Program

Canadian Econometric Study Group Final Program - 2017 (PDF) (Printable Version)


Canadian Econometric Study Group (CESG) – 2017

York University

October 20-22, 2017

 

Friday, October 20, 2017

 18:00-20:00     Welcome Refreshments and Registration.

18:00-20:00     Poster session I

 

Saturday, October 21, 2017

8:00-8:30         Breakfast

8:30-9:15         Keynote Speaker: Stéphane Bonhomme (University of Chicago)  “Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models"

Chair: Victor Aguirregabiria (University of Toronto)

9:15-10:35       Session 1:  Market Participation and Portfolio Choice

Chair:  Lars Stentoft (University of Western Ontario)

Discussant: Anson Ho (Bank of Canada)

Discussant: Angelo Melino (University of Toronto)

 10:35-10:50     Break

10:50-12:10     Session 2: In Honour of James MacKinnon

Chair: Sílvia Gonçalves (McGill University)

Discussant: Russell Davidson (McGill University)

Discussant: Benoit Perron (University of Montreal)

12:10-13:30     Lunch
13:30-15:30     Session 3:  Econometric Models of Tail Risk

Chair: Christian Gourieroux (University of Toronto)

Discussant: Alex Maynard (University of Guelph)

Discussant: Brennan Thompson (Ryerson University)

Discussant: Razvan Sufana (York Univeristy)

15:30-15:45     Break

15:45-17:45     Session 4:  Robust Inference in linear IV models

Chair: Vicky Zinde-Walsh (McGill University)

Discussant: Eun Yi Chung (University of Illinois)

Discussant: Paul Rilstone (York University)

Discussant: Doosoo Kim (Ryerson University)

17:45-18:00     Break

18:00-19:00     Poster session II

Sunday, October 22, 2017
8:00-8:30         Breakfast

8:30-9:15         Keynote Speaker: Monika Piazzesi (Stanford University and NBER) “Banks’ Risk Exposures”

Chair: Joann Jasiak (York University)

9:15-10:35       Session 5:  Financial Econometrics

Chair: Tony Wirjanto (University of Waterloo)

Discussant: Edward Furman (York University)

Discussant: John Galbraith (McGillUniversity)

10:35-10:50     Break
10:50-12:10     Session 6:  Panel Data: Volatility, Uncertainty, and Heterogeneity

Chair: Thanassis Stengos (University of Guelph)

Discussant: Joris Pinkse (Penn State University)

Discussant: Mathieu Marcoux (University of Montreal)

12:10-13:30     Lunch
13:30- 15:30    Session 7:  Inference in Nonlinear Models

Chair: Paul Rilstone (York University)

Discussant: Kevin Song (UBC)

Discussant: Jiaying Gu (University of Toronto)

Discussant: Christian Gourieroux (University of Toronto)

  • 15:30    Closing Remarks: Jean-Marie Dufour (McGill University, Director of CESG, and Officer of the Order of Canada)

 

Poster Presenters:

 

"A Heuristic Approach to Explore: Value of Perfect Information"Shervin S. Tehrani,  U of Toronto (joint with A. Ching)

"Forecasting U.S. Recessions and Economic Activity";  Dalibor Stevanovic, UQÀM (joint with R. Kotchoni)

"Oil Price Shocks and Economic Growths: A Bayesian Approach"; Bill Qiao Yang, Shanghai Tech. University (joint with J. Maheu and Y. Song)

"Measuring Granger Causality in Data Rich environment"; Charles O. Mao Takongmo, University of Ottawa (joint with P. Dovonon)

"X-differencing and Exogenous Regressors"; Charles J. Saunders, Western

"Time-varying risk premia with intermittently useless factors"Eric M. Pondi, Université de Montréal (joint with I. Kalnina)

"A Robust Redesign of High School Match"; Sam Ilmyoung Hwang, Vancouver school of Economics

"Composite Quasi-Maximum Likelihood Estimation of Dynamic Panels with Group-Specific Heterogeneity and Spatially Dependent Errors"; Ba Chu, Carleton University

"Identifying Treatment Effects in the Presence of Confounded Type"; Desire Kedagni,  Pennsylvania State University

"Testing for Nash behavior in binary games of complete information";  Nail Kashaev,  Western

"Optimal Model Averaging of Varying Coeffficient Models"; J. S. Racine, McMaster (joint with C. Li, Q. Li and D. Zhang)

"Bootstrap Tests in Linear Models With Many Regressors", Patrick Richard, Université de Sherbrooke

"Cost Uncertainty in Procurements"; Yao Luo, University of Toronto (joint with I. Perrigne and Q. Vuong)

"Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?" Sai Ma, New York University (joint with S. Ludvigson and S. Ng)

"Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach"; Ulrich Hounyo, SUNY at Albany (joint with K. Christensen and M. Podolskij)

"Is the inter- and intra- continental diversification potential disappearing? A vine copula approach"; Cathy Ning, Ryerson University (joint with W. Huang)

"A Two-Step Estimator for Structural Models Using Approximation" ; Xintong Han , Toulouse School of Economics

Two-Way Exclusion Restrictions in Models with Heterogeneous Treatment Effects; Ismael Mourifie, University of Toronto (joint with S. Liu and Y. Wan)

"Stochastic Revealed Preferences with Measurement Error: Testing for Exponential Discounting in Survey Data"; Victor H. Aguiar, Western (joint with N. Kashaev)

"Identification of Counterfactuals in Dynamic Discrete Choice Models", Eduardo Souza-Rodrigues, U of Toronto (joint with M. Kalouptisidi and P.T. Scott)

"Composite Likelihood Estimation of AR-Probit Model: Application to Credit Ratings"Kerem Tuzcuoglu, Bank of Canada

"Identification of Average Demand Models", Roy Allen, University of California (joint with J. Rehbeck)

"Inference in Constrained Quantile Regression", Tom Parker, University of Waterloo

Improved Global Minimum Variance Portfolio via Tail Eigenvalues Amplification, Danqiao Guo, University of Waterloo (joint with C. Weng and T. Wirjanto)

"Exact Inference in Predictive Quantile Regressions", Richard Luger, University of Laval, (joint with A. Gungor)

"Rate-Optimal Estimation of the Intercept in a Semiparametric Sample-Selection Model", Chuan Goh (University of Guelph)

"Information Flow and Price Discovery in Canadian and US Stock Markets", Kuan Xu, Dalhousie University (joint with L.Wu and Q. Meng)

Testing for Homogeneity in Mixture Models, Jiaying Gu, University of Toronto (joint with R. Koenker and S. Volgushev)