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This is the preliminary program for the 2009 Joint Statistical
Meetings in Washington, DC.
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Back to main JSM 2009 Program page
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| 15 | Sun, 8/2/09, 2:00 PM - 3:50 PM | |
| Nonlinear Time Series in Economics and Finance - Topic Contributed - Papers | ||
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Business and Economics Statistics Section |
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| Organizer(s): Michael Levine, Purdue University | ||
| Chair(s): Bo Li, Purdue University | ||
| 2:05 PM |
Investigating Dependence Between Time Series: —  Hernando Ombao, Brown University
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| 2:25 PM |
A new approach to confidence interval construction in time series. — Xiaofeng Shao, University of Illinois at Urbana-Champaign
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| 2:45 PM |
Testing the Linearity Hypothesis in Nonlinear Autoregression — Michael Levine, Purdue University
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| 3:05 PM |
Semiparametric Estimation of ARCH(8) Model — Li (Lily) Wang, The University of Georgia
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| 3:25 PM | Disc: Zhengjun Zhang, University of Wisconsin | |
| 3:45 PM | Floor Discussion | |
| 39 | Sun, 8/2/09, 2:00 PM - 3:50 PM | |
| Labor Markets and Firm Competitiveness - Contributed - Papers | ||
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Business and Economics Statistics Section |
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| Chair(s): Matilde Bini, University of Florence | ||
| 2:05 PM |
A Wavelet Analysis of the Role of Volatility in Inventories and Sales Growth in the Great Moderation — David J. Doorn, The University of Minnesota-Duluth
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| 2:20 PM |
Forecasting of Intermittent Demand Series — Micheal J. Leonard, SAS Institute Inc.; David B. Elseheimer, SAS Institute Inc.
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| 2:35 PM |
Robust Technological Clusters in Italy — Luigi
Biggeri, Italian National Statistical Institute; Matilde Bini,
University of Florence; Margherita Velucchi, Università di Firenze |
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| 2:50 PM |
Made in Italy Firms Competitiveness: A Multilevel Longitudinal Approach — Margherita Velucchi, Università di Firenze; Matilde Bini, University of Florence; Tiziana Laureti, University of Naples
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| 3:05 PM |
Data Analysis of Retail Banking Transactions Combined with Geographic Information — Wenjun
Yin, IBM; Li Xia, IBM China Research Laboratory; Ming Xie, IBM China
Research Laboratory; Jin Dong, IBM China Research Laboratory |
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| 3:20 PM |
Preference for Skew in Lotteries — Jose Mata, Nova University Lisbon
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| 3:35 PM |
Does Trade Liberalization Affect Labor Market Churning? — Hugette Sun, Bureau of Labor Statistics; Mina Kim, Bureau of Labor Statistics
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49
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Sun, 8/2/09, 4:00 PM - 5:50 PM | |
| Reconciling Large Systems of Accounts and Time Series: Methods and Practice - Invited - Papers | ||
|
Business and Economics Statistics Section |
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| Organizer(s): Baoline Chen, Bureau of Economic Analysis | ||
| Chair(s): Estela Bee Dagum, University of Bologna | ||
| 4:05 PM |
Reconciliation and Balancing of Accounts and Time Series - From Concepts to a SAS Procedure — Susie Fortier, Statistics Canada; Benoit Quenneville, Statistics Canada
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| 4:30 PM |
Cross-sectional Consistency in National Accounts: Reconciliation Methods using Optimization Techniques. — Gerardo P. Aceituno, Central Bank of Chile
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| 4:55 PM |
The Compilation of European Quarterly Sector Accounts and Supply, Use and Input-output Tables — Roberto Barcellan, European Commission - Eurostat
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| 5:20 PM |
Reconciling
the System of National Accounts for the U.S. and Estimation of
Structural Distribution of the Statistical Discrepancy — Baoline Chen, Bureau of Economic Analysis
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| 5:45 PM | Floor Discussion | |
| 64 | Sun, 8/2/09, 4:00 PM - 5:50 PM | |
| Multivariate Statistical Methods for Business Cycle Analysis - Topic Contributed - Papers | ||
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Business and Economics Statistics Section |
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| Organizer(s): Gian Luigi Mazzi, Eurostat | ||
| Chair(s): TBD TBD, TBD | ||
| 4:05 PM |
A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles — Marcelle Chauvet, University of California, Riverside; Zeynep Senyuz, University of New Hampshire
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| 4:25 PM |
Are There Common Upswings and Downswings between NAFTA Countries? — Shushanik Papanyan, The University of Texas at Arlington
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| 4:45 PM |
Obtaining early signals about US-recessions: an application of a new and efficient multivariate real-time filter (MDFA) — Marc Wildi, Institute of Data Analysis and Process Design
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| 5:05 PM |
Structural VAR based estimates of the euro area output gap:Theoretical considerations and empirical evidences — Gian Luigi Mazzi, Eurostat; James Mitchell, National Institute of Economic and Social Research; Filippo Moauro, Eurostat
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| 5:45 PM | Floor Discussion | |
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87
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Mon, 8/3/09, 8:30 AM - 10:20 AM | |
| Statistical Techniques for Estimating DSGE Models and Macroeconomic Policy Analysis - Invited - Papers | ||
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Business and Economics Statistics Section, Section on Government Statistics |
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| Organizer(s): Atsushi Inoue, North Carolina State University | ||
| Chair(s): Barbara Rossi, Duke University | ||
| 8:35 AM |
Testing for Identification in Possibly Nonlinear Models — Atsushi Inoue, North Carolina State University; Barbara Rossi, Duke University
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| 9:00 AM |
