PROGRAM FRIDAY, SEPTEMBER 14 12:00-13:00 Lunch and Registration 13:00-13:05 Welcoming Remarks 13:05-14:35 Session I Chair: Kung-Sik CHAN (University of Iowa) Threshold MA Models-Recent Developments Howell TONG (London School of Economics) A Generalized Threshold Model for Analyzing Non-Normal Nonlinear Time Series Noelle SAMIA (Northwestern University) SHOCKS (Do You Want to Identify Them?) Jesus GONZALO (Universidad Carlos III de Madrid) 14:35-15:45 Coffee Break & Poster Session I * Poster Presentation Guidelines * Using Quasi Renewal Processes to Investigate Feature Distributions in Markov Switching Models [ complete poster ] John ASTON (Academia Sinica) Resurrecting the Real-Time Equity Premium Prediction: The Role of Macroeconomic Diffusion Indexes [ complete paper ] Jennie BAI (University of Chicago) On Estimating and Filtering Time-Changed Levy Processes [ complete paper ] David BATES (University of Iowa) Real-Time Estimates of Revised GDP Based on an Estimated Quarterly Model of Initial and Revised GDP Baoline CHEN (Bureau of Economic Analysis) Regime Switching and Long Memory Niels HALDRUP (University of Aarhus, Denmark) Modelling Seasonality and Multiple Structural Breaks. Did 9/11 Affect Visitor Arrivals to NZ? [ complete paper ] John HAYWOOD (Victoria University of Wellington, NZ) Consistent Nonparametric Tests for Granger Causality [ complete paper ] Yoshinori KAWASAKI (The Institute of Statistical Mathematics) Semiparametric Efficient Estimation in Dynamic Structural Models: A Least Favorable Submodel Approach Ivana KOMUNJER (University of California - San Diego) A New Approach to Drawing States in State Space Models [ complete paper ] Denis PELLETIER (North Carolina State University) 15:45-17:15 Session II Chair: Johannes LEDOLTER (University of Iowa) A Structure Theory for Generalized Linear Dynamic Factor Models Manfred DEISTLER (Vienna University of Technology) Maximum Likelihood Estimation for Dynamic Factor Panel Date Models Siem Jan KOOPMAN (VU University Amsterdam) Dimension Reduction Using Inverse Regression and Nonparametric Factors [ complete paper ] Aaron SMITH (University of California - Davis) 18:30 Drinks 19:00 Conference Dinner   SATURDAY, SEPTEMBER 15 7:30-8:30 Continental Breakfast 8:30-10:30 Session III Chair: Ruey TSAY (University of Chicago) Falsifying ARCH/GARCH Models Using Bispectral Based Tests [ complete paper ] Melvin HINICH (University of Texas at Austin) Residual Processes for Long- and Short-Memory Time Series Ngai Hang CHAN (Chinese University of Hong Kong) Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model [ complete paper ] Bent Jesper CHRISTENSEN (University of Aarhus, Denmark) Generalized Affine Models Nour MEDDAHI (Imperial College London) 10:30-11:00 Coffee Break 11:00-12:30 Session IV Chair: Richard DAVIS (Colorado State University) Averaging Estimators for Autoregressions with a Near Unit Root [ complete paper ] Bruce E. HANSEN (University of Wisconsin - Madison) Generalized Levinson-Durbin Sequences, Binomial Coefficients and Autoregressive Estimation [ complete paper ] Paul SHAMAN (University of Pennsylvania) Espousing Classical Statistics with Modern Computation: Sufficiency, Ancillarity and An Interweaving Generation of MCMC [ complete paper ] Xiao-Li MENG (Harvard University) 12:30-13:45 Lunch & Poster Session II * Poster Presentation Guidelines * Distinguishing Between Random Walks and Changes in the Mean Alexander AUE (Clemson University) Some Asymptotic Aspects in the Prediction Long Memory Time Series Pascal BONDON and Wilfredo PALMA (CNRS, France) Information Criteria for Impulse Response Function Matching Estimation of DSGE Models Atsushi INOUE (University of British Columbia) Empirical Analysis of Volatility Dynamics in High Frequency Returns with a Time-Varying Component Model Kasing MAN (Western Illinois University) Coherent Signal Extraction for Stock and Flow Time Series Tucker McELROY (U.S. Census Bureau) A Nonlinear Threshold Model for the Dependence in the Extremes of Stationary Sequences [ complete paper ] Jose OLMO (City University, London) Local Whittle Estimation of Fractional Integration for Nonlinear Processes [ complete paper ] Xiaofeng SHAO (University of Illinois at Urbana-Champaign) Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes Viktor TODOROV (Duke University) Quasi-Maximum Likelihood Estimation of Seasonal Long-Memory Limiting Aggregate Processes Henghsiu TSAI (Academia Sinica) Real-Time State-Space Method for Computing Filtered Estimates of Future Revisions: Applied to Monthly Chained CPI Peter ZADROZNY (Bureau of Labor Statistics) 13:45-15:15 Session V Chair: James STOCK (Harvard University) General Equilibrium Options Pricing Under Recursive Preferences Robert McCULLOCH (University of Chicago) Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns [ complete paper ] John GEWEKE (University of Iowa) Risk, Jumps, and Diversification [ complete paper, slides ] George TAUCHEN (Duke University) 15:15-15:45 Coffee Break 15:45-17:15 Session VI - Dedicated to the memory of our respected colleague and friend, Will Gersch, who died on June 29, 2007 at age 78. Chair: George TIAO (University of Chicago) Modeling Differential Mortality Trends Across Groups and Countries Using the Wang Transform Piet DE JONG (Macquarie University) Statistical Modeling of Rainfall in Time and Space: Some Results and Challenges Witold F. KRAJEWSKI (University of Iowa) A Flexible Approach to Parametric Inference in Nonlinear Time Series Models Simon POTTER (Federal Reserve Bank of New York) 17:15 Adjourn

This page was last modified on Tuesday, 16-Oct-2007 10:58:28 CDT. /ts