Conference on Simulation-Based Inference in Econometrics: Methods and Applications

Federal Reserve Bank of Minneapolis,
National Bureau of Economic Research, and Clemente Capital
November 17-18, 1995
 
Friday, November 17
1:20 p.m. Welcome and opening remarks: Arthur Rolnick, Director of Research and Senior Vice President, Federal Reserve Bank of Minneapolis
1:30 p.m. Session 1: General Issues in Discrete Choice Models
  Chair: John Geweke, Federal Reserve Bank of Minneapolis and University of Minnesota
  "Simulation-Based Inference in Econometrics: Motivation and Methods"
Steven Stern, University of Virginia
  "Practical Issues in Simulated Maximum Likelihood"
Vassilis Hajivassiliou, Columbia University
3:00 p.m. Break
3:30 p.m. Session 2: Time Series
  Chair: David Runkle, Federal Reserve Bank of Minneapolis and University of Minnesota
  Indirect Estimation of Multifactor Continuous Time Term Structure Models
Vance Martin, University of Melbourne, and Adrian Pagan, Australian National University
  “Simulation-Based Bayesian Inference for Economic Time Series”
John Geweke, Federal Reserve Bank of Minneapolis and University of Minnesota
  “Nonlinear and Nonnormal State-Space Modeling With Monte Carlo Simulations: Techniques and Applications”
Robert Mariano, University of Pennsylvania, and H. Tanizaki, Kobe University
6:00 p.m. Cocktail reception
7:00 p.m. Dinner
   
Saturday, November 18
8:00 a.m. Continental breakfast
8:30 a.m. Session 3: Applications I
  Chair: Til Schuermann, AT&T Bell Laboratories
  Testing Calibrated General Equilibrium Models
Fabio Canova, Universitat Pompeu Fabra, and Eva Ortega, European University Institute
  “Combining Provisional Data and Forecasts in Nonlinear Models”
Robert Mariano, University of Pennsylvania, and Giampiero M. Gallo, University of Florence
10:00 a.m. Break
10:30 a.m. Session 4: Bayesian Methods for Discrete Choice Models
  Chair: Robert Mariano, University of Pennsylvania
  “Bayesian Analysis of the Multinominal Probit Model”
Peter Rossi, University of Chicago, and Robert McCulloch, University of Chicago
  “Bayesian Inference for Dynamic Discrete Choice Model Without the Need for Dynamic Programming”
John Geweke, Federal Reserve Bank of Minneapolis and University of Minnesota, and Michael Keane, Federal Reserve Bank of Minneapolis and University of Minnesota
12:00 noon Luncheon
1:15 p.m. Session 5: Stochastic Volatility and Related Topics
  Chair: Fabio Canova, Universitat Pompeu Fabra
  “Accelerated Monte Carlo Integration: An Application to Dynamic Latent Variable Models”
Jean-Francois Richard, University of Pittsburgh, and Wei Zhang, University of Pittsburgh
  “Simulated Moment Methods for Empirical Equivalent Martingale Measures”
B. J. Christensen, Cornell University, and Nicholas Kiefer, Cornell University
  Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
Francis Diebold, University of Pennsylvania, and Til Schuermann, AT&T Bell Laboratories
3:30 p.m. Break
4:00 p.m. Session 6: Applications II
  Chair: Til Schuermann, AT&T Bell Laboratories
  “Simulation-Based Inference in Semiparametric Procedures”
Bill Brown, Rice University, and Whitney Newey, Massachusetts Institute of Technology
  Calibration by Simulation for Small Sample Bias Correction
Christian Gourieroux, CREST and CEPREMAP, Eric Renault, University of Toulouse and University of Montreal, and Nizar Touzi, CREST and CEREMADE
5:45 p.m. Cocktail reception
7:00 p.m. Dinner

 

 
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