DSGE Model Based Forecasting of Non-modelled Variables — Frank Schorfheide, The University of Pennsylvania; Keith Sill, Federal Reserve Bank of Philadelphia
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| 9:25 AM |
Statistical Techniques for Estimating DSGE Models and Macroeconomic Policy Analysis — Christopher Otrok, University of Virginia; Eric Young, University of Virginia
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| 9:50 AM |
Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks — Lutz Kilian, The University of Michigan
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| 105 | Mon, 8/3/09, 8:30 AM - 10:20 AM | |
| Revisions and Regression Effects in Official Time Series - Topic Contributed - Papers | ||
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Business and Economics Statistics Section, Section on Government Statistics |
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| Organizer(s): Tucker S. McElroy, U.S. Census Bureau | ||
| Chair(s): Peter B. Kenny, PBK Research | ||
| 8:35 AM |
A review of revisions — Gary
Brown, Office for National Statistics; Tullio Buccellato, Office for
National Statistics; Nigel Stuttard, Office for National Statistics;
Robin Youll, Office for National Statistics |
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| 8:35 AM |
Revision analysis of key economic indicators: A comparison between Euro area and US data — Dominique Ladiray, Insee; Gian Luigi Mazzi, Eurostat
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| 9:15 AM |
Sources of Revisions of Seasonally Adjusted Real Time Data — Jens Mehrhoff, Deutsche Bundesbank
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| 9:35 AM |
Investigating Quarterly Trading Day Effects — Kathleen M. McDonald-Johnson, U.S. Census Bureau; David Findley, U.S. Census Bureau; Erica Cepietz, U.S. Census Bureau
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| 9:55 AM |
Comparison of X-12-ARIMA Trading Day and Holiday Regressors with Country Specific Regressors — Christopher
Roberts, University of Missouri-Columbia; Scott Holan, University of
Missouri-Columbia; Brian C. Monsell, U.S. Census Bureau |
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| 10:15 AM | Floor Discussion | |
| 123 | Mon, 8/3/09, 8:30 AM - 10:20 AM | |
| Unit Roots and Cointegration - Contributed - Papers | ||
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Business and Economics Statistics Section |
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| Chair(s): Ka S. Man, Western Illinois University | ||
| 8:35 AM |
Bootstrap unit root tests by a simple approach — Guodong Li, The University of Hong Kong
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| 8:50 AM |
Density functions of multivariate Augmented Dickey Fuller tests with cross sectional dependence — Roy Cerqueti, University of Macerata; Claudio Lupi, University of Molise; Mauro Costantini, University of Vienna
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| 9:05 AM |
A frequency domain approach for testing for second order stationarity — Yogesh Dwivedi, Texas A&M University
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| 9:20 AM |
Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests — Stephan Smeekes, Maastricht University; Franz C. Palm, Maastricht University; Jean-Pierre Urbain, Maastricht University
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| 9:35 AM |
Bootstrap Tests of Stationarity — Tara M. Sinclair, The George Washington University; James Morley, Washington University in St. Louis
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| 9:50 AM |
Cointegration Vector Estimation by Dols for a Three-Dimensional Panel — Luis Melo, Central Bank of Colombia; John Leon, Inter American Development Bank; Dagoberto Saboya, Central Bank of Colombia
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| 10:05 AM |
Unit Root Testing and Estimation In Nonlinear ESTAR Model With Non-Normal Error — David Peel, Lancaster University ; Umair Khalil, University of Peshawar; Fazli Qadir, University of Peshawar
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| 145 | Mon, 8/3/09, 10:30 AM - 12:20 PM | |
| Advances in Time Series Econometrics - Topic Contributed - Papers | ||
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Business and Economics Statistics Section, Section on Government Statistics |
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| Organizer(s): Barbara Rossi, Duke University | ||
| Chair(s): TBD TBD, TBD | ||
| 10:35 AM |
The Moving Blocks Bootstrap for Panel Linear Regression Models with Individual Fixed Effects — Silvia Goncalves, University of Montreal
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| 10:55 AM |
Heteroskedasticity, Autocorrelation, and Spatial Correlation Robust Inference in Linear Panel Models with Fixed-Effects — Tim Vogelsang, Michigan State University
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| 11:15 AM |
The Propagation of Regional Recessions — Michael Owyang, Federal Reserve Bank of Saint Louis; James Hamilton, University of California, San Diego
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| 11:35 AM |
Local GMM Estimation of Time Series Models with Conditional Moment Restrictions — Nikolay Gospodinov, Concordia University; Taisuke Otsu, Yale University
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| 11:55 AM |
Sensitivity
of Impulse Responses to Small Low Frequency Co-movements: Reconciling
the Evidence on the Effects of Technology Shocks — Nikolay Gospodinov, Concordia University; Alex Maynard, University of Guelph; Elena Pesavento, Emory University
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| 12:15 PM | Floor Discussion | |
| 168 | Mon, 8/3/09, 10:30 AM - 12:20 PM | |
| Inequality and Wage Differentials - Contributed - Papers | ||
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Business and Economics Statistics Section |
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| Chair(s): Carla Inclan, Freddie Mac | ||
| 10:35 AM |
What Differentiates Between Women and Men in the Labor Market — Edna
Schechtman, Ben Gurion University of the Negev; Shlomo Yitzhaki,
Central Bureau of Statistics; Yulanda Geva, Central Bureau of
Statistics |
|
| 10:50 AM |
Multiple Imputation for Top-Coded Wages in German Social Security Register Data — Thomas Büttner, Institute for Employment Research; Susanne Rässler, Otto-Friedrich University Bamberg
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| 11:05 AM |
Are job centres more effective when caseloads are reduced? - An evaluation of a regional pilot project — Katja
Wolf, Institute for Employment Research; Barbara Hofmann, Institute for
Employment Research; Gerhard Krug, Institute for Employment Research |
