Program


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Wednesday, 30 May

Time Event

17:00 – 19:00

Registration and Welcome reception, The Refectory (Level 5), Abercrombie Building (H70), The University of Sydney.

Thursday, 31 May

Time Event

08:30 - 17:00

Registration and Conference: University of Sydney CBD campus, Level 17, 133 Castlereagh Street, Sydney NSW 2000

08:50 – 09:00

Welcome AddressLecture room 1

Edward Anderson (Associate Dean of Research, The University of Sydney Business School)

09:00 – 10:00

Keynote PresentationLecture room 1

Session Chair: Graham Elliott (University of California, San Diego)

Long-Horizon Forecasts of Global Growth
Ulrich Müller (Princeton University)
James Stock (Harvard University)
Mark Watson (Princeton University)

10:00 – 10:20

Coffee Break

10:20 – 11:50

Contributed Sessions

Financial Econometrics Lecture room 2

Session Chair: Denis Pelletier (North Carolina State University)

Simple Market Timing with Different Moving Averages Frequencies
Jukka Ilomäki (University of Tampere)
Hannu Laurila (University of Tampere)
Michael McAleer (Asia University)

Realized Matrix-Exponential Stochastic Volatility with General Asymmetry, Long Memory and Spillovers
Manabu Asai (Soka University)
Michael McAleer (Asia University)
Chia-Lin Chang (National Chung Hsing University)

Fiction of Full BEKK: Pricing Fossil Fuels and Carbon Emissions
Michael McAleer (Asia University)
Chia-Lin Chang (National Chung Hsing University)

The Realized Rotated BEKK Model
Denis Pelletier (North Carolina State University)
Ji Shen (SAS Institute Inc)

Macroeconometrics Lecture room 3

Session Chair: James Morley (The University of Sydney)

Geometrically Stopped Markovian Random Growth Processes and Pareto Tails
Brendan Beare (University of California, San Diego)
Alexis Toda (University of California, San Diego)

Why Has the U.S. Economy Stagnated since the Great Recession?
Yunjong Eo (The University of Sydney)
James Morley (The University of Sydney)

Bubbles Returns in The Black
Jin-Huei Yeh (National Central University)
Kai-Hui Yu (Cathay Securities Investment Trust Co., Ltd.)

Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions
James Morley (The University of Sydney)
Benjamin Wong (Reserve Bank of New Zealand)

11:55 - 13:00

Contributed Sessions

Computations and testing in high dimensions Lecture room 2

Session Chair: Minh-Ngoc Tran (The University of Sydney Business School)

A Goodness-of-Fit Test for Sampled Subgraphs
Robert Garrard (CSIRO)

An Improved Closed Testing Procedure for Multiple Hypotheses
Zen Lu (University of South Australia)

Speeding Up MCMC by Efficient Data Subsampling
Minh-Ngoc Tran (The University of Sydney Business School)
Matias Quiroz (University of New South Wales)
Robert Kohn (University of New South Wales)
Mattias Villani (Linköping University)

High dimensional and panel data Lecture room 3

Session Chair: Wing Wah Tham (University of New South Wales)

Kernel Estimation for Panel Data with Heterogeneous Dynamics
Takahide Yanagi (Hitotsubashi University)
Ryo Okui (NYU Shanghai)

Should We Use IV to Estimate Dynamic Linear Probability Models with Fixed Effects?
Andrew Pua (Xiamen University)

Market-Wide Events and Time Fixed Effects
Wing Wah Tham (University of New South Wales)
Elvira Sojli (University of New South Wales)
Wendun Wang (Erasmus University Rotterdam)

13:00 – 14:00

Lunch Break

14:00 – 14:45

Invited Session ILecture room 1

Session Chair: Laurent Pauwels (The University of Sydney Business School)

Jump Factor Models in Large Cross-Sections
George Tauchen (Duke University)
Jia Li (Duke University)
Viktor Todorov (Northwestern University)

