清华大学国际计量经济学研讨会（Tsinghua International Conference in Econometrics)

【时间】2011年5月21日-22日（周六、日）

【地点】清华经管学院舜德楼306

【主办】清华大学经济管理学院、清华大学中国财政税收研究所

【日程】请粘贴附件内容

Tsinghua International Conference in Econometrics

May 21-22，2011

Program

May 21, 2011

8:30—8:50am Signing in (Room 306, Shunde Building, Tsinghua University)

8:50—8:55am Welcome Remarks

Session 1: Chair: Jushan Bai, Tsinghua University

8:55—9:40am Juan Carlos Escanciano* and Lin Zhu, Indiana University;

Ignacio N. Lobato2 Instituto Tecnológico Autónomo de México

"Automatic Specification Testing For Vector Autoregressions"

9:40—10:10am Liangjun Su* and Qihui Chen, Singapore Management University

"Testing Heterogeneity in Panel Data Models with Interactive Fixed Effects"

10:10—10:40am Liangjun Su and Yonghui Zhang*, Singapore Management University

"Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects"

10:40—11:00am Coffee/Tea Break

11:00—11:30am Songxi Chen and Jinyuan Chang*, Peking University

“On the Approximate Maximum Likelihood Estimation for Diffusion Processes”

11:30—12:00 Carine Milcent* and Binzhen Wu, Tsinghua Univeristy

"How do you feel? The insurance effect"

Session 2: Chair: Zhijie Xiao, Tsinghua University

2:00—2:30pm Peter Reinhard Hansen and Howard Howan Shek, Stanford University

Zhuo (Albert) Huang*, Peking University

“Realized GARCH: A Joint Model for Returns and Realized Measures of Volatility”

2:30—3:00pm Xinyu Zhang, Alan T.K. Wan2 and Sherry Z. Zhou*

"Focused Information Criteria, Model Selection and Model Averaging in a Tobit Model with a Non-Zero Threshold”

3:00—3:30pm Alex Maynard, University of Guelph; Katsumi Shimotsu, Hitotsubashi University; Yini Wang*, Queen's University

“Inference in Predictive Quantile Regressions”

3:30—4:00pm Coffee/Tea Break

4:00—4:30am Chih-Chiang Hsu*, National Central University

Chang-Ching Lin, Academia Sinica

"Change-Point Estimation for Nonstationary Panel Data”

4:30—5:00pm Meixin Guo,Tsinghua University

"Hierarchical Bayesian Method for Gravity Equations”

5:00—5:30pm Juan Carlos Escanciano and Pei Pei*,Indiana University

"Pitfalls in Backtesting Historical Simulation Models”

May 22, 2011

Session 3: Chair:Qi Li, Tsinghua University

9:00—9:45am Giuseppe Cavaliere

“Bootstrap sequential determination of the cointegration rank in VAR systems”

9:45—10:15am Jhih-Gang Chen and Biing-Shen Kuo*, National Chengchi University

"Gaussian Inference in General AR(1) Models Based on Second Difference”

10:15—10:40am Coffee/Tea Break

10:40—11:10am Manabu Asai, Faculty of Economics, Soka University

"Continuous Time Dynamic Correlation Model”

11:10—11:40pm Qi Li, Texas A&M University and Yiguo Sun*, University of Guelph

"A Consistent Nonparametric Test of Parametric Regression Functional Form in Fixed Effects Panel Data Models”

Paper Download:http://www.nifs.tsinghua.edu.cn

Organizer and Sponsor: Department of Economics, School of Economics and Management, Tsinghua University

National Institute for Fiscal Studies Tsinghua University