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| 11:20 AM |
Establishment Wage Differentials and Occupational Employment — Jane G. Osburn, Bureau of Labor Statistics
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| 11:35 AM |
Transparent Commerce: In the others we trust — Raul Moreno Izquierdo, URJC
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| 11:50 AM |
Interpreting the Cumulative Frequency Distribution of Socio-economic Data — Othmar W. Winkler, Georgetown University
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| 12:05 PM |
An Efficient Algorithm for the Computation of the Gini Coefficient of the Generalized Beta Distribution of the Second Kind — Monique Graf, Swiss Federal Statistical Office
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| 169 | Mon, 8/3/09, 10:30 AM - 12:20 PM | |
| Topic Contributed Oral Poster Presentations: Special Adjustments for Offical Time Series - Topic Contributed - Poster Presentations | ||
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Business and Economics Statistics Section |
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| Organizer(s): Brian C. Monsell, U.S. Census Bureau | ||
| Chair(s): Lara Schmidt, RAND Corporation | ||
| Poster Topic: Time series, wavelet analysis, signal processing: | ||
| 39: |
Update on the Development of X-13A-S — Brian C. Monsell, U.S. Census Bureau
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| 40: |
Detecting Stock Calendar Effects in U.S. Census Bureau Inventory Series — Natalya Titova, U.S. Census Bureau; Brian C. Monsell, U.S. Census Bureau
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| 41: |
Constructing an Easter regressor for a stock series in X-12-ARIMA — Julian Chow, Office for National Statistics; Kevin Moore, Office for National Statistics
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| 170 | Mon, 8/3/09, 10:30 AM - 12:20 PM | |
| Topic Contributed Oral Poster Presentations: Softwear for Seasonal Adjustment & Benchmarking - Topic Contributed - Poster Presentations | ||
|
Business and Economics Statistics Section |
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| Organizer(s): Brian C. Monsell, U.S. Census Bureau | ||
| Chair(s): Lara Schmidt, RAND Corporation | ||
| Poster Topic: Time series, wavelet analysis, signal processing: | ||
| 42: |
PROC TSRAKING: An In-house SAS® Procedure for Balancing Time Series — Joana Bérubé, Statistics Canada; Susie Fortier, Statistics Canada
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| 43: |
Recent Developments in Statistics Canada's Time Series Processing System - Transition to SAS PROC X12 — Michel Ferland, Statistics Canada; Susie Fortier, Statistics Canada
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| 44: |
X-12-ARIMA vs PROC X12: The UK experience — Kevin
Moore, Office for National Statistics; Emma Hooper, Office for National
Statistics; Begoña Martín, Office for National Statistics; David Rose,
SAS Institute Inc. |
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| 45: |
Simplifying Seasonal Adjustment Using X-12-ARIMA With Win X-12 and X-12-Graph — Demetra Lytras, U.S. Census Bureau
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| 174 | Mon, 8/3/09, 10:30 AM - 12:20 PM | |
| Regular Contributed Oral Poster Presentations - Contributed - Poster Presentations | ||
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Business and Economics Statistics Section |
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| Poster Topic: Time series, wavelet analysis, signal processing: | ||
| 75: |
Efficiently Forecasting Thousands of Employment Series for Sub-State Areas — David E. Byun, Bureau of Labor Statistics; Thomas Evans, Bureau of Labor Statistics
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| Poster Topic: Applications and case studies: | ||
| 80: |
Modeling Hourly Day-Ahead Electricity Demand in the MISO Market. — V.
A. Samaranayake, Missouri University of Science and Technology;
Prasenjit Shil, Ameren Services; Asitha Edirisingha, Missouri
University of Science and Technology |
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| Poster Topic: Business, financial, and marketing statistics: | ||
| 90: |
A Longitudinal Study of Nigerian Stock Prices — Dallah Hamadu, University of Lagos; Ismaila Adeleke, University of Lagos
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| Poster Topic: Linear models, GLMs, parametric methods: | ||
| 91: |
Restricted Linear Models: Which Estimator Performs Better? — Luis Frank, University of Buenos Aires
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| Poster Topic: Economics, game theory: | ||
| 92: |
Do Laspeyers Preferences still hold true? An Evaluation of the Expenditure Weights from the Consumer Price Index — Joshua Klick, Bureau of Labor Statistics
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| Poster Topic: Computational statistics, numerical methods, simulation: | ||
| 93: |
Imporving prediction accuracy of logistic regression — Zhiyuan Dong, University of Cincinnati; Martin Levy, University of Cincinnati; Yan Yu, University of Cincinnati
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| Poster Topic: Business, financial, and marketing statistics: | ||
| 94: |
Investment Strategy and Decisions — Les Yen, University of Phoenix; Gretchen Colon-Miranda, University of Phoenix/NVA
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| Poster Topic: Bayesian statistics, hierarchical models: | ||
| 95: |
The
Application of the Bayesian Statistics in Portfolio Selection :
Background and Case Study of the S&P 500 yearly returns. — Isaac Kpodonou, University of the District of Columbia
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| Poster Topic: Spatial statistics, spatio-temporal modeling, GIS: | ||
| 96: |
Cautionary Tales on Spatial Weights — Jerry Platt, University of Redlands
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| Poster Topic: Business, financial, and marketing statistics: | ||
| 97: |
Modeling Effects between Bond Market Returns and Price Inflation Measured on a Daily Basis — Yuliya V. Yurova, University of Illinois at Chicago; Houston H. Stokes, University of Illinois at Chicago
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| 98: |
Efficient Quantile Regression — Yoonsuh
Jung, The Ohio State University; Yoonkyung Lee, The Ohio State
University; Steven N. MacEachern, The Ohio State University |
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| Poster Topic: Economics, game theory: | ||
| 99: |
Recession Statistics 101 — Les Yen, University of Phoenix; Heather Posey, University of Phoenix/NVA
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| Poster Topic: Mathematical statistics, distribution theory, robust statistics: | ||