14:45 – 15:20

Coffee Break

15:20 – 16:50

Contributed Sessions

Diffusion Process Lecture room 2

Session Chair: Shuping Shi (Macquarie University)

Approximate Transition Probability Density Function of a Multivariate Time-Inhomogeneous Jump Diffusion Process in a Closed-Form Expression
Seungmoon Choi (University of Seoul)

Nonparametric Inference on the Self-Excitation of Jumps in Jump Diffusion Model
Simon Kwok (The University of Sydney)

Identifying Uncertainties from Multiple Factors: A Study on Electricity Price
Wei Wei (Monash University)
Asger Lunde (Aarhus University)

Testing for Jumps in Linear Drift Diffusion Processes
Shuping Shi (Macquarie University)
Sebastien Laurent (Aix-Marseille University)

Microeconometrics and applications Lecture room 3

Session Chair: Chia-Lin Chang (National Chung Hsing University)

A Flexible Parametric Approach to the Models with Multiple Discrete Endogenous Explanatory Variables and Sample Selection
Myoung-Jin Keay (South Dakota State University)

Revisit to the Use of Principal Component Analysis in IV Estimation
Tatsushi Oka (Monash University)
Kengo Kato (Tokyo University)
Chu-An Liu (Academia Sinica)

CEO Marital Status, Risk Preference and Corporate Innovation
Yang Zhang (University of Macau)
Mengling Li (Xiamen University)
Huanhuan Zheng (National University of Singapore)

A Statistical Analysis of Industrial Penetration and Internet Intensity in Taiwan
Chia-Lin Chang (National Chung Hsing University)
Michael McAleer (Asia University)
Yu-Chieh Wu (National Chung Hsing University)

17:00 – 18:00

SETA LectureLecture room 1
Session Chair: Chung-Ming Kuan (National Taiwan University)

Random Bootstrap Measures
Giuseppe Cavaliere (University of Bologna)
Iliyan Georgiev (University of Bologna)

19:00 – 22:00

Conference Dinner (Café Del Mar, Cockle Bay Wharf)

Friday, 1 June

Time Event
08:30 – 17:00

Registration and Conference: University of Sydney CBD campus, Level 17, 133 Castlereagh Street, Sydney NSW 2000

09:30 – 10:30

ET LectureLecture room 1
Session Chair: Michael McAleer

Inference of Heavy-Tailed Vector Error Correction Models
Shiqing Ling (Hong Kong University of Science and Technology)
Rui She (Hong Kong University of Science and Technology)

10:30 – 11:00

Coffee Break

11:00 – 12:30

Contributed Sessions

Econometric Theory I Lecture room 2

Session Chair: Rami Tabri (The University of Sydney)

A Comparison of Limited Information Estimators in Dynamic Simultaneous Equations Models
Dandan Wang (University of Carlos III Madrid)

A Rotation Approach to Subset Inference in Weakly Identified Linear Structural Models
Firmin Doko Tchatoka (University of Adelaide)

Inference for Iterated GMM Under Misspecification and Clustering
Seojeong Lee (University of New South Wales)
Bruce Hansen (University of Wisconsin-Madison)

An Improved Bootstrap Test for Restricted Stochastic Dominance
Rami Tabri (The University of Sydney)
Thomas Lok (Sydney Children’s Hospitals Network)

Time-Series Lecture room 3

Session Chair: Mika Meitz (University of Helsinki)

Fitting a Two Phase Threshold Multiplicative Error Model
Indeewara Perera (Monash University)
Hira Koul (Michigan State University)

Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes
Kanchana Nadarajah (Monash University)
Gael Martin (Monash University)
Donald Poskitt (Monash University)

On Asymptotic Risk of Order Selection in Integrated Autoregressive Models: AIC versus Lasso
CY (Chor-yiu) Sin (National Tsing Hua University)
Shu-Hui Yu (National University of Kaohsiung)
Hsiang-Ling Hsu (National University of Kaohsiung)

