Saturday 8th July 2006
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08:00-08:45
Registration
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09:00
Welcome and introduction by Professor John Bell and M. Hashem Pesaran
(University of Cambridge)
Plenary
Session - The
Auditorium
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Chuck Manski (Northwestern University)
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Discussant Manuel
Arellano
(CEMFI)
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Two problems
of partial identification with panel data
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10:30-11:00 Coffee Break
Poster Session |
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| 11:00-13:00 Parallel
Sessions |
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Session 1 :
Applications: Political Economy - Chair, Linda Veiga.
- The Linnett Room
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| Christian Lessmann (ifo Institute for
Economic Research) |
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Fiscal
decentralization and regional disparity: a panel
data approach for OECD countries |
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| António Afonso (European
Central Bank and ISEG/UTL-Technical University of Lisbon) |
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Ricardian fiscal
regimes in the European Union |
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| Leandro M. de Magalhaes and Lucas
Ferrero (Bocconi University) |
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Separation of
powers, line Item veto and the tax level:
evidence from the American states |
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| Linda Veiga (Universidade do Minho -
Portugal) and Maria Manuel Pinho (Universidade do Porto - Portugal) |
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The political economy
of intergovernmental grants:
evidence from a maturing democracy |
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Session 2 : Labour I:
Supply - Chair, Konstantinos Tatsiramos.
- The Games Room
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| Anil Kumar (Federal Reserve Bank of
Dallas) |
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Lifecycle consistent
estimation of effect of taxes on
female labor supply in the U.S: evidence from panel data |
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Shiferaw Gurmu and William J. Smith
(Georgia State University) and Keith R. Ihlanfeldt (Florida State
University)
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Does space matter to
the employment of TANF recipients?
Evidence from a dynamic discrete choice model with unobserved effect |
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| Pierre-Carl Michaud
(Rand Corporation
and Institute for the Study of Labor, Bonn) and Konstantinos Tatsiramos
(Institute for the Study of Labor, Bonn) |
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Employment
dynamics of married women in Europe |
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Session 3 : Econometric
Theory I - Chair, Badi H.
Baltagi. -
The Auditorium
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M. Hashem Pesaran
and Takashi Yamagata
(University of Cambridge) and Aman
Ullah (University of
California,
Riverside)
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A bias-adjusted LM
test of error cross section
independence |
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| Vasilis Sarafidis (University of
Sydney), Takashi Yamagata and Donald Robertson (University of Cambridge) |
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A test of cross
section dependence for a linear dynamic
panel model with regressors |
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| Geert Dhaene and Koen Jochmans
(K.U.Leuven) and Bram Thuysbaert (K.U.Leuven and Université
Laval) |
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Jackknife bias
reduction for nonlinear dynamic panel
data models with fixed effects |
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| Badi H. Baltagi (Department of
Economics and Center for Policy Research, Syracuse University), Peter
Egger (University of Munich and CESifo) and Michael Pfaffermayr
(Department of Economics, University of Innsbruck) |
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A generalized
spatial panel data model with
random
effects |
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Session 4 : Production
Function - Chair, Debdulal Mallick.
- The Auditorium
Lounge
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| Jacques Mairesse (CREST-ENSAE) and
Maria-Elena Bontempi (Ferrara University) |
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Intangible capital and productivity: an exploration on
a panel of Italian manufacturing firms |
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| Debdulal Mallick (Economics
Department, Emory University) |
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Reconciling
different estimates of the elasticity of
substitution between capital and labor |
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Session 5 : Structural
Breaks and Unit Roots - Chair, Pui Sun
Tam.
- Room J8
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| Kaddour Hadri
and Yao Rao (University
of Liverpool) |
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Panel stationarity
test with structural breaks |
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| Pui Sun Tam (Faculty of Business
Administration, University of Macau) |
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Breaking trend panel
unit root tests |
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Session 6 :
Finance - Chair, Hai-Chin Yu.