| 100: |
Variable Selection, Constrained and Shrinkage Estimation in Multivariate Regression Models — Ejaz S. Ahmed, University of Windsor; Severien Nkurunziza, University of Windsor
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| 177 | Mon, 8/3/09, 12:30 PM - 1:50 PM | |
| Business and Economics Statistics Section Roundtable with Lunch (fee event) - Roundtables - with Lunch | ||
|
Business and Economics Statistics Section |
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| Organizer(s): Graham Elliott, University of California, San Diego | ||
| ML14: |
What Makes the Introductory Course in Applied Statistics for Business Students Different? — John McKenzie, Babson College
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| 206 | Mon, 8/3/09, 2:00 PM - 3:50 PM | |
| Trends and Forecasts in Time Series - Topic Contributed - Papers | ||
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Business and Economics Statistics Section |
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| Organizer(s): Tucker S. McElroy, U.S. Census Bureau | ||
| Chair(s): Stuart Scott, Bureau of Labor Statistics | ||
| 2:05 PM |
Equivalent Reproducing Kernels for Smoothing Spline Predictors — Silvia Bianconcini, University of Bologna; Estela Bee Dagum, University of Bologna
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| 2:25 PM |
An assessment of trend estimation methods — Yorghos Tripodis, Boston University
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| 2:45 PM |
Kernel Singular Spectrum Analysis: nonlinear forecasting using a linear method — Theodore Alexandrov, University of Bremen
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| 3:05 PM |
Issues in Trend estimates for Official Statistics — Begoña
Martín, Office for National Statistics; Paul Smith, Office for National
Statistics; Duncan Elliott, Office for National Statistics; Gary Brown,
Office for National Statistics |
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| 3:25 PM |
The CES/JOLTS Divergence: How to Apply the Monthly Alignment Method to Help Close the Gap — Jeannine M. Mercurio, Bureau of Labor Statistics; Edmond Cheng, Bureau of Labor Statistics
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| 3:45 PM | Floor Discussion | |
| 213 | Mon, 8/3/09, 2:00 PM - 3:50 PM | |
| New Approaches in Econometrics - Contributed - Papers | ||
|
Business and Economics Statistics Section |
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| Chair(s): TBD TBD, TBD | ||
| 2:05 PM |
Tests for causality between two infinite-order vector autoregressive series — Chafik Bouhaddioui, United Arab Emirates University; Jean-Marie Dufour, McGill University
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| 2:20 PM |
Efficient
Nonparametric IV Estimation of Local Average Treatment Effects Using
the Estimated Propensity Score and a Test for Unconfoundedness — Robert
P. Lieli, The University of Texas at Austin; Stephen Donald, The
University of Texas at Austin; Hsu Yu-Chin, The University of Texas at
Austin |
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| 2:35 PM |
Score test based on GEL in the presence of weakly identified nuisance parameters — Saraswata Chaudhuri, The University of North Carolina at Chapel Hill
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| 2:50 PM |
Wald Tests for detecting Multiple Structural Changes in Persistence — Mohitosh Kejriwal, Purdue University; Pierre Perron, Boston University; Jing Zhou, BlackRock, Inc.
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| 3:05 PM |
Dynamic factors in periodic time-varying regression models — Marius
Ooms, Vrije Universiteit Amsterdam; Virginie Dordonnat, Electricité de
France; Siem Jan Koopman, Vrije Universiteit Amsterdam |
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| 3:20 PM |
Detecting and Testing Change Points in Nonparametric Models based on Series Estimation Methods — Yingxing Li, Cornell University; Haiqiang Chen, Cornell University
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| 3:35 PM | Floor Discussion | |
| CE_23C | Tue, 8/4/09, 8:30 AM - 5:00 PM | RH-Meeting Rooms 12, 13, 14 |
| State Space Time Series Analysis in Practice - Continuing Education - Course | ||
|
ASA, Business and Economics Statistics Section |
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| Instructor(s): Siem Jan Koopman, Vrije Universiteit Amsterdam | ||
| This course is designed for applied statisticians and students who are interested in time series analysis and forecasting. It provides a practical guide to the state space approach for time series. We start with a simple model and discuss its statistical properties, estimation and use for forecasting. Topics to be covered include the Kalman filter, smoothing methods, unobserved components, signal extraction, forecasting, stochastic volatility and simulation. We introduce the concepts by referring to the basic model throughout the course and show the more general implications via illustrations. A wide range of applications are covered including financial time series (returns, volatility, risk), economics (inflation, unemployment), engineering (signal extraction), medicine (intervention analysis), and marketing (multiple time series). They are illustrated with the OxMetrics software system, including the user-friendly packages STAMP and SsfPack. Attendees of this course will gain a good knowledge of the basic ideas of state space time series analysis and how they can be applied. Only a basic knowledge of regression theory is required. | ||
| 260 | Tue, 8/4/09, 8:30 AM - 10:20 AM | |
| Benchmarking and Reconciliation - Topic Contributed - Papers | ||
|
Business and Economics Statistics Section, Social Statistics Section |
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| Organizer(s): Tucker S. McElroy, U.S. Census Bureau | ||
| Chair(s): Dominique Ladiray, Insee | ||
| 8:35 AM |
Illustration and Convergence Property of the Nonparametric Iterative Smoothing Method for Benchmarking and Temporal Distribution — Benoit Quenneville, Statistics Canada; Susie Fortier, Statistics Canada; Christian Gagné, Statistics Canada
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| 8:55 AM |
Testing Time Series Data Compatibility for Benchmarking — Christian Gagné, Statistics Canada
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| 9:15 AM |
Simultaneous and Two-step Reconciliation of Systems of Time Series — Marco Marini, ISTAT; Tommaso Di Fonzo, University of Padua
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| 9:35 AM |
Direct vs. Indirect Seasonal Adjustment for CPS National Labor Force Series — Thomas Evans, Bureau of Labor Statistics
