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"
