The 3^rd Shandong Econometrics Conference

Center for Economic Research, Shandong University, June 17, 2016

June 16, Thursday

6:30PM   Welcome Dinner

June 17, Friday

8:15 – 8:30AM  Opening Ceremony

Location: 1^st Floor Lecture Hall, Run Run Shaw Science Building

Session 1  

Location: 1^st Floor Lecture Hall, Run Run Shaw Science Building

8:30AM – 9:00AM  Keynote Speech: Oliver Linton, Cambridge University

Simple Nonparametric Estimators of Bid Ask Spread

9:00AM – 9:30AM  Invited Speech: Katsumi Shimotsu, University of Tokyo

Testing the Number of Regimes in Markov Regime Switching Models

9:30AM – 10:00AM  Invited Speech: Rong Chen, Rutgers University

Factor Model for High Dimensional Matrix Valued Time Series

Tea break: 10:00AM – 10:20AM

Session 2   Chair: Rong Chen

Location: 1^st Floor Lecture Hall, Run Run Shaw Science Building

10:20AM – 10:50AM  Keynote Speech: Lungfei Lee, The Ohio State University

Recent Development in Spatial Panel Models with Time Varying and Endogenous Spatial Weights

10:50AM – 11:20AM  Invited Speech: Qi Li, Texas A&M University

Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models

11:20AM – 11:50AM  Invited Speech: Zheng Fang, Kansas State University

Improved Inference on the Rank of a Matrix

11:50AM – 12:20PM  Invited Speech: Shaoping Wang, Huazhong University of Science & Technology

An Asymmetric Exponential Smooth Transition Autoregressive Unit Root Test under Time-varying Variance

Lunch: 12:20PM – 2:00PM.

Session 3 (Parallel Session) Chair: Nicholas Sim

Location: 1^st Floor Lecture Hall, Run Run Shaw Science Building

2:00PM – 2:30PM  Nicholas Sim, The University of Adelaide

Economic Development and Trade Cost: Evidence from Landlocked Developing Countries

2:30PM – 3:00PM  Yanping Yi, Shanghai University of Finance and Economics

Balanced Predictive Regressions

3:00PM – 3:30PM  Tao Yang, Australian National University

Asymptotic Trimming and Rate Adaptive Inference for Endogenous Selection Estimates

3:30PM – 4:00PM  Xin Xie, East Tennessee State University

Firms’ Markup, Cost, and Price Changes when Policymakers Permit Collusion: Does Antitrust Immunity Matter?

Session 4 (Parallel Session) Chair: Hongtao Zhou

Location: Room 513, Run Run Shaw Science Building

2:00PM – 2:30PM  Jinfeng Zhang, Shandong University

Estimation of Semi-Parametric Spatial Autoregressive Stochastic Frontier Model

2:30PM – 3:00PM  Fuchun Li, Bank of Canada

Testing for the Parametric Specification of the Diffusion  Matrix in a Multivariate Diffusion Process

3:00PM – 3:30PM  Ye Chen, Capital University of Economics and Business

Spurious Regressions with Moderately Explosive Processes

3:30PM – 4:00PM  Hongtao Zhou, Shandong University

An Empirical Study on Right Tail Measures in Financial Market

Tea break: 4:00PM – 4:20PM

Session 5   Chair: Chunrong Ai

Location: 1^st Floor Lecture Hall, Run Run Shaw Science Building

4:20PM – 4:50PM  Keynote Speech: Xiaohong Chen, Yale University

MCMC Confidence Sets for Identified Sets

4:50PM – 5:20PM  Invited Speech: Zongwu Cai, University of Kansas

A New Test on Asset Return Predictability with Structural Breaks

5:20PM – 5:50PM  Invited Speech: Chunrong Ai, University of Florida

Estimation of Treatment Effect from Spatially Dependent Data

6:30PM  Dinner