CESG '97 Final Program

All sessions and the two lunches will be held in the Ontario Room, which is at the very back of the hotel, behind the pool area. The opening reception will be held in the Rideau Room, which is on the second floor, near the front of the hotel.

Friday, September 26:

• 19:00-22:00 Welcoming Reception (Rideau Room; cash bar and light snacks)

• 08:15-08:45 Registration (also coffee and continental breakfast).

• 08:45-10:25 Session I. Semiparametric Estimation.

  Chair: Baldev Raj (Wilfred Laurier)

  • Douglas J. Hodgson (Rochester), "Semiparametric Efficient Estimation in Time Series." (Download Zipped PostScript Files (0.3 MB; 0.8 MB unzipped))
    Discussant: Vicky Zinde-Walsh (McGill)

  • Jian Yang (Queen's and Western), "Semiparametric Maximum Likelihood Estimation of Nonlinear Regression Models." (Download Zipped PostScript Files (0.5 MB; 1.6 MB unzipped))
    Discussant: Jeff Racine (South Florida)

• 10:25-10:45 Coffee and tea.

• 10:45-12:25 Session II. Bootstrap Methods.

  Chair: Qi Li (Guelph)

  • Joel L. Horowitz (Iowa), "Bootstrap Methods for Covariance Structures." (Download PostScript File (0.4 MB))
    Discussant: Russell Davidson (Queen's and GREQAM)

  • Jean-Marie Dufour and Lynda Khalaf* (Laval), "Simulation Based Finite and Large Sample Inference Methods in Multiple Equation Regression Models." (Download Zipped PostScript File (0.2 MB; 0.8 MB unzipped))
    Discussant: Michael Veall (McMaster)

• 12:30-13:15 Lunch.

• 13:30 Session III. Structural Estimation.

  Chair: Allan Gregory (Queen's)

  • John Rust (Yale ), "A Comparison of Policy Iteration Methods for Solving Continuous-State, Infinite-Horizon Markovian Decision Problems Using Random, Quasi-random, and Deterministic Discretizations." (Download Zipped PostScript File (5.3 MB; 25 MB unzipped))
    Discussant: Victor Aguirregabiria (Western)

  • Stephen G. Donald, Harry J. Paarsch* (Iowa), and Jacques Robert, "Identification, Estimation, and Testing in Empirical Models of Sequential, Ascending-Price Auctions with Multi-unit Demand: An Application to Siberian Timber Export Permits." (Download Zipped PostScript File (0.2 MB; 0.7 MB unzipped))
    Discussant: Chris Nicol (Regina)

• 15:10-15:30 Coffee, tea, and soft drinks.

• 15:30-17:10 Session IV. Financial Econometrics.

  Chair: Tom McCurdy (Toronto)

  • Eric Ghysels and Joanna Jasiak* (York), "Long-term Dependence in Trading." (Download Zipped PostScript Files (0.2 MB; 0.7 MB unzipped))
    Discussant: John Galbraith (McGill)

  • R. Glen Donaldson and Mark Kamstra* (Simon Fraser), "Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles." (Download Zipped PostScript File (0.2 MB; 1.6 MB unzipped))
    Discussant: Simon van Norden (H.E.C.)

• 19:00 Conference Dinner, Ramada Inn (downtown Kingston), Harbour Shadows Room, sixth floor.

• 08:15-08:45 Coffee and continental breakfast.

• 08:45-10:25 Session V. Testing and Evaluation.

  Chair: William Veloce (Brock)

  • Joris Pinkse* (U.B.C.), "Testing Spatial Correlation in Probit Models." (Download PostScript File (0.2 MB))
    Discussant: Judith Giles (Victoria)

  • Francis X. Diebold* (Pennsylvania), Todd A. Gunther, and Anthony S. Tay, "Evaluating Density Forecasts." (Download PDF (Acrobat) File (0.5 MB))
    Discussant: Yanqin Fan (Windsor)

• 10:25-10:45 Coffee and tea.

• 10:45-12:25 Session VI. Bayesian Methods.

  Chair: Dale Poirier (Toronto)

  • Lonnie Magee (McMaster), "Linear Regression with Intercept Breaks." (Download Zipped PostScript Files (0.2 MB; 0.7 MB unzipped))
    Discussant: Peter Schmidt (Michigan State)

  • Samita Sareen (Toronto), "Likelihood Based Estimation of Symmetric Parametric Structural Auction Models with Independent Private Values."
    Discussant: Stephen Gordon (Laval)

• 12:30-13:15 Lunch.

• 13:30-15:10 Session VII. Nonlinear Estimation.

  Chair: Urvashi Dhawan (Memorial)

  • Michael Baker and Angelo Melino* (Toronto), "Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study." (Download zip file containing PostScript and PDF (Acrobat) files (0.2 MB; 0.7 MB unzipped))
    Discussant: Paul Rilstone (York)

  • I.G. Morgan* (Queen's) and R.G. Trevor, "Limit Moves as Censored Observations of Equilibrium Futures Price in GARCH Processes." (Download PostScript File (0.4 MB))
    Discussant: Rene Garcia (Montreal)

• James G. MacKinnon, Queen's University (Organizer)
• Ramazan Gencay, University of Windsor (CESG Co-ordinator)
• Russell Davidson, Queen's University
• Tom McCurdy, University of Toronto
• Thanasis Stengos, University of Guelph