UC Riverside Department of Economics

Econometrics Spring 2006

Fridays, 4:10-5:30 pm (unless otherwise specified)
Sproul Hall 2206

Questions? Contact Aman Ullah (aman.ullah@ucr.edu) & Gloria Gonzalez-Rivera (gloria.gonzalez@ucr.edu).

When available, the papers may be downloaded as pdf files, which can be read or printed using the Acrobat Reader.

April 12 Wednesday	Kajal Lahiri (Economics Department/SUNY, Albany) joint with Economic Theory	Limits to Forcasting: How fast do we adapt to news? How far ahead can we forecast? Papers: 1 \| 2 \| 3
April 14	Timo Terasvirta (Stockholm School of Economics)	Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
April 21	Vassilis Polimenis (AGSM/UCR)	Skewness correction for asset pricing
April 26 Wednesday	James Stock (Economics Department, Harvard Univeristy) joint with Economic Theory	An Empirical Comparison of Methods for Forecasting Using Many Predictors
April 28	Allan Timmermann (Economics Department/UCSD) joint with Economic Theory	Predictability of stock returns and asset allocation under structural breaks
May 5	Oscar Jorda (UC Davis)	Projection Minimum Distance:An estimator for dynamic macro models
May 12	Kairat Mynbaev (Kazakhstan Inst of Mgt)	OLS Asymptotics for Vector Autoregressions with Deterministic Regressors
May 19	Rosa Matzkin (Northwestern University) joint with Economic Theory	Nonparametric Simultaneous Equations
May 26	Grazia Pittau (University of Rome & Columbia University)	Empirical evidence of income dynamics across EU regions
May 31 Wednesday	Joao Victor Issler (Getulio Vargas Graduate School of Economics) joint with Economic Theory	Estimating the Stochastic Discount Factor without a Utility Function
June 2	Hal White (UCSD)	Seminar (open to all): An Extended Class of Instrumental Variables for the Estimation of Causal Effects Lecture(intended for Graduate Students although everyone is welcome): A Unified Framework for Defining and Identifying Causal Effects
June 7 Wednesday	Daniel Jeske (Statistics Department/UCR)	The Effectiveness of Bootstrap Bias Correction with Heavy Tailed Distributions