ESOBE 2010 Rotterdam

Econometric and Tinbergen Institutes
Erasmus University Rotterdam

November 5th:
Special Lecture by Herman K. van Dijk, Erasmus University Rotterdam

November 6th:
Keynote Lecture by Christopher Sims, Princeton University

Invited Speakers:
Sylvia Frühwirth-Schnatter, Vienna University of Economics and Business
John Geweke, University of Technology Sydney
Eric Jacquier, MIT, H.E.C. Montreal
Frank Kleibergen, Brown University
Robert Kohn, University of New South Wales
Gary Koop, University of Strathclyde
Frank Schorfheide, University of Pennsylvania
Mark Steel, University of Warwick
Mattias Villani, Sveriges Riksbank, Stockholm University
Tao Zha, Federal Reserve Bank of Atlanta, Emory University

Program Chairs:
Richard Paap and Dennis Fok

Venue:
Erasmus University Rotterdam
Erasmus Expo- & Congrescentrum (M-building)
Room: Forumzaal

Directions to Erasmus University

Map of the Woudestein campus

Registration

The registration fee for ESOBE 2010 is 100,-- per registrant, to be paid at the registration desk on the first day of the conference. The meeting supports a maximum of 150 participants.

Preliminary Program

Friday, November 5th

8:30 - 9:00

Welcome with coffee

Discrete Dependent Variables

9:00 - 9:25	Nonparametric Bayesian Modeling of Monotone Preferences for Discrete Choice Experiments John Geweke
9:25 - 9:50	Logit, Probit, or Robit? - A Unifying Approach using Location-Scale Mixtures of Probits Sylvia Frühwirth-Schnatter
9:50 - 10:15	Multivariate Structural Time Series Models with Hierarchical Structure for Count Data Nobuhiko Terui
10:15 - 10:45	Coffee break

Bayesian Model Averaging

10:45 - 11:10	Forecasting Inflation using Dynamic Model Averaging Gary Koop
11:10 - 11:35	A Bayesian Approach to Model Uncertainty Tao Zha
11:35 - 12:00	Mixtures of g-priors for Bayesian Model Averaging with Economic Applications Mark Steel
12:00 - 12:25	Bayesian Model Averaging in the Instrumental Variable Regression Model Roberto Leon-Gonzalez
12:25 - 14:00	Lunch

Volatility & Term Structure

14:00 - 14:25	The Information Content of Realized Volatility: What we could have known in 2008? Eric Jacquier
14:25 - 14:50	Probabilistic Forecasts of Volatility and its Risk Premia Gael Martin
14:50 - 15:15	A nonlinear DSGE model for the term structure with regime shifts Gianni Amisano
15:15 - 15:45	Break

Farewell address

16:15 - 17:00	Bayes Procedures for 21st Century Key Issues Herman van Dijk
17:00 - 18:00	Reception

Saturday, November 6th

8:30 - 9:00

Welcome with coffee

Nonparametric Bayes

9:00 - 9:25	Generalized Smooth Mixtures Mattias Villani
9:25 - 9:50	Variable selection and functional form uncertainty in cross-country growth regressions Tim Salimans
9:50 - 10:15	Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach Markus Jochmann
10:15 - 10:45	Coffee break

DSGE Models

10:45 - 11:10	Identification Issues in Bayesian Analyzes of DSGE Models Frank Kleibergen
11:10 - 11:35	Evaluating Prediction of Comovements Frank Schorfheide
11:35 - 12:00	Bayesian Inference for Non Gaussian Time Series Models using the Particle Filter and Adaptive Sampling Robert Kohn
12:00 - 12:25	Divergent Priors and Well Behaved Bayes Factors Rodney Strachan
12:25 - 14:00	Lunch

Structural Breaks

14:00 - 14:25	Forecasting Macro-Economic Time Series with Change-Point Models Jeroen Rombouts
14:25 - 14:50	An alternative Bayesian approach to structural breaks in time series models Sjoerd van den Hauwe
14:50 - 15:15	K-state Switching Models with Endogenous Transition Distribution Sylvia Kaufmann
15:15 - 15:45	Break

Keynote address

15:45 - 16:30	Bayesian Inference with Weak Assumptions Christopher Sims
16:30 - 17:30	Drinks

Annals Issue

We have planned an Annals Issue of the Journal of Econometrics for papers presented at the ESOBE conference (editors John Geweke, Gary Koop and Richard Paap). Papers presented at the ESOBE conference can be submitted after the conference. The submission period ends January 1, 2011. Further information will be provided in due course.

Local Information

Hotel bookings
Participants are kindly requested to book their hotel themselves.

Language
The official language is English.

Currency in The Netherlands
€ = EURO

Insurance
Please arrange your own insurance. The Erasmus University and its organizers will not be liable for any personal accidents or damage to the private property of participants, nor for delays or any modification of the program due to unforeseen circumstances.

Banking and postal facilities
Banks are generally open from 09.00 to 16.00 hour on weekdays and are closed at weekends. Currency exchange is possible at banks and exchange offices at Amsterdam Schiphol Airport and at some railway stations. There will be limited banking facilities at the Erasmus University. Post offices are open from 09.00 to 17.30 hours on weekdays.

Electricity
The electricity supply is 220V-50 Hz AC.

Climate and clothing
On average, the temperature in November varies between 3 °C and 9 °C. Medium-weight clothing is therefore advisable. As the evenings may be chilly, do not forget to bring a warm jacket and a raincoat for the occasional shower. Suggested dress for all social functions: informal.