April 4, 2006, Auditorium 301, Ke-Li Building

　　Section 0 (8:30am-8:45am): Opening Ceremony
　　Section Chair: Yongmiao Hong*, Cornell University, USA and Xiamen University, China
　　8:30-8:45: Welcoming Speech, Chongshi Zhu*, President, Xiamen University, China

　　Section 1 (8:45am-10:15am): Recent Developments in Time Series Econometrics
　　Section Chair: Chung-Ming Kuan*, Institute of Economics, Academia Sinica

　　[1] 8:45-9:30: “Basic Concepts of Time Series,” Clive Granger* (via mbacci@ucsd.edu), UC-San Diego, USA
　　[2] 9:30-10:15: “The Passage through Unity,” Peter C. Phillips* (peter.phillips@yale.edu), Yale University, USA

　　10:15-10:45: Coffee Break

　　Section 2 (10:45am-12:15am): Co-integration
　　Section Chair: Tongsan Wang*, Chinese Academy of Social Science

　　[1] 10:45-11:30: “A Lag-Augmented Two and Three Stage Least Square Estimator for Structural Vector Autoregressive Integrated Processes,” Cheng Hsiao* (chsiao@usc.edu), University of Southern California, USA and Siyan Wang, University of Delaware, USA
　　[2] 11:30-12:15: “Co-integration: An Overview,” Søren Johansen* (sjo@stat.ku.dk), University of Copenhagen, Denmark.

　　12:15pm-2:00pm: Lunch

　　Section 3 (2:00pm-3:30pm): Nonlinear Time Series Econometrics
　　Section Chair: Garry Phillips*, Cardiff University and University of Exeter, UK
　　
　　[1] 2:00-2:45: “Modeling Conditional Heteroskedasticity with Smooth Time-Varying Structure,” Timo Teräsvirta* (sttimo@hhs.se), Stockholm School of Economics, Sweden
　　[2] 2:45-3:30: “Estimation and Testing in Time Series that are both Nonlinear and Nonstationary,” Dag Tjøstheim* (dagt@mi.uib.no), University of Bergen, Norway

　　3:30-4:00: Coffee Break

　　Section 4 (4:00pm-5:30pm): Financial Econometrics and Empirical Macroeconomics
　　Section Chair: Yongmiao Hong*, Cornell University, USA and Xiamen University

　　[1] 4:00-4:45: “Value at Risk with Time Varying Copulas,” Wolfgang Härdle* (haerdle@wiwi.hu-berlin.de), Humboldt-Universitaet zu Berlin, Germany.
　　[2] 4:45-5:30: “The Impact of RMB's Appreciation on China's Trade,” Guihuan Zheng, Li Guo, Xuemei Jiang, Xun Zhang and Shouyang Wang* (sywang@amss.ac.cn), Chinese Academy of Science

　　6:00pm-8:00pm: Dinner.

　April 5, 2006

　　Section 5a (8:30am-10:00am, Jia-Geng Building 2, Room 201): Nonlinear Time Series Models and Nonlinear Dependence Measure
　　Section Chair: Zhijie Xiao*, Boston College, USA

　　[1] 8:30-9:00: “An Improved Nonparametric Entropy Estimator for Serial Dependence”, Yongmiao Hong* (yh20@cornell.edu), Cornell University, USA and Xiamen University, China, and Wenjie Zhang (wz32@cornell.edu), Cornell University, USA.
　　[2] 9:00-9:30: “An Extension of the NIG-S&ARCH Model with an Application” Anders Wilhelmsson* (andw@asb.dk), Aarhus School of Business, Demark.
　　[3] 9:30-10:00: “Estimating and Testing GARCH Processes When the Parameter is on a Boundary,” Jean-Michel Zakoian* (zakoian@ensae.fr), ENSAE, France.

　　Section 5b (8:30am-10:00am, Jia-Geng Building 3, Room 220): Chinese Economy
　　Section Chair: Cheng Hsiao, University of Southern California, USA

　　[1] 8:30-9:00: “A Spatial Investigation of Sigma-Convergence in China,” Kuan-Pin Lin* (link@pdx.edu), Portland State University, USA.
　　[2] 9:00-9:30: “Total Factor Productivity Growth in China Industries, 1981-2000,” RuoEn Ren* （ruoen8324@sina.com）, Beihang University, China.
　　[3] 9:30-10:00: “The Influence of Income Distribution on Capital Accumulation and Macro-Investment Structure: Empirical Study in China Since 1978,” Tongsan Wang* (tswang@mx.cei.gov.cn) and Yuezhou Cai, Chinese Academy of Social Science, China.

