2008 SITE Summer Workshop, Call for Papers

Conference will take place at Stanford Institute for Economic Policy Research (SIEPR) Conference Room A, located on the ground floor of Landau Economics Building.

Here you can find a Poster and Group Photo

Thursday, July 24, 2008

8:30-9:00 Breakfast

9:00-9:40 Inference with Dependent Data Using Cluster Covariance Estimators presented by Timothy G. Conley, and co authored with C. Alan Bester and Christian B. Hansen all from Graduate School of Business, University of Chicago

9:40-10:20 Modeling Non-Stationarity using Deformed Isotropic Random Fields presented by Ethan Anderes, University of California, Berkeley and co-authored with Sourav Chatterjee, also University of California, Berkeley

10:20-10:40 Coffee

10:40-11:20 The Distributions of Random Matrix Theory and Their Applications presented by Craig A. Tracy, University of California, Davis and co-authored with Harold Widom, University of California, Santa Cruz

11:20-12:00 Sample Covariance Matrix Eigenvectors under Large Dimensional Asymtotics presented by Olivier Ledoit, Credit Suisse First Boston

12:00-2:00 Lunch

2:00-2:40 Social Network Parameter Estimation for a Rainy Day: Iterative and Importance Sampling Approaches presented by Joe Blitzstein, Harvard University

2:40-3.20 Specification and Estimation of Social Interaction Models with Network Structure presented by Lung-fei Lee, Ohio State University

3:20-3:40 Coffee

3:40-4:20 Do Global Factors Affect US Inflation Dynamics? presented by Matthew Harding, Stanford University

4:20-5:00 Forecasting Output Growth and Inflation: How to use the Information in the Yield Curve presented by Tae-Hwy Lee, University of California, Riverside

Friday, July 25, 2008

8:30-9:00 Breakfast

9:00-9:40 Principal Component Analysis of Two-Way Functional Data Using Two-Way Regularized Singular Value Decompositions presented by Andreas Buja, The Wharton School, University of Pennsylvania

9:40-10:20 Fence Methods for Mixed Model Selection presented by Jiming Jiang, University of California, Davis and co-authored with J. Sunil Rao, Case Western Reserve University, Zhonghua Gu and Thuan Nguyen both University of California, Davis

paper slides

10:20-10:40 Coffee

10:40-11:20 A Bayesian Mixed Logit-Probit Model for Multinomial Choice presented by Jerry Hausman, Massachusetts Institute of Technology and co-authored with Martin Burda, University of Toronto and Matthew Harding, Stanford University

11:20-12:00 Implementing Faustmann: Stochastic Dynamic Programming in Space presented by Harry Paarsch, University of Iowa and co-authored with John Rust, University of Maryland

12:00-2:00 Lunch

2:00-2:40 The Factor-Spline GARCH Model for High and Low Frequency Correlations presented by Jose Gonzalo Rangel, New York University and co-authored with Robert F. Engle, New York University

2:40-3.20 Asymptotic Analysis of the Quasi-MLE of Panel Regression Models with Interactive Fixed Effects presented by Hyungsik Roger Moon, University of Southern California

3:20-3:40 Coffee

3:40-4:20 Using Dependence to Measure the Impact of Tacit Knowledge Stocks on Regional Total Factor Productivity presented by James P. LeSage, Texas State University-San Marcos and co-authored with Manfred M. Fischer, Vienna University of Economics and Business Administration

4:20-5:00 Dynamic Factor Process Convolution Models for Multivariate Space-Time Data with Application to Air Quality Assessment presented by Kate Calder, Ohio State University

5:30 Reception in Citrus Courtyard

Saturday, July 26, 2008

8:30-9:00 Breakfast

9:00-9:40 Inference on Sets In Finance presented by Victor Chernozhukov, Massachusetts Institute of Technology

9:40-10:20 A Bayesian Semi-Parametric Duration Model with Unobserved Heterogeneity presented by Martin Burda, University of Toronto and co-authored with Matthew Harding, Stanford University and Jerry Hausman, Massachusetts Institute of Technology

10:20-10:40 Coffee

10:40-11:20 A New Analysis of Multi-Factor Affine Yield Curve Models presented by Siddhartha Chib, Olin Business School, Washington University in St. Louis and University of Southern California and co-authored with Bakhodir Ergashev, Federal Reserve Bank of Richmond

11:20-12:00 Analysis of Multi-Factor Affine Yield Curve Models presented by Emanuel Moench, Federal Reserve Bank of New York

12:00-2:00 Lunch

2:00-2:40 Infinite Dimensional VARs and Factor Models presented by Alexander Chudik, European Central Bank and co-authored with M. Hashem Pesaran, Cambridge University, CIMF and University of Southern California

