40th Annual Meeting of the Canadian Econometrics Study Group

Credible Econometrics

Dates: October 17 – 19, 2025

Venue: Sheraton Ottawa Hotel

Host: Department of Economics, Carleton University

Friday, October 17, 2025

18:00 – 20:00: Welcome Reception and Poster Session I

(Poster presenters listed at the end of the program)

Saturday, October 18, 2025

8:00 – 8:25: Continental Breakfast and Registration

8:25 – 8:30: Opening Remarks

8:30 – 9:10: Keynote Address I

Chair: Thomas Russell (Carleton University)

Ivan Canay (Northwestern University):
Testing Conditional Stochastic Dominance at Target Points

(with F. Bugni (Northwestern) and D. Kim (Warwick) )

9:15 – 10:35: Session I

Room A

Room B

Chair: TBA

Nail Kashaev (Western), with N. Lazatti (Santa Cruz):
Discrete Choice with Endogenous Peer Selection

Christian Gourieroux (Toronto), with A. Monfort (CREST):
Affine Feedforward Stochastic (AFS) Neural Network

Discussant: TBA

Kenichi Shimizu (Alberta), with S. Chib (WU St. Louis):
Scalable Estimation of Multinomial Response Models with Random Consideration Sets

Victoria Zinde-Walsh (McGill), with M. Schafgans (LSE):
"Normalized" kernel weights for ADE with singular regressors

Discussant: TBA

10:35 – 10:50: Break

10:50 – 12:10: Session II

Room A

Room B

Chair: TBA

Sid Kankanala (Chicago):
Quasi-Bayes in Conditional Moment Models

Shengtao Dai (Boston College), with N. Sim (Singapore) and Z. Xiao (Boston College):
DRIVE: Distributional Relevance Instrumental Variable Estimation

Discussant: TBA

Chris Muris (McMaster), with I. Botosaru (McMaster) and I. Loh (UNC Wilmington):
An Adversarial Approach to Identification

Wenjie Wang (Nanyang Tech), with D. Lim (Singapore) and Y. Zhang (Singapore):
A Dimension-Agnostic Bootstrap Anderson-Rubin Test for Instrumental Variable Regressions

Discussant: TBA

12:10 – 13:10: Lunch

13:10 – 15:10: Session III

Room A

Room B

Chair: TBA

Silvia Goncalves (McGill), with G. Cavaliere (Bologna), M. Nielsen (Aarhus) and E. Zanelli (Bologna):
Improved Inference for Nonparametric Regression and Regression-Discontinuity Designs

Russell Davidson (McGill), with H. Ghanbari (Lethbridge) and S. Perrakis (Concordia):
Stochastic Dominance and GARCH Option Pricing: a New Approach

Discussant: TBA

Alexandre Poirier (Georgetown), with T. Słoczyński (Brandeis):
Quantifying the Internal Validity of Weighted Estimands

Roxana Halbleib (Freiburg), with E. Kazak (Birmingham) and W. Pohlmeier (Konstanz):
Bagged Pretested Forecast Combination for Tail Risk Measures

Discussant: TBA

Kevin Song (UBC), with N. Canen (Warwick):
Simple Inference on a Simplex-Valued Weight

Todd Prono (Federal Reserve): When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models

Discussant: TBA

15:10 – 15:30: Break

15:30 – 17:30: Session IV

Room A:

Room B

Chair: TBA

Victor Aguirregabiria (Toronto), with A Magesan (Calgary):
Integrating Subjective Beliefs Data into Dynamic Structural Models of Firm Behavior

James Duffy (Oxford), with S. Mavroeidis (Oxford):
Common Trends and Long-Run Identification in Nonlinear Structural VARs

Discussant: TBA

Hiroyuki Kasahara (UBC), with Y. Hao (Hong Kong) and K. Shimotsu (Tokyo):
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models

Endong Wang (McGill), with J.M. Dufour (McGill):
Causal mechanism and mediation analysis for macroeconomics dynamics: a bridge of Granger and Sims causality

