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Info-Metrics Institute | Workshop Program, 2011 November

Information Theory and Shrinkage Estimation

All events November 12 at American University

(Workshop location: MGC 4 & 5)

8:00-9:00 AM Registration-Coffee-Refreshments


9:00-9:10 AM Welcoming Remarks

Amos Golan (American U)


9:10-9:25 AM Conference Opener and Objectives

Amos Golan (American U)
Peter Phillips (Yale) 


9:25-9:55 AM Invited Talk: Victor Chernozhukov (MIT)

“Least Squares After Model Selection”
Related papers
Chair: Teddy Seidenfeld (Carnegie Mellon)

9:55-10:05 AM Discussion Harrison Zhou (Yale)


10:10-11:00 AM Session I: Shrinkage Estimators in Econometrics

Chair: Eric Renault (Brown)

1.Liao Zhipeng (UCLA) and Peter C.B. Phillips (Yale)
“Automated Estimation of Vector Error Correction Models”
Discussion: Mehmet Caner (NCSU)

2. Mehmet Caner (NCSU) and Michael Fan (NCSU)
“A near minimax risk bound: adaptive lasso with heteroskedastic data in instrumental variable selection”
Discussion: Liao Zhipeng (UCLA)

11:00-11:15 AM Coffee Break


11:15 AM-12:05 PM Session II: Regularization

Chair: Essie Maasoumi (Emory U.)

1. Marine Carrasco (Montreal) and Neree Noumon (Montreal)
“Optimal Portfolio Selection using Regularization”
Discussion: Pascale Valery (Montreal)

2. Jean Marie Dufour (HEC Montreal) and Pascale Valery (HEC-Montreal)
“Wald type tests when rank conditions fail: a smooth regularization approach”
Discussion: Marine Carrasco (Montreal)

12:10-1:00 PM Lunch (provided)


1:00-2:05 PM Session III: High Dimensional Covariances

Chair: Aman Ullah (UC Riverside)

1. Invited Talk: Harrison Zhou (Yale)
“High-Dimensional Covariance Structure Estimation”
Discussion: Victor Chernozhukov (MIT)

2. Song Song (UC Berkeley)
“Dynamic large spatial covariance matrix estimation in application to semiparametric model construction via variable clustering; the SCE approach”
Discussion: Andrew Barron (Yale)

2:10-3:30 PM Session IV: New Estimators via Information Theory

Chair: Marine Carrasco (Montreal)

1. Bruce Hansen (Wisconsin) “Generalized Shrinkage Estimators”
Discussion: Essie Maasoumi (Emory U.)

2. Jonathan B. Hill (UNC-CH) and Eric Renault (Brown)
“GMM with Tail Trimming”
Discussion: Amos Golan (American U.)


3:30-3:45 PM Coffee Break


3:45-4:15 PM Invited Talk: Andrew Barron (Yale)

"Statistical Risk Reduction by Combining or Selecting Models"
Chair: Robin Lumsdaine (American U)

4:15-4:25 PM Discussion: Song Song (UC Berkeley)


4:25-5:00 PM Short Presentation/Poster Session

Chair: Peter Phillips (Yale)

a. Peter Exterkate (CREATES, Aarhus University)
"Nonlinear forecasting with many predictors using kernel ridge regression"

b. Enrique Pinzon-Garcia (Wisconsin)
“Linear Regression with a large number of weak instruments using post l-1 penalized estimator

c. Chu An Liu (Wisconsin)
"A Plug-In Averaging Estimator for Regressions with Heteroskedastic Errors"

d. Shi Zhentao (Yale)
“Estimation of High Dimensional Structural Model”

e. Jerome Krief (LSU)
“Instrumental Nonparametric Estimation Under Conditional Moment Restrictions: A Nonlinear Tikhonov Approach”

f. Anders Bredahl Kock (CREATES and Aarhus University)
"Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models"


5:00-5:15 PM Coffee Break

5:15-6:15 PM Round Table – Information Theory and Shrinkage Estimation

Moderator: Mehmet Caner (NCSU)
Bill Greene (NYU)
Nick Kiefer (Cornell)
Robin Lumsdaine (American U.)
Essie Maasoumi (Emory U.)
Peter Phillips (Yale)
Eric Renault (Brown)
Aman Ullah (UC Riverside)

6:15 -7:30 PM Reception

(Reception location: MGC 2 & 3)