Econometrics Lunch

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Econometrics Lunch


We meet Mondays, 12noon-1pm, McNeil 395 unless otherwise noted.

For a current schedule, and downloadable papers/slides when available, see http://boards.ssc.upenn.edu/ges/index.php/Econometrics_Lunch


Spring 2012: Schedule

March 5
(Spring Break)


March 12
Diego Eduardo Fresoli, "Boostrapping for forecasting: an application to VAR models"


March 19
Alessia Paccagnini, "DSGE Model Evaluation in a Bayesian Framework: an Assessment"


March 26
Francis Diebold, "Comparing Forecast Accuracy: The Use and Abuse of ‘Diebold-Mariano Tests’, Twenty Years on..."


April 2
Xun Tang (TBA)


April 9
Kotbee Shin, "Learning and the Exchange Rate"


April 16
Mark Bognanni,"An Empirical Analysis of Fiscal Shocks with Regime-Switching SVARs"


April 23
Frank Diebold, "A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities"

Fall 2011: Schedule

September 19
Xun Tang, "Testing bidders' risk attitudes in Ascending Auctions with Endogenous Entry" (Joint with Hanming Fang)


September 26
Frank Schorfheide, "To Hold Out or Not" (Joint with Ken Wolpin)


October 3
Luigi Bocola, "A New Class of Nonlinear Time Series Models for the Evaluation of DSGE Models" (Joint with Boragan Aruoba and Frank Schorfheide)


October 10
(Fall break)


October 17
Dongho Song, "Real-Time Density Forecasting with a Mixed Frequency VAR" (Joint with Frank Schorfheide)


October 24
Frank Diebold, "Improving GDP Measurement: A Forecast Combination Perspective" (with B. Aruoba, J. Nalewaik, F. Schorfheide and D. Song)


October 31
Han Chen, "LSAP and Macroeconomy" (with Vasco Curdia and Andrea Ferrero)


November 7
Matthias S. Hertweck, "Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S" (with Matthias Gubler)


November 14
Xu Cheng, "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests" (joint with Donald Andrews and Patrik Guggenberger)


November 21
Mark Bognanni, "An Empirical Analysis of the Fiscal Multiplier with Regime-Switching SVARs"


November 28
Minchul Shin, "Limited Information Bayesian Analysis"


December 5
Otilia Boldea, "Break-point estimation in models with endogenous regressors"

Spring 2011: Schedule

March 14
Dongho Song, "Forecasting with a Mixed Frequency VAR" (Joint with Frank Schorfheide)


March 21
empty


March 28
Tatjana Dahlhaus, "Financial Shocks and the Macroeconomy: Evidence from a Factor Model with Sign Restrictions"


April 4
Kamil Yilmaz, TBA


April 11
Mark Bognanni, "Monetary-Fiscal Interactions: An Empirical Investigation with Regime-Switching SVARs"


April 18
Dalibor Stevanovic, "Factor-augmented VARMA models"


April 25
empty


May 2
empty


May 9
empty

Fall 2010: Schedule

September 13
Ed Herbst, TBA


September 20
Luigi Bocola, "The Dynamic Effects of Aggregate Demand and Supply Disturbances in Models with Heterogeneous Inputs", joint work with Iourii Manovskii and Marcus Hagedorn.


September 27
Fei Chen, "Duration, Herding and Long Memory"


October 4
Mark Bognanni, "A Bayesian Analysis of Monetary Policy in a Multi-Sector DSGE Model"


October 11 (Fall term break)


October 18
(No econometrics lunch)


October 25
Kevin Song, "Robust Estimation of Some Nonregular Parameters"


November 1
Fang Xu, "Testing for unit roots in bounded time series"


November 8
Asyl Bakanova, TBA


November 15
Dario Caldara, TBA


November 22
Kotbee Shin and Dongho Song, "Regime Switching and Stochastic Volatility in DSGE Models"


November 29
Xun Tang "Estimation of Bayesian Games using Special Regressors" (Joint with Arthur Lewbel, Boston College)


December 6
Dalibor Stevanovic, "Factor Time Varying Parameters Model"

Spring 2010: Schedule

March 1
Andy Postlewaite, "Why you might not want to be a Bayesian."
March 8 (Spring Break)


March 15
Xu Cheng, "Estimation and Inference with Weak Identification"


March 22
Kevin Song, "Estimating Some Nondifferentiable Parameters"


March 29
Ed Herbst, TBA


April 5
Jonathan Wright (Johns Hopkins University), "Using Surveys as Steady State Priors in macroeconomic forecasting"


April 12
Chabe-Ferret Sylvain (Cemmagrp, Visiting Yale University) "To Control or Not to Control? Bias of Simple Matching vs Difference-In-Difference Matching in a Dynamic Framework"


April 19
Flavio Cunha "TBA"


May 10
Andriy Norets and Xun Tang "Semiparametric Inference in Dynamic Binary Choice Models"

Fall 2009: Schedule

September 14
Leonardo Melosi, TBA
September 21
Max Kryshko, "Data-Rich DSGE and Dynamic Factor Models"
September 28
Cristina Fuentes-Albero, TBA
October 5
Jian Hua, "Option Implied Volatility and Corporate Bond Yields: a Dynamic Factor Approach"
October 12
Aureo de Paula, "Multiple Equilibria and Signs of Interaction Effects in Discrete Games with Incomplete Information" (joint with Xun Tang)
October 26
Edith Liu, TBA
November 2
Mehmet Calgan, "Contagion Cycles"
November 9
Harold Cole, TBA
November 16
No speaker
November 23
Ed Herbst, "Cointegrated Technology in an Open Economy Model"
November 30
Fei Chen, TBA

Spring 2009: Schedule

March 02
Frank Diebold, "Arbitrage-Free Generalized Nelson-Siegel Yield Curve Modeling", paper 1, paper 2
March 09
Spring Break
March 16
Leonardo Melosi, "A Likelihood Analysis of Models with Information Frictions", Slides
March 23
Kevin Song, "Efficient Estimation of Average Treatment Effects under Treatment-Based Sampling"
March 30
Flavio Cunha, "Unscented Kalman Filter"
April 6
Aureo de Paula, "Binary Choice Panel Data Models with Predetermined Variables" (by Arellano and Carrasco, 2003) and some variations
April 13
Xun Tang, "Identifying Counterfactual Policy Effects in Dynamic Binary Choice Process"
April 20
Tao Zha's Econometrics Seminar will take place during lunch time - we'll meet in the Econ Conference Room - "Asset-price Channels and Macroeconomic Fluctuations"
April 22
Herman van Dijk, "Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling"

Please note: this is Wednesday, we will meet in the Econ Conference Room


April 27
Cristina Fuentes-Albero, "Financial Frictions and Great Moderation"
May 4
Max Kryshko, "DSGE and Dynamic Factor Models"



Econometrics Lunch Archive

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