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A CONFERENCE
IN HONOR OF ARNOLD
ZELLNER:
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RECENT
DEVELOPMENTS IN
THE THEORY, METHOD,
AND APPLICATION OF
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INFORMATION
AND ENTROPY ECONOMETRICS
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AMERICAN UNIVERSITY
CAMPUS
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SEPTEMBER 19-21,
2003
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| FRIDAY, SEPTEMBER 19 (MARY GRAYDON CENTER ROOM 4) | ||||
| 12:00-1:00PM | REGISTRATION-COFFEE-REFRESHMENTS | |||
| 1:00-1:05PM | WELCOMING REMARKS | |||
|
IVY E. BRODER-DEAN
OF ACADEMIC AFFAIRS
AND PROFESSOR OF ECONOMCIS
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| 1:05-2:45PM | SESSION I. INFORMATION-THEORY AND LARGE DEVIATIONS | |||
| CHAIR: GEORGE JUDGE (BERKELEY) | ||||
| 1. | "Information Capacity and the Stock Market" | |||
| Thomas Cover (Stanford) - Invited Speaker | ||||
| 2. | "Static and Dynamic Information for Duration Analysis" | |||
| Nader Ebrahimi (Northern Illinois U.) | ||||
| Ehsan Soofi (U. Wisconsin-Milwaukee) - Invited Speaker | ||||
| 3. | Discussant: Mike Stutzer (U. Colorado) | |||
| 4. | "Performance and
Risk Aversion of Funds with Benchmarks: A Large Deviations Approach" |
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| F. Douglas Foster (Australian Graduate School) | ||||
| Mike Stutzer (U. Colorado) | ||||
| DISCUSSION | ||||
| 2:45-3:10PM | COFFEE BREAK | |||
| 3:10-4:35PM | SESSION II. EMPIRICAL LIKELIHOOD-INFORMATION THEORY | |||
| CHAIR: MIKE STUTZER (U. COLORADO) | ||||
| 1. | "Local GEL Estimation with Conditional Moment Restrictions" | |||
| Richard Smith (U. Warwick, UK) - Invited Speaker | ||||
| 2. | Discussant: Yuichi Kitamura (U. Penn) | |||
| 3. | "Exponentially Tilted Empirical Likelihood" | |||
| Susanne M. Schennach (U. Chicago) | ||||
| DISCUSSION | ||||
| 4:35-5:00PM | COFFEE BREAK | |||
| 5:00-6:15PM | SESSION III. INFORMATION-THEORETIC AND ENTROPIC ESTIMATORS | |||
| CHAIR: ALASTAIR HALL (NC STATE) | ||||
| 1. | "Maximum Entropy Autoregressive
Conditional Heteroskedastic (MEARCH) Models" |
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| Anil Bera (U. Illinois) | ||||
| Sung Yong Park (U. Illinois) | ||||
| 2. | "Maximum Entropy Density Estimation of Grouped Data" | |||
| Ximing Wu (U. Guelph) | ||||
| Jeffrey Perloff (Berkeley) | ||||
| 3. | "Priors and Information-Theoretic Estimation" | |||
| Amos Golan (American U.) | ||||
| Henryk Gzyl (U. Simon Bolivar, Venezuela) | ||||
| DISCUSSION | ||||
| 6:15PM | DINNER RECEPTION IN
HONOR OF ARNOLD ZELLNER (TO BE HELD IN THE BUTLER BOARD ROOM) |
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| PLEASE NOTE THE CHANGE IN LOCATION FOR SATURDAY AND SUNDAY SESSIONS | ||||
| SATURDAY, SEPTEMBER 20 (WARD LECTURE HALL 1) | ||||
| 8:30-9:25AM | COFFEE-BREAKFAST | |||
| 9:30- 11:00AM | SESSION IV. INFORMATION-THEORY AND ESTIMATION EQUATIONS | |||
| CHAIR: DOUGLAS MILLER (PURDUE) | ||||
| 1. | "On the
Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood" |
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| Helene Bonnal (U. de Toulouse) | ||||
| Eric Renault (U. de Montreal) - Invited Speaker | ||||
| 2. | "Estimation and Inference
in the Case of Competing Sets of Estimating Equations" |
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| George Judge (Berkeley) - Invited Speaker | ||||
| Ron Mittelhammer (Washington State U.) | ||||
| 3. | Discussant: Esfandiar Maasoumi (Southern Methodist U.) | |||
| DISCUSSION | ||||
| 11:00- 11:15AM | COFFEE BREAK | |||
| 11:15- 12:30PM | SESSION V. INFORMATION-THEORY AND TIME SERIES | |||
| CHAIR: EHSAN SOOFI (U. WISCONSIN-MILWAUKEE) | ||||
| 1. | "Entropy-Based Dynamic Specification Searches" | |||
| Jeff Racine (Syracuse) | ||||
| Esfandiar Maasoumi (Southern Methodist U.) | ||||
| 2. | "Maximum Entropy for Time Series in Econometrics and Finance" | |||
