33rd Meeting of the Canadian Econometrics Study Group

"Big Data"

Delta London Armouries Hotel
325 Dundas Street,
London, ON
N6B 1T9

Friday, October 14, 2016

18:00-20:00: Welcome Reception and Registration

Saturday, October 15, 2016

8:00-8:25: Registration and Breakfast

8:25-8:30: Welcome and Opening Remarks

8:30-9:15: Keynote Speaker: Victor Chernozhukov (Massachusetts Institute of Technology)
"Double Machine Learning for Causal and Treatment Effects"

Chair: Victoria Zinde-Walsh

9:15-10:45: Session 1: Instrumental Variables

Chair: Lynda Khalaf (Carleton University)

"Double Instrumental Variable Estimation of Interaction Models with Big Data"
by Patrick Gagliardini (Università della Svizzera Italiana) and Christian Gourieroux (CREST and University of Toronto)

Discussant: John Galbraith (McGill University)

"Functional Linear Regression with Functional Response"
by David Benatia (Université de Montréal), Marine Carrasco (Université de Montréal), and Jean-Pierre Florens (Toulouse School of Economics)

Discussant: Samuele Centorrino (Stony Brook University)

10:45-11:05: Break

11:05-12:35: Session 2: LASSO and Related Methods

Chair: Paul Rilstone (York University)

"L1-Regularized Quasi-Maximum Likelihood Estimation and Inference in High-Dimensional Correlated Random Effects Probit"
by Jeffrey M. Wooldridge (Michigan State University) and Ying Zhu (Michigan State University)

Discussant: Damian Kozbur (ETH Zürich)

"Oracle Estimation of a Change Point in High Dimensional Quantile Regression"
by Sokbae Lee (Institute for Fiscal Studies), Yuan Liao (University of Maryland), Myung Hwan Seo (London School of Economics), and Youngki Shin (University of Technology Sydney)

Discussant: Chuan Goh (University of Wisconsin, Milwaukee)

12:35-13:45: Lunch

13:45-15:15: Session 3: Prediction

Chair: Russell Davidson (McGill University)

"Counterfactual Prediction in Complete Information Games: Point Prediction Under Partial Identification"
by Sung Jae Jun (Penn State University) and Joris Pinkse (Penn State University)

Discussant: Victor Aguirregabiria (University of Toronto)

"Forecasting with Social Media Data in the Presence of Heteroscedasticity"
by Steven Lehrer (Queen's University) and Tian Xie (Wuhan University)

Discussant: Antoine Djogbenou (Queen's University)

15:15-15:35: Break

15:35-17:05: Session 4: Financial Econometrics

Chair: Joann Jasiak (York University)

"A Relaxed Approach to Estimating Large Portfolios and Gross Exposure"
by Esra Ulasan (Ege University), Mehmet Caner (Ohio State University), Laurent Callot (University of Amsterdam) and A. Özlem Önder (Ege University)

Discussant: Marine Carrasco (Université de Montréal)

"Cross-Sectional Dependence in Idiosyncratic Volatility"
by Ilze Kalnina (Université de Montréal) and Kokouvi Tewou (Université de Montréal)

Discussant: Prosper Dovonon (Concordia University)

17:05-18:30: Poster Session
See below

19:00: Dinner - The River Room, 421 Ridout Street North

Sunday, October 16, 2016

8:00-8:30: Breakfast

8:30-9:15: Keynote Speaker: Serena Ng (Columbia University)
"'Level and Volatility Factors in Macroeconomic Data"

Chair: Benoit Perron (Université de Montréal)

9:15-10:45: Session 5: Factor Models

Chair: Alex Maynard (University of Guelph)

"Markov-Switching Three-Pass Regression Filter"
by Pierre Guérin (Bank of Canada), Danilo Leiva-Leon (Central Bank of Chile) and Massimiliano Marcellino (Bocconi University)

Discussant: Dalibor Stevanovic (Université du Québec à Montréal)

