First ERID Conference October 3-4, 2008 “Identification Issues in Economics”

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October 3, 2008

Sanford Institute, Rubenstein Hall, R153

Coffee and pastries starting 8AM!

8:30-10:00 Econometrics I

Chair: Shakeeb Khan

Bo Honore’, Princeton University

"Interdependent Durations", with De Paula

Don Andrews, Yale University

"Inference for Parameters Defined by Moment Inequalities: A
Recommended Moment Selection Procedure", with P. Jia.

Frank Kleibergen, Brown University

“Weak identification robust tests in GMM and the identification of the new Keynesian Phillips curve and stochastic discount factor models”: paper1 and paper2

Coffee Break!

10:30-12:00 Macroeconomics and Time Series Econometrics I

Chair: Barbara Rossi

Atsushi Inoue, NC State,

“Testing for Weak Identification in Possibly Nonlinear Models”, with B. Rossi

Luca Sala, Bocconi University,

“Back to Square One: Identification Issues in DSGE Models”, joint with Fabio Canova

Marco Del Negro, Federal Reserve Bank of New York

“Forming priors for DSGE models”, joint with F. Schorfheide

Lunch!

12:00-1:00 PM lunch break

1:00-2:30 Applied Micro I

Chair: Joe Hotz

Andriy Norets, Princeton University

"Inference in Dynamic Discrete Choice Models with Serially Correlated Unobserved State Variables"

Matthew Shum and Yingyao Hu, JHU

"Nonparametric Identification of Dynamic Models with Unobserved State Variables"

Jason Blevins, Duke University

“Sequential MC Methods for Estimating Dynamic Microeconomic Models”

Coffee break

3:00-4:30 Econometrics II

Chair: Denis Pelletier

Arthur Lewbel, Boston College

"Returns to Lying When the Truth is Unobserved", with Yingyao Hu

Shakeeb Khan, Duke University

"Misspecification in Moment Inequality Models", with Elie Tamer

Aureo de Paula, University of Pennsylvania

"Identification and Estimation of Voter Preferences.", with A. Merlo

Coffee Break!

5:00-6:30 Macroeconomics and Time Series Econometrics II

Chair: Atsushi Inoue

Alejandro Justiniano, Chicago Fed

"Can Structural Open Economy Models Account for the Influence of Foreign

Disturbances?", joint with B. Preston

Giorgio Primiceri, Northwestern University,

“Investment shocks and business cycles”, with A. Tambalotti and A. Justiniano

Barbara Rossi, Duke University

“Which Structural Parameters are “Structural”? Identifying the Sources of Instabilities in Economic Models, with A. Inoue

October 4, 2008

Department of Economics, Soc Sci 139

Coffee and pastries starting 8:30AM

9-10:30 Applied Micro II.

Chair: Hanming Fang

Susumu Imai, Queens University

"Bayesian estimation of games of incomplete information", (with J.F. Houde, Chris Ferrall and Max Pak)

Hiroyuki Kasahara, University of Western Ontario

“Nonparametric Identification of Finite Mixture Models of Dynamic Discrete Choices” (with Katsumi Shimotsu)

Arie Beresteanu, Duke University

“Sharp Identification Regions in Games”

Coffee Break!

11:00-12:30 Asset Pricing.

Chair: Giorgio Primiceri

Craig Burnside, Duke University

“Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors”

Jonathan Wright, Johns Hopkins

"The High-Frequency Impact of News on Long-Term Yields and Forward Rates: Is it Real?" (joint with Meredith Beechey)

Motohiro Yogo, Wharton, University of Pennsylvania

"Expected Commodity Returns", with Harrison Hong

Final remarks and lunch!

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Organized by Hanming Fang and Barbara Rossi

With the financial support of ERID at Duke University