2014 Hitotsubashi-Sogang Conference on Econometrics

Date: December 13, 2014
Venue: Sogang University, Seoul
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Opening address (9:25-9:30):
In Choi (Sogang University)

Session I (9:30-11:00)
Chair: Young Hoon Lee (Sogang University)

09:30-10:00
Kazuhiko Hayakawa (Hiroshima University)
Alternative Over-identifying Restriction Test in GMM Estimation of Panel Data Models
10:00-10:30
Dukpa Kim (Korea University)
Multi-level Factor Analysis of Bond Risk Premia
10:30-11:00
Ryo Okui (Kyoto University)
Dynamic Panel Data Analysis when the Dynamics are Heterogeneous

 


11:00-11:15
Break

 

Session II (11:15-12:15)
Chair: Ryo Okui (Kyoto University)

11:15-11:45
Yohei Yamamoto (Hitotsubashi University)
A Modified Confidence Set for the Structural Break Date in Linear Regression Models
11:45-12:15
Daisuke Yamazaki (Ph.D student at Hitotsubashi University)
Improving the Finite Sample Performance of Tests for a Shift in Mean

 


12:15-13:30
Lunch

 

Session III (13:30-15:00)
Chair Kazuhiko Hayakawa (Hiroshima University)

13:30-14:00
Naoya Katayama (Kwansei Gakuin University)
The Portmanteau Tests and the LM Test for ARMA models with Uncorrelated Errors
14:00-14:30
Hiroshi Yamada (Hiroshima University)
A Practical Method for Selecting the Tuning Parameter of the l1 Trend Filter
14:30-15:00
Seojeong (Jay) Lee (University of New South Wales)
Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators

 


15:00-15:15
Break

 

Session IV (15:15-17:20)
Chair: Dukpa Kim (Korea University)

15:15-15:45
In Choi (Sogang University)
Unit Root Tests for Dependent and Heterogeneous Micropanels
15:45-16:15
Young Hoon Lee (Sogang University)
Market Competition and Threshold Efficiency in the Sports Industry
16:15-16:20
5 minutes short break
16:20-16:50
Heejoon, Han (Kyunghee University)
Multiplicative GARCH-X Model: Adopting Economic Variables to Explain Volatility of Financial Time Series
16:50-17:20
Ryota Yabe (JSPS fellow at Hitotsubashi University)
Semiparametric Least Squares Estimation of Single-Index Model with Nonstationary Regressors

 


17:20-17:30
Closing address
18:15-20:15
Conference dinner