¡»¡º¾Ç³N¬ã°Q·|¡º¡» 1999 NBER/NSF Time Series Conference August 23 ~ 25, 1999 PROGRAM Place: Conference Room, 2nd Floor,Institute of Earth Sciences, Academia Sinica. Organizers: Institute of Economics, Academia Sinica; Institute of Statistical Science, Academia Sinica Sponsors: National Bureau of Economics Research; National Science Foundation, U. S.A.; National Science Council, Executive Yuan, R.O.C. Monday, August 23, 1999 08:00~08:50 Registration 08:50~09:00 Opening Remark 09:00~10:30 Session I Continuous-time and nonlinear models 1. A. Ronald Gallant, University of North Carolina ¡@Michael Chernov, and Eric Ghysels, Pennsylvania State University ¡@George Tauchen, Duke University ¡@"Estimating Jump Diffusions with a Panel of Options and Returns" 2. P.J. Brockwell, Colorado State University ¡@"Non-linear continuous-time models for financial time series" 3. Henghsiu Tsai and K. S. Chan,University of Iowa ¡@"Testing for nonlinearity with partially observed time series" 10:50~12:20 Session II Nonlinear time series models and testing 1. Chun Shan Wong and Wai Keung Li, University of Hong Kong ¡@"On a mixture autoregressive model'' 2. Jin-Chuan Duan and Mike K. P. So, Hong Kong University of Science and Technology ¡@"Testing conditional distributions in dynamic models using relative entropy'' 2. F. Jay Breidt, Iowa State University Richard A. Davis Colorado State University ¡@Alex Trindade,Colorado State University ¡@"Linear time series with nonlinear behavior'' 13:30~15:00 Session III Identification, change- point and long memory process 1. Shu-Ing Liu King-Hong Kao, National Central University ¡@"Bayesian Analysis for Long Memory Data with Multiple Change Points" 2. Hwai-Chung Ho, Institute of Statistical Science, Academia Sinica ¡@Nan-Jung Hsu, Tunghai University ¡@"Polynomial trend regressions with nonlinear long-memory" 3. Jae-Young Kim, State University of New York-Albany and Hong Kong University of Science and Technology ¡@"A Generalized Bayesian Information Criterion" 15:30~17:00 Session IV Long-memory and ARCH models 1. L. Giraitis, London School of Economics ¡@"Detection of long memory in ARCH model" 2. June-Kui Hsieh, Chien-Fu Jeff Lin and Ching-fan Chung, National Taiwan University ¡@"Long Memory Effect Or regime change: Markov-Switching-FIGARCH model" 3. Mei-Hui Guo Ching-Num Lee, Shyung-Yee Lee and Jyh-Lin Wu, National Sun-Yat University ¡@"Asymptotic properties of ordinary least squares estimators of fractional cointegrating vectors" Tuesday, August 24, 1999 09:00~10:30 Session V Switching models and applications 1. Christian Francq and Jean-Michel Zakoian, University de Lille, France ¡@"Linear-representations based estimation of switching-regime of switching-regime models'' 2. Eric Zivot Jeremy Piger and Charles Nelson, University of Washington, Seattle ¡@"Testing for unit roots in the presence of Markov switching" 3. Jin-Lung Lin Shyz-wei Chen, Institute of Economics, Academia Sinica ¡@"Modeling business cycle in Taiwan using dynamic switching factor model" 10:50~12:20 Session VI Analyzing high-frequency financial data and trading strategy 1. X. Bai Jeff Russell and George Tiao, University of Chicago ¡@"Efficiency of High-Frequency Data in Estimating Volatility: Effects of Non- normality and Dependence" 2. Ray Chou, Institute of Economics, Academia Sinica ¡@"Modeling Non-linear Dependence in High Frequency Financial Data in Taiwan'' 3. Per Mykland, University of Chicago ¡@"Trading strategies under statistical uncertainty: An approach based on a single prediction interval" 13:30~15:00 Session VII Cointegration, causality and multiple time series 1. Yuzo Hosoya, Tohoku University, Japan ¡@ Feng Yao, Faculty of Economics, Kagawa University, Japan ¡@"Statistical Causal Analysis and its Application to Economic Time-Series'' 2. David Stoffer, University of Pittsburgh ¡@"Detecting Common Signals in Multiple Time Series" 3. Chor-yiu Sin, City University of Hong Kong ¡@Shiqing Ling, University of Western Australia ¡@"Partially nonstationary autoregressive models without prior knowledge on the reduced rank structure: estimation and likelihood ratio test" 15:30~17:00 Session VIII Time series and applications 1. Pin-Huang Chou and Soushan Wu, National Central University ¡@"An Investigation of the Impact of Daily Price Limits on Futures Markets" 2. Sangyeol Lee and T. N. Sriram, Seoul National University ¡@"Sequential point estimation of parameters in a threshold AR(1) model" 3. Chung-Ming Kuan, National Taiwan University ¡@"Semi-nonstationary processes" Wednesday, August 25, 1999 09:00~10:30 Session VI Estimation and testing 1. Paulo Teles, University of Porto,Porto, Portugal William W. S. Wei Temple University ¡@"The use of aggregate series in time series testing" 2. Sam Wong, Hong Kong University of Science and Technology, ¡@"Learning and Forecasting with Stochastic Neural Networks'' 3. Yongmiao Hong and Jin Lee, Cornell University (visiting Hong Kong University of Science and Technology) ¡@"Wavelet-based estimation of heteroskedasticity and autocorrelation consistent covariance matrices,'' 10:50~12:20 Session X Forecasting and model selection 1. Ismael Sanchez, Universidad de Alicante ¡@"Optimal forecasting in nearly nonstationary processes," 2. Yuichi Kitamura,Department of Economics, University of Wisconsin ¡@"Predictive inference and the bootstrap,'' 3. C. K. Ing, Chung-Sin University ¡@ "Asymptotically efficient order selection of an autoregressive process with a possible finite order"