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JSM 2012 Online Program
A mobile version of the online program is available at www.amstat.org/jsmmobile.
Activity Numbers were re-assigned on May 17, 2012.
The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
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My Program
Legend: San Diego Convention Center = CC, Hilton San Diego Bayfront = HQ
Activity Details
Sun, 7/29/2012, 2:00 PM - 3:50 PM
CC-Room 29C
5!
Quantile Regression: Recent Advances and Challenging Issues — Invited Papers
Section on Nonparametric Statistics , Business and Economic Statistics Section , Statistics Surveys Online Journal
Organizer(s): Lan Wang, University of Minnesota
Chair(s): Yunwen Yang, Drexel University
2:05 PM Simultaneous Linear Quantile Regression: A Semiparametric Bayesian Approach — Surya T Tokdar, Duke University
2:30 PM The Quantile Approach to the Power Transformed Location-Scale Model — Hyokyoung Grace Hong, City University of New York
2:55 PM On Shrinkage Estimation of Varying Covariates Effects Based on Quantile Regression — Limin Peng, Emory University ; Jinfeng
Xu, National University of Singapore ; Nancy Kutner, Emory University
3:20 PM Nonparametric and Semiparametric Quantile Regression via Global MM Algorithms — Bo Kai, College of Charleston ; Mian Huang,
Shanghai University of Finance and Economics ; Weixin Yao, Kansas State University
3:45 PM Floor Discussion
Sun, 7/29/2012, 2:00 PM - 3:50 PM
CC-Room 23A
7/16/2012 8:30 AM
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Uncertainty and Real-Time Business Cycle Analysis — Topic Contributed Papers
Business and Economic Statistics Section
Organizer(s): Gian Luigi Mazzi, Eurostat
Chair(s): Riccardo Gatto, Eurostat-C4
2:05 PM Statistical Design of Leading Indicators: A Systematic Approach with Applications to OECD-CLIs — Marc Wildi
2:25 PM Comprehensive Benchmark Revisions for the Conference Board Leading Economic Index for the United States — Ataman
Ozyildirim, The Conference Board ; Gad Levanon, The Conference Board ; Brian Schaitkin, The Conference Board ; Justyna Zabinska
La-Monica, The Conference Board ; Jean-Claude Manini, The Conference Board
2:45 PM Nowcasting Business Cycle Turning Points in an Uncertain Environment — Francesco Ravazzolo, Norges Bank ; Knut Are
Aastveit, Norges Bank ; Herman van Dijk, Tinbergen Institute/Erasmus University Rotterdam
3:05 PM Direct Versus Indirect Approach to Estimates Euroarea Business Cycle Fluctuations — Gian Luigi Mazzi, Eurostat ; Monica Billio,
University of Venice ; Laurent Ferrara, Bank of France ; Filippo Moauro, Eurostat
3:25 PM Discussant: Aleksandar Tomic, Hendyplan
3:45 PM Floor Discussion
Sun, 7/29/2012, 2:00 PM - 3:50 PM
CC-Room 23B
38
Multivariate Time Series, Dimension Reduction, and Miscellaneous Topics — Contributed Papers
Business and Economic Statistics Section , Section on Statistical Learning and Data Mining
Chair(s): James McDonald, Brigham Young University
2:05 PM Coherence Estimation and Dimension Reduction in Multivariate Nonstationary Time Series — Timothy Park, Lancaster
University ; Idris Eckley, Lancaster University ; Hernando Ombao, University of California at Irvine
2:20 PM Dimension Reduction on Multivariate Time Series Data — Prabir Burman, University of California at Davis ; Wolfgang Polonik, University
of California at Davis ; Yinhong Weng
2:35 PM Design of a Coincident Index Using Dynamic Common Factors — Wilmer Martinez, Central Bank ; Fabio H. Nieto, Universidad
Nacional de Colombia ; Pilar Poncela, Universidad Autónoma de Madrid
2:50 PM Factor Model for Forecasting with Multi-Collinearity and Nonlinear Dependence — Joseph Egbulefu, Rice University
3:05 PM Bayesian Multivariate Inference for a Non-Standard Fuzzy Regression Discontinuity Design — Fan Li, Duke University ; Fabrizia
Mealli, University of Florence ; Alessandra Mattei, University of Florence ; Fei Liu, IBM T. J. Watson Research Center
3:20 PM A New Method for Interval Forecasting of Autoregressive Time Series with a Root Near 1 — Staffan Fredricsson
3:35 PM Floor Discussion
Sun, 7/29/2012, 4:00 PM - 5:50 PM
CC-Room 23A
61 * !
