International Workshop on Bayesian Econometrics and Statistics
4-5 February 2010, University of Tokyo
Sanjo Conference Hall (University of Tokyo, Hongo Campus)
Hongo Sancho-me Station, Access to Hongo Campus, Access to Hongo Campus from outside of
Tokyo
Organizer: Teruo Nakatsuma and Yasuhiro Omori
Program:
February 4 (Thursday)
| Session Chair | Hajime Wago (Kyoto Sangyo University) |
| 13:00 - 13:40 | Wolfgang Polasek (Institute for Advanced Studies, Austria) "Marketing and regional sales: Spatial sales response functions" |
| 13:40 - 14:10 | Nobuhiko Terui (Tohoku University) "Dynamic joint space map by using scanner panel data" (with Shohei Hasegawa ) |
| 14:10 - 14:40 | Teruo Nakatsuma (Keio University) "A Markov chain Monte Carlo implementation of the Bayesian method of moments for linear regression models" |
| 14:40 - 14:50 | Coffee Break |
| Session Chair | Hideo Kozumi (Kobe University) |
| 14:50 - 15:30 | Cathy Chen (Feng Chia University, Taiwan) "Multiple-regime threshold heteroskedastic models: A Bayesian perspective" |
| 15:30 - 16:00 | Kazuhiko Kakamu (Chiba University) "Spatio-temporal dynamics in economic growth" (Hideo Kozumi) |
| 16:00 - 16:30 | Koji Miyawaki (National Institute for Environmental Studies) "A Bayesian estimation of the residential gas demand on the nonconvex budget set'' (with Yasuhiro Omori and Akira Hibiki) |
| 16:30 - 17:00 | Genya Kobayashi (Kobe University) "Bayesian analysis of quantile regression for dynamic censored panel data" (with Hideo Kozumi) |
Dinner
February 5 (Friday)
| Session Chair | Nobuhiko Terui (Tohoku University) |
| 9:30 - 10:00 | Yasuhiro Omori (University of Tokyo) "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution" (with Jouchi Nakajima) |
| 10:00 - 10:30 | Haruhisa Nishino (Chiba University) "Bayesian estimation of ARFIMA model" (with Kazuhiko Kakamu) |
| 10:30 - 10:40 | Coffee Break |
| 10:40 - 11:10 | Toshiaki Watanabe (Hitotsubashi University) gBayesian analysis of structural changes in ARFIMA Models with an application to realized volatilityh |
| 11:10 - 11:40 |
Manabu Asai (Soka University) "The structure of conditional, stochastic and realized covariance matrices@(with Mike So)" |
| 11:40 - 13:00 | Lunch |
| Session Chair | Toshiaki Watanabe (Hitotsubashi University) |
| 13:00 - 13:40 | Mike So (Hong Kong University of Science and Technology, Hong Kong) "Bayesian analysis of multivariate volatility models" |
| 13:40 - 14:10 | Tomohiro Ando (Keio University) "Predictive Bayesian model selection" |
| 14:10 - 14:40 |
Kentaro Fukumoto (Gakushuin University) "Estimation of incumbency advantage and campaign spending effect without the simultaneity bias by way of a new MCMC method"(with Kohei Ichikawa) |
| 14:40 - 15:10 | Leon Gonzalez Roberto (National Graduate Institute for Policy Studies) "Bayesian Inference in the time-varying cointegration model "(with G. Koop and R. Strachan) |
| 15:10 - 15:30 | Coffee Break |
| Short Sessions* | Session Chair: Teruo Nakatsuma (Keio University) |
| 15:30 - 15:45 | Shinya Sugawara (University of Tokyo) "Refining the incoherency problem via compatibility with applications to entry game and discrete peer effect models" |
| 15:45 - 16:00 | Tsunehiro Ishihara (University of Tokyo) "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage" |
| 16:00 - 16:15 |
Kenichiro McAlinn (Keio University) "Evaluating mutual funds based on their posterior alphas and other performance measures" |
| 16:15 - 16:30 | Yoshihiro Otsuka (Hitotsubashi University) gSpace-time model versus VAR model: Forecasting electric demand in Japanh (with Kazuhiko Kakamu) |
| 16:30 - 16:45 | Yuko Onishi (University of Tokyo) "Bayesian estimation of entry games with multiple player and multiple equilibria" |
| 16:45 - 17:00 | Tsuyoshi Kunihama (University of Tokyo) "Bayesian analysis of max-stable processes with application to high frequency stock returns" |
* Presentations by graduate students