Testing for Observation-Dependent Regime Switching in Mixture Autoregressive Models
Mika Meitz (University of Helsinki)
Pentti Saikkonen (University of Helsinki)

12:30 – 13:45

Lunch Break

13:45 – 14:30

Invited Session IILecture room 1
Session Chair: George Tauchen (Duke University)

Large Scale Panel Choice Models with Unobservable Heterogeneity: An Application to Micro-Level Consumer Demand Analysis
Tomohiro Ando (The University of Melbourne)
Jushan Bai (Columbia University)

14:30 – 15:00

Coffee Break

15:00 – 16:30

Contributed Sessions

Copula Lecture room 2

Session Chair: Michael Smith (Melbourne Business School)

A New Family of Copulas, with Application to Estimation of a Production Frontier System
Artem Prokhorov (The University of Sydney Business School)
Christine Amsler (Michigan State University)
Peter Schmidt (Michigan State University)

Inversion Copulas for GARCH Models and Tail Risk Forecasting
Richard Gerlach (The University of Sydney Business School)

Statistical Inference for a Relative Risk Measure
Yi He (Monash University)
Liang Peng (Georgia State University)
Yanxi Hou (Fudan University)
Jiliang Sheng (Jiangxi University of Finance and Economics)

Variational Bayes Estimation of Time Series Copulas for Multivariate Ordinal and Mixed Data
Ruben Loaiza-Maya (Melbourne Business School)
Michael Smith (Melbourne Business School)

Big data and factor models Lecture room 3

Session Chair: Ye Lu (The University of Sydney)

Constrained Principal Components Estimation of Large Approximate Factor Models
Rachida Ouysse (University of New South Wales)

Sieve Estimation of Time-Varying Factor Loadings
Ying Lun Cheung (Goethe University Frankfurt)

Regime Switching Models with Multiple Dynamic Factors
Yoosoon Chang (Indiana University)
Joon Y. Park (Indiana University)
Shi Qiu (Indiana University)

Incremental Factor Model for High Frequency Observations with Large Dimension and Long Span
Ye Lu (The University of Sydney)
Joon Y. Park (Indiana University)

16:35 – 17:40

Contributed Sessions

Econometric Theory II Lecture room 2

Session Chair: Qiying Wang (The University of Sydney)

Binary Classification under General Loss
Graham Elliott (University of California, San Diego)

Estimating Treatment Effects in Regression Discontinuity Designs with Multiple Assignment Variables
Chung-Ming Kuan (National Taiwan University)
Giorgio Lo (National Tsing Hua University)
Yu-Chin Hsu (Institute of Economics)

Latent Variable Nonparametric Cointegrating Regression
Qiying Wang (The University of Sydney)
Peter Phillips (Yale University)
Ioannia Kasparis (University of Cyprus)

Forecasting Lecture room 3

Session Chair: Heather Anderson (Monash University)

Real-Time Macroeconomic Forecasting with a Heteroskedastic Inversion Copula
Michael Smith (Melbourne Business School)
Ruben Loaiza-Maya (Melbourne Business School)

Combining Forecasts of Higher Moments in Financial Data
Laurent Pauwels (The University of Sydney Business School)
Peter Radchenko (The University of Sydney Business School)
Andrey Vasnev (The University of Sydney Business School)

High Dimensional Predictive Regression in the Presence of Cointegration
Heather Anderson (Monash University)
Bonsoo Koo (Monash University)
Myung Seo (Seoul National University)
Wenying Yao (Deakin University)

17:45 – 18:00

Closing of SETA 2018 Lecture room 1

18:00 – 19:00

Farewell Gathering

Welcome reception

Wednesday 30th May 2018, 5pm - 7pm

The Refectory (Level 5) Abercrombie Building (H70)

Conference dinner

Thursday 31st May 2018, 7pm - 10pm

Cafe del Mar, Cockle Bay Wharf

Conference venue

Thursday 31st May and Friday 1 June 2018

The University of Sydney Business School, CBD Campus
Level 17, 133 Castlereagh Street Sydney NSW 2000