The 3rd WISE-Humboldt Workshop in Nonparametric Nonstationary High-dimensi...

 

8:45am - 9am  Opening Remarks

Yongmiao Hong and Wolfgang Härdle

Venue: D110 Economics Building

 

9am - 10am Plenary Session 1

Venue: D110 Economics Building

 

[1] Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data with Application to Risk Patterns by Wolfgang Härdle

[2] On the Efficiency of Generalized Likelihood Ratio Tests by Yongmiao Hong and Yoon-Jin Lee

 

10am -10:30am Tea Break

 

10:30am -12pm Parallel Session 1

 

Venue: D110 Economics Building

Session Chair: Ying Fang

[1] Robust Estimation and Inference for Cointegrating Regressions with Regime Shifts under Potential Weak Identification by Haiqiang Chen

[2] Simultaneous Statistical Inference in Dynamic Factor Models by Thorsten Dickhaus

[3] Semiparametric Inference on Fixed Effects Panel Data Models by  Ying Fang, Cheng Hsiao and Jia Su

 

Venue: D309 Economics Building

Session Chair: Bengt-Arne Wickström

[1] Operation Iraqi Freedom -Consequences on Surviving Women and Children by Nanette Schliebner

[2] Levy Process and Generalized Spectrum Density Method: Model Selection and Financial Application by Kent Wang, Zhanglong Wang and Hongming Huang

[3] Language as a Renewable Resource: Import, Dissipation, and Absorption of New Elements by Bengt-Arne Wickström

12pm -1:30pm Lunch

 

2 pm -3:30pm Plenary Session 2

Venue: D110 Economics Building

Session Chair: Marcel Bluhm

[1] Unionization, Stochastic Dominance, and Compression of the Wage Distribution  by Michael Burda

[2] Test Instability of Predicitve Regression Models when Regressors Are  Nonstationary, by  Yonggang Wang and Yunfei Wang

[3] A Unified Model Specification Test for Nonstationary Varying-Coefficient Models, by Haiqiang Chen, Ying Fang and Yingxing Li

 

3:30pm -4pm Tea Break

 

4pm -5:30pm Parallel Session 2

 

Venue: D110 Economics Building

Session Chair: Yu Ren

[1] Realized Copula by Matthias Fengler

[2] Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications by Ying Chen and Linlin Niu

[3] Nonparametric Pricing Kernel Models by  Yu Ren and Linman Sun

 

Venue: D309 Economics Building

Session Chair: Xun Lu

[1] Quantile Regression in Risk Calibration by Shih-Kang Chao

[2] Functional Data Analysis for Generalized Quantile Regression by Mengmeng Guo

[3] Testing for Treatment Dependence of Effects of a Continuous Treatment by Xun Lu

 

6pm Dinner

 

 

9am -10am Plenary Session 3

Venue: D110 Economics Building

Session Chair: Ming Lin

[1] A New Test in Linear Models with Nonstationary Errors by Jiti Gao

[2] Pipeline Power by Franz Hubert and Onur Cobanli

[3] A Hidden Markov Model for the Detection of Mixed and Pure Strategy Play in Games by Jason Shachat, J. Todd Swarthour and Lijia Wei

 

10am -10:30am Tea Break

 

10:30am -12pm Parallel Session 3

 

Venue: D110 Economics Building

Session Chair: Fuyu Yang

[1] Testing Nonlinear Cointegration using Hermite Series by Biqing Cai and Haiqiang Chen

[2] On the Propagation of Implied Base Correlation Surfaces by Barbara Choros-Tomczyk

[3] Bayesian Stochastic Search for the Best Predictors: an Application to Density Forecast of GDP Growth in Real Time by Fuyu Yang

 

Venue: D309 Economics Building

Session Chair: Zhi Liu

[1] Spectral Estimation of Covolatility from Noisy Observations Using Local Weights by Markus Bibinger

[2] Semiparametric Model Averaging by Degui Li and Oliver Linton

[3] Estimating the Covariance Using Nonsynchronous Observations with Simultaneous Presence of Jumps and Microstructure Noise by Zhi Liu

 

12pm Lunch