Econometrics Seminar

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  Econometrics Seminar

• Estimating and Testing a Quantile Regression Model with Interactive Effects

• Bayesian GMM

• Testing for the Markov Property in Time Series

• Nonstationarity in Time Series of State Densities

• Finite underidentification

• Generalized Dynamic Factor Models and Volatilities: Recovering the Market Volatility Shocks

• Unbiased Instrumental Variables Estimation Under Known First-Stage Sign

• Christian Hansen

• Jean-Jacques Forneron

• Microstructure Noise and the Dynamics of Volatility (joint work with Jin-Chuan Duan from NUS)

• Parameter Estimation with Out-of-Sample Objective

• "Current Themes and New Directions in Realized Volatility

• How Well Does "Core" CPI Capture Permanent Price Changes?

• Efficient size correct subset inference in linear instrumental variables regression