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| 9:55 AM |
Temporal Aggregation and Seasonal Adjustment — Nicholas von Sanden, Australian Bureau of Statistics
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|
| 10:15 AM | Floor Discussion | |
| 266 | Tue, 8/4/09, 8:30 AM - 10:20 AM | |
| Statistical Data Analysis in Macroeconomics and Forecasting - Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Chair(s): TBD TBD, TBD | ||
| 8:35 AM |
The Ability of the Comunicational Bias to Predict The Direction of Monetary Policy Rates in an Emerging Economy — Pablo M. Pincheira, Central Bank of Chile
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| 8:50 AM |
On the Estimation of Forecasters' Loss Function Using Density Forecasts — Kajal Lahiri, University at Albany, SUNY; Fushang Liu, SUNY - Albany
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| 9:05 AM |
Forecasting and Estimation Models of GDP — Les Yen, University of Phoenix
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| 9:20 AM |
Common Factors in Commodity Price Movements — Joseph Gruber, Federal Reserve Board; Robert Vigfusson, Federal Reserve Board
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| 9:35 AM |
Constructive Data Mining: Modeling Argentine Broad Money Demand — Neil R. Ericsson, Federal Reserve Board; Steven B. Kamin, Federal Reserve Board
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| 9:50 AM |
Modeling monetary policy in real time: Does discreteness matter? — Andrey Sirchenko, European University Institute
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| 10:05 AM |
Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators — Ataman Ozyildirim, The Conference Board; Brian Schaitkin, The Conference Board; Victor Zarnowitz, The Conference Board
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| 302 | Tue, 8/4/09, 10:30 AM - 12:20 PM | |
| Forecasting and Real-Time Data - Topic Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Organizer(s): Tatevik Sekhposyan, The University of North Carolina at Chapel Hill | ||
| Chair(s): Silvia Goncalves, University of Montreal | ||
| 10:35 AM |
Revisions to PCE Inflation Measures: Implications for Monetary Policy — Dean Croushore, University of Richmond
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|
| 10:55 AM |
Has models' forecasting performance for US output growth and inflation changed over time, and when? — Tatevik Sekhposyan, The University of North Carolina at Chapel Hill; Barbara Rossi, Duke University
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|
| 11:15 AM |
Calibration and Resolution Diagnostics for Bank of England Density Forecasts — Simon van Norden, HEC Montréal; John W. Galbraith, McGill University
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| 11:35 AM |
Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy — Michael McCracken, Federal Reserve Bank of Saint Louis
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| 11:55 AM |
Why do so few macroeconomic news announcements have a significant price impact on asset prices? — Chiara
Scotti, Federal Reserve Board; Thomas Gilbert, University of
Washington; Georg Strasser, Boston College; Clara Vega, Federal Reserve
Board |
|
| 12:15 PM | Floor Discussion | |
| 324 | Tue, 8/4/09, 10:30 AM - 12:20 PM | |
| Education - Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Chair(s): Bill Parr, China Europe International Business School | ||
| 10:35 AM |
Performance of MBA Students on Assessment Test — Mammo Woldie, Texas Southern University
|
|
| 10:50 AM |
Constructing university performance indicators in Italy: A comparative approach — Tiziana Laureti, University of Naples; Margherita Velucchi, Università di Firenze
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|
| 11:05 AM |
A Test of Two Similar Particle System Models of Wage Income Distribution Conditioned on Education — John Angle, Inequality Process Institute
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|
| 11:20 AM |
Do achievement labels affect the well-being of children? Evidence from discontinuities in test scores — Marcello Sartarelli, Institute of Education
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| 11:35 AM |
Multilevel analysis of italian survey data on PhD graduates: is job consistent with education? — Matilde Bini, University of Florence; Leonardo Grilli, University of Florence
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| 11:50 AM |
Employment Trend for Business Graduates — Margaretha Hsu, Shippensburg University
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|
| 12:05 PM |
Math and Science Partnerships to Enhance Student Outcomes: Evidence of Policy Implications from the ATOMS2XP Project — Mack
Shelley, Iowa State University; Betty Latimer, Mississippi State
University; Mari Kemis, Iowa State University; Elena Polush, Iowa State
University |
|
| 326 | Tue, 8/4/09, 12:30 PM - 1:50 PM | |
| Business and Economics Statistics Section Speaker with Lunch (fee event) - Roundtables - Speaker with Lunch | ||
|
Business and Economics Statistics Section |
||
| Organizer(s): Stuart Scott, Bureau of Labor Statistics | ||
| TL09: |
Fixing Finance — Martin Baily, Brookings Institute
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|
342
|
Tue, 8/4/09, 2:00 PM - 3:50 PM | |
| Statistical Methods for Forecasting - Invited - Papers | ||
|
Business and Economics Statistics Section |
||
| Organizer(s): Tae-Hwy Lee, University of California, Riverside | ||
| Chair(s): Graham Elliott, University of California, San Diego | ||
| 2:05 PM |
Let's Do It Again: Bagging Equity Premium Predictors — Eric Hillebrand, Louisiana State University; Tae-Hwy Lee, University of California, Riverside; Marcelo C. Medeiros, Pontifical Catholic University Rio
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|
| 2:30 PM |
MIDAS Instruments — Jonathan H. Wright, Johns Hopkins University; Eric Ghysels, The University of North Carolina at Chapel Hill
|
|
| 2:55 PM |
Factor Model Forecasts of Exchange Rates — Kenneth West, University of Wisconsin-Madison
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| 3:20 PM |
Forecasting Inflation with Gradual Regime Shifts and Exogenous Information — Kistin Hubrich, European Central Bank; Timo Teraesvirta, Aarhus University; Andrés González, Central Bank of Colombia
|
|
| 3:45 PM | Floor Discussion | |
| 375 | Tue, 8/4/09, 2:00 PM - 3:50 PM | |
| Diffusion Processes Estimation and Financial Markets - Contributed - Papers | ||
|
Business and Economics Statistics Section |
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| Chair(s): Jimmy Efird, Stanford University | ||
| 2:05 PM |
Predicting the Present (with Google Trends) — Hyunyoung Choi, Google, Inc.; Hal Varian, Google, Inc.
