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Economics | Conference

Program and Abstracts

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, AMERICAN UNIVERSITY

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"  F. Douglas Foster (Australian Graduate School), Mike Stutzer (U. Colorado)

DISCUSSION2:45-3:10PM 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"  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) 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"  Helene Bonnal (U. de Toulouse)Eric Renault (U. de Montreal) - Invited Speaker  

2.  "Estimation and Inference in the Case of Competing Sets ofEstimating Equations"  George Judge (Berkeley) - Invited SpeakerRon Mittelhammer (Washington State U.)  

3.  Discussant: Esfandiar Maasoumi (Southern Methodist U.) 

DISCUSSION11:00- 11:15AM  COFFEE BREAK11:15- 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  LUNCH1:45-3:15PM  

SESSION VI. APPLIED INFORMATION AND ENTROPY ECONOMETRICS  

CHAIR: ESFANDIAR MAASOUMI ( SOUTHERN METHODIST U.)  

1.  "Maximum Entropy Estimation of a Restricted Hildreth-HouckRandom Coefficients Model with an Application to Cost Allocationin Multi-Product Farming in France"  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"  Oliver Burkart (Financial Services Authority, UK) 

3.  "Entropy-based Duration Modeling:Generalized Gamma Application in Economics"  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) 

DISCUSSION3:15-3:305PM  COFFEE BREAK3:30-4:45PM 

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)  

DISCUSSION4:45-5:00PM  COFFEE BREAK5:00-6:30PM 

SESSION VIII. GMM AND INFORMATION THEORY  

CHAIR: YUICHI KITAMURA (U.PENN)  

1.  "Information in Generalized Method of Moments Estimationand Entropy based Moment Selection"  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-BREAKFAST9:00-10:30AM  

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 

DISCUSSION10:30-10:45AM  COFFEE BREAK10:45-12:00PM 

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 ProbabilityForecast of a Downturn-Predicting the 2001 Recession"  Mehdi Mostaghimi (Southern Connecticut State)  

3.  "Reconsideration of the Fisher Relation in the Bayesian Framework"  Jae-Young Kim (SUNY-Albany)  DISCUSSION12:00PM  CONCLUDING REMARKS