University of California, Riverside




Conference of Advances in Econometrics:
Essays in Honor of Aman Ullah

March 13-15, 2015
Riverside Mission Inn Hotel

 All events will be at the Riverside Mission Inn Hotel at the following locations:

  • Santa Barbara Room - Sessions
  • Ho-O-Kan Room and Oriental Court - Registration, Poster Session, Breakfast, Lunch, Coffee Break, Group Picture
  • San Diego RoomConference Dinner on March 14
  • Mission Inn Restaurant Spanish PatioInformal Gathering on March 13


March 13, Friday Evening (Mission Inn Restaurant Spanish Patio)

07:00-09:00 Upon arrival, guests are invited to an informal dinner at Mission Inn Restaurant Spanish Patio, located in the Mission Inn Hotel.

March 14, Saturday

07:45-08:30 Registration
07:45-08:30 Breakfast
08:30-08:50 Welcome and Opening Remarks
Shaun Bowler, Interim Dean, College of Humanities, Arts and Social Sciences, UCR
Tom Fomby, Co-editor, Advances in Econometrics

Session 1. Tributes
Chair: Victoria Zinde-Walsh

  • Robust Approaches in Econometrics
    Victoria Zinde-Walsh
  • Finite Sample Econometrics
    Yong Bao
  • Nonparametric/Semiparametric Econometrics
    Yanqin Fan
  • Panel/Spatial Models
    Liangjun Su 

Session 2. Panel Data Models
Chair: Xiao Huang

  • “Long-Run Effects in Large Heterogeneous Panel Data Models with Cross-Sectionally Correlated Errors”
    Authors: Hashem Pesaran, Alexander Chudik, Kamiar Mohaddes, and Mehdi Raissi
  • “Semiparametric Estimation of Partially Linear Dynamic Panel Data Models with Fixed Effects”
    Authors: Liangjun Su and Yonghui Zhang
10:30-11:00 Coffee Break 

Session 3. Finite Sample Econometrics and Nonparametric Specification Test
Chair: Kusum Mundra

  • “Finite Sample Bias Corrected IV Estimation for Weak and Many Instruments”
    Authors: Jerry Hausman and Matthew Harding
  • “Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models”
    Authors: Yong Bao
  • “Testing Strict Stationarity with Applications to Macroeconomic and Financial Time Series”

    Authors: Yongmiao Hong, Xia Wang, and Shouyang Wang

Lunch & Poster Session

  • Paper: “Financial Health and The Intensive Margin of Trade: A Nonparametric  Investigation”
    Authors: Deniz Baglan
  • Paper: “Encompassing Test for Predictive Regression with a Persistent Predictor”
    Authors: Yan Ge
  • Paper: “Online Advertisement and Conversion Rate: Evidence from the Chinese Market”
    Authors: Xiao Huang, Ming Fan and Hang Zhang
  • Paper: “Modified Multivariate Adaptive Regression Splines with Economic Application”
    Authors: Wei Lin
  • Paper: "Semiparametric Efficient Estimation of Cox Regression with Unknown Link Function"

    Authors: Ruixuan Liu
  • Paper: "Role of Immigrants' Social Networks on Their Labor Market Outcomes: a Semiparametric Analysis"
    Authors: Kusum Mundra and Fernando Rios-Avila
  • Paper: "Nonparametric Comparison of Conditional Transition Probabilities"
    Authors: Xiaojun Song and Francesco Risi
  • Paper: "Root-N Consistent Density Estimation in Semiparametric Regression Models"
    Authors: Yundong Tu
  • Paper: “Bias in the Estimation of Mean Reversion in Continuous-Time Levy Processes”
    Authors: Yun Wang, Yong Bao, Aman Ullah, and Jun Yu
  • Paper: “Censored Quantile Regression with Endogeneity in Functional Coefficient Models”
    Authors: Jie Wei 

Session 4. Information and Entropy
Chair: Yundong Tu

  • “Constructing Prior Information in the Social Sciences – An Info-Metrics Approach”
    Authors: Amos Golan and Robin Lumsdaine
  • “Is There a Naturalized Citizenship Wage Premium?”
    Authors: Esfandiar Maasoumi and Yifeng Zhu
  • “Causality and Markovianity: Information Theoretic Measures”
    Authors: Eric Renault and Daniela Scida
03:30-04:00 Coffee Break

Session 5. Semiparametric and Nonparametric Methods
Chair: Yun Wang

  • “Exploration of Smoothness: Bias and Efficiency of Nonparametric Kernel Estimators”
    Authors: Victoria Zinde-Walsh, Yulia Kotlyarova and Marcia Schafgans
  • “Local Polynomial Derivative Estimation: Analytic or Taylor?”
    Authors: Jeffrey Racine
  • “Efficient Estimation of Partially Linear Models under Nonparametric Endogeneity”
    Authors: Carlos Martins-Filho, Feng Yao, and Junsen Zhang

Group Picture, Oriental Court

March 14, Saturday Evening (San Diego Room)

06:30-09:00 Conference Dinner and Tributes

March 15, Sunday

08:15-09:00 Breakfast

Session 6. Dynamic Models
Chair:  Deniz Baglan

  • “Modeling Asymmetry and Excess Kurtosis in Stock Return Data”
    Authors: Anil Bera and Gamini Premaratne
  • Composite Likelihood Estimation of Singular State Space Systems: Applications to DSGE Models
    Authors: Serena Ng, Ivana Komunjer, and Nikolay Gospodinov
  • “Sparse Reduced-Rank Multivariate Varying Coefficient Models”

    Authors: Shujie Ma
10:30-11:00 Coffee Break

Session 7. Nonparametric Methods
Chair: Xiangdong Long

  • “Multivariate Local Polynomial Estimators: Boundary Properties and Uniform Asymptotic Linear Representation”
    Authors: Yanqin Fan and Emmanuel Guerre
  • “A Theoretically Consistent Nonparametric Estimator of the Lorenz Curve”
    Authors: Qi Li, Yu Yvette Zhang, and Ximing Wu
  • “Model Averaging over Nonparametric Estimators”
    Authors: Daniel Henderson and Christopher Parmeter
12:30-02:00 Lunch & Closing Remarks


More Information 

General Campus Information

University of California, Riverside
900 University Ave.
Riverside, CA 92521
Tel: (951) 827-1012

Department Information

Department of Economics
4128 Sproul Hall

Tel: (951) 827-3266
Fax: (951) 827-5685