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| 2:20 PM |
Bias Estimation for Diffusion Processes — Shan Yang, Iowa State University; Song Xi Chen, Iowa State University
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| 2:35 PM |
Automatic Time Series Model Selection — Dongik Jang, Seoul National University; Hee-Seok Oh, Seoul National University
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|
| 2:50 PM |
Multifrequency Forecasting with SAS® High-Performance Forecasting Software — Michele A. Trovero, SAS Institute Inc.; Ed Blair, SAS Institute Inc.; Micheal J. Leonard, SAS Institute Inc.
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| 3:05 PM |
The Return and Volatility Distribution the DAX Index — Yasemin Ulu, Temple University
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|
| 3:20 PM |
Econometric Analysis via Filtering for Financial Ultra-High Frequency Data — Yong Zeng, University of Missouri-Kansas City
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|
| 3:35 PM |
The Stationary, Continuous time, Discrete Space (SCD) Model with Polya Trees for Micro Data Analysis in Finance — Masaru Hashimoto, Mitsubishi UFJ Securities; Peter Lenk, The University of Michigan
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|
| 412 | Wed, 8/5/09, 8:30 AM - 10:20 AM | |
| Topics in Seasonal Time Series - Topic Contributed - Papers | ||
|
Business and Economics Statistics Section |
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| Organizer(s): Tucker S. McElroy, U.S. Census Bureau | ||
| Chair(s): Scott Holan, University of Missouri-Columbia | ||
| 8:35 AM |
Cost of Living Index Based on an Estimated Generalized Constant-Elasticity-of-Substitution Utility Function — Peter Zadrozny, Bureau of Labor Statistics
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|
| 8:55 AM |
Seasonality and Trends in the Temperature Anomaly Data from Goddard Institute for Space Studies — Peter B. Kenny, PBK Research; Tucker S. McElroy, U.S. Census Bureau
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|
| 9:15 AM |
Analyzing Seasonal Time Series with Periodic Low Volumes — Tammy Jackson, SAS Institute Inc.
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|
| 9:35 AM |
The
Rewards and Challenges of Seasonally Adjusting a Short Series: Seasonal
Adjustment Research for the U.S. Census Bureau's Quarterly Services
Survey — Rebecca J. Hutchinson, U.S. Census Bureau; Erica Wong, U.S. Census Bureau
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|
| 9:55 AM |
Detecting Seasonal Volatility: Parametric and Non-parametric Methods — Irma Hernandez-Magallanes, University of California, Berkeley
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|
| 10:15 AM | Floor Discussion | |
| 414 | Wed, 8/5/09, 8:30 AM - 10:20 AM | |
| Analysis of Financial Time Series - Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Chair(s): Viktor Todorov, Northwestern University | ||
| 8:35 AM |
Testing for Jumps in Financial Time Series — Werner Ploberger, Washington University in St. Louis; Taesuk Lee, University of Rochester/Washington University in St. Louis
|
|
| 8:50 AM |
Statistical Inference for Independent Component Analysis of Multivariate Nonlinear Financial Time Series — David S. Matteson, Cornell University; Ruey S. Tsay, The University of Chicago
|
|
| 9:05 AM |
Statistical Inference for Volatility Component Models — Fangfang Wang, The University of North Carolina at Chapel Hill; Eric Ghysels, The University of North Carolina at Chapel Hill
|
|
| 9:20 AM |
Option Pricing under Random Field Interest Rate Model with Stochastic Volatility — Baowei Xu, The University of North Carolina at Chapel Hill; Chuanshu Ji, The University of North Carolina at Chapel Hill
|
|
| 9:35 AM |
Long Run Risks in the Term Structure of Interest Rates : Estimation — Taeyoung Doh, Federal Reserve Bank of Kansas City
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|
| 9:50 AM |
Spectral Analysis of the Term Structure of U.S. Interest Rates — Kalidas Jana, The University of Texas at Brownsville
|
|
| 10:05 AM |
Determining the Future Rate of Poisson Random Variables after Removing Variables with Too Few or Too Many Occurrences — Matthew Lindsey, The University of Texas at Tyler; Kellie Keeling, University of Denver; Robert Pavur, University of North Texas
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443
|
Wed, 8/5/09, 10:30 AM - 12:20 PM | |
| Recent Developments in Seasonal Adjustment Methodology - Invited - Papers | ||
|
Business and Economics Statistics Section, Section on Government Statistics |
||
| Organizer(s): Brian C. Monsell, U.S. Census Bureau | ||
| Chair(s): Tucker S. McElroy, U.S. Census Bureau | ||
| 10:35 AM |
Recent Developments in Trend-cycle Prediction for Real Time Analysis — Estela Bee Dagum, University of Bologna; Silvia Bianconcini, University of Bologna
|
|
| 11:00 AM |
Identification of Problematic Series in Model-Based Seasonal Adjustment of Large Sets. — Agustin Maravall, Bank of Spain
|
|
| 11:25 AM |
Stock Series Holiday Regressors Generated By Flow Series Regressors — David Findley, U.S. Census Bureau
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|
| 11:50 AM |
Periodic Unobserved Components in Seasonal Time Series — Siem Jan Koopman, Vrije Universiteit Amsterdam
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|
| 12:15 PM | Floor Discussion | |
| 461 | Wed, 8/5/09, 10:30 AM - 12:20 PM | |
| Bayesian Estimation of Diffusion Models - Topic Contributed - Papers | ||
|
