Program_IAER Econometrics Workshop 2024.pdf
Program
All sessions are to be held at Room 710, Duxing Building, Dongbei University of Finance and Economics.
Opening / June 21 / 08:00 – 09:00
08:00 – 08:50 Registration
08:50 – 09:00 Welcome Speech
Session 1 / June 21 / 09:00 – 10:00
Chair: Yanqin Fan (University of Washington)
1. 09:00 – 9:30 Selection of Mixture Dynamic Quantile Regression Models: Theory and Applications
Zongwu Cai (University of Kansas)
2. 09:30 – 10:00 Blackbox Simulation Optimization
Jian-Qiang Hu (Fudan University)
Coffee Break / June 21 / 10:00 – 10:20
Session 2 / June 21 / 10:20 – 11:50
Chair: Yanqin Fan (University of Washington)
3. 10:20 – 10:50 Testing for an Explosive Bubble using High-Frequency Volatility
Jun Yu (University of Macau)
4. 10:50 – 11:20 Over- and Under-Confidence in a Correctly Specified Model
Tetsuya Kaji (University of Chicago Booth School of Business)
5. 11:20 – 11:50 Threshold Cointegration with Nonstationary Threshold Variable.
Jun Yi Peng Zhou (Dongbei University of Finance and Economics)
Photo-taking / June 11:50-12:00
Lunch / June 21 / 12:00 – 13:30
Session 3 / June 21 / 13:30 – 15:00
Chair: Hyeonseok Park (Dongbei University of Finance and Economics)
6. 13:30 – 14:00 High Dimensional Gaussian Approximation
Qi-Man Shao (Southern University of Science and Technology)
7. 14:00 – 14:30 A Unified Framework for Estimation of High-dimensional Conditional Factor Models
Qihui Chen (The Chinese University of Hong Kong, Shenzhen)
8. 14:30 – 15:00 Large Structural VARs with Multiple Sign and Ranking Restrictions
Xuewen Yu (Fudan University)
Coffee Break / June 21 / 15:00 – 15:20
Session 4 / June 21 / 15:20 – 16:50
Chair: Hyeonseok Park (Dongbei University of Finance and Economics)
9. 15:20 – 15:50 A Duality and Free Boundary Approach to Adverse Selection
Shuangjian Zhang (Fudan University)
10. 15:50 – 16:20 Statistical Inference for Hicks–Moorsteen Productivity Indices
Shirong Zhao (Dongbei University of Finance and Economics)
11. 16:20 – 16:50 Debiased Inference for Dynamic Nonlinear Models with Two-way Fixed Effects
Yutao Sun (Dongbei University of Finance and Economics)
Session 5 / June 22 / 08:30 – 10:00
Chair: Yutao Sun (Dongbei University of Finance and Economics)
12. 08:30 – 09:00 Inference on common trends in functional time series
Morten Ørregaard Nielsen (Aarhus University)
13. 09:00 – 09:30 Structural change estimator for models with episodic explosiveness and strongly dependent errors
Yiu Lim Lui (Dongbei University of Finance and Economics)
14. 09:30 – 10:00 Estimation of time series models by distance covariances
Xuexin Wang (Xiamen University)
Coffee Break / June 22 / 10:00 – 10:20
Session 6 / June 22 / 10:20 – 11:50
Chair: Yutao Sun (Dongbei University of Finance and Economics)
15. 10:20 – 10:50 Bias-corrected realized covariation in the presence of price staleness
Haibin Zhu (Jinan University)
16. 10:50 – 11:20 Diffusive and Jump Risk Premia in China: The Role of Trading Mechanisms
Shuyuan Qi (Central University of Finance and Economics, Beijing,)
17. 11:20 – 11:50 Short-term exchange rate forecasting: When technical indicators meet fundamentals
Jiawen Ren (Zhongnan University of Economics and Law)
Lunch / June 22 / 11:50 – 13:30
Session 7 / June 22 / 13:30 – 15:00
Chair: Yiu Lim Lui (Dongbei University of Finance and Economics)
18. 13:30 – 14:00 Dynamic Targeting: Experimental Evidence from Energy Rebate Programs
Toru Kitagawa (Brown University)
19. 14:00 – 14:30 Identification and inference of outcome conditioned partial effects of general policy interventions
Zhengyu Zhang (Shanghai University of Finance and Economics)
20. 14:30 – 15:00 Individualized Treatment Allocation in Network Games with Complementarity
Guanyi Wang (University College London)
Coffee Break / June 22 / 15:00 – 15:20
Session 8 / June 22 / 15:20 – 16:50
Chair: Yiu Lim Lui (Dongbei University of Finance and Economics)
21. 15:20 – 15:50 Data-driven Policy Learning for a Continuous Treatment
Haitian Xie (Peking University)
22. 15:50 – 16:20 Model Selection for Multivalued-Treatment Policy Learning in Observational Studies
Yue Fang (Chinese University of Hong Kong, Shenzhen)
23. 16:20 – 16:50 Targeted Policy Learning
Gaoqian Xu (University of Washington)
Session 9 / June 23 / 8:30 – 10:00
Chair: Jun Yi Peng Zhou (Dongbei University of Finance and Economics)
24. 08:30 – 09:00 Nonparametric Identification of unconditional quantile partial effect with panel data
Lina Shao (Shanghai University of Finance and Economics)
25. 09:00 – 09:00 Identification and Estimation of Treatment Effects Using Instrumental Variable Without Exclusion Restriction
Shuo Jiang (Xiamen University)
26. 09:30 – 10:00 Falsifying Marginal Treatment Effects Models
Minghai Mao (Liaoning University)
Coffee Break / June 23 / 10:00 – 10:20
Session 10 / June 23 / 10:20 – 11:50
Chair: Jun Yi Peng Zhou (Dongbei University of Finance and Economics)
27. 10:20 – 10:50 Inference for Conditional Average Treatment Effects with Multiway Clustered Data
Yanbo Liu (Shandong University)
28. 10:50 – 11:20 A consistent specification test for expectile models
Zixin Yang (Peking University)
29. 11:20 – 11:50 Unified inference on moment restrictions with nuisance parameters
Xingyu Li (Peking University)