- The Umney Room
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| Ryan Greenaway-McGrevy and Donggyu Sul
(University of Auckland) |
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Common factor
structure, covariate component
representation and panel predictive regressions: application to stock
returns |
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| Carolina
Castagnetti and Eduardo Rossi
(Department of Economics and Quantitative Methods, University of Pavia) |
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Euro corporate
bonds risk factors |
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| Ingyu Chiou and James Jordan-Wagner
(Eastern Illinois University) and Hai-Chin
Yu (Chung Yuan University) |
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Does the weekday effect
of the Yen/Dollar spot rates
exist in Tokyo, London, and New York? An analysis of panel probability
distributions |
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| Sonja Keller (Nuffield College) and
Ashoka Mody (International Monetary Fund) |
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International
pricing of emerging market corporate
debt: does the corporate matter? |
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Session 7 :
Applications: Banks - Chair, Merxe Tudela.
- The Garden Room
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| Catherine Fuss (National Bank of
Belgium) and Philip Vermeulen (European Central Bank) |
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The response of
firms, investment and financing
to adverse cash flow shocks: the role of bank relationships |
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| Savas Papadopoulos (Bank of Greece and
Democritus University of Thrace) |
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Fitting
structural dynamic models on non-normal-panel
data as models on normal-cross-sectional data: applied to banking |
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| Luigi Benfratello (Università
di Torino), Fabio Schiantarelli (Boston College and IZA) and Alessandro
Sembenelli (Università di Torino) |
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Banks and
innovation: microeconometric evidence on
Italian frms |
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Orla May and Merxe Tudela (Bank of
England)
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When is mortgage
indebtedness a burden to British households? A dynamic probit approach
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| 13:00-14:00 Lunch |
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14:30-15:15 JAE Lecture
I. - The
Auditorium
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Robert Porter (Northwestern University)
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An empirical
perspective on auctions
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15:15-15:45 Coffee Break
Poster Session |
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| 15:45-17:45 Parallel
Sessions |
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Session 1 : Labour II :
Employment - Chair, Lusine
Lusinyan. -
The Linnett Room
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| Jakob Roland Munch (University of
Copenhagen) |
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International
outsourcing and individual job separations |
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| Priscila Ferreira (Institute for
Social and Economic Research, University of Essex) |
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Explaining job mobility:
an integrated analysis of the
determinants of promotions and firm separations in Portugal. |
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| Lorenzo Cappellari
(Università
Cattolica Milano) and Marco Leonardi (Università degli Studi
Milano) |
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Earnings
instability and tenure |
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| Leo Bonato
and Lusine
Lusinyan (International Monetary Fund) |
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Work absence in
Europe |
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Session 2 : Econometric
Theory II - Chair, Lorenzo
Trapani. -
The Auditorium
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| Scott E. Atkinson
and Christopher
Cornwell (University of Georgia) |
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Inference in
two-step panel data models with
time-invariant regressors |
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| Artem Prokhorov and Peter Schmidt
(Michigan State University) |
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Likelihood based
estimation with panel data |
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| Miguel A. Juárez and Mark F. J.
Steel (University of Warwick) |
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A non-Gaussian
autoregressive model for panel data |
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| Chihwa Kao
(Syracuse University), Lorenzo
Trapani (Cass
Business School and Universita' di Bergamo) and
Giovanni Urga (Cass Business School) |
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The asymptotics for
panel models with common shocks |
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Session 3 :
Development - Chair, - Katsushi
Imai. - The
Umney Room
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| Ambreen Fatima
and Azhar Iqbal
(Applied Economics Research Centre, University of Karachi) and H. M. N.
