Seminar on Bayesian Inference in Econometrics and Statistics (SBIES) Conference

ARCH Building, Room 208

Co-sponsored by The Warren Center

April 29, 2016 - April 30, 2016

1:15 PM - 5:30 PM

Co-sponsored by the Penn Institute for Economic Research (PIER), the Warren Center for Network and Data Sciences, the National Bureau of Economic Research, and the National Science Foundation.

The aim of the meeting is to feature presentations by young and established researchers working on the theory and application of Bayesian methods in econometrics and statistics.

Friday, April 29th:

1:15-1:25 pm: Welcoming Remarks

1:25-3:30 pm: SESSION 1 – Time Series Analysis (Chair: Thorsten Drautzburg, FRB Philadelphia)

Giorgio Primiceri, Domenico Giannone, and Michele Lenza, “Priors for the Long Run.”

Andrea Carriero, Todd Clark, and Massimiliano Marcellino, “Measuring Uncertainty and its Impact on the Economy.”

Mark Bognanni, “An Alternative Approach to VARs with Stochastic Volatility: Using Sequential Monte Carlo to Estimate the Discounted-Wishart Model.”

Daniel Kowal, David S. Matteson, and David Ruppert, “Gaussian Processes for Functional Autoregression.”

Jaeho Kim, “Efficient Bayesian Inference in Non-linear Switching State Space Models Using Particle Gibbs Sampling Approaches.”

3:30-3:55 pm: Refreshment Break  

3:55-6:00 pm: SESSION 2 – Microeconometrics (Chair: Frank DiTraglia, Penn)

Edward George, Veronika Rockova, Paul Rosenbaum, Ville Satopaa, and Jeffrey Silber, “Medicare’s Hospital Compare: Mortality Rate Estimation and Standardization for Public Reporting.”

P. Richard Hahn, Carlos Carvalho, and David Puelz, “Heterogenous Treatment Effect Estimation with Treed Linear Models.”

Martijn van Hasselt, Tim Ferland, Jeremy Bray, and Arnie Aldridge, “Bayesian Estimation of the Complier Average Causal Effect.”

William McCausland, Clintin Davis-Stober, A.A.J. Marley, Sanghyuk Park, and Nicholas Brown, “Testing Random Utility Using Falmagne’s Conditions Directly.”

Anna Simoni, Siddhartha Chib, and Minchul Shin, “Semiparametric Bayesian Estimation and Comparison of Moment Condition Models.”

7:30 pm: DINNER- Dinner will be at two locations (Zahav and the White Dog Cafe)

 

Saturday, April 30th:

8:00-8:30 am: BREAKFAST

8:30-10:10 am: SESSION 3- Decision Making and Inference (Chair: Veronika Rockova, Wharton)

Kenichiro McAlinn, and Mike West, “Dynamic Bayesian Predictive Synthesis in Time Series Forecasting.”

David Puelz, P. Richard Hahn, and Carlos Carvalho, “Penalized Utility Estimators in Finance.”

M. Amin Rahimian and Ali Jadbabaie, “Bayesian Heuristics for Group Decisions.”

Xiaming Zeng and Siddhartha Chib, “Multiple Predictive Regression When the Predictive Mean is Constrained: A Bayesian Approach.”

10:10-10:35 am: Refreshment Break  

10:35-12:40 pm: SESSION 4 – Financial Econometrics (Chair: Dongho Song, Boston College)

Daniele Bianchi and Andrea Tamoni, “The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling.”

Elena Goldman, “Bayesian Analysis of Systemic Risks Distributions.”

Jia Liu, Jim Griffin, and John Maheu, “Bayesian Nonparametric Estimation of Ex-post Variance.”

(Bill) Qiao Yang, “Stock Returns and Real Growth:  A Bayesian Nonparametric Approach.”

Taeyoung Doh, “Cash Flow and Risk Premium Dynamics in an Equilibrium Asset Pricing Model with Recursive Preferences.”

12:40-1:30 pm: LUNCH        

1:30-3:35 pm: SESSION 5 – Macroeconometrics (Chair: Mark Bognanni, FRB Cleveland)

Ed Herbst, Christopher Gust, Matthew Smith, and David Lopez-Salido, “The Empirical Implications of the Interest-Rate Lower Bound.”

James Hamilton and Christiane Baumeister, “Optimal Inference about Impulse-Response Functions and Historical Decompositions in Incompletely Identified Structural Vector Autoregressions.”

Pooyan Amir-Ahmadi, Thorsten Drautzburg, “Identification through Heterogeneity.”

Giovanni Ricco and Silvia Miranda-Agrippino, “The Transmission of Monetary Policy Shocks.”

Gianni Amisano, Domenico Giannone, and Michele Lenza, “Large Time Varying Parameter VAR Models for Macroeconomic Forecasting.”

3:35-3:50 pm: Refreshment Break              

3:50-5:30 pm: SESSION 6 – Modeling and Computations (Chair: Frank Schorfheide, Penn)

Xi Chen, Kaoru Irie, David Banks, Robert Haslinger, Jewell Thomas, and Mike West, “Bayesian Dynamic Modeling and Analysis of Streaming Network Data.”

Jingyu He, P. Richard Hahn, and Hedibert Lopes, “Elliptical Slice Sampling for Regression with Shrinkage Priors.”

Andres Ramirez Hassan, “The Interplay Between the Bayesian and Frequentist Approaches: A Spatial Panel Data Model with Fixed Effects.”

Timothy Christensen, Xiaohong Chen, and Elie Tamer, “MCMC Confidence Sets for Partially Identified Models.”

Conference site

caret-arrow