　　10:00am-10:30am: Coffee Break

　　Section 6a (10:30am-12:00pm, Jia-Geng Building 2, Room 201): Quantile Regression in Time Series
　　Section Chair: Jean-Michel Zakoian, ENSAE, France

　　[1] 10:30-11:00: “Semi/Nonparametric Quantile Dynamic Models with Applications,” Zongwu Cai* (zcai@uncc.edu) , University of North Carolina at Charlotte, USA and Shanghai Jiaotong University, China
　　[2] 11:00-11:30: “Granger-Causality in Quantiles,” Tae-Hwy Lee* (tae.lee@ucr.edu ), UC Riverside, USA and Caltech, USA, and Weiping Yang, UC Riverside, USA.
　　[3] 11:30-12:00: “Quantile Autoregression,” Zhijie Xiao* (xiaoz@bc.edu ), Boston College, USA

　　Section 6b (10:30am-12:00pm, Jia-Geng Buidling 3, Room 220): Empirical Macroeconomics
　　Section Chair: Shouyang Wang, Chinese Academy of Science, China

　　[1] 10:30-11:00: “Extracting Information From the Data: A European View on Empirical Macroeconomics,” Katarina Juselius* (katarina.juselius@econ.ku.dk) and Søren Johansen (sjo@stat.ku.dk), University of Copenhagen, Denmark
　　[2] 11:00-11:30: “Economic Development, Trade and Environmental Quality: Environmental Kuznets Curve Hypothesis in a Threshold Model,” Savas Alpay* (salpay@bilkent.edu.tr) , Bilkent University, Turkey.
　　[3] 11:30-12:00: “Policy Words and Policy Deeds: The ECB and the Euro”, Pierre L. Siklos* (psiklos@wlu.ca), Wilfrid Laurier University, Canada and Martin T Bohl, European University Viadrina Frankfurt (Oder), Germany

　　12:00pm-2:00pm: Lunch

　　Section 7a (2:00pm-3:30pm, Jia-Geng Buidling 2, Room 201): Nonlinear Time Series Models and Structural Breaks
　　Section Chair: Chor-Yiu Sin*, Hong Kong Baptist University, Hong Kong, China

　　[1] 2:00-2:30: “Threshold Effects in Multivariate Error Correction Models,” Jesús Gonzalo* (jesus.gonzalo@uc3m.es), Universidad Carlos III de Madrid, Spain
　　[2] 2:30-3:00: “A Random Coefficient Autoregressive Model with Exogenously-Driven Stochastic Unit Roots,” J. Isaac Miller* (millerjisaac@missouri.edu), University of Missouri-Columbia, USA.
　　[3] 3:00-3:30: “Simple (but Effective) Tests of Long Memory Versus Structural Breaks,” Katsumi Shimotsu* (shimotsu@qed.econ.queensu.ca ), Queen’s University, Canada

　　Section 7b (2:00pm-3:30pm, Jia-Geng Buidling 3, Room 220): Empirical Study on Chinese Economy
　　Section Chair: Maozu Lu, University of Southampton, United Kingdom.

　　[1] 2:00-2:30: “Measuring the Social Return to Infrastructure Investments Using Interregional Price Gaps: A Natural Experiment,” Zhigang Li* (zli@econ.hku.hk), University of Hong Kong, Hong Kong, China.
　　[2] 2:00-2:30: “Cyclical Movements in Chinese Macroeconomy and Equity Markets,” Zhenquan Zhao (zzquan2000@163.com) and Baicheng Zhou (zhoubaicheng@263.net), Jilin University, China.
　　[3] 2:30-3:00: “Scale Economy of Technology Innovations in Chinese Enterprises: An Quantile Approach,” Pingfang Zhu* (pfzhu@mail.shufe.edu.cn), Shanghai University of Finance and Economics, China.

　　3:30pm-4:00pm: Coffee Break

　　Section 8a (4:00pm-5:30pm, Jia-Geng Buidling 2, Room 201): Testing in Time Series
　　Section Chair: Jae-Young Kim*, Seoul National University, Singapore

　　[1] 4:00-4:30: “Higher-Order Conditional Moment Tests: A Simple Robust Approach,” Yi-Ting Chen* (ytchen@gate.sinica.edu.tw), Academia Sinica, Taiwan
　　[2] 4:30-5:00: “Testing Linearity in Cointegration Relations with an Application to Purchasing Power Parity,” Seung Hyun Hong* (shhong@alcor.concordia.ca) Concordia University, Canada, and Peter Phillips (peter.phillips@yale.edu), Yale University, USA
　　[3] 5:00-5:30: “LM Tests for Nonlinear Time Series Models: A Monte Carlo Study,” Zhengming Qian* , Xiamen University, China.

