JSM Activity #64

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Activity ID:  64
Title Room
* Time Series Econometrics H-Jefferson
Date / Time Sponsor Type
08/06/2001    8:30 AM  -  10:20 AM Business & Economics Statistics Section* Topic Contributed
Organizer: Alastair Hall, North Carolina State University
Chair: Alastair Hall, North Carolina State University
Discussant:  
Floor Discussion 10:15 AM
Description

This session contains papers in two broad areas of econometric research. The first area involves generalized method of moments (gmm) estimation, and the second involves structural stability testing in linear models. The three papers on gmm consider the issues of: (i)efficiency and moment selection; (ii) identification; (iii) the impact on the gmm estimator of filtering the data with the Hodrick Prescott filter. The two papers on structural stability consider: (i) testing for unit roots in the prescence of structural instability in the deterministic trend; (ii) the finite sample properties of various method of estimating the number of break points.
  301616  By:  Kalidas Jana 8:35 AM 08/06/2001
Long Run Canonical Correlation: Estimation and Testing

  300796  By:  Alastair Hall 8:55 AM 08/06/2001
A Canonical Correlations Interpretation of Generalized Method of Moments With Applications To Moments Selection

  300778  By:  David Doorn 9:15 AM 08/06/2001
Consequences of Hodrick-Prescott Filtering for Parameter Estimation in a Structural Model of Inventory Behavior

  300619  By:  Amit Sen 9:35 AM 08/06/2001
On Unit Roots Tests When the Alternative is a Trend-Break Stationary Process

  301006  By:  Sanggohn Han 9:55 AM 08/06/2001
The Finite Sample Properties of Break Point Estimated in Linear Models

JSM 2001

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Revised March 2001