NBER

PROGRAM / PROGRAMME

NBER & NSF 2006 TIME SERIES CONFERENCE

FRIDAY, SEPTEMBER 29

VENDREDI 29 SEPTEMBRE


11:00-12:30	Registration & Lunch / Inscriptions & Lunch

12:30 - 12:35	Welcoming Address / Mot de Bienvenue Bryan Campbell (Concordia University, CIREQ, CIRANO), Nour Meddahi (Imperial College London, Université de Montréal, CIREQ, CIRANO)

12:35 - 14:35	Session I Chair / Président: Richard Davis (Colorado State University)

	Torben G. Andersen (Northwestern University, NBER), Tim Bollerslev (Duke University, NBER), Francis X. Diebold (University of Pennsylvania, NBER) *Roughing it Up : Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility* David Dickey (North Carolina State University), Sangpil Hwang (Bank of Korea) Two Nonlinear Models for Time Series Clifford Hurvich (New York University), Yi Wang (New York University) Cointegration from a Pure-Jump Transaction-Level Price Model Rainer Dahlhaus (University of Heidelberg), Wolfgang Polonik (University of California) *Nonparametric Quasi Maximum Likelihood Estimation for Gaussian Locally Stationary Processes*

14:35 - 15:45	Break / Pause & Poster Session I
	Willa Chen (Texas A&M University), Rohit Deo (New York University) *Bias Reduction and Likelihood Based Almost-Exactly Sized Hypothesis Testing in Predictive Regressions using the Restricted Likelihood* Ji Eun Choi (University of Waterloo), Bovas Abraham (University of Waterloo) *An Empirical Comparison of some Parameter Estimation Methods in Stochastic Volatility* Models Peter Christoffersen, Kris Jacobs (McGill University, CIREQ, CIRANO), Gregory Vainberg (McGill University) Forward-Looking Betas Ba Chu, Mark Salmon (University of Warwick) *An L-moment Test for Conditional Probability Distributions with Time-Series Data* Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO), Lynda Khalaf (Université Laval, CIREQ), Maral Kichian (Banque du Canada) *Structural Estimation and Evaluation of Calvo-Style Inflation Models* Raffaella Giacomini (University of California, Los Angeles), Barbara Rossi (Duke University) Non-Nested Model Selection in Unstable Environments David Matteson (The University of Chicago) *Estimating High Dimensional Volatility Models* Alex Maynard (Wilfrid Laurier University) *Robust Granger Causality Tests in the VARX Framework* Fallaw Sowell (Carnegie Mellon University) *An Improved Approximation to the Distributions in GMM Estimation with Dependent Data* Ke-Li Xu (Yale University) *Empirical Likelihood Re-weighted Functional Estimation of Nonlinear Diffusions*

15:45 - 17:45	Session II Chair / Président: James Stock (Harvard University, NBER)

	Robert Engle (New York University, Morgan Stanley), Robert Ferstenberg (Morgan Stanley), Jeffrey Russell (University of Chicago) *Measuring and Modeling Execution Cost and Risk* (2nd paper) Ole Barndorff-Nielsen (University of Aarhus), Peter Hansen (Stanford University), Asger Lunde (University of Aarhus), Neil Shephard (Nuffield College, University of Oxford) *Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise* Nikolay Gospodinov (Concordia University, CIREQ) *Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions* Jean-Marie Dufour, René Garcia, Abderrahim Taamouti (Université de Montréal, CIREQ, CIRANO) *Measuring Causality between Volatility and Returns with High-Frequency Data*

18:30	Dinner (invitation only) / Dîner (sur invitation)

SATURDAY, SEPTEMBER 30	SAMEDI 30 SEPTEMBRE

08:30 - 10:00	Session III Chair / Président: Roch Roy (Université de Montréal, CRM)

	David Findley (U.S. Census Bureau) *Optimality of GLS for One-Step-Ahead Forecasting of REGARIMA and Related Models when the Regression is Misspecified*

	Kung-Sik Chan (University of Iowa) *Temporal Aggregation of Seasonally and Fractionally Differenced Time Series*

	Stéphane Grégoir (CREST-INSEE) *An Alternative Framework for Univariate and Multivariate Seasonal Adjustment*

10:00 - 10:30	Break / Pause

10:30 - 12:00	Session IV Chair / Président: Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO)

	Ulrich Müller, Mark Watson (Princeton University) *Testing Models of Low-Frequency Variability*

	Alexei Onatski (Columbia University) *A Formal Statistical Test for the Number of Factors in the Approximate Factor Models*

	Marine Carrasco (Université de Montréal, CIREQ, CIRANO), Liang Hu (Leeds University), Werner Ploberger (University of Rochester) *Optimal Test for Markov Switching*

12:00 - 13:45	Lunch & Poster Session II
	Beth Andrews (Northwestern University) *Rank-Based Estimation for Autoregressive Moving Average Time Series Models* Jie Bai (University of Chicago) *Macro Fundamentals in Equity Premium Prediction* Guillaume Chevillon (ESSEC Business School, University of Oxford) *Finite Sample Cointegration in the Presence of Deterministic Trends* Shang-Chan Chiou (University of Chicago) *Testing and Dating Financial Contagion via a New Class of State-Space Model with Multiple Endogenous Structural Breaks* Gloria González-Rivera, Zeynep Senyuz, Emre Yoldas (University of California, Riverside) *Autocontours Dynamic Specification Tests* Xin Huang (Duke University) *Macroeconomic News Announcements, Financial Market Volatility and Jumps* Mohitosh Kejriwal, Pierre Perron (Boston University) *Estimating and Testing Multiple Structural Changes in Cointegrated Regression Models* Jun Ma, Charles Nelson, Richard Startz (University of Washington) *Spurious Inference in the GARCH(1,1) Model when it is Weakly Identified* Paolo Zaffaroni (Imperial College London) *Whittle Estimation of Exponential Volatility Models* Ying Zhang (Acadia University), Hao Yu, Ian McLeod (University of Western Ontario) *Exact Maximum Likelihood Estimation of AR(1) and Unit Root Testing*

13:45 - 15:15	Session V Chair / Président: Russell Davidson (McGill University, CIREQ)

	Miguel A. Delgado, Carlos Velasco (Universidad Carlos III de Madrid) *A New Class of Portmanteau and Optimal Tests for Time Series Model Specification*

	Jan Johannes (University of Heidelberg), Suhasini Subba Rao (University of Bristol) *Nonparametric Prediction of Nonstationary Spatio-Temporal Processes*

	Christian Bontemps (Université de Toulouse, IDEI) *Moment-Based Tests for Discrete Distributions*

15:15 - 15:45	Break / Pause

15:45 - 17:15	Session VI Chair / Président: Peter Brockwell (Colorado State University)

	Donald Andrews (Yale University), Patrik Guggenberger (University of California, Los Angeles) *The Limit of Finite Sample Size and a Problem with Subsampling* (paper 2)

	Hannes Leeb (Yale University), Benedikt Pötscher (University of Vienna) *Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator*

	Ivana Komunjer (University of California, San Diego), Quang Vuong (Pennsylvania State University) *Efficient Conditional Quantile Estimation: The Time Series Case*

17:15	Adjourn