Fall 2010 Conference Proceedings
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Complete Proceedings & Background Material
Friday, September 24th, 2010
Reflections on Arnold
Amos Golan (American U)
SESSION I: Info-Metrics and Finance
Session Organizer – Michael J. Stutzer
Chair: Michael Stutzer (U. Colorado)
1. Canonical Methods of Pricing American Style Contingent Claims, Jamie Alcock (Cambridge and U. Queensland)
2. On Esscher Transforms, Serena Tiong (U Iowa)
3. Entropy and the Market Selection Hypothesis, Alvaro Sandroni (Northwestern)
SESSION II: Info-Metrics and Quantiles
Chair: Robin Lumsdaine (American U)
1. Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression, Anil K. Bera, A. F. Galvao Jr. (U. Iowa), G. V. Montes-Rojas and S. Y. Park
2. Incentive-Compatible Elicitation of Quantiles, Nicholas M. Kiefer (Cornell)
SESSION III: Estimation and Inference in Moment Condition Models-I
Session Organizers: Alastair Hall and Eric Renault
Chair: Eric Renault (UNC)
1. Robust inference for moment condition model, Taisuke Otsu (Yale) additional material
2. Regularized Empirical Likelihood estimators, Marine Carrasco (U. Montreal)
3. Frequentist inference in weakly identified DSGE models, Atsushi Inoue (NCSU)
SESSION IV: Info-Metrics and Wavelets across Statistics, Economics and Finance
Session Organizer: Ramo Gencay
Chair: Ramo Gencay (Simon Fraser U.)
1. Discrete Wavelet Transforms Based on Zero-Phase Daubechies Filters, Donald Percival (University of Washington) additional material
2. Vast Volatility Matrix Inference Based on High-frequency Financial Data, Yazhen Wang (UW, Madison)
3. Unit Root Tests with Wavelets, Ramo Gencay (Simon Fraser U) additional material
SESSION V: Info-Metrics and Econometrics Theory
Chair: Aman Ullah (UC Riverside)
1. Bayesian Analysis of Moment Restriction Models Using Nonparametric Priors, Yuichi Kitamura (Yale)
2. Forecasting with Imprecise/Indeterminate Probabilities, Teddy Seidenfeld (Carnegie Mellon), Mark Schervish and Jay Kadane additional material
3. Asymptotic Theory of Nonparametric Functionals with Spatial Data, Peter M. Robinson (London School of Economics) additional material
Saturday, September 25th, 2010
SESSION VI: Estimation and Inference in Moment Condition Models – II: Session Organizers: Alastair Hall and Eric Renault
Chair: Alastair Hall (U. Manchester)
1. Large sample properties of the three-step Euclidean Likelihood estimators under model misspecification, Prosper Dovonon (Concordia) additional material
2. Optimal comparison of misspecified moment restriction models, Vadim Marmer (UBC) and Taisuke Otsu (Yale) additional material
3. Model selection test for nonnested moment inequality models, Xiaoxia Shi (UW-Madison)
SESSION VII: Info-Metrics, Pseudo ML and EL
Chair: Esfandiar Maasoumi (Emory U.)
1. Fourth Order Pseudo Maximum Likelihood Methods, Alberto Holly, Alain Monfort and Michael Rockinger (Swiss Finance Institute, U. Lausanne, and CEPR)
2. Data Driven Empirical Likelihood Tests, Ximing Wu (Texas A & M) additional material
3. Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Many Moment Asymptotics, Mehmet Caner (NCSU) additional material
SESSION VIII: Info-Metrics, Games and Modeling
Session Organizer: James Bono
Chair: Teddy Seidenfeld (Carnegie Mellon)
1. Distribution-Valued Solution Concepts, David Wolpert (NASA and Santa Fe Inst) and James Bono (American U)
2. Identifying Strategies and Beliefs without Rationality Assumptions, James Bono (American U) and Amos Golan (American U)
3. Info-Metrics: An Entropic Framework for Modeling Economies (Tentative Title), Ariel Caticha and Amos Golan (American U)
SESSION IX: Info-Metrics and Risk
Chair: Douglas Miller (U. Missouri)
1. The Bayesian Approach to Default Risk: A Guide, Michael Jacobs Jr. (OCC) and Nicholas M. Kiefer
2. Towards an Infometric Solution to the Risk Modeling Crisis: The Canon of Plausible Inference and the Representation of Observed Data, Alberto Solana-Ortega (CSIC, Spain) and V. Solana
SESSION X: Info-Metrics - Applications
Chair: Jeff Racine (McMaster U.)
1. An Information Theoretic Approach to Flexible Stochastic Frontier Models, Douglas J. Miller (U. Missouri)
2. A Latent Class Stochastic Frontier Model for Evaluating Technical Efficiency of Italian Universities: A GME Approach, Luigi Biggeri, Tiziana Laureti and Luca Secondi (National U Evaluation Committee, Italy) additional material
3. GME Estimation with Nonlinearities and Spatial Dependence in Club Convergence Across OECD Countries, Rossella Bernardini Papalia (U. Bologna) and S. Bertarelli. additional material
4. Information Theoretic Approach to Density Estimation with an Application to the U.S. Personal Income Data, Sung Y. Park (U. Illinois) and Anil K. Bera additional material
Round Table – Info-Metrics: Information Processing across the Sciences
Moderator: Duncan K. Foley (New School for Social Research and Santa Fe Inst.)
Ariel Caticha (SUNY Albany)
Alastair Hall (U. Manchester)
Yuichi Kitamura (Yale)
Robin Lumsdaine (American U)
Eric Renault (UNC)
Peter M. Robinson (London School of Economics)
Michael Stutzer (U Colorado)
Aman Ullah (UC Riverside)