Econometrics Seminars Spring 2006

Fridays, 4:10-5:30 pm (unless otherwise specified) Sproul Hall 2206

Questions? Contact Aman Ullah & Gloria Gonzalez-Rivera

When available, the papers may be downloaded as pdf files, which can be read or printed using the Acrobat Reader.

4/12/2006* Kajal Lahiri (Economics Department/SUNY, Albany)

*NOTE: Wednesday; joint with Economic Theory

Limits to Forcasting: How fast do we adapt to news? How far ahead can we forecast? Papers: 1 | 2 | 3
4/14/2006 Timo Terasvirta (Stockholm School of Economics) Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
4/21/2006 Vassilis Polimenis (AGSM/UCR) Skewness correction for asset pricing
4/26/2006* James Stock (Economics Department, Harvard Univeristy)

*NOTE: Wednesday; joint with Economic Theory

An Empirical Comparison of Methods for Forecasting Using Many Predictors
4/28/2006* Allan Timmermann (Economics Department/UCSD)

*NOTE: joint with Economic Theory

Predictability of stock returns and asset allocation under structural breaks
5/5/2006 Oscar Jorda (UC Davis) Projection Minimum Distance:An estimator for dynamic macro models
5/12/2006 Kairat Mynbaev (Kazakhstan Inst of Mgt) OLS Asymptotics for Vector Autoregressions with Deterministic Regressors
5/19/2006 Rosa Matzkin (Northwestern University) joint with Economic Theory Nonparametric Simultaneous Equations
5/26/2006 Grazia Pittau (University of Rome & Columbia University) Empirical evidence of income dynamics across EU regions
5/31/2006* Joao Victor Issler (Getulio Vargas Graduate School of Economics)

*NOTE: Wednesday; joint with Economic Theory

Estimating the Stochastic Discount Factor without a Utility Function
6/2/2006 Hal White (UCSD) Seminar (open to all): An Extended Class of Instrumental Variables for the Estimation of Causal Effects 

Lecture(intended for Graduate Students although everyone is welcome): A Unified Framework for Defining and Identifying Causal Effects

6/7/2006* Daniel Jeske (Statistics Department/UCR)

*NOTE: Wednesday

The Effectiveness of Bootstrap Bias Correction with Heavy Tailed Distributions