Saleem (Bristol Business School, University of the West of
England) |
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Testing determinants
of growth in heterogeneous panel |
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Sonia Bhalotro (University of
Bristol) and Arthur van Soest (RAND and Tilburg University)
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Birth spacing,
fertility and neonatal mortality in
India: dynamics, frailty and fecundity
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| Saleem Shaik (Mississippi State
University) |
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Role of panel
analysis to identify moral hazard and
adverse selection with optimal unit provision in federal crop insurance |
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Raghav Gaiha (Faculty of
Management Studies, University of Delhi) and Katsushi Imai (Economics, School of
Social Sciences, University of Manchester)
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Vulnerabiltiy and poverty
in rural India - estimates for rural south India
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Session 4 : Discrete
Choice - Chair, Renata
Bottazzi. -
The Auditorium Lounge
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| Vassilis Hajivassiliou (London School
of Economics) |
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Efficient
estimation of panel data LDV models with
simultaneity, dynamics, and regressor-random effects correlation |
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| Juan Ramón
García
(FEDEA), Sergi
Jiménez-Martín (Universitat Pompeu Fabra)
and José M. Labeaga (FEDEA and UNED) |
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Comparison of
estimators in dynamic panel data sample
selection and switching models |
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| Renata Bottazzi (Institute for Fiscal
Studies) |
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Labour
market participation and mortgage-related
borrowing constraints |
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Session 5 : Exchange
Rate and Non-Stationary Panels - Chair, Ron P.
Smith. -
The Garden Room
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| Hedi Ben Haddad (URDEE, Faculté
des Sciences Economiques et de Gestion de Sfax-Tunisie Ecole
Supérieure de Commerce de Sfax-Tunisie) |
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Structural
identification of permanent and transitory
shocks in panel VEC models |
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| M. Hashem Pesaran,
Takashi Yamagata
and Liudmyla Hvozdyk (University of Cambridge) and Ron. P. Smith (Birkbeck College) |
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Pairwise tests of
purchasing power parity using
aggregate and disaggregate price measures |
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Session 6 : Firm
Studies I - Chair, Melvyn
Weeks.. -
The Games Room
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| Christopher F Baum (Boston College),
Mustafa Caglayan (University of Glasgow) and Oleksandr Talavera
(DIW-Berlin) |
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Firm investment and
financial frictions |
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| Kim P. Huynh (Indiana University) and
Robert J. Petrunia (Lakehead University) |
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Financial
market imperfections: does it matter
for firm size dynamics? |
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| M.C. Manjon (Department of Economics,
Rovira i Virgili University) |
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Blockholders' control:
measurement, modelling, and some
evidence |
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| Melvyn Weeks (University of
Cambridge) and Helen Hay (Indepen) |
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Efficiency measurement
in the privatised English and
Welsh water and sewerage industry 1992-2004 |
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Sunday 9th July 2006
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9:00-10:30
Introduction by Dr Sean Holly (University of Cambridge)
Plenary
Session - The Auditorium
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Jonathan
Temple (University of Bristol)
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Discussant Michael
Binder
(Goethe University)
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Understanding
economic growth in a panel of countries
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| 10:30-11:00 Coffee Break |
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| 11:00-13:00 Parallel
Sessions |
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Session 1 : Economic
Growth - Chair, Michael
Graff. -
The Umney Room
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| Adriana Di Liberto (Università
di Cagliari and Crenos), Roberto Mura (University of York and Crenos)
and Francesco Pigliaru (Università di Cagliari and Crenos) |
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How to measure the
unobservable: a panel technique for
the analysis of TFP convergence |
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| Michael Binder and Susanne Broeck
(Goethe University) |
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On the relation
between investment and economic growth:
new cross-country empirical evidence |
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| Michael Graff (University of
Queensland) and Alexander Karmann (Dresden University of Technology) |
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Thresholds in the
finance-growth nexus. Empirical
evidence from a panel data analysis |
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Session 2 : Health and
Education - Chair, Decio
Coviello. - The
Auditorium Lounge
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| Erik Biorn, Terje P. Hagen and Tor
Iversen (University of Oslo) and Jon Magnussen (Norwegian University of
Science and Technology) |
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Heterogeneity in
hospitals' responses to a financial
reform: a random coefficient analysis of the impact of activity-based
financing on efficiency |
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| Jason Abrevaya and Hongfei Tang
(Purdue University) |
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Body Mass Index in
families: spousal correlation,
endogeneity, and integenerational transmission |
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| Sonia Bhalotra (Department of
Economics, University of Bristol) |
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The
irreversible health effects of economic fluctuations |
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Matteo Bobba (Inter American
Development Bank) and Decio Coviello
(European University Institute)
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Weak instruments and weak
identification in estimating the effects of education on democracy
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Session 3 : Panel
Cointegration Tests - Chair, Peter
Pedroni. -
The Garden Room
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| Joakim Westerlund (Lund University) |
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Testing for
error correction in panel data |
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| Jushan Bai
(Department of Economics,
New York University), Josep
Lluís Carrion-i-Silvestre (Department of Econometrics,
Statistics and Spanish
Economy,
Universitat de Barcelona) |
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Testing panel
cointegration with unobservable dynamic
common factors |
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| Peter Pedroni (Williams College) and
Tim Vogelsang (Cornell University) |
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Robust unit root
and cointegration rank tests for
panels and large systems |
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Session 4 : GMM
Estimation - Chair, Bernard
Fingleton.
