The 2009 Summer Workshop in Econometrics

May 31-June 1，2009

Program

May 31, 2009

8:20—8:45am Signing in

Room 302, Shunde Building, Tsinghua University

8:45—9:00am Welcome Remarks

Chong-En Bai, Tsinghua University

Schoolof Economics and Management, Tsinghua University

Session 1: Chair:Jushan Bai, Tsinghua University

9:00—9:50am Guido Kuersteiner, UC Davis

“Instrument Selection by First Stage Prediction Averaging”

9:50—10:05am Coffee/Tea Break

10:05—10:55am Josep Lluís Carrion-i-Silvestre, Universitat de Barcelona, Spain

“Panel cointegration rank testing with cross-section Dependence”

10:55—11:10am Coffee/Tea Break

11:10—12:00pm Rong Chen, Rutgers University

“On generating Monte Carlo samples of continuous diffusion bridges”

12:15—1:45pm Lunch

Session 2: Chair:Qi Li, Tsinghua University

2:00—2:50pm Patrik Guggenberger, UCLA

“The impact of a Hausman pretest on the size of a hypothesis test”

2:50—3:05pm Coffee/Tea Break

3:05—3:55pm Jun Yu, Singapore Management University

“Econometric identification of financial bubbles and crisis event concatenation”

3:55—4:10pm Coffee/Tea Break

4:10—5:00pm Terence Chong, Chinese University of Hong Kong

“The Theory and Applications of TAR Model with two Threshold Variables”

5:30—7:30pm Dinner

June 1, 2009

Session 3: Chair:Yongmiao Hong, Tsinghua University

9:00—9:50am Sung Y. Park, Xiamen University

“Which Quantile Regression is the Most Informative? Maximum Entropy Quantile Regression”

9:50—10:05am Coffee/Tea Break

10:05—10:55am Pingfang Zhu, Shanghai Academy of Social Sciences

“Instrumental variable quantile regresssion estimation of spatial dynamic panel data models”

10:55—11:10am Coffee/Tea Break

11:10—12:00pm Xiaotong Zhang, Nankai University

“Wald statistic for unit root tests”

12:15-1:45pm Lunch

Session 4: Chair:Xu Lin, Tsinghua University

2:00—2:50pm Ying Fang,XiamenUniversity

“The Validity of Instruments Revisited”

2:50—3:05pm Coffee/Tea Break

3:05—3:55pm Shaoping Wang, Huazhong University of Science and Technology

“A Generalized Nonlinear IV Unit Root Test for Panel Data with Cross-Sectional Dependence”

3:55—4:10pm Coffee/Tea Break

4:10—5:00pm Weiguo Wang, Dongbei University of Finance and Economics

“基于贝叶斯推断的上证指数突变点研究”

Program Committee: Chong-En Bai, Tsinghua University

Zinai Li, Tsinghua University

Jushan Bai, Tsinghua University

Qi Li, Tsinghua University

Yongmiao Hong, Tsinghua University

Zhijie Xiao, Tsinghua University

Xu Lin, Tsinghua University

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

National Institute for Fiscal Studies, Tsinghua University

Contact Phones: Miss Yu Wang: (86) 10-6277 3181(m) 15910606359

Paper Download: http://www.nifs.org.cn/news.php?id=211

Agenda:| 2009_econometricsworkshop_program（final）.doc