| Hrishikesh Vinod (Fordham U.) | ||||
| 3. | "Bayesian Analysis of Autoregressive Threshold Models" | |||
| Jongjae Kwon (U. Tennessee) | ||||
| Halima Bensmail (U. Tennessee) | ||||
| Hamparsum Bozdogan (U. Tennessee) | ||||
| DISCUSSION | ||||
| 12:15-1:45PM | LUNCH | |||
| 1:45-3:15PM | SESSION VI. APPLIED INFORMATION AND ENTROPY ECONOMETRICS | |||
| CHAIR: ESFANDIAR MAASOUMI ( SOUTHERN METHODIST U.) | ||||
| 1. | "Maximum Entropy Estimation
of a Restricted Hildreth-Houck Random Coefficients Model with an Application to Cost Allocation in Multi-Product Farming in France" |
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| Ludo Peeters (Limburg Univ. Centre, France) | ||||
| Yves Surry (INRA, Centre de Rennes, France) | ||||
| 2. | "Estimating Price Elasticities
of Financial Services: The Case of UK Personal Pensions" |
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| Oliver Burkart (Financial Services Authority, UK) | ||||
| 3. | "Entropy-based Duration
Modeling: Generalized Gamma Application in Economics" |
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| Ali Dadpay (U. Wisconsin) | ||||
| Ehsan Soofi (U. Wisconsin) | ||||
| Refik Soyer (George Washington U.) | ||||
| 4. | "Modeling Land Use Decisions with Aggregate Data: Dynamic Land Use" | |||
| Douglas Miller (Purdue) | ||||
| Andrew Plantinga (Oregon State) | ||||
| DISCUSSION | ||||
| 3:15-3:305PM | COFFEE BREAK | |||
| 3:30-4:45PM | SESSION VII. BASIC TOPICS IN INFORMATION AND ENTROPY ECONOMETRICS | |||
| CHAIR: LARRY MARSH (U. NOTRE DAME) | ||||
| 1. | "Information Importance of Explanatory Variables" | |||
| Ehsan Soofi (U. Wisconsin) | ||||
| Joseph Retzer (Maritz Research) | ||||
| 2. | "The Role of Information in Testing Non-Stationary Hypotheses" | |||
| J. Roderick McCrorie (U. London) | ||||
| 3. | "Best Empirical Models when the Parameter Space is Infinite Dimensional" | |||
| Werner Ploberger (U. Rochester) | ||||
| Peter CB Phillips (Cowles Foundation, Yale) | ||||
| DISCUSSION | ||||
| 4:45-5:00PM | COFFEE BREAK | |||
| 5:00-6:30PM | SESSION VIII. GMM AND INFORMATION THEORY | |||
| CHAIR: YUICHI KITAMURA (U.PENN) | ||||
| 1. | "Information in Generalized
Method of Moments Estimation and Entropy based Moment Selection" |
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| Alastair Hall (NC State U.) - Invited Speaker | ||||
| Kalidas Jana (NC State U.) | ||||
| Changmock Shin (NC State U.) | ||||
| 2. | "Exponential Tilting with Weak Instruments: Estimation and Testing" | |||
| Mehmet Caner (U. Pittsburg) | ||||
| 3. | "On the Asymptotic Efficiency of GMM" | |||
| Marine Carrasco (U. Rochester) | ||||
| Jean-Pierre Florens (Universite de Toulouse) | ||||
| SUNDAY, SEPTEMBER 21 (WARD LECTURE HALL 1) | ||||
| 8:00-8:55AM | COFFEE-BREAKFAST | |||
| 9:00-10:30AM | SESSION IX. INFORMATION THEORY AND BAYESIAN ECONOMETRICS | |||
| CHAIR: VOLKER DOSE (MAX-PLANCK INSTITUTE, GERMANY) | ||||
| 1. | "Information Optimality and Bayesian Models" | |||
| Bertrand Clarke (U. British Columbia) - Invited Speaker | ||||
| 2. | "Some Aspects of the History of Bayesian Information Processing" | |||
| Arnold Zellner (U. Chicago) - Invited Speaker | ||||
| DISCUSSION | ||||
| 10:30-10:45AM | COFFEE BREAK | |||
| 10:45-12:00PM | SESSION X. APPLIED INFORMATION THEORY AND BAYESIAN ECONOMETRICS | |||
| CHAIR: AMOS GOLAN (AMERICAN U.) | ||||
| 1. | "Cherry Blossom and Plasma Turbulence" | |||
| Volker Dose (Max-Planck Institute, Germany) | ||||
| Annette Menzel (Technische Universität München) | ||||
| 2. | "An Information-Theoretic
Methodology for Estimating Bayesian Probability Forecast of a Downturn-Predicting the 2001 Recession" |
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| Mehdi Mostaghimi (Southern Connecticut State) | ||||
| 3. | "Reconsideration of the Fisher Relation in the Bayesian Framework" | |||
| Jae-Young Kim (SUNY-Albany) | ||||
| DISCUSSION | ||||
| 12:00PM | CONCLUDING REMARKS | |||