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Info-Metrics Institute | Workshop Program, 2010 September

Info-Metrics: Theory and Applications

September 24-25 at American University

Note: Friday's conference will take place in Mary Graydon Center 5 & 6. The reception will take place in Mary Graydon Center 3 & 4. Saturday's conference will take place in Ward 2.

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(Location: Mary Graydon Center 5 & 6)

9:00-10:00 AM  Registration-Coffee-Refreshments

10:00-10:05  Welcoming Remarks

Robert Lerman, Department of Economics, American University and Urban Institute (Chair – Info-Metrics Advisory Board)

10:05 – 10:25  Reflections on Arnold

Amos Golan (American U)


10:25-11:45 AM  SESSION I

Info-Metrics and Finance

Session Organizer – Michael J. Stutzer  

Chair: Michael Stutzer (U. Colorado)

1.  Canonical Methods of Pricing American Style Contingent Claims, Jamie Alcock (Cambridge and U. Queensland)

2.  On Esscher Transforms, Serena Tiong (U Iowa)

3.  Entropy and the Market Selection Hypothesis, Alvaro Sandroni (Northwestern)


11:50 AM – 12:30 PM  SESSION II

Info-Metrics and Quantiles

Chair: Robin Lumsdaine (American U)

1.  Which Quantile is the Most Informative? Maximum Likelihood, Maximum Entropy and Quantile Regression, Anil K. Bera, A. F. Galvao Jr. (U. Iowa), G. V. Montes-Rojas and S. Y. Park

2.  Incentive-Compatible Elicitation of Quantiles, Nicholas M. Kiefer (Cornell)


12:30 – 1:30 PM  LUNCH (Provided)

1:30 – 2:40 PM  SESSION III

Estimation and Inference in Moment Condition Models-I

Session Organizers: Alastair Hall and Eric Renault

Chair: Eric Renault (UNC)

1.  Robust inference for moment condition model, Taisuke Otsu (Yale)

2.  Regularized Empirical Likelihood estimators, Marine Carrasco (U. Montreal)

3.  Frequentist inference in weakly identified DSGE models, Atsushi Inoue (NCSU)


2:40 – 3:00 PM  Coffee Break

3:00 – 4:15 PM  SESSION IV

Info-Metrics and Wavelets across Statistics, Economics and Finance

Session Organizer: Ramo Gencay

Chair: Ramo Gencay (Simon Fraser U.)

1.  Discrete Wavelet Transforms Based on Zero-Phase Daubechies Filters, Donald Percival (University of Washington)

2.  Vast Volatility Matrix Inference Based on High-frequency Financial Data, Yazhen Wang (UW, Madison)

3.  Unit Root Tests with Wavelets, Ramo Gencay (Simon Fraser U)


4:30 – 5:45 PM  SESSION V

Info-Metrics and Econometrics Theory

Chair: Aman Ullah (UC Riverside)

1.  Bayesian Analysis of Moment Restriction Models Using Nonparametric Priors, Yuichi Kitamura (Yale)

2.  Forecasting with Imprecise/Indeterminate Probabilities, Teddy Seidenfeld (Carnegie Mellon), Mark Schervish and Jay Kadane

3.  Asymptotic Theory of Nonparametric Functionals with Spatial Data, Peter M. Robinson (London School of Economics)


5:50 PM  Welcoming to the Reception Remarks

Mark Levonian (Senior Deputy Comptroller, Office of the Comptroller of the Currency)


6:00 -7:30PM  Reception (Location Mary Graydon Center 3 & 4)


(Location: Ward 2)

8:00 – 9:00 AM  Coffee-Refreshments

9:00 – 10:15 AM  SESSION VI

Estimation and Inference in Moment Condition Models – II

Session Organizers: Alastair Hall and Eric Renault

Chair: Alastair Hall (U. Manchester)

1.  Large sample properties of the three-step Euclidean Likelihood estimators under model misspecification, Prosper Dovonon (Concordia)

2.  Optimal comparison of misspecified moment restriction models, Vadim Marmer (UBC) and Taisuke Otsu (Yale)

3.  Model selection test for nonnested moment inequality models, Xiaoxia Shi (UW-Madison)

10:15 – 10:30 AM  Coffee Break


10:30 – 11:30 AM  SESSION VII

Info-Metrics, Pseudo ML and EL

Chair: Esfandiar Maasoumi (Emory U.)

1.  Fourth Order Pseudo Maximum Likelihood Methods, Alberto Holly, Alain Monfort and Michael Rockinger (Swiss Finance Institute, U. Lausanne, and CEPR)

2.  Data Driven Empirical Likelihood Tests, Ximing Wu (Texas A & M)

3.  Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Many Moment Asymptotics, Mehmet Caner (NCSU)

11:30 – 11:45 AM  Coffee Break

11:45 – 12:45 PM  SESSION VIII

Info-Metrics, Games and Modeling

Session Organizer: James Bono

Chair: Teddy Seidenfeld (Carnegie Mellon)

1.  Distribution-Valued Solution Concepts, David Wolpert (NASA and Santa Fe Inst) and James Bono (American U)

2.  Identifying Strategies and Beliefs without Rationality Assumptions, James Bono (American U) and Amos Golan (American U)

3.  Info-Metrics: An Entropic Framework for Modeling Economies (Tentative Title), Ariel Caticha and Amos Golan (American U)


1:00 – 2:00 PM  LUNCH (Provided)

2:00 – 2:40 PM  SESSION IX

Info-Metrics and Risk

Chair: Douglas Miller (U. Missouri)

1.  The Bayesian Approach to Default Risk: A Guide, Michael Jacobs Jr. (OCC) and Nicholas M. Kiefer

2.  Towards an Infometric Solution to the Risk Modeling Crisis: The Canon of Plausible Inference and the Representation of Observed Data, Alberto Solana-Ortega (CSIC, Spain) and V. Solana


2:40 – 4:00 PM  SESSION X

Info-Metrics - Applications

Chair: Jeff Racine (McMaster U.)

1.  An Information Theoretic Approach to Flexible Stochastic Frontier Models, Douglas J. Miller (U. Missouri)

2.  A Latent Class Stochastic Frontier Model for Evaluating Technical Efficiency of Italian Universities: A GME Approach, Luigi Biggeri, Tiziana Laureti and Luca Secondi (National U Evaluation Committee, Italy)

3.  GME Estimation with Nonlinearities and Spatial Dependence in Club Convergence Across OECD Countries, Rossella Bernardini Papalia (U. Bologna) and S. Bertarelli.

4.  Information Theoretic Approach to Density Estimation with an Application to the U.S. Personal Income Data, Sung Y. Park (U. Illinois) and Anil K. Bera


4:00 – 4:20 PM  Coffee Break

4:20 – 5:30 PM  Round Table – Info-Metrics: Information Processing across the Sciences

Moderator: Duncan K. Foley (New School for Social Research and Santa Fe Inst.)

Ariel Caticha (SUNY Albany)

Alastair Hall (U. Manchester)

Yuichi Kitamura (Yale)

Robin Lumsdaine (American U)

Eric Renault (UNC)

Peter M. Robinson (London School of Economics)

Michael Stutzer (U Colorado)

Aman Ullah (UC Riverside)