2:40 Coffee & Closing Remarks

Stanford Institute for Theoretical Economics Summer 2008 Workshop
	Segment 7: Complex Data in Economics and Finance: Spatial Models, Social Networks and Factor Models July 24 -26 Organized by Martin Burda, University of Toronto and Matthew Harding, Stanford University.
	Conference will take place at Stanford Institute for Economic Policy Research (SIEPR) Conference Room A, located on the ground floor of Landau Economics Building. Here you can find a Poster and Group Photo Thursday, July 24, 2008 8:30-9:00 Breakfast 9:00-9:40 Inference with Dependent Data Using Cluster Covariance Estimators presented by Timothy G. Conley, and co authored with C. Alan Bester and Christian B. Hansen all from Graduate School of Business, University of Chicago 9:40-10:20 Modeling Non-Stationarity using Deformed Isotropic Random Fields presented by Ethan Anderes, University of California, Berkeley and co-authored with Sourav Chatterjee, also University of California, Berkeley 10:20-10:40 Coffee 10:40-11:20 The Distributions of Random Matrix Theory and Their Applications presented by Craig A. Tracy, University of California, Davis and co-authored with Harold Widom, University of California, Santa Cruz 11:20-12:00 Sample Covariance Matrix Eigenvectors under Large Dimensional Asymtotics presented by Olivier Ledoit, Credit Suisse First Boston 12:00-2:00 Lunch 2:00-2:40 Social Network Parameter Estimation for a Rainy Day: Iterative and Importance Sampling Approaches presented by Joe Blitzstein, Harvard University 2:40-3.20 Specification and Estimation of Social Interaction Models with Network Structure presented by Lung-fei Lee, Ohio State University 3:20-3:40 Coffee 3:40-4:20 Do Global Factors Affect US Inflation Dynamics? presented by Matthew Harding, Stanford University 4:20-5:00 Forecasting Output Growth and Inflation: How to use the Information in the Yield Curve presented by Tae-Hwy Lee, University of California, Riverside Friday, July 25, 2008 8:30-9:00 Breakfast 9:00-9:40 Principal Component Analysis of Two-Way Functional Data Using Two-Way Regularized Singular Value Decompositions presented by Andreas Buja, The Wharton School, University of Pennsylvania 9:40-10:20 Fence Methods for Mixed Model Selection presented by Jiming Jiang, University of California, Davis and co-authored with J. Sunil Rao, Case Western Reserve University, Zhonghua Gu and Thuan Nguyen both University of California, Davis paper slides 10:20-10:40 Coffee 10:40-11:20 A Bayesian Mixed Logit-Probit Model for Multinomial Choice presented by Jerry Hausman, Massachusetts Institute of Technology and co-authored with Martin Burda, University of Toronto and Matthew Harding, Stanford University 11:20-12:00 Implementing Faustmann: Stochastic Dynamic Programming in Space presented by Harry Paarsch, University of Iowa and co-authored with John Rust, University of Maryland 12:00-2:00 Lunch 2:00-2:40 The Factor-Spline GARCH Model for High and Low Frequency Correlations presented by Jose Gonzalo Rangel, New York University and co-authored with Robert F. Engle, New York University 2:40-3.20 Asymptotic Analysis of the Quasi-MLE of Panel Regression Models with Interactive Fixed Effects presented by Hyungsik Roger Moon, University of Southern California 3:20-3:40 Coffee 3:40-4:20 Using Dependence to Measure the Impact of Tacit Knowledge Stocks on Regional Total Factor Productivity presented by James P. LeSage, Texas State University-San Marcos and co-authored with Manfred M. Fischer, Vienna University of Economics and Business Administration 4:20-5:00 Dynamic Factor Process Convolution Models for Multivariate Space-Time Data with Application to Air Quality Assessment presented by Kate Calder, Ohio State University 5:30 Reception in Citrus Courtyard Saturday, July 26, 2008 8:30-9:00 Breakfast 9:00-9:40 Inference on Sets In Finance presented by Victor Chernozhukov, Massachusetts Institute of Technology 9:40-10:20 A Bayesian Semi-Parametric Duration Model with Unobserved Heterogeneity presented by Martin Burda, University of Toronto and co-authored with Matthew Harding, Stanford University and Jerry Hausman, Massachusetts Institute of Technology 10:20-10:40 Coffee 10:40-11:20 A New Analysis of Multi-Factor Affine Yield Curve Models presented by Siddhartha Chib, Olin Business School, Washington University in St. Louis and University of Southern California and co-authored with Bakhodir Ergashev, Federal Reserve Bank of Richmond 11:20-12:00 Analysis of Multi-Factor Affine Yield Curve Models presented by Emanuel Moench, Federal Reserve Bank of New York 12:00-2:00 Lunch 2:00-2:40 Infinite Dimensional VARs and Factor Models presented by Alexander Chudik, European Central Bank and co-authored with M. Hashem Pesaran, Cambridge University, CIMF and University of Southern California 2:40 Coffee & Closing Remarks
SITE is funded by grants from the National Science Foundation and the Stanford Institute for Economic Policy Research (SIEPR). SITE receives additional financial support from the Department of Economics at Stanford University, which also houses its offices.