Discussant: TBA

Yan Liu (Kyoto):
Robust Counterfactual Analysis for Nonlinear Panel Data Models

Kerem Tuzcuoglu (Bank of Canada), with A. Poulin-Moore (Bank of Canada):
Forecasting Recessions in Canada: An Autoregressive Probit Model Approach

Discussant: TBA

17:30 – 18:45: Poster Session II

(Poster presenters listed at the end of the program)

19:00 – 21:00: Conference Dinner

Sunday, October 27, 2024

8:00 – 8:30: Continental Breakfast

8:30 – 9:10: Keynote Address II

Chair: Lynda Khalaf (Carleton University)

Ulrich Muller (Princeton University):
Actually Robust Standard Errors in Linear Regression

(with M. Kolesar (Princeton))

9:15 – 10:35: Session V

Room A

Room B

Chair: TBA

Max Tabord-Meehan (Toronto), with Y. Bai (UCSC), X. Huang (Chicago), J. Romano (Stanford), and A. Shaikh (Chicago):
A New Design-Based Estimator for Finely Stratified Experiments

Prosper Dovonon (Concordia), with N. Gospodinov (Federal Reserve):
Testing for contemporaneous exogeneity in linear models

Discussant: TBA

Yuya Shimizu (Wisconsin-Madison):
Design-Based and Network Sampling-Based Uncertainties in Network Experiments

Pujee Tuvaandorj (York), with J.M. Dufour (McGill):
Mixed LR-C(α)-type tests for irregular hypotheses, general criterion functions and misspecified models

Discussant: TBA

10:35 – 10:50: Break

10:50 – 12:10: Session VI

Room A

Room B

Chair: TBA

Max Lesellier (Montreal), with C. Bontemps (Toulouse) and R. Kumar (Toulouse):
Sharp estimation of static entry games with covariates

Joann Jasiak (York), with F. Giancaterini (Rome), A. Hecq (Maastricht) and A.M. Neyazi (York):
Bubble detection with Application to Green Bubbles: A Noncausal Approach

Discussant: TBA

Yao Luo (Toronto), with H. Liu (Toronto) and R. Xiao (Indiana):
Dynamic Bidding under Relisting and New Entry: Evidence from Judicial Sales

Fred Liu (Guelph):
Quantile Machine Learning and the Cross-Section of Stock Returns: Robust Risk Premia and Machine Learning Risk Forecasts

Discussant: TBA

12:10 – 13:10: Lunch

13:10 – 15:10: Session VII

Room A

Room B

Chair: TBA

Jiaying Gu (Toronto), with K. Adusumilli (Upenn) and J. Tao (Kyoto):
Empirical Bayes for Compound Adaptive Experiments

Philippe Goulet Coulombe (UQAM), with K. Klieber (ECB):
Opening the Black Box of Local Projections

Discussant: TBA

Vadim Marmer (UBC), with T. Chan (UBC) and K. Song (UBC):
Policy Learning with Compliance Guarantees

Ke-Li Xu (Indiana):
Local Projection Based Inference under General Conditions

Discussant: TBA

Joerg Stoye (Cornell), with A. Fernandez (Cornell), J. Blanchet (Stanford), J. Montiel Olea (Cornell), C. Qiu (Cornell), L. Tan (Stanford):
ε-Minimax Solutions of Statistical Decision Problems via the Hedge Algorithm

Zhiheng You (UPenn):
How Well Are State-Dependent Local Projections Capturing the Nonlinearity?

Discussant: TBA

15:10 – 15:15: Closing Remarks

Poster Session I Presenters (Friday, October 17, 2025 from 18:00-20:00)

1. Sami Abdurahman (Toronto Metropolitan): Instrumental Variable Quantile Regression Using Artificial Neural Networks

10. Quinlan Lee (Toronto), with C. Gourieroux: Identification of Impulse Response Functions for Nonlinear Dynamic Models

2. Ayda Abroufarakh (York), with P. Rilstone: Semiparametric Estimation of Count Regression Models Revisited

11. Alex Maynard (Guelph), with A. Anastasopoulos, N. Gradojevic, F. Liu and I. Tsiakas: Order Flow and Cryptocurrency Returns