- The Auditorium
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| Maurice Bun
(University of Amsterdam)
and Frank Windmeijer
(University of Bristol and cemmap/IFS) |
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Concentration
parameters in dynamic panel data models |
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| Anton Flossmann (University of
Konstanz) |
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Accounting for
panel attrition and nonresponse in GMM
estimation: a matching of moments approach |
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| Sule Alan (University of Cambridge),
Orazio Attanasio (University College London) and Martin Browning
(University of Copenhagen) |
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Estimating Euler equations with noisy data: two exact
GMM estimators |
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| Bernard Fingleton (University of
Cambridge) |
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A Generalized
Method of Moments estimator for a spatial
panel model with an endogenous spatial lag and spatial moving average
errors |
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Session 5 : Bayesian
and Random Coefficient - Chair, Silvio
Rendon. - The
Linnett Room
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| Georges Bresson and Alain Pirotte
(Université Paris 2) and Cheng Hsiao (University of Southern
California) |
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Heteroskedasticity
and random coefficient model on
panel data |
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| Rembert De Blander (HIVA and CES -
K.U.Leuven) |
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Instrumental
variable estimation of the correlated
random coefficient model with panel data |
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| Silvio Rendon (ITAM) |
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Fixed and random
effects in random and Bayesian
regression |
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Session 6 :
Applications : General - Chair, Arnab
Bhattacharjee. -
Room J8
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| Benoit Dostie
(HEC Montreal), Rajshri
Jayaraman (University of Munich) and Mathieu Trepanier
(Northwestern
University) |
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The returns to computer use revisited,
again |
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| Thanh Le (Australian National
University) |
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Human capital,
international migration, R&D
spillovers, and productivity growth: a panel data analysis |
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| Arnab Bhattacharjee and Chris
Jensen-Butler (University of St. Andrews) |
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Estimation of
the spatial weights matrix in the spatial
error model, with an application to diffusion in housing demand |
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Session 7 : Macro
- Chair, Takashi Yamagata.
