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The 38th CESG Annual Meeting

Information and Inference in Panels and Time Series

October 27-29, 2023
Hamilton, Ontario

Keynote Speakers:

Jinyong Hahn (UCLA)

Anna Mikusheva (MIT)

Host: McMaster University

Program in PDF


The 38th Annual Meeting of the Canadian Econometrics Study Group (CESG) will be held in Hamilton, Ontario on October 27-29, 2023. The meeting is organized by the Department of Economics at McMaster University.

Venue: Art Gallery of Hamilton

123 King Street West
Hamilton ON, L8P 4S8

Hotel/Travel Information


We have arranged a block of rooms at a special conference rate at the following two hotels:

  • Sheraton Hamilton
    • Rate: $199 until September 25, 2023 October 2, 2023
    • To book online, please use this link. Alternatively, you can call 1-888-627-8161 and request for the “CESG” block
  • Visitors Inn
    • Rate: $139 for single, $149 for double until September 27
    • To book, email or call 1-844-207-9706. Mention the “Can. Econometrics Study Group” or provide the confirmation number “#278271”
    • The hotel requires a short ride to the conference venue
  • There are several other hotels within walking distance from the venue (Art Gallery of Hamilton). We encourage you to check them out through travel websites.

Travel Information to Hamilton, ON

  • Air Travel
    • Toronto Pearson International Airport (YYZ) offers a wide range of domestic and international flights. You can use a taxi or a share ride service to travel from the airport to Hamilton.
    • Hamilton International Airport (YHM) offers limited domestic and international flights.
  • Car Travel
    • Hamilton is easily accessible via several major highways, including the QEW (Queen Elizabeth Way) and the 403.
  • Train Travel
    • Hamilton is served by VIA Rail, providing train connections to various cities across Canada.

Call for Papers

The 39th CESG Conference is organized by the Department of Economics at McMaster University in Hamilton, Ontario, during October 27-29, 2023.

The conference theme is “Information and Inference in Panels and Time Series.” The keynote speakers are:

Jinyong Hahn (UCLA)

Anna Mikusheva (MIT)

Contributed papers for presentation at the conference are now invited. Contributions are welcome in theoretical, applied, or computation econometrics. Submissions will be considered both for regular and for poster sessions and only completed papers (submitted in PDF format) will be considered.

Prospective contributors are invited to submit papers at The deadline for submissions is May 31, 2023. Notification of acceptance or rejection will be made by the end of June 2023. All attendees are expected to register for the conference.

For up-to-date information on the conference, please visit

Local organizers: Irene Botosaru, Chris Muris, Jeff Racine, Youngki Shin


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


We extend our sincere appreciation to all the sponsors who support the 38th CESG Annual Meeting.

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