　　Section 8b (4:00-5:30, Jia-Geng Building 3, Room 220): Time Series Forecasting and Prediction
　　Section Chair: Tae-Hwy Lee*, UC Riverside, and Caltech, USA

　　
　　[1] 4:00-4:30: “Optimal Binary Prediction for Group Decision Making,” Robert Lieli, University of Texas, Austin, USA, and Augusto Nieto Barthaburu (anieto@itam.mx ), ITAM, Mexico.
　　[2] 4:30-5:00: “Flexible Nonlinear Modelling and Prediction of Stock Returns: Evidence from Japan,” Jan Podivinsky* (J.M.Podivinsky@soton.ac.uk), University of Southampton, U.K.
　　[3] 5:00-5:30: “Predictive Regressions: Method of Least Autocorrelation,” Qi Zhu* (qi.zhu@emory.edu), Emory University, USA

　　6:00pm-8:00pm: Dinner

　April 6, 2006

　　Section 9a (8:30am-10:00am, Jia-Geng Building 2, Room 201) Testing in Econometrics
　　Section Chair: Jun Yu*, Singapore Management University, Singapore

　　[1] 8:30-9:00: “Testing Multivariate Continuous-time Models,” Bin Chen* (bc77@cornell.edu) Cornell University, USA and Yongmiao Hong, Cornell University, USA and Xiamen University, China
　　[2] 9:00-9:30: “Testing Multivariate Distributions,” Jushan Bai (Jushan.Bai@nyu.edu), New York University, USA and Zhihong Chen*(zhihong.chen@uibe.edu.cn), University of International Business and Economics, China
　　[3] 9:30-10:00: “Testing for Non-nested Conditional Moment Restrictions,” Yoon-Jae Whang* (whang@snu.ac.kr), Seoul National University, Korea.

　　Section 9b (8:30am-10:00am, Jia-Geng Building 3, Room 220): Empirical Studies on Chinese Financial Markets
　　Section Chair: Guojin Chen, Xiamen University, China

　　[1] 8:30-9:00: “序列相关的微观结构噪声估计”,Qing Han* (qhan@mail.shufe.edu.cn), Shanghai University of Finance and Economics, China
　　[2] 9:00-9:30: “Sources of Risk in Chinese Stock Market-An Empirical Study based on a latent Time-Varying Risk Premium Model” Meijin Wang* (wmg@lingnan.net) and Chuanle Li，Zhongshan University, China。
　　[3] 9:30-10:00: 市场化程度、政府干预与公司治理：理论与证据, 赵向琴* (xqzhao@xmu.edu.cn) and 朱孟楠 (zmnan@xmu.edu.cn ), 厦门大学, China

　　10:00am-10:30am: Coffee Break

　　Section 10a (10:30am-12:00pm, Jia-Geng Buidling 2, Room 201) Linear Time Series Model Estimation and Selection
　　Section Chair: Jesus Gonzalo* , Universidad Carlos III de Madrid, Spain

　　[1] 10:30-11:00: “LAD Estimation for ARFIMA Models with GARCH Errors,” Wai Keung Li and Guodong Li* (ligd@hkusua.hku.hk), University of Hong Kong, China.
　　[2] 11:00-11:30: “Using Information Criterion to Minimize the Mean Squared Prediction Error: A Unified Theory with Monte Carlo Studies,” Ching-Kang Inc, Academia Sinica, Taiwan, and Chor-Yiu Sin*(cysin@hkbu.edu.hk), Hong Kong Baptist University, Hong Kong, China.
　　[3] 11:30-12:00: “Adaptive Estimation and Bootstrap Inference of Autoregressions under Nonstationary Volatility,”, Ke-Li Xu* (keli.xu@yale.edu), Yale University, USA

　　Section 10b (10:30am-12:00pm, Jia-Geng Building 3, Room 220) Financial Risk
　　Section Chair: Ralph Friedmann*, Saarland University, Germany.