3. Arsène Brou (Laval ): The economic value of reward-to-risk timing strategies using return-decomposition GARCH models

12. Kensuke Sakamoto (Wisconsin-Madison): Network Robust Inference for Fixed Effect Regressions

4. Jooyoung Cha (Notre Dame), with Y. Sasaki: Bounds for Standard Errors in Combined Data

13. Elisavet Serenidou (Guelph), with Y. Sun, T. Stengos: A framework of spatial models on regression discontinuity design

5. David Van Dijcke (Michigan): Regression Discontinuity Design with Distribution-Valued Outcomes

14. Farhad Shahryarpoor (SFU), with B. Antoine (SFU): Robust Estimation in Conditional Moment Models with Time-Varying Parameters

6. Wilfried Youmbi Fotso (Western), with R. Pongou and C. Takongmo: Nonparametric Analysis of Compensation Functions under Bounded Rationality

15. Guy Tchuente (Purdue), with C. Fiechter and B. Kunwar: Monetary Incentives, Landowner Preferences: Estimating Cross-Elasticities in Farmland Conversion to Renewable Energy

7. Sudipto Ghosh (Waterloo): Modeling "Good" and "Bad" Volatilities under a Threshold and Time-Smooth Realized Semivariance GARCH

16. Greg Williams: Dominion and Divergence: Creighton, Econometrics, and the National Energy Program

8. Yiran Gong (Analysis Group): A Pure Characteristics Approach for Evaluating Welfare Effects from Introducing New Products with Options

17. Cheng Zhong (York), with J. Jasiak: Intraday Functional PCA Forecasting of Cryptocurrency Returns

9. Tarek Jouini (University of Windsor): Consistent and efficient prediction with vector autoregressive modeling

Poster Session II Presenters (Saturday, October 18, 2025 from 17:30 - 18:45)

1. Young Ahn (UPenn): Revisiting the National JTPA Study: Estimation of the Distribution of Job Training Effects

10. Emile Herve Ndoumbe (Ottawa): A Regime-Switching Approach for Detecting Shock Transmission Types across Asset Markets, with an Application to Sovereign Bond Markets.

2. Thomas Chan (UBC): Adaptive Experiment Design for Estimating A Large Class of Causal Effects

11. Aryan Manafi Neyazi (York): Generalized Covariance Estimator under Misspecification and Constraints

3. Lin Chen (Vanderbilt), with Y. Sasaki: Endogenous Treatment on Networks

12. Julius Owusu (Concordia): Randomization Inference of Heterogeneous Treatment Effects under Network Interference

4. Bowen Cheng (Toronto Metropolitan): Oil and Energy Equity Spillovers: Evidence from CoVaR and Dependence-Switching Copulas

13. Tom Parker (Waterloo), with M. Kobus, R. Kurek: Ranking Policies Under Loss Aversion and Inequality Aversion

5. Jeff Hsin-Yuan Hsieh (SFU): Intrahousehold Resource Allocation in Collective Households with Large and Sparse Demand Systems

14. Adrian K. Schroeder (Toronto): Dynamic Factor Binary Panels: Identification and Particle Filter Estimation

6. Olivia Jiang (Carleton): Counterfactual Identification in Partially Identified Ordered Choice Models

15. Youngki Shin (McMaster), with Z. Lyu and Q. Zhang: Scalable BLP: Stochastic Nested Fixed Point Algorithm

7. Sunny Karim (Carleton), with M. Webb: Good Controls Gone Bad: Difference-in-differences with covaraites

16. Lonjezo Sithole (Michigan), with F. Gunsilius: Nonparametric Testability of Slutsky Symmetry

8. Chenyue Liu (Toronto): Non-parametric Identification of Dynamic Treatment Effects: a Graphical Approach to Causality

17. Stephen Snudden (Wilfrid Laurier), with Q. Lee: Exact Mixed-Frequency Data Sampling (eMIDAS)

9. Jiannan Mai (Guelph), with Y. Sun: GMM Estimation and Impulse Response Functions of Spatial Dynamic Panel Simultaneous Equations Models with Two Way Fixed Effects

18. Keita Sunada (Rochester), with K. Izumi: Optimal treatment assignment rules under capacity constraints