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38th Annual Meeting of the Canadian Econometrics Study Group

Information and Inference in Panels and Time Series

Dates: October 27 – 29, 2023

Venue: The Art Gallery of Hamilton (Fischer gallery and Tanenbaum pavilion)

Host: Department of Economics, McMaster University

Friday, October 27, 2023

18:00 – 20:00 Welcome reception and Poster Session I (Fischer gallery).

Poster presenters listed on pages 3 and 4.

Saturday, October 28, 2023

8:00 – 8:30 Continental Breakfast and Registration

8:30 – 9:10 Keynote Address I – Chair: Youngki Shin (McMaster)

Anna Mikusheva (MIT): Linear Regression with Weak Exogeneity

9:10 – 10:30 Session I – Chair: Youngki Shin (McMaster)

Marine Carrasco (Montreal): Regularized LIML for Dynamic Panel Data Models
Discussant: Pascale Valery (HEC Montreal)

Kenichi Shimizu (Alberta): Semiparametric Bayesian Estimation of Dynamic Discrete Choice Models
Discussant: Martin Burda (Toronto)

10:30 – 10:50 Break

10:50 – 12:10 Session II – Chair: Matt Webb (Carleton)

Yao Luo (Toronto): Penalized Sieve Estimation of Structural Models
Discussant: Dongwoo Kim (SFU)

Victoria Zinde-Walsh (McGill): Kernel Estimation in Regression on Vector and Function Spaces
Discussant: Jeff Racine (McMaster)

12:10 – 13:10 Lunch

13:10 – 15:10 Session III – Chair: James MacKinnon (Queen’s)

Jean-Marie Dufour (McGill): Intervention Analysis, Causality and Generalized Impulse Responses in VAR Models: Theory and Inference
Discussant: Stephen Snudden (Wilfrid Laurier)

Russell Davidson (McGill): Inference for Almost Stochastic Dominance
Discussant: Brennan Thompson (TMU)

Purevdorj Tuvaandorj (York): A Robust Permutation Test for Subvector Inference in Linear Regression
Discussant: Kevin Song (VSE)

15:10 – 15:30 Break

15:30 – 17:30 Session IV – Chair: Wenjie Wang (NTU)

Vadim Marmer (VSE): Modeling Long Cycles
Discussant: Antoine Djogbenou (York)

Alex Maynard (Guelph): Robust Conditional Kurtosis and the Cross-Section of International Stock Returns
Discussant: Joann Jasiak (York)

Cathy Ning (TMU): Extreme Risk Spillovers between Stock-Bond Markets
Discussant: Dinghai Xu (Waterloo)

17:30 – 18:45 Poster Session II (Fischer gallery)

Poster presenters listed on pages 3 and 4.

19:00 – 21:00 Conference Dinner

Sunday, October 29, 2023

8:00 – 8:30 Continental Breakfast

8:30 – 9:10 Keynote Address II – Chair: Irene Botosaru (McMaster)

Jinyong Hahn (UCLA): Test of Neglected Heterogeneity in Dyadic Models

9:10 – 10:30 Session V – Chair: Irene Botosaru (McMaster)

Nail Kashaev (UWO): Peer Effects in Consideration and Preferences
Discussant: Matthieu Marcoux (Montreal)

Tao Wang (Victoria): Nonparametric Spatial Modal Regression
Discussant: Yiguo Sun (Guelph)

10:30 – 10:50 Break

10:50 – 12:10 Session VI – Chair: Paul Rilstone (York)

Arturas Juodis (Amsterdam): This Shock Is Different: Estimation and Inference in Misspecified Two-Way Fixed Effects Panel Regression
Discussant: Doosoo Kim (TMU)

Brantly Callaway (Georgia State): Difference in Differences with a Continuous Treatment
Discussant: Roy Allen (UWO)

12:10 – 13:10 Lunch

13:10 – 15:10 Session VII – Chair: Mike Veall (McMaster)

