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Info-Metrics Institute | Workshop Program, 2012 November

Info-Metrics and Nonparametric Inference

All events November 17 University of California Riverside

(Workshop will take place at Mission Inn hotel, Riverside, CA

 

Program

(Location: Santa Barbara Room)

7:45-8:30 AM Registration-Coffee-Refreshments


8:30-9:00 AM Conference Opener/Objectives

Amos Golan (American U), Aman Ullah (UC Riverside)


9:00-10:10 AM SESSION I - Information and Constraints

Chair: Eric Renault (Brown U)
  
Invited talk: John Fisher (MIT)

“Information Gathering Under Resource Constraints: Greed is Good” abstract
Relevant papers: 1 (primary), 2, 3

Discussant: Essie Maasoumi (Emory U)

“Semiparametric Estimations with Shape Constraints”

Ximing Wu (Texas A&M) and Robin Sickles (Rice U)


10:10-10:30 AM Coffee break


10:30-11:30 AM SESSION II – Rare Events and Default Risk

Chair: D. V. Gokhale (UC Riverside)

Discussant: Michael Stutzer (U Colorado)

“Nonparametric Estimation of Probability of Default with Varying Coefficient”

Bin Chen (U Rochester), Qingqing Chen (OCC), Dennis Glennon (OCC), Yongmiao Hong (Cornell)

"Expert Information and Nonparametric Estimation of Rare Events"

Hwan-sik Choi (Purdue)

"An Empirical Study of Stock and American Option Prices"

Diego Ronchetti (Columbia Business School and University of Lugano)


11:30-1:00 PM SESSION III – Invited Session in Memory of Halbert White

Chair: Essie Maasoumi (Emory U)
 
Invited Talk: Rosa Matzkin (UCLA)

“Nonparametric Simultaneous Equations with Applications” 

Discussant: Anil Bera (U Illinois Urbana-Champaign)

Invited Talk: Whitney Newey (MIT)

“Alternative Asymptotics and the Partially Linear Model with Many Regressors”

Discussant: Hyungsik Roger Moon (USC)


1:00-2:00 PM Lunch


2:00-3:00 PM SESSION IV – Nonparametric Applications

Chair: Anil Bera (U Illinois Urbana-Champaign)

“Gradient Based Smoothing Parameter Selection for Nonparametric Regression Estimation”

Daniel Henderson (SUNY-Binghamton), Qi Li (Texas A&M), and Christopher Parmeter (U Miami)

“Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models”

Ying-Ying Lee (U Wisconsin-Madison)

“Semiparametric Two-Step GMM Estimation with Weakly Dependent Data”

Xiaohong Chen (Yale), Jinyong Hahn (UCLA), Zhipeng Liao (UCLA)


3:00-3:20 PM Coffee break


3:20-4:50 PM SESSION V  

Chair: Tae-Hwy Lee (UCR)

Invited Talk: Peter Robinson (London School of Economics)

“Nonparametric Regression with Spatial and Temporal Dependence”

Discussant: Eric Renault (Brown)

“The Smooth Colonel Introduces the Reverend to Covariates” 

Nick Kiefer (Cornell) and Jeff Racine (McMaster)


4:50-5:00 PM Coffee break


5:00-7:00 PM Round Table

Moderator: Aman Ullah (UC Riverside)   

D. V. Gokhale (UC Riverside)
Nicholas Kiefer (Cornell U)
Essie Maasoumi (Emory U)
Rosa Matzkin (UCLA)
Whitney Newey (MIT)
Eric Renault (Brown U)
Peter Robinson (London School of Economics)


7:00 PM-9:00 PM Reception

(Location: Galleria room)