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NBER-NSF SBIES Conference: August 12-13, 2022 

Washington University in St. Louis

 

August 12, 2022

1-1:15 p.m.

WELCOMING REMARKS

Session 1:
SESSION 1 - Causal

Chair:  Siddhartha Chib

1:15-2:30 p.m.
  • "Feature Selection for Learning Causal Effects:  a Finite-Sample, Stratification Estimator Perspective," P. Richard Hahn, Andrew Herren.
  • "Graphical Assistant Grouped Network Autoregression Model:  a Bayesian Nonparametric Recourse,"  Guanyu Hu, Yimeng Ren, Xuening Zhu.
  • "Nonparametric Bayesian Test of Endogeneity," Siddhartha Chib, Minchul Shin,  Anna Simoni.*
2:30-2:45 p.m.

REFRESHMENT BREAK

Session 2:
SESSION 2- VAR

Chair:  Jonas Arias

2:45 - 4:15 p.m.
  • "Bayesian Inference in Structural Vector Autoregression with Sign Restriction and External Instruments,"  Lam Nguyen.
  • "Efficient Estimation of State-Space Mixed-Frequency VARs:  A Precision-Based Approach," Joshua C. C. Chan, Aubrey Poon,* Dan Zhu.
  • "Uniform Priors for Impulse Responses," Jonas E. Arias, Juan F. Rubio-Ramirez, and Daniel F. Waggoner.  
  • "Spike and Slab Priors on Variable Orderings in VARs," Gary Koop, Ping Wu.*

 

4:15-4:30 p.m.

REFRESHMENT BREAK

Session 3:
SESSION 3 - Finance and Macro

Chair:  Gabriela Best

4:30-5:45 p.m.
  • "Clustered Bayesian Model Selection:  Uncommon Factor Models for Asset Pricing," Lin William Cong, Guanhao Feng,* Jingyu He, Junye Li.
  • "Model Uncertainty in the Cross Section," Jiantao Huang, Ran Shi.
  • "Good Policy or Learning Evolution?  A Markov-Switching Approach to Understanding the Determinants of Fed Policy," Gabriela Best, Joonyoung Hur.
7:00 - 9:00 p.m.

DINNER - 801 Fish, 172 Carondelet Plaza, Clayton, Missouri 63105

August 13, 2022

7:00-8:00 a.m.

CONTINENTAL BREAKFAST

Session 4:
SESSION 4 - Mixtures and Panel

Chair:  Jiacheng Zou

8:00-9:15 a.m.
  • "Evidence Estimation in Finite and Infinite Mixture Models and Applications," Adrien Hairault,* Christian P. Robert, Judith Rousseau.
  • "Unobserved Grouped Patterns in Panel Data and Prior Wisdom," Boyuan Zhang.
  • "Conditional Inference for High-Dimensional Panel Data with Many Covariates," Markus Pelger,  Jiacheng Zou.
9:15-9:30 a.m.

REFRESHMENT BREAK

Session 5:
SESSION 5 - DSGE AND FORECASTING

Chair:  Fei Tan

9:30-10:45 a.m.
  • "Estimation of Nonlinear Dynamic Stochastic General Equilibrium Models," Elnura Baiaman, Roberto Leon-Gonzalez.
  • "Constructing the Term Structure of Uncertainty from the Ragged Edge of SPF Forecasts,"  Todd E. Clark, Gergely Ganics,* Elmar Mertens.
  • "Improved Forecasting of Current and Future Inflation:  A Fiscal Theory Perspective," by Siddhartha Chib, Thorsten Drautzburg, Minchul Shin and Fei Tan.
10:45-11:00 a.m.

REFRESHMENT BREAK

Session 6:
SESSION 6 - Applications 1

Chair:  Soumya Sahu

11:00-12:15 p.m.
  • "Bayesian Shrinkage Models for Integration and Analysis of Multiplatform High-Dimensional Genomics Data," Sounak Chakraborty, Tanujit Dey, Hao Xue.
  • "Policy Effectiveness on the Global Covd-19 Pandemic and Unemployment Outcomes:  A Large-Scale Mixed Frequency Spatial Approach," Ying Chen, Xiaoyi Han*, Yijiong Zhang, Yanli Zhu.
  • "Bayesian Joint Modeling and Selection Among Many Biomarkers Measured Longitudinally," Soumya Sahu, Sanjib Basu, Jiehuan Sun, and Joelle Hallak.
12:15-1:30 p.m.

LUNCH - Charles F. Knight Executive Education Center - Dining Hall

Session 7:
SESSION 7 - Microeconometrics

Chair:  Marco Stenborg Petterson

1:30-3:00 p.m.
  • "A Novel Bayesian Method for Variable Selection and Estimation in Binary Quantile Regression," Mai Dao, Souparno Ghosh, Min Wang.
  • "Bayesian Inversion of Demand Systems," Zhentong Lu.*
  • "High-Dimensional Limited Attention Models," Kenichi Shimizu.
  • "Estimation of a Latent Reference Point:  Method and Application to NYC Taci Drivers,"  Marco Stenborg Petterson.

 

3:00-3:15 p.m.

REFRESHMENT BREAK

Session 8:
SESSION 8 - Applications 2

Chair:  Shawn Osell

3:15-4:30 p.m.
  • "The Transmission of Oil Price Shocks Through the US Banking Sector," Paolo Gelain, Marco Lorusso.
  • "Modeling Stock-Oil Co-Dependence With Dynamic Stochastics MIDAS Copula Models," Hoang Nguyen*, Audrone Virbickaite.
  • "A Two Sector Cash-In-Advance Model with Interest on Reserves," Shawn Osell.

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