Economics: Econometrics Workshop

When?

Wednesday 14 September 2011, 15.00 to 16.30

Where?

40AD00

Open to:

Staff, Students, Public

Econometrics Workshop will be held on September 14, 2011, University of Surrey, School of Economics, Room 00AD04.

 

15.00 - 15.30: Daniele Massacci, "Testing Linearity Against Smooth Transition Models with Endogenous Variables"

Abstract:

This paper proposes a Lagrange multiplier test for linearity against smooth transition models with endogenous right-hand-side variables

 

15.30 - 16.00: Vasco Gabriel, "Moment Conditions Model Averaging Estimators"

Abstract: This papers considers moment conditions model averaging estimators in the Generalized Method of Moments/Empirical Likelihood framework. The problem of selection of weights for averaging across estimates is overcome by minimizing moment selection criteria. We derive some asymptotic properties under correctly specified and misspecified models. Monte Carlo experiments show that our procedure compares favourably with existing alternatives in most relevant setups.

 

16.00-16.30: Giovanni Forchini, “Estimation of panel data model with multifactor error structure when the T dimension is fixed” (with Bin Peng, Monash) 

Abstract: 

So far these models have been studied for the case in which T and N go to infinity. We show that we can conduct inference for the case where T is fixed

 

16:30 Pub followed by dinner