 p.m.): Nonlinearity, Grouped Data and Model Evaluation, James G. MacKinnon (Queen's University) Chair


2:00-2:40 p.m.

9. “Birth of a Nonlinear Model,” Anil K. Bera (University of Illinois at Urbana Champaign).


2:40 -3:20p.m.

10. “Data –Driven  Model Evaluation: A Test For Revealed Performance,” Jeffrey S. Racine (McMaster University) and Christopher F. Parmeter (Virginia Tech).


3:20-4:00 p.m.

11. “Goodness-of-fit Testing for Duration Models with Censored Grouped Data,” Yongmiao Hong (Cornell University & Xiamen University) and Jing Liu (Cornell University).


4:00-4:30 p.m.: Coffee break.


Session IV (4:30-6:30 p.m.) Applied Econometrics, William Greene (NYU), Chair

4:30-5:10 p.m.

12. “Nonparametric Partial and Point Identification of Net or Direct Causal Effects,” Carlos A. Flores (University of Miami) and Alfonso Flores-Lagunes (University of Florida).


 5:10-5:50 p.m.

13. “Do the GSEs Expand the Supply of Mortgage Credit? New Evidence of Crowd Out in the Secondary Mortgage Market,” Stuart A. Gabriel (UCLA) and Stuart S. Rosenthal (Syracuse University).



14.  “A Bivariate Latent Class Correlated Generalized Ordered Probit Model with an Application to Modeling Observed Obesity Levels,” William Greene (NYU), Mark N. Harris, Bruce Hollingsworth, and Pushkar Maitra (Monash University).


7:00-9:30 p.m.  Cocktail Hour/Dinner for conference participants (the View Restaurant)



Sunday, April 5, 2009

      8:00-9:00 am   Breakfast


Session V (9:00-10:20p.m.): Nonparametric Identification Jeffrey S. Racine (McMaster University), Chair


9:00-9:40 a.m.

15. “Estimation of Multiple Output Production Function Using the Primal Approach,” Subal Kumbhakar (SUNY-Binghamton).

9:40-10:20 a.m.

16. “Inference in Partially Identified Nonparametric Instrumental Variables Models,” Nese Yildiz (University of Rochester).


10:20-10:50 a.m.: Coffee break.


Session VI (10:50 a.m.-12:10 p.m.): Structural Change and Cointegration, Chihwa Kao (Syracuse University) Chair


10:50 -11:30 a.m.

17. “Cointegration versus Spurious Regression and Heterogeneity in Large Panels,” Lorenzo Trapani (Cass Business School, UK).

11:30 a.m.-12:10 p.m.


18. “Testing for Smooth Structural Changes in GARCH Models,” Bin Chen (University of Rochester) and Yongmiao Hong (Cornell University and Xiamen University).


Conference closes.


12:15 p.m.-1:30 p.m.  Lunch