　　[1] 10:30-11:00: “Skew Hedging with Dynamic Semi-parametric Factor Models,” Szymon Borak* (borak@wiwi.hu-berlin.de), Matthias Fengler and Wolfgang H?rdle, Humboldt University of Berlin, Germany
　　[2] 11:00-11:30: “Corporate Defaults and Large Macroeconomic Shocks,” Mathias Drehmann* (mathias.drehmann@bankofengland.co.uk), Bank of England, UK
　　[3] 11:30-12:00: “Do Fund Investors Destabilize the Chinese Stock Market?” Maozu Lu*(ml@soton.ac.uk) and Yun Zhu, University of Southampton, UK.

　　12:00pm-2:00pm: Lunch

　　Section 11a (2:00pm-3:30pm, Jia-Geng Building 2, Room 201): Simultaneous Equations Models and Panel Data Models
　　Section Chair: Yoonjae Whang*, Seoul National University, Korea

　　[1] 2:00-2:30: “Indirect Inference for Dynamic Panel Models,” Christian Gourieroux, CREST-INSEE, France, Peter C. B. Phillips, Yale University, USA, University of Auckland, New Zealand, and University of York, UK, and Jun Yu* (yujun@smu.edu.sg), Singapore Management University, Singapore.
　　[2] 2:30-3:00: “Nagar-Type Moment Approximations in Simultaneous Equation Models: Some Future Results,” Garry Phillips*(G.D.A.Phillips@exeter.ac.uk), Cardiff University and University of Exeter, UK.
　　[3] 3:00-3:30: “A Second Order Least Squares Estimator for Nonlinear Panel Data Models, ”, Liqun Wang* (liqun_wang@umanitoba.ca), University of Manitoba, Canada.

　　Section 11b (2:00pm-3:30pm, Jia-Geng Building 3, Room 220) Financial Econometrics
　　Section Chair: Chunchi Wu*, Syracuse University, USA and Singapore Management University, Singapore.

　　[1] 2:00-2:30: “Highs, Lows, and Overreaction in Intraday Price Movements”，Ralph Friedman*（friedmann@mx.uni-saarland.de ），Saarland University, Germany
　　[2] 2:30-3:00: “Nonlinear and Asymmetric Properties in the Law of One Price in the International Stock Markets: Analysis of Market Integration and Risk Spillovers,” Jae-Young Kim* (jykim017@snu.ac.kr), Seoul National University, Korea.
　　[3] 3:00-3:30: “Re-examining Long-Run PPP under an Innovation Regime Switching Framework,” Yu-Lieh Huang, National Tsing-Hua University and Chung-Ming Kuan* (ckuan@econ.sinica.edu.tw), Academia Sinica

　　3:30pm-4:00pm: Coffee Break

　　Section 12a (4:00pm-5:30pm, Jia-Geng Buidling 32, Room 201) Nonparametric Analysis
　　Section Chair: Zongwu Cai*, University of North Carolina at Charlotte, USA

　　[1] 4:00-4:30: “Dimension Reduction Using Inverse Regression and Nonparametric Factors”, Pian Chen* (cnpchen@primal.ucdavis.edu), University of California, Davis, USA
　　[2] 4:30-5:00: “Adaptive Nonparametric Regression with Conditional Heteroskedasticity,” Liangjun Su* (lsu@gsm.pku.edu.cn), Peking University, China
　　[3] 5:00-5:30: “Local Linear Multiple Regression with Variable Bandwidth in the Presence of Heteroskedasticity,” A-zhong Ye*(yeazh@hotmail.com), Fuzhou University, China.

　　Section 12b (4:00pm-5:30pm, Jia-Geng Buidling 3, Room 220): Financial Econometrics
　　Section Chair: Jan Podivinsky*, University of Southampton, U.K.

　　[1] 4:00-4:30: “Term Structure, McCallum Rule, Taylor Rule and Short Rate Forecasting,” Song Gao* (Song.gao@wmich.edu), Western Michigan University, USA.
　　[2] 4:30-5:00: “Illiquidity, Illiquidity Risk and Stock Returns,” Qian Sun* (qsun@xmu.edu.cn ), Xiamen University, China and Nanyang Technology University, Singapore.
　　[3] 5:00-5:30: “Estimating Liquidity Premium of Corporate Bonds Using the Spread Information in On- and Off-the-Run Treasury Securities,” Haitao Li, University of Michigan, USA, Jian Shi, Syracuse University, USA, and Chunchi Wu* (cwu@syr.edu), Syracuse University, USA and Singapore Management University, Singapore.