- The Games Room
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Gilbert Colletaz and Christophe Hurlin
(University of Orleans)
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Threshold effects
of the public capital productivity:
an international panel smooth transition approach |
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Sean Holly (University
of Cambridge), M. Hashem Pesaran (University of
Cambridge & USC) and Takashi
Yamagata (University of Cambridge)
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A spatio-temporal model of house prices in the US
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| 13:00-14:30 Lunch |
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14:30-15:15 JAE Lecture
II. The Auditorium
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Robert Porter
(Northwestern University)
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An empirical
perspective on auctions
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| 15:15-15:45 Coffee Break |
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| 15:45-17:45 Parallel
Sessions |
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Session 1 : Nonlinear
Panels - Chair, Wladimir
Raymond. - The
Auditorium lounge
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| Ulrich Kaiser
(University of Southern
Denmark at Odense, Department of Economics) and Hans Christian Kongsted
(University of Copenhagen, Department of Economics) |
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True versus spurious
state dependence in firm
performance: the case of West German exports |
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| Stephen E. Pudney (Institute for
Social and Economic Research, University of Essex) |
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Are the responses to
survey questions on well-being
dynamically consistent? Vector ARMA modelling in a short panel with
ordinal observation |
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| Wladimir Raymond, Franz Palm and
Sybrand Schim van der Loeff (University of Maastricht) and Pierre
Mohnen (University of Maastricht and MERIT) |
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Persistence of
innovation in Dutch manufacturing: is it
spurious? |
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Session 2 : Labour III
: Wages - Chair, Laura
Hospido. - The
Games Room
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| Laurence Rioux (CREST-INSEE) |
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Do UI benefit levels
or benefit duration have an impact
on perceived job security? |
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| Cheti Nicoletti (Institute for Social
and Economic Research, University of Essex) |
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Differences in
job dissatisfaction across Europe |
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| Laura Hospido (CEMFI and University of
Santiago de Compostela) |
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Modelling
heterogeneity and dynamics in the volatility
of individual wages |
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Session 3 : Firm
Studies II - Chair, Emmanuel
Dhyne. -
The Linnett Room
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| Christopher F Baum (Boston College),
Dorothea Schaefer (DIW - Berlin) and Oleksandr Talavera (DIW - Berlin) |
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The effects of
industry-level uncertainty on cash
holdings: the case of Germany |
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| Emmanuel Dhyne (National Bank of
Belgium and Université de Mons-Hainaut), Catherine Fuss
(National Bank of Belgium and Université Libre de Bruxelles), M.
Hashem Pesaran (Cambridge University and University of Southern
California) and Patrick Sevestre (Université Paris I -
Panthéon Sorbonne and Banque de France) |
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Lumpy price
adjustments: a microeconometric analysis |
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Session 4 : Trade
- Chair, Sanja Samirana
Pattnayak. - The
Garden Room
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| Badi H. Baltagi
(Syracuse University), Peter Egger
(Ifo
Institute & University of Munich) and Michael
Pfaffermayr (University of Innsbruck) |
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Estimating regional
trade agreement effects in an
interdependent world |
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| Sanja Samirana Pattnayak and Shandre
M. Thangavelu (Department of Economics, National University of
Singapore) |
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Is learning by
exporting important? Evidence from
Indian manufacturing firms |
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Session 5 : Econometric
Theory III - Chair, Robin C.
Sickles. -
The Auditorium
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| Myoung-jae Lee (Korea University) |
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Difference in
quasi-differences with panel data:
reversed effects of private school |
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| Marcel-Cristian Voia (Carleton
University) |
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Small sample
properties of nonlinear DID and semiparametric MPH estimators used to
construct counterfactual distributions for duration outcome variables |
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| Gerdie Everaert
and Lorenzo Pozzi
(Ghent University) |
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Bootstrap based
bias
correction for homogeneous dynamic
panels |
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| Alois Kneip (Department
of Economics,
University of Bonn), Robin C. Sickles
(Department of Economics, Rice
University) and Wonho Song (Department of International Macroeconomics
and Finance, Korea Institute for International Economic Policy) |
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A new panel data
treatment for heterogeneity in time
trends |
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Session 6 :
Non-Stationary Panels - Chair, David
Edgerton. -
The Umney Room
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| Monica Giulietti
(University of
Aston), Jesus Otero
(Universidad del Rosario, Colombia) and Jeremy
Smith (University of Warwick) |
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Testing for
stationarity in heterogeneous panel data in
the presence of cross section dependence
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| Stefan De Wachter (University of
Oxford), Elias Tzavalis (Queen Mary, University of London) and Richard
Harris (University of Exeter) |
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Panel data unit
root tests: the role of serial
correlation and the time dimension |
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| Adina Ioana Tarcolea (Goethe
University) |
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Testing for linear
trends in dependent heterogeneous
panels |
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| David Edgerton and Joakim
Westerlund (Dept of Economics, Lund University) and Syed A. Basher
(Dept of Economics, York University, Canada) |
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Testing the
Barro-Gordon model in breaking and
dependent panels: evidence from the OECD countries |
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