Saraswata Chaudhuri (McGill): A Note on Efficient Estimation with Monotonically Missing at Random Data
Discussant: Chris Muris (McMaster)

Prosper Dovonon (Concordia): Efficiency Bounds for Moment Condition Models with Mixed Identification Strength
Discussant: Bertille Antoine (SFU)

Bulat Gafarov (UC Davis): On Model Selection Criteria for Climate Change Impact Studies
Discussant: Steven Lehrer (Queen’s)

Poster Session I:

  1. Young Ahn (UPenn): Difference in Differences with Latent Group Structures
  2. Roy Allen (UWO): Latent Utils and Permutations Invariance
  3. Bertille Antoine (SFU): Coordinated Testing for Identification Failure and Correct Model Specification
  4. Martin Burda (Toronto): Bayesian Adaptive Sparse Copula
  5. Jooyoung Cha (Vanderbilt): Inference in High-dimensional Regression Models without the Exact or L^p^ sparsity
  6. Basu Deepankar (UMass Amherst): The Yule-Frisch-Waugh-Lovell Theorem for Linear Instrumental Variables Estimation
  7. Joseph Fry (CU Boulder): A Method of Moments Approach to Asymptotically Unbiased Synthetic Controls
  8. Sudipto Ghosh (Waterloo): Modeling “Good” and “Bad” Volatilities under a Threshold Realized Semivariance GARCH
  9. Emre Inan (York): Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether
  10. Joann Jasiak (York): Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal (S)VAR Models
  11. Sunny Karim (Carleton): Difference-in-Differences with Unpoolable Data
  12. Doosoo Kim (TMU): Linearized GMM Estimator
  13. Julia Koh (McGill): Bootstrapping Factor-MIDAS Regression Models
  14. Quinlan Lee (Toronto): Nonlinear Impulse Response Functions and Local Projections
  15. Steve Lehrer (Queen’s): Labor Market Consequences of Pay Equity Laws
  16. Max Lesellier (Toulouse): Testing and Relaxing Distributional Assumptions on Random Coefficients in Demand Models
  17. Debora Loccisano (Carleton): Predictive Identification Robust Confidence Sets with Application to Tail Risk Measures

Poster Session II:

  1. Dongwoo Kim (SFU): Nonparametric Estimation of Sponsored Search Auctions and Impacts of AD Quality of Search Revenue
  2. Yukun Ma (Vanderbilt): Identification-Robust Inference for the Late with High-dimensional Covariates
  3. Peter MacKenzie (York): Digital Divide: Empirical Study of CIUS 2020
  4. James MacKinnon (Queen’s): Reliable Inference with Two-Way Clustering
  5. Matthieu Marcoux (Montreal): A Simple Specification Test for Models with Many Conditional Moment Inequalities
  6. Jacob Schwartz (Haifa): The Law of Large Numbers for Large Stable Matchings
  7. Stephen Snudden (Wilfrid Laurier): Don’t Ruin the Surprise: Temporal Aggregation Bias in Structural Innovations
  8. Kevin Song (VSE): Measuring Diffusion over a Large Network
  9. Pascale Valery (HEC Montreal): Adaptive Eigenspace Regularized Rank-Robust Wald Tests
  10. Wenjie Wang (NTU): A Conditional Linear Combination Test with Many Weak Instruments
  11. Yiwen Wang (Winnipeg): Heterogeneity in House Price Expectations: Evidence from Survey Data
  12. Matt Webb (Carleton): Cluster-Robust Jackknife Variance Matrix Estimators for Binary Response Models
  13. Ke Xu (Victoria): The Importance of Long Memory for Price Discovery Measurement
  14. Jianhan Zhang (Guelph): Endogenous Kink Threshold Regression
  15. Xiaoyan Zhou (Purdue): Adaptive Group LASSO Shrinkage in Heterogeneous Spatial Dynamic Panel Models
  16. Hui Xiao (Saint Mary’s): Trust Thy Neighbor? Uncovering the Structure of the Real Estate Market

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