Tag Archives: International Conference

Prof. Kazuhiko HAYAKAWA attended 21st International Panel Data Conference.

Date: June 29 – 30, 2015
Venue: Central European University, Budapest

 

Prof. Kazuhiko HAYAKAWA of the SSRC attended 21st Panel Data Conference, which was held at Central European University, Budapest, from June 29 (Mon.) to 30 (Tue.).

Prof. Hayakawa presented his research results at the Parallel Sessions entitled “Alternative Over-identifying Restriction Test in GMM with Grouped Moment Conditions”. In addition, he served the chairman on the next day.

 

Day 1
June 29(Mon.)

08:00-
Registration
08:50-9:00
Welcome and housekeeping
09:00-10:00
Keynote lecture 1 (See the website)
10:00-10:30
Coffee break
10:30-12:30
Parallel sessions
Chair: Robin Sickles [Room: FT509]

  1. Efficient ML and GMM estimation of panel data models with cross-sectional heteroskedasticity.
    Hugo Kruiniger
  2. Estimation of binary choice models using repeated cross sections. Jaya Krishnakumar, Thierno Balde
  3. Within-group Estimators for Fixed Effects Quantile Models with Large N and Large T. Heng Chen
  4. Alternative Over-identifying Restriction Test in GMM with Grouped Moment Conditions.
    Kazuhiko Hayakawa (Hiroshima University)
12:30-14:00
Lunch(on site) [Scientific Committee meeting: 13:00-14:00 Senate room]
14:00-15:00
Keynote lecture 2 (See the website)
15:00-16:30
Parallel sessions (See the website)
16:30-17:00
Coffee break
17:00-18:00
Keynote lecture 3 (See the website)
19:00-
Dinner [Hungarian Academy of Sciences Club]

 

Day 2
June 30(Tue.)

09:00-10:00
Keynote lecture 4 (See the website)
10:00-10:30
Coffee Break
10:30-12:30
Parallel sessions
Chair: Kazuhiko Hayakawa [Room: FT909]

  1. Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples.
    Kim P. Huynh, Heng Chen, Marie-Helene Felt
  2. Price Strategies of the International Airline Market. Alexandra Belova
  3. The Time-Varying Ss Rule: A Semiparametric Hazard Function Estimation with the UK PPI Microdata. Kun Tian
  4. Cash-Constrained Households and Product Size. Tiago Pires, Alberto Salvo
12:30-14:00
Lunch (on site)
14:00-15:30
Parallel sessions (See the website)
15:30-16:00
Coffee Break
16:00-17:00
IAAE lecture (See the website)

2015 HEU-HU_SMU Tripartite Conference

Date: March 27, 2015
Venue: School of Economics, SMU, Singapore
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Opening Remark (8:30):
Jun Yu (SMU)

Session I (8:30-10:00)
Chair: Isamu Ginama (HU)

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Amirullah Setya Hardi and Koichi Maekawa (HUE)
“Estimation of Causal Order in SVAR Model using Independent Component Analysis: Simulation and Real Data Analysis”.
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Jun Yu (SMU)
“On Bias in the Estimation of Structural Break Points” (joint with Liang Jiang and Xiaohu Wang)
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Hiroshi Yamada (HU)
“Selecting the Tuning Parameter of the l1 Trend Filter” (joint with G. Yoon)

 


10:00-10:30
Coffee break

Session 2 (10:30-12:00)
Chair: Jun Yu (SMU)

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Isamu Ginama (HU)
“Measurement of International Capital Mobility” (joint with H. Kanmei)
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Liang Jiang (SMU)
“New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market” (with PCB Phillips and J. Yu)
6
Tetsuya Takaishi (HUE)
“Principal Component Analysis and Systemic Risk in the Japanese Stock Market”

Lunch (12:30-14:00)
Host by Dean Bryce Hool (SMU)
Halia Restaurant, 1 Beach Road, #01-22/23, Raffles Hotel, Singapore 189673

International Scientific Conference “Probability Theory and its Applications” on Occasion of the 85-th Birthday of Yu.V.Prokhorov

Date: February 12-14, 2015

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Venue: On February, 12, all the lectures will take place at the Steklov Mathematical Institute, Gubkina str. 8, Moscow, Russia. On February, 13-14, all the lectures will take place at the Faculty of Computational Mathematics and Cybernetics of Moscow State University, Leninskie Gory, 1/52, Moscow, Russia in aud. P-8a. Auditorium P-8a (П-8а) is located on the second floor in the northern part of the building. Numeration of the floors starts from zero.
“Probability Theory and its Applications” on Occasion of the 85-th Birthday of Yu.V.Prokhorov WEB SITE

 

Prof. Yasunori FUJIKOSHI attended “Probability Theory and its Applications” on Occasion of the 85-th Birthday of Yu.V.Prokhorov , which was held at the the Steklov Mathematical Institute and the Faculty of Computational Mathematics and Cybernetics of Moscow State University, from February 12 to 14.
Prof. Yasunori FUJIKOSHI of the SSRC had contributed his paper to the session.

 

Title:Explicit and Computable Error Bounds for Asymptotic Expansions of the Distribution Functions of Some Multivariate Statistics
Abstract:We are interested in two types of asymptotic approximations in multivariate analysis based on n samples of p variables. One is a large-sample asymptotic approximation under the case where n tends to infinity, but p is fixed. The other is a high-dimensional asymptotic approximation under the case where both p and p tend to infinity in a way such that p/n tends to c from [0; 1). Such asymptotic approximations have been obtained, see, e.g., Anderson (2003), Bai and Silverstein (2010), Fujikoshi et al. (2010), Muirhead (1982), Siotani et al. (1985). One side, the results on asymptotic approximations with explicit and computable error bounds are not so many. Some results have been obtained by using error bounds for approximations of the distributions of scale mixtures, multivariate scale mixtures and location and scale mixtures. Its systematic approach is given in Fujikosihi (1993), Fujikoshi et al. (2010). Some other error bounds have been obtained (see, e.g Wakaki (2008)) for high-dimensional approximations of LR statistics for covariance maricies whose moments are expressed in terms of gamma-functions. The purpose of the talk is to review results on explicit and computable error bounds in multivariate statistical analysis mensioned above and the recent results by Wakaki and Fujikoshi (2012) and Yamada et al. (2015).
Day 1
February 12(Thur.)