Business and Economics Statistics Section, Section on Bayesian Statistical Science |
||
| Organizer(s): Osnat Stramer, The University of Iowa | ||
| Chair(s): Osnat Stramer, The University of Iowa | ||
| 10:35 AM |
Bayesian Filtering for Jump-diffusions — Andrew Golightly, Newcastle University
|
|
| 10:55 AM |
Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data — Viktor Todorov, Northwestern University
|
|
| 11:15 AM |
Bayesian Inference for Discretely Sampled Diffusion Processes — Matthew Bognar, The University of Iowa
|
|
| 11:35 AM |
Particle
Filter for Partially Observed Stochastic Partial Differential Equation
with Fractional Levy Ornstein-Uhlenbeck Stochastic Volatility — Jaya Bishwal, The University of North Carolina at Charlotte
|
|
| 11:55 AM |
EMM MCMC and Bayesian Parameter Estimation for a Partially Observed Nonlinear Diffusion Process — Paul Schneider, University of Warwick; Osnat Stramer, The University of Iowa
|
|
| 12:15 PM | Floor Discussion | |
| 476 | Wed, 8/5/09, 10:30 AM - 12:20 PM | |
| Statistical Methods for Analyzing Socio-Economic Data - Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Chair(s): John Bremer, Harris Interactive | ||
| 10:35 AM |
Using Backward Means to Eliminate Individual Effects from Dynamic Panels — Gerdie Everaert, Ghent University
|
|
| 10:50 AM |
Application of variable selection method via spectral analysis to seasonal linear models in some call volume forecasting — Myung Suk Kim, Sogang University; Taek Soo Shin, Citi Bank
|
|
| 11:05 AM |
Nonresponse Bias Study for the Annual Capital Expenditures Survey — Justin Z. Smith, U.S. Census Bureau; Katherine J. Thompson, U.S. Census Bureau
|
|
| 11:20 AM |
Regression for recovery rates with both continuous and discrete characteristics — Raffaella Calabrese, University of Milan-Bicocca
|
|
| 11:35 AM |
A Semiparametric Bayesian Approach to Account for Missing Covariates in Choice Models — Yi Qian, Northwestern University; Hui Xie, University of Illinois
|
|
| 11:50 AM |
Statistical Methods for Assessing Patent Quality and Validity — Alejandro Veen, IBM Research
|
|
| 12:05 PM |
Finding Unexpected Interactions in Discrete Choice Experiments: A Case Study — John Lawson, Brigham Young University
|
|
| 509 | Wed, 8/5/09, 2:00 PM - 3:50 PM | |
| Seasonal Adjustment Methodology - Topic Contributed - Papers | ||
|
Business and Economics Statistics Section, Social Statistics Section |
||
| Organizer(s): Tucker S. McElroy, U.S. Census Bureau | ||
| Chair(s): Theodore Alexandrov, University of Bremen | ||
| 2:05 PM |
On the Impact of Sampling Error on Modeling Seasonal Time Series — Stuart
Scott, Bureau of Labor Statistics; Michail Sverchkov, BAE Systems
IT/Bureau of Labor Statistics; Danny Pfeffermann, Hebrew
University/University of Southampton |
|
| 2:25 PM |
On X11 Seasonal Adjustment and estimation of its MSE — Michail
Sverchkov, BAE Systems IT/Bureau of Labor Statistics; Stuart Scott,
Bureau of Labor Statistics; Danny Pfeffermann, Hebrew
University/University of Southampton |
|
| 2:45 PM |
A Bayesian Approach to Seasonal Long Memory — Scott Holan, University of Missouri-Columbia; Tucker S. McElroy, U.S. Census Bureau
|
|
| 3:05 PM |
An Empirical Evaluation of Signal Extraction Goodness-of-fit Diagnostic Tests — Christopher Blakely, U.S. Census Bureau; Tucker S. McElroy, U.S. Census Bureau
|
|
| 3:25 PM |
The Detection of Cycles in Raw and Seasonally Adjusted Data — Tucker S. McElroy, U.S. Census Bureau; Scott Holan, University of Missouri-Columbia
|
|
| 3:45 PM | Floor Discussion | |
| 514 | Wed, 8/5/09, 2:00 PM - 3:50 PM | |
| Statistical Methods in Finance - Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Chair(s): Timothy Bogong Li, SHCG - SunTrust Mortgage, Inc. | ||
| 2:05 PM |
Estimated quasi-likelihood estimator on GARCH models with heavy tailed and skewed innovations and its applications — Taewook Lee, Hankuk University of Foreign Studies
|
|
| 2:20 PM |
Finite Sample Properties of classcial testings on long memory HYGARCH models — Muyi Li, The University of Hong Kong
|
|
| 2:35 PM |
Backdating Stock Options: Governance and Executive Incentives — Don
R. Warren, The University of Texas at San Antonio; Mary Zey, The
University of Texas at San Antonio; John Garza, The University of Texas
at San Antonio |
|
| 2:50 PM |
Robust Parsimonious Multivariate GARCH Models — Lingyu Zheng, Temple University; Williams Wei, Temple University
|
|
| 3:05 PM |
Secondary Mortgage Market Repurchase Forecast through Survival Analysis — Bogong T. Li, Statistical Guidance Co.
|
|
| 3:20 PM |
Estimation of Conditional Distribution of Market Returns — Yuzhi Cai, University of Plymouth
|
|
| 3:35 PM |
Recursive estimation using combined optimal estimating functions — Melody Ghahramani, University of Winnipeg; Aerambamoorthy Thavaneswaran, University of Manitoba
|
|
|
551
|
Thu, 8/6/09, 8:30 AM - 10:20 AM | |
| Temporal and Cross Sectional Consistency in Purchasing Power Parities - Topic Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Organizer(s): Kim Zieschang, International Monetary Fund | ||
| Chair(s): TBD TBD, TBD | ||
| 8:35 AM |
An
Econometric Approach to Construct World Tables of Purchasing Power
Parities and Real Incomes: Analytical Properties and Tables for
1970-2005 — D.S. Prasada Rao, University of Queensland; Alicia Rambaldi, University of Queensland; H.E. Doran, University of Queensland
|
|
| 8:55 AM |
Index Number Approaches to Spatial and Temporal Consistency: Comparing the 1985 and 2005 ICP Global Benchmarks — W.
