ࡱ> fhe'` RMbjbj{P{P2T::a %^^^^^^^r"""82##Dr}>$&$&$"H$H$H$%%%=======$@h CN >-^6%%66 >^^H$H$7>;;;6@^H$^H$=;6=;;^^;H$$ k" :;=M>0}>;WC:WC;WC^;%z+;z/422%%% > >;X%%%}>6666rrr rrrrrr^^^^^^ 2010 Tsinghua Econometrics Conference in Beijing May 22-May 23 2010 Preliminary Program May 22, 2010 8:30 9:00am Signing in Room 501, Weilun Building, Tsinghua University 9:00 9:15am Welcome Remarks Chong-En Bai, Tsinghua University School of Economics and Management, Tsinghua University Session 1: Chair:Jushan Bai, Tsinghua University 9:1510:00am Anil Bera, UIUC Spatial Econometrics: Past, Present and the Future 10:0010:45am Qiying Wang (University of Sydney) Convergence to local time with applications in financial econometrics 10:4511:00am Coffee/Tea Break 11:0011:45am Ulrich Mueller,Princeton University Risk of Bayesian Inference in Misspecified Models, and the Sandwich Covariance Matrix Session 2: Chair: Zhijie Xiao, Tsinghua University 2:002:30pm Jun Yu, Singapore Management University Bias in Estimating Linear Multivariate Diffusions 2:303:00pm Qiankun Zhou, Singapore Management University Asymptotic Distributions of the Least Square Estimator for Diffusion Processes 3:003:30pm Yanqun Zhang, China Academy of Social Sciences Common Influences, Spillover and Integration in Chinese Stock Markets 3:304:00pm Coffee/Tea Break 4:004:30pm Zongwu Cai, Xiamen University A New Semiparametric Conditional Asset Pricing Model with Variable Selection 4:305:00pm Yiguo Sun, University of Guelph Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Processes May 23, 2010 Session 3: Chair:Yongmiao Hong, Tsinghua University 9:009:30am Yoon-Jae Whang, Seoul National University Nonparametric Tests of Conditional Treatment Effects 9:3010:00am Myong-Jae Lee, Korea University Finding Dynamic Effects of a Penalizing Treatment: Spanking Effect on Behavior 10:0010:30am Peng Wang, Hong Kong University of Science and Technology Large Dimensional Factor Models with a Multi-Level Factor structure: Identification, Estimation and Inference 10:3011:00am Coffee/Tea Break 11:0011:30am Liao Wei, Hong Kong Institute for Monetary Research Structural Breaks in Panel Data Models: A New Approach 11:3012:00am Junhui Qian, Shanghai Jiao Tong University Estimating Semiparametric Panel Data Models by Marginal Integration Session 4: Chair: Qi Li, Tsinghua University 2:002:30pm Michael Schomaker, University of Munich Frequentist Model Averaging with Missing Observations 2:303:00pm Alan Wan, City University of Hong Kong Optimal Weight Choice for Frequentist Model Average Estimators 3:003:30pm Ximing Wu, TAMU Data-driven Neyman's Test for Symmetry 3:304:00pm Coffee/Tea Break 4:004:30pm Jae-Young Kim, Seoul National University Model Selection in the Presence of Nonstationarity 4:305:00pm Katsumi Shimotsu, Queens University Nonparametric Identification and Estimation of Multivariate Mixtures Program Committee: Chong-En Bai, Tsinghua University Zinai Li, Tsinghua University Jushan Bai, Tsinghua University Qi Li, Tsinghua University Yongmiao Hong, Tsinghua University Zhijie Xiao, Tsinghua University Organizer and Sponsor: Department of Economics, School of Economics and Management, Tsinghua University National Institute for Fiscal Studies Tsinghua University  4`bhnp|~          4 > H N P R ^ ` t źũzu h!o( ho( hqo( hj;o(h!hho(h!hwt^o(h!h9QSo(h!hWo( hjo(h5CJ\aJo(hW5CJ\aJh9QS5CJ\aJo(h^o/h9QSCJOJQJ h 6ao( hWo(h 6ah2o( h 6ah2 h9QSo(hW.b 6  F G y z $1$a$gd$^`a$gd$a$gd $VD^a$gd$a$gdgd9QS$a$gdL M  0 2 : E F G Q S Y x y z { | ~  ⻳֤~rg[ghhhhCJKHo(hhh|CJKHh2ShhCJKHo( hhh2_hhhJc2o(hhhho(hhhWo( hhhWhW6]o( hW6]hj;5\o( hW5\hjhWo(hhhCJKHo(hhhWCJKHo(hW hj;o( hwt^o( hho( h9QSo( hWo(# E G H K L M N Q Ŀ}pcVKphA5h|B* phhA5h|B* o(phhA5hwt^B* o(phhA5hJc2B* o(phhqhq6]hwt^CJKHo( hj;aJo( h|aJo( hwt^aJo( hJc2aJo(hW hwt^o( hJc2o( hWo( h|o(h|h|6]o(hW6]o(h3h36] hW6]hhhWKHPJaJo(hhCJKHo( G H g h ) * _ ! $7$8$H$WD `a$gdf $ Ta$gdL$7$8$H$WD `a$gdwt^ $1$a$gd$VD WD^`a$gd3$a$gd$VD WD^`a$gdqQ S U V W \ ] ` a g h i j k m n p q s t u ʹ|pepWL>WhnIhnIaJmHo(sHhnIaJmHo(sHhnIhWaJmHo(sHhnIhWmHsHhnIhwt^mHo(sHhnIh7mHo(sHhnIhWmHo(sH h|o( hA5h|B* CJKHo(phhA5h|B* CJKHph hA5hA5B* CJKHo(phhA5hA5B* CJKHphhA5hj;B* o(phhA5h|B* o(phhA5hwt^B* o(phu v     ( * + ǽǪ{ti`TLG h#|eo(h2_6]o(hhCJKHo(h>CJKHo(hh2_CJKH h2_6]hj;5\o(h2_5\o( h2_5\hUB* o(phhWB* o(phhWh7hW6]o(hI6]o(h3h36] hW6]hnIhWmHo(sHh)Kh7CJKHh)Khwt^CJKHo(hnIhj;aJmHo(sH+ , / 1 2 3 4 5 7 = ? 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