Canadian Econometric Study Group (CESG) – 2017
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
8:30-9:15 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)
- 9:15-9:55 "Household Portfolio Choices and Nonlinear Income Risk,” Julio Galvez (CEMFI)
Discussant: Anson Ho (Bank of Canada)
- 9:55-10:35 "Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions,” by Veronika Czellar (EDHEC), René Garcia (University of Montréal), and Francois Le Grand (EMLYON).
Discussant: Angelo Melino (University of Toronto)
10:50-12:10 Session 2: In Honour of James MacKinnon
Chair: Sílvia Gonçalves (McGill University)
- 10:50-11:30 "Validity of Wild Bootstrap Inference with Clustered Errors,” by Antoine Djogbenou (Queen’s University), James G. MacKinnon (Queen’s University), and Morten Ørregaard Nielsen (Queen’s University).
Discussant: Russell Davidson (McGill University)
- 11:30-12:10 “Bootstrap and Asymptotic Inference with Multiway Clustering,” by James G. MacKinnon (Queen’s University), Matthew D. Webb (Carleton University) and Morten Ørregaard Nielsen.
Discussant: Benoit Perron (University of Montreal)
13:30-15:30 Session 3: Econometric Models of Tail Risk
Chair: Christian Gourieroux (University of Toronto)
- 13:30-14:10 "Measuring Nonlinear Dependence and Persistence: Asset Market Linkages and Tail Risk,” by Juan Carlos Escanciano (Indiana University), and Javier Hualde (Universidad Publica de Navarra).
Discussant: Alex Maynard (University of Guelph)
- 14:10-14:50 “Beyond the Pearson Correlation: Heavy-Tailed Risks, Weighted Gini Correlations, and a Gini-type Weighted Insurance Pricing Model,” by Edward Furman (York University) and Ricardas Zitikis (Western).
Discussant: Brennan Thompson (Ryerson University)
- 14:50-15:30 “Volatility Regressions with Fat Tails,” by Jihyun Kim (Toulouse School of Economics) and Nour Meddahi (Toulouse School of Economics)
Discussant: Razvan Sufana (York Univeristy)
15:45-17:45 Session 4: Robust Inference in linear IV models
Chair: Vicky Zinde-Walsh (McGill University)
- 15:45-16:25 “A Note on Optimal Inference in the Linear IV Model,” Donald Andrews (Yale University), Vadim Marmer (UBC), and Zhengfei Yu (University of Tsukuba)
Discussant: Eun Yi Chung (University of Illinois)
- 16:25-17:05 “Identification-Robust Nonparametric Inference in a Linear IV Model,” by Bertille Antoine (Simon Fraser University) and Pascal Lavergne (Toulouse School of Economics).
Discussant: Paul Rilstone (York University)
- 17:05-17:45 “Regularization Based Anderson Rubin Tests for Many Instruments,” by Marine Carrasco (University of Montreal) and Guy Tchuente (University of Kent).
Discussant: Doosoo Kim (Ryerson University)
18:00-19:00 Poster session II
Sunday, October 22, 2017
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)
- 9:15-9:55 “Weak beta, strong beta: multi-factor pricing and rank restrictions,” by Marie-Claude Beaulieu (Universite Laval), Jean-Marie Dufour (McGill University), and Lynda Khalaf (Carleton University).
Discussant: Edward Furman (York University)
- 9:55-10:35 “Extreme Risk Management During Financial Crisis,” Fred Liu (Western).
Discussant: John Galbraith (McGillUniversity)
10:50-12:10 Session 6: Panel Data: Volatility, Uncertainty, and Heterogeneity
Chair: Thanassis Stengos (University of Guelph)
- 10:50-11:30 “Identifying Distributions in a Panel Model with Heteroskedasticity: An Applicationto Earnings Volatility,” by Irene Botosaru (Simon Fraser University).
Discussant: Joris Pinkse (Penn State University)
- 11:30-12:10: “Identifying Agent's Information Sets: an Application to a Lifecycle Model of Schooling, Consumption and Labor Supply,” by Salvador Navarro (Western) and Jin Zhou (University of Chicago).
Discussant: Mathieu Marcoux (University of Montreal)
13:30- 15:30 Session 7: Inference in Nonlinear Models
Chair: Paul Rilstone (York University)
- 13:30-14:10 "Inference in Second-Order Identified Models” by Prosper Dovonon (Concordia University), Alastair R. Hall (University of Manchester) and Frank Kleibergen (University of Amsterdam).
Discussant: Kevin Song (UBC)
- 14:10-14:50 “Testing the Number of Regimes in Markov Regime Switching Models,” by Hiroyuki Kasahara (University of British Columbia), and Katsumi Shimotsu (University of Tokyo).
Discussant: Jiaying Gu (University of Toronto)
- 14:50-15:30 “Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects,” by Gordon Anderson (University of Toronto), Thierry Post (Koc University), and Yoon-Jae Whang (Seoul National University).
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)
"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
"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)