Erwin Diewert, University of British Columbia; D.S. Prasada Rao,
University of Queensland; Kim Zieschang, International Monetary Fund |
|
| 9:15 AM |
Updating and Backdating the 2005 ICP Results: Isolating Sample Design Effects with Application to Asia — Yuri Dikhanov, World Bank; Nada Hamadeh, World Bank
|
|
| 9:35 AM |
Intertemporal Comparisons of Regional Price Parities in the United States, 2003-2007 — Bettina H. Aten, U.S. Bureau of Economic Analysis
|
|
| 10:15 AM | Floor Discussion | |
| 571 | Thu, 8/6/09, 8:30 AM - 10:20 AM | |
| Statistical Methods - Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Chair(s): Marco A.R. Ferreira, University of Missouri-Columbia | ||
| 8:35 AM |
An Analysis of Segmented Ratios — William D. Heavlin, Google, Inc.
|
|
| 8:50 AM |
On the optimal degree of smoothness for a Hodrick Prescott Filter — Munir Jalil, Universidad Nacional de Colombia; Javier Acosta, Universidad Nacional de Colombia
|
|
| 9:05 AM |
Just a few more moments: the g-and-h distribution — James B. McDonald, Brigham Young University; Patrick Turley, Brigham Young University
|
|
| 9:20 AM |
Towards Learning Similarity Measures for Uncertain Features — Ming
Xie, IBM China Research Laboratory; Bin Zhang, IBM China Research
Laboratory; Li Xia, IBM China Research Laboratory; Jin Yan Shao, IBM
China Research Laboratory; Wenjun Yin, IBM; Jin Dong, IBM China
Research Laboratory |
|
| 9:35 AM |
Temporal aggregation of long memory processes and ARFIMA approximations — Ka S. Man, Western Illinois University
|
|
| 9:50 AM |
Testing the Equivalence of Means from a Multivariate Normal Population and Its Application to Investment — Hubert
J. Chen, National Cheng-Kung University; Yen-Chi Huang, National
Cheng-Kung University; Minglong A. Wang, National Cheng-Kung University
|
|
| 10:05 AM |
Computational Methods for DSGE Models with Recursive Utility — Eric
M. Aldrich, Duke University; Jesus Fernandez-Villaverde, The University
of Pennsylvania; Howard Kung, Duke University; Juan Rubio-Ramirez, Duke
University |
|
|
579
|
Thu, 8/6/09, 10:30 AM - 12:20 PM | |
| Measuring Financial and Real Sector Linkages - Invited - Papers | ||
|
Business and Economics Statistics Section |
||
| Organizer(s): Kim Zieschang, International Monetary Fund | ||
| Chair(s): Kim Zieschang, International Monetary Fund | ||
| 10:35 AM |
The
End of the Great Moderation? How Better Monetary Statistics Could Have
Signaled the Systemic Risk Precipitating the Financial Crisis — William A. Barnett, The University of Kansas; Marcelle Chauvet, University of California, Riverside
|
|
| 11:05 AM |
Computing Real Bank Services — Dennis Fixler, Bureau of Economic Analysis; Marshall B. Reinsdorf, Bureau of Economic Analysis
|
|
| 11:35 AM |
Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach — William A. Barnett, The University of Kansas; Marcelle Chauvet, University of California, Riverside; Tierney Heather, College of Charleston
|
|
| 12:05 PM | Floor Discussion | |
| 588 | Thu, 8/6/09, 10:30 AM - 12:20 PM | |
| Methods, Computing and Application of Copulas - Topic Contributed - Papers | ||
|
Business and Economics Statistics Section, SSC |
||
| Organizer(s): Jun Yan, University of Connecticut | ||
| Chair(s): Jun Yan, University of Connecticut | ||
| 10:35 AM |
Properties and uses of the empirical copula process — Christian Genest, Université Laval
|
|
| 10:55 AM |
Copula-based tests of independence among continuous random vectors — Ivan Kojadinovic, The University of Auckland
|
|
| 11:15 AM |
Archimedean Copulas and Beyond — Johanna Neslehova, ETH Zurich
|
|
| 11:35 AM |
Local power analyses of goodness-of-fit tests for copulas — Jean-Francois Quessy, Universite du Quebec a Trois-Rivieres
|
|
| 11:55 AM |
Hierarchical Insurance Claims Modeling — Emiliano A. Valdez, University of Connecticut; Edward W. Frees, University of Wisconsin-Madison
|
|
| 12:15 PM | Floor Discussion | |
| 611 | Thu, 8/6/09, 10:30 AM - 12:20 PM | |
| Default, Multivariate Risk, and Copula Models - Contributed - Papers | ||
|
Business and Economics Statistics Section |
||
| Chair(s): Zhaogang Song, Cornell University | ||
| 10:35 AM |
Building Default Models for Subprime Mortgages: Assessing the Risk in a Rapidly Changing Environment — Vladimir Ladyzhets, Babson Capital Management LLC
|
|
| 10:50 AM |
The Time of Recovery and Ruin Probabilities in risk Model — Min Deng, Maryville University of St. Louis
|
|
| 11:05 AM |
Contagion, Confusion, and the Panic of 2008 — David J. Hamrick, Boston University
|
|
| 11:20 AM |
Modeling Currency Exchange Rate Dependency Between Taiwan and Japan — Yi-Kuan Jong, St. John's University
|
|
| 11:35 AM |
Tracking Problems, Hedge Fund Replication and Alternative Beta — Guillaume Weisang, Bentley University; Thierry Roncalli, University of Evry
|
|
| 11:50 AM |
Border Region Municipal Water Consumption Forecast Accuracy — Angel L. Molina, Jr., The University of Texas at El Paso; Thomas M. Fullerton, Jr., The University of Texas at El Paso
|
|
| 12:05 PM |
Multivariate Mixture Transition Distribution Model for Financial Transaction Data — Musen Wen, University of California, Riverside; Keh-Shin Lii, University of California, Riverside
|
|
|
JSM 2009
For information, contact jsm@amstat.org
or phone (866) 421-7169. If you have questions about the Continuing Education program,
please contact the Education Department. |