　　6:00pm-8:00pm: Dinner

　Poster Section

　　[1] “我国股票市场的过度反应现象及其成因分析”， 陈国进*(gjchen@xmu.edu.cn), 范长平(cpfan@xmu.edu.cn), 厦门大学
　　[2] “境外上市能放松公司的融资约束吗？——来自H股公司的经验证据,” 陈国进* (gjchen@xmu.edu.cn) , 王磊(vipjerry1982@163.com), 厦门大学
　　[3] “平行数据模型在福建省农村居民消费结构问题的应用”, 陈燕武* （cywhelen@163.com），吴承业（sec@hqu.edu.cn）, 华侨大学
　　[4] “What Happens to Japan if China Catches a Cold? A Causal Analysis of China’s Economic Growth and Japan’s Economic Growth,” Pu Chen（pchen@wiwi.uni-bielefeld.de）and Chihying Hsiao, Faculty of Economics, Bielefeld University, Germany.
　　[5] “A Study on Relations between Health Care Expenditure and Income via Local Quantile Regressions”, M.-Y. Chen* (mei_yuan@dragon.nchu.edu.tw), F.-L. Lin, C.-K. Chang.
　　[6] “The Generalization of λ-fuzzy measures on Application to Options Pricing,” Wenli Chen (cwl-1028@163.com), Liyan Han (hanly1@163.com), Juan Zhou，Beihang University
　　[7] “Are the Chinese Listed Firms Expropriated by the Controlling Shareholders in Asset and Share Acquisitions?” Qingyong Chen (chenqingyong@sina.com), Liyan Han (hanly1@163.com) , Chunming Sun，Beihang University
　　[8] “沪铜期货的现货溢价效应分析”, 杜承栎(40011094@mail.swufe.edu.cn), 王进(40009058@mail.swufe.edu.cn), 西南财经大学
　　[9] “Pre-trade Transparency and Market Quality: Evidence from China a Shares Markets,” Feng Dong (df7792@126.com ), Liyan Han (hanly1@163.com), Beihang University.
　　[10] “房地产价格的政策效应——基于VARX模型的研究,” 李南成 （linc@swufe.edu.cn）,马 萍 （seleda@mail.swufe.edu.cn）, 徐 舒（stan_ph@mail.swufe.edu.cn）, 西南财经大学。
　　[11] “交易量持续期与流动性：以万科A、B股为例”, 林伟斌* (linwb@lingnan.net)，王立立 (zsulingnan@126.com), 中山大学
　　[12] “Comparison of Extreme Value Theory and GARCH models on Estimating and predicting of Value-at-Risk”, Zuo-xiang Peng, Shi Li* (shili@swufe.edu.cn), Hao Pang, Southwestern University of Finance and Economics, China.
　　[13] “Risk-taking behavior and bank charter value of listed banks: An empirical study in China,” Yanping Li (happyping123@163.com), Liyan Han (hanly1@163.com), Beihang University.
　　[14] “制度因素、双重信贷配给与货币政策信贷传导机制优化”, Xiaoli Sun* (shsunxl@163.com), 沈阳工业大学.
　　[15] “规模效应、随机游走假说与市场有效性-基于马尔科夫链对上海A股市场的实证研究,”韦倩* , 山东大学
　　[16] “上海铜期货价格实证研究,” 谢佳, 韩冰*(hb1981@163.com), 西南财经大学研究生部.
　　[17] “An Empirical Study of Co-integration with Structural Breaks of Shanghai and Shenzhen Stock Markets,” Jiping Yang (yangjp@buaa.edu.cn), Lisha Sun, Beihang University.
　　[18] “Panel Data 模型设定的新思路—固定效应与随机效应的统一,” 张红星(redstar_zh@sina.com.cn), 贾彦东*(family@mail.swufe.edu.cn), 西南财经大学。
　　[19] “中国社会养老保障支出增长的影响因素的初探—基于省际面板数据的实证分析,” 庄腾飞* (billfigo@126.com), 厦门大学
　　[20] “证券价格行为研究：GARCH、长记忆和混沌的比较”, 赵华* (hzhxmu@163.com), 厦门大学
　　[21] “沪深基金市场收益率及溢出效应相关分析”, 钟卫东*(phshzhong@163.com), 山东大学
　　[22] “M&A size effect on wealth effect:A panel analysis for China security marker”,Liyan Han(hanly1@163.com),XiaomengWang(xiaomeng79@hotmail.com),Beihang University
　　[23] “房地产价格与宏观经济关系研究——我国29个省市面板数据实证分析”, 徐伟民 (xweimin@ceibs.edu), 华东政法学院；崔光灿，上海财经大学。