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