Econometrics Seminar; Fall 2007

Time: Friday from 4:00 to 5:30PM

Room: SSW 315

BU Econometrics Seminar – Fall 2007

September 7: Enrique Sentana (CEMFI): “Underindentification?’’ (slides here)

September 14: Pierre Perron (BU): "GLS-based unit root tests with multiple structural breaks allowed under both the null and alternative hypotheses" (joint with Josep Carrion-i-Silvestre and Dukpa Kim).

September 21: Blaise Melly (University of St-Gallen): “Earnings Effects of Training Programs”

September 28: Serena Ng (Columbia): "Instrumental Variable Estimation in a Data Rich Environment".

October 2 (special time): Jing Zhou (BU): “Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model”.

October 5: Sergio Firpo (PUC-Rio, Brazil): "Unconditional Quantile Regressions".

October 12: Yunpeng Zhang (BU): "An Empirical Study of Convenience Yield in the Global Close-End Fund".

October 19: Murad Taqqu (BU): "Spatial Contagion in Financial Markets": Paper-1, Paper-2, Paper-3.

October 26:  Anna Mikusheva (MIT): "Robust Confidence Sets in the Presence of Weak Instruments".

November 2: Patrick Guggenberger (UCLA): "The Impact of a Hausman Pretest on the Size of Hypothesis Tests".

November 9: Zhongjun Qu (BU): "A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P500 and NASDAQ Return Indices".

November 16: Alexei Onatski (Columbia): "Testing Hypotheses About the Number of Factors in Large Factor Models".

November 23: No seminar

November 30: Yohei Yamamoto (BU): "On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests".

December 7: Max Bruche (CEMFI): “Estimating Structural Models of Corporate Bond Prices”