NBER/NSF TIME SERIES SEMINAR
Duke University, October 10-11, 1997
PROGRAM
- All sessions of talks were in the Geneen Auditorium, Fuqua School of Business
- The Poster presentations were combined with the Seminar reception at the Washington Duke Inn
- There were time series talks in a related session at the
Stochastic Model
Building workshop
FRIDAY 10th OCTOBER
- 11.00am - 2.45pm: Registration
-
- Located outside Geneen Auditorium, Fuqua School of Business
- 12.15pm: Welcome and Introduction
- 12.30pm - 2.15pm: SESSION 1
- Chair: Siddhartha Chib, Washington University
- F X Diebold, T A Gunther & A S Tay
- Evaluating density forecasts
- R Chen
- Smoothing with extra information and nonparametric multi-step prediction
- J H Stock & M W Watson
- Adaptive diffusion indexes
- 2.15pm - 2.45pm: Refreshments
- 2.45pm - 4.30pm: SESSION 2
- Chair: Peter Mueller, Duke University
- J F Geweke, G Amisano & M Hora
- Hidden Markov multivariate normal mixture models for multiple time series
- M K Pitt & N Shephard
- Filtering via simulation: An auxilliary variable approach
- S Sato & G Kitagawa
- Non-Gaussian modelling and analysis of volatility
- 4.30pm - 5.30pm: Free time
- 5.30pm - 8.00pm: Informal Reception and Poster Session
-
- Washington Duke Inn
- 8.00pm: Seminar Dinner, Washington Duke Inn
SATURDAY 11th OCTOBER
- 8.45am - 10.30am: SESSION 3
- Chair: Wolfgang Polasek, University of Basel
- B Putnam & J M Quintana
- Five challenging time series problems from the financial world
- A R Gallant
- Modeling interest rates in continuous time
- K D West & K Wong
- Optimal IV estimation in the presence of conditional heteroskedasticity
- 10.30am - 11.00 am: Refreshments
- 11.00am - 12.45pm: SESSION 4
- Chair: Peter Bloomfield, North Carolina State University
- N-J Hsu and F J Breidt
- Bayesian analysis of fractionally integrated ARMA models with additive noise
- A I McLeod
- Hyperbolic decay time series
- G Petris
- Bayesian spectral analysis of long memory time series
- 12.45pm - 2.00pm: Lunch (catered in the Fuqua School)
- 2.00pm - 3:45pm: SESSION 5
- Chair: Peter Brockwell, Royal Melbourne Institute of Technology and Colorado State University
- R Davis
- Recent developments in the unit root problem for moving averages
- R Prado
- Latent structure and nonstationary time series decompositions
- I Sanchez & D Peña
- Properties of predictors in overdifferenced, nearly nonstationary autoregression
- 3.45pm - 4.15pm: Refreshments
- 4.15pm - 6:00pm: SESSION 6
- Chair: David Findley, US Census Bureau
- R F Engle & A D Smith
- Endogenously mean reverting stochastic processes
- M Carrasco, X Chen, L P Hansen & J Scheinkman
- Spectral methods for analyzing nonlinear Markov processes
- J Hamilton
- A parametric maximum likelihood approach to flexible nonlinear inference
- 8.00pm: Statistics Week Social/Mixer, Washington Duke Inn