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”
Organizer and Sponsor: Department of Economics, School of Economics and Management, Tsinghua University
National Institute for Fiscal Studies Tsinghua University