10:00-10:45
Opening Ceremony
10:45-11:30
Entropy Expansions in Probability
Plenary Speaker: Friedrich Götze (Bielefeld University, Germany)
11:30-11:45
Coffee-Break
11:45-12:30
Signatures
Plenary Speaker: Narayanaswamy Balakrishnan (McMaster University, Canada)
12:30-13:15
On Asymptotics and Estimates for Generalized Prokhorov Distance in Invariance Principle
Plenary Speaker: Alexander Ivanovich Sakhanenko (Novosibirsk State University, Russia)
13:15-14:45
Lunch
14:45-15:30
On Compactness of Families of Probability Measures on the Set of Quantum States
Plenary Speakers: Maxim Evgen’evich Shirokov, Alexandr Semenovich Holevo (Steklov Mathematical Institute, Russia)
15:30-16:15
Interaction and Limitation in Branching Processes
Plenary Speaker: Peter Jagers (Chalmers University of Technology, Sweden)
16:15-16:30
Coffee-Break
16:30-17:15
Large Intersecting Families in a Finite Set
Plenary Speaker: Gyula O. H. Katona (Afréd Rényi Institute of Mathematics, Hungary)
17:15-18:00
Inequalities for the Moments of Quadratic Forms
Plenary Speaker:Alexander Nikolaevich Tikhomirov (Komi Scientific Center of Ural Branch of RAS, Russia)
18:00-18:45
Prokhorov Memorial Lecture
Plenary Speaker:Ernst L’vovich Presman (Central Economics and Mathematics Institute, Russia)
19:00
Welcome reception
Day 2
February 13(Fri.)

10:00-10:45
On the Estimation of the Intensity Density Function of Poisson Random Field outside of the Observation Region
Plenary Speaker:Il’dar Abdullovich Ibragimov (Steklov Institute of Mathematics, Russia)
10:45-11:30
Risk Aggregation under Dependence Uncertainty
Plenary Speaker:Paul Embrechts (ETH Zurich, Switzerland)
11:30-11:45
Coffee-Break
11:45-12:30
Cramer Type Moderate Deviations of Normal and Non-normal Approximation
Plenary Speaker:Qi-Man Shao (The Chinese University of Hong Kong, China)
12:30-13:15
Least Energy Functions Accompanying Brownian Motion
Plenary Speaker:Mikhail Anatolievich Lifshits (Saint Petersburg State University and Linköping University, Russia and Switzerland)
13:15-14:45
Lunch
14:45-15:30
Invariance Principle and Probability Inequalities for Canonical von Mises’ Statistics of Dependent Observations
Plenary Speaker:Igor’ Semenovich Borisov (Sobolev Institute of Mathematics, Russia)
15:30-16:15
Asymptotic Theory for the Largest Eigenvalues of the Sample Autocovariance Function of High-Dimensional Heavy-Tailed Time Series
Plenary Speaker:Thomas Mikosh (University of Copenhagen, Denmark)
16:15-16:30
Coffee-Break
16:30-17:15
Explicit and Computable Error Bounds for Asymptotic Expansions of the Distribution Functions of Some Multivariate Statistics
Plenary Speaker:Yasunori Fujikoshi (Hiroshima University, Japan)
17:15-18:00
Prokhorov’s Theorem and the Topology of Spaces of Probability Measures
Plenary Speaker:Vladimir Igorevich Bogachev (Moscow State University, Russia)
Day 3
February 14(Sat.)

10:00-10:45
Differences in Limit Theorems in Case of Normal or Non-Normal Stable Limit Distributions
Plenary Speaker:Gerd Christoph (University of Magdeburg, Germany)
10:45-11:30
Some Results Concerning the Sums of Independent Random Vectors Mathematics
Plenary Speaker:Andrei Yurievich Zaitsev (Steklov Institute of Mathematics, Russia)
11:30-11:45
Coffee-Break
11:45-12:30
Normal Mixture Models: Prokhorov’s Ideas and Some Recent Results
Plenary Speaker:Victor Yurievich Korolev (Moscow State University, Russia)
12:30-13:15
Continuity Problems in Boundary Crossing Problems
Plenary Speaker:Konstantin Alexandrovich Borovkov (University of Melbourne, Australia)
13:15-14:45
Lunch
14:45-15:30
Two-Dimensional Fused-Lasso with Non-Convex Penalty
Plenary Speaker:Bing-Yi Jing (Hong Kong University of Science and Technology, China)
15:30-16:15
Some Recent Results in the Field of Accuracy of the Normal Approximation to Sums of Independent Random Variables
Plenary Speaker:Irina Gennadievna Shevtsova (Moscow State University, Russia)
16:15-16:30
Coffee-Break
16:30-17:15
Generalized Renewal Processes. The Limit Behavior and Applications
Plenary Speaker:Ekaterina Vadimovna Bulinskaya (Moscow State University, Russia)
17:15-18:00
On Polynomials in Random Elements
Plenary Speakers:Vladimir Vasilievich Ulyanov, Alexey Alexandrovich Naumov (Moscow State University, Russia)
18:00
Closing Ceremony

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