Monday, 3 August 1998

12:30 - 2:00 p.m., Welcoming Lunch
All invited participants are welcome to join us for a buffet lunch in 639 Evans Hall.

2:00 - 3:00 p.m., Clive Granger, University of California, San Diego
"Overview of Nonlinear Time Series Specification in Economics" [Postscript] [PDF]

3:30 - 4:30 p.m., James Hamilton, University of California, San Diego
"A Parametric Maximum Likelihood Approach to Flexible Nonlinear Inference"
Work in progress; no e-version is available yet.

Tuesday, 4 August 1998

9:00 - 10:00 a.m., James Hamilton, University of California, San Diego
"Modeling Time Series with Changes in Regime (An Introductory Survey)"
Reference: James Hamilton, Time Series Analysis, Ch. 22, 1994.

10:15 - 11:15 a.m., Rob Engle, University of California, San Diego (with Jeff Russell),
"Econometric Analysis of Discrete Valued, Irregularly Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Logit Model" [Abstract] [Postscript] [PDF]

11:30 - 12:30 p.m., Ying-cun Xia, University of Hong Kong (with H. Tong and W.K. Li),
"Single-index Diffusion Models and Their Estimation" [Postscript] [PDF]

2:00 - 3:00 p.m., Christian Dahl, University of Aarhuus
"An Investigation of Tests for Linearity and the Accuracy of Flexible Nonlinear Inference" [Postscript] [PDF]

3:00 - 3:30 p.m. Soft drinks and cookies will be served in 639 Evans Hall.

3:30 - 5:00 p.m., James Hamilton and Christian Dahl,
Graduate student computer lab on numerical optimization, regime-switching models, and flexible nonlinear inference. A zipped archive of the programs and data sets used in the computer lab is available for downloading.

Wednesday, 5 August 1998

9:30 - 10:30 a.m., Aaron Smith, University of San Diego (with Rob Engle),
"Stochastic Permanent Breaks" [ Abstract] [Postscript] [PDF]

11:00 - 12:00 n., Peter Bickel, University of California, Berkeley
"Testing Semiparametric Hypotheses in the Context of Time Series."
Abstract [ascii] Related paper, "Testing and the Method of Sieves," with Y. Ritov and T. Stoker [Postscript] [PDF]

The remainder of the day is free for sightseeing. You are on your own to indulge in any activity you wish. We will have brochures available in 639 Evans so you can make your own reservations if you wish to do so.

Thursday, 6 August 1998

9:00 - 10:00 a.m. Mike West, Duke University
"Bayesian Time Series Modelling, Decomposition and Latent Structure Analysis". Related paper for background reading available, "Bayesian Inference on Latent Structure in Time Series," by Omar Aguilar, Gabriel Huerta, Raquel Prado, and Mike West.. [Abstract] [Postscript] [PDF]

10:15 - 11:15 a.m. Rainer Dahlhaus, University of Heidelberg
"The Estimation of Parameter Curves for Locally Stationary Processes"
Abstract [Postscript] [PDF]
Slides [Postscript] [PDF]

11:30 - 12:30 p.m., Peter Buhlman, Swiss Federal Institute of Technology
"Dynamic Adaptive Partitioning for Nonlinear Time Series" [Postscript] [PDF]

2:00 - 3:00 p.m., Ruey Tsay, University of Chicago,
"Testing and Modeling Multivariate Threshold Models" [Postscript] [PDF]

3:00 - 3:30 p.m. Soft drinks and cookies will be served in 639 Evans Hall.

3:30 - 5:00 p.m., Simon Potter, University of California, Los Angeles,
Graduate student lab covering programs that analyze a range of threshold and linear models and use model averaging to produce measures of dynamics and forecasting.
"Nonlinearity, Structural Breaks, or Outliers in Economic Time Series?" with G. Koop, describes the main program that will be used in the computer lab. [Postscript] [PDF]
"Dynamic Asymmetries in U.S. Unemployment", with G. Koop, describes an application. [Postcript] [PDF]
A zipped archive of the lab programs and documentation is available for downloading.

Friday, 7 August 1998

9:00 - 10:00 a.m., Mike West and Omar Aguilar, Duke University
"Multivariate Non-Gaussian Time Series: Bayesian Analysis of Longitudinal Data in a Case Study in the VA Hospital System". Related papers are available for reading, "Analysis of Hospital Quality Monitors Using Hierarchical Time Series Models," by Omar Aguilar and Mike West [Abstract] [Postscript] [PDF] and "Studies of Quality Monitor Time Series: The VA Hospital System," by Omar Aguilar and Mike West [Abstract] [Postscript] [PDF]

10:15-11:15 a.m., Peter Robinson, London School of Economics, "Nonlinearity and Long Memory Processes."
Work in progress; no e-version available yet.

11:30 - 12:30 p.m., Simon Potter, University of California, Los Angeles,
"Second Order Properties of Generalized Impulse Response Functions" [Postscript]

2:00-3:00 p.m., Omar Aguilar and Mike West, Duke University, "Bayesian Dynamic Factor Models and Variance Matrix Discounting for Portfolio Allocation" [Abstract] [Postcript] [PDF]

3:00 - 3:30 p.m. Soft drinks and cookies will be served in 639 Evans Hall.

3:30-5:00 p.m., Keh-Shin Lii and Mark Lehr, University of California, Riverside,
Graduate student computer lab on maximum likelihood estimates of non-gaussian ARMA models. A zipped archive of the programs and data sets used in the computer lab is available for downloading. Related paper for students to review: "Maximum Likelihood Estimates of Non-Gaussian ARMA Models," Mark Lehr and Keh-Shin Lii. [Postscript] [PDF]

Saturday, 8 August 1998

9:00 - 10:00 a.m., Atsushi Inoue, University of Pennsylvania,
"A Conditional Goodness-of-Fit Test for Time Series" [Postscript] [PDF]

10:15 - 11:15 a.m., Keh-Shin Lii and Mohamed Hassan,
"Modeling Marked Point Processes with Application to Financial Data"
Work in progress; no e-version is available yet.

11:30-12:30 p.m., Sam Thompson, University of California, Berkeley
"An LAD-based Unit Root Test"