"Asymptotic Inference for Common Factor Models in the Presence of Jumps"
by Yohei Yamamoto (Hitotsubashi University)

Discussant: Min Seong Kim (Ryerson University)

10:45-11:05: Break

11:05-12:35: Session 6: Structural Models

Chair: Salvador Navarro (Western University)

"Identification of First-Price Auctions with Discrete Unobserved Heterogeneity and Risk Aversion"
by Yao Luo (University of Toronto)

Discussant: Nail Kashaev (Western University)

"Information Sharing Among Many Agents and Econometric Inference"
by Nathan Canen (University of British Columbia), Jacob Schwartz (University of British Columbia), and Kyungchul Song (University of British Columbia)

Discussant: Tim Conley (Western University)

12:35-13:45: Lunch

13:45-15:15: Session 7: Simulation-based Inference

Chair: Pierre Chaussé (University of Waterloo)

"The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification"
by Prosper Dovonon (Concordia University) and Alastair Hall (Manchester University)

Discussant: Ji Hyung Lee (University of Illinois at Urbana-Champaign)

"The Subcluster Wild Bootstrap for Few (Treated) Clusters"
by James G. MacKinnon (Queen’s University) and Matthew D.Webb (Carleton University)

Discussant: Andreas Hagemann (University of Michigan)

15:15-15:30: Closing Remarks

Poster Session Papers

"Robust Inference in Weakly Identified Asset Pricing Models"
by Bertille Antoine (Simon Fraser University) (joint with E. Renault)

"A Duration Model with Dynamic Unobserved Heterogeneity"
by Irene Botosaru (Simon Fraser University)

"Martingale Models for Dynamic Treatment Effect: Definition and Nonparametric Identification"
by Samuele Centorrino (Stony Brook University) (joint with F. Fève, J. P. Florens, and S. P. Thiebaut)

"Estimation and Prediction of Consumer Preferences by Latent Block Structures"
by Remi Daviet (University of Toronto) (joint with C. Gourieroux and V. Patilea)

"A Look Inside the Box: Combining Aggregate and Marginal Distributions to Identify Joint Distributions"
by Marie-Hélène Felt (Carleton University)

"Evaluating the Applicable Number of Regimes in Markov-Switching Models Via Regression Techniques"
by René Garcia (Université de Montréal) (joint D.T.F. Chau)

"Generalized Instrumental Inequalities: Testing IV Independence Assumption"
by Désiré Kédagni (Penn State University)

"Short Panel Data Quantile Regression Model with Sparse Correlated Effects"
by Doosoo Kim (Michigan State University)

"Panel and Multilevel Models with Interactive Terms of Group Fixed Effects and Common Time Effects"
by Min Seong Kim (Ryerson University)

"Bayesian Nonparametric Estimation of Ex-Post Variance"
by Jia Liu (McMaster University) (joint with J. Griffin and J. M. Maheu)

"Games with Unobservable Heterogeneity and Multiple Equilibria: An Application to Mobile Telecommunications"
by Mathieu Marcoux (University of Toronto)

"Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator"
by Vadim Marmer (University of British Columbia) (joint with J. Ma and A. Shneyerov)

"The Finite Sample Power of Long-Horizon Predictive Tests in Models with Financial Bubbles"
by Alex Maynard (University of Guelph)

"Testing IV Exogeneity Assumption and Identification with Invalid Instrument"
by Ismael Mourifie (University of Toronto)

"The Cointegrated Vector Autoregressive Model with General Deterministic Terms"
by Morten Nielsen (Queen's University)

"Bootstrapping Factor Models with Cross Sectional Dependence"
by Benoit Perron (Université de Montréal) (joint with S. Gonçalves)

"Forecasting Economic Activity in Data-rich Environment"
by Dalibor Stevanovic (Université du Québec à Montréal)

"Estimation of Social Interaction Models Using Regularization"
by Guy Tchuente (University of Kent)