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The Third Singapore Econometrics Study Group Meeting
Singapore Management University
School of Economics
90 Stamford Road
Singapore 178903
July 8, 2006
Programme Chairs: Roberto S Mariano, Yiu Kuen Tse and Jun Yu
All sessions will be held in Seminar Room 5.1, Level 5 in the School of Economics
and Social Sciences (SESS) Building at Singapore Management University City Campus.
The SESS building is located just across the street from Hotel Rendezvous.
| Saturday July 8, 2006 |
| 8:25 – 8:30 am |
Welcome: Jun Yu (Singapore Management University) |
| 8:30 – 9:30 am |
Session 1 (Invited)
Chair: Jun Yu (Singapore Management University)
Neil Shephard (Nuffield College), “Designing realized kernels to measure the ex-post variation of equity prices in the presence of noise” |
| 9:30– 10:30 am |
Session 2: Econometric Theory
Chair: Zhenlin Yang (Singapore Management University)
CY Sin (Hong Kong Baptist University) and Ching-Kang Inc, “Using information criteria to select the optimal least squares predictors: a unified theory of finite- or infinite-order AR with or without a unit root”
Liangjun Su (Peking University), “Testing structural change in time-series nonparametric regression models” |
| 10:30 - 11:00 am |
--- Morning Tea --- |
| 11:00 am – 12:30 pm |
Session 3: Financial Econometrics
Chair: Aurobindo Ghosh (Singapore Management University)
Cornelia Savu and Wing Lon Ng (University of Muenster), “Analyzing durations with a semiparametric copula approach”
Robert Kimmel (Princeton University), “Complex Times: Asset Pricing and Conditional Moments under Non-Affine Diffusions”
Qin Xiao (Nanyang Technological University of Singapore) and Randolph Tan, “Market-switching unit root test: A study of the property price bubbles in Hong Kong and Seoul” |
| 12:30 - 2:00 pm |
- - Lunch Break -- |
| 2:00 - 3:00 pm |
Session 4 (Invited)
Chair: Yiu Kuen Tse (Singapore Management University)
Peter Phillips (Yale University) “Some Magic with Irrelevant Instruments” |
| 3:00 - 4:00 pm |
Session 5: Macroeconometrics
Chair: Hwee Kwan Chow (Singapore Management University)
Sungbae An (Singapore Management University), “On accommodation of capital stock series in the estimation of dynamic economy”
Alain Kabundi (University of Johannesburg) and Fransico Nadal-De Simone, “France in the Global Economy” |
| 4:00 - 4:30 pm |
--- Afternoon Tea --- |
| 4:30 - 6:00 pm |
Session 6: Applied Econometrics
Chair: Kim Jong Hoon (National University of Singapore)
Niels Schulze (European Commission) and Dirk Baur, “Financial stability and extreme market conditions”
Zheng Yi and Swee-Liang Tan (Singapore Management University), “An empirical analysis of stock market development and integration: A comparison study of Singapore and Malaysia”
Tan Khay Boon (Nanyang Technological University of Singapore) and Shahidur Rahman, “The finance-growth nexus in the global financial markets” |
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