Innovative Statistical Applications to Business — Topic Contributed Papers
7/16/2012 8:30 AM
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Business and Economic Statistics Section , International Indian Statistical Association
Organizer(s): Burcu Aydin, Hewlett-Packard Labs
Chair(s): Yili Hong, Virginia Tech
4:05 PM Kernel Dimension Reduction in Data-Rich Marketing Research — Yuexiao Dong, Temple University
4:20 PM Statistical Analysis for IBM Smarter Planet Initiative — Yasuo Amemiya, IBM T. J. Watson Research Center
4:35 PM Innovative Statistical Applications to Business — Han Ye, The University of North Carolina at Chapel Hill
4:50 PM Applications Using Mobile Call Detail Records for Clustering and Urban Planning — Chris Volinsky, AT&T Shannon Laboratory
5:05 PM Topic Discovery for Online Video Ads — Sangho Yoon, Google
5:20 PM Discussant: J. Steve Marron, The University of North Carolina at Chapel Hill
5:35 PM Floor Discussion
Sun, 7/29/2012, 4:00 PM - 5:50 PM
CC-Room 31C
78 * !
Applications in Business and Economics — Contributed Papers
Business and Economic Statistics Section
Chair(s): Fan Li, Duke University
4:05 PM Bright Lights, Risky Business: A Longitudinal Study of Broadway Show Success — Lan Nygren, Rider University ; Kjell Nygren,
ImpactRx, Inc. ; Jeffrey Simonoff, New York University
4:20 PM Who Are the Good and Bad Borrowers of the Home Affordable Loan Modification Program? — Xun Wang, George Mason
University ; James Gentle, George Mason University
4:35 PM Academic Salary Compression: Winners and Losers — James McDonald, Brigham Young University ; Jeff Sorensen, University of
California at Berkeley
4:50 PM Mass Transit Demand in El Paso — Thomas Fullerton, The University of Texas at El Paso ; Adam G. Walke, The University of Texas
at El Paso
5:05 PM Price Movements: Online Versus Onsite — John Marcis, Coastal Carolina University ; Bomi Kang, Coastal Carolina University
5:20 PM Measuring the Economic Sentiments Using Ordinary Response Options — Inho Park, Pukyong National University
5:35 PM Early-Life Circumstances and Late-Life Incomes — Omar Paccagnella, University of Padua ; Christelle Garrouste, European
Commission - Joint Research Centre
Mon, 7/30/2012, 7:00 AM - 8:30 AM
HQ-Sapphire 412
208528
Business and Economic Statistics Section Executive Committee Meeting — Other Cmte/Business
Business and Economic Statistics Section
Chair(s): Mark Little, SAS Institute
7/16/2012 8:30 AM
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Mon, 7/30/2012, 8:30 AM - 10:20 AM
CC-Room 29D
109 * !
Emerging Challenges in Energy Time Series — Topic Contributed Papers
Business and Economic Statistics Section
Organizer(s): Idris Eckley, Lancaster University
Chair(s): Idris Eckley, Lancaster University
8:35 AM Functional Instrumental Regression for Energy Price Forecasting — Sebastien Van Bellegem, Universite Catholique de Louvain
8:55 AM Change Point Detection for Marine Energy Series — Rebecca Killick, Lancaster University
9:15 AM Space-Time Wind Speed Forecasting for Improved Power System Dispatch — Marc Genton, Texas A&M University ; Xinxin Zhu,
Texas A&M University ; Yingzhong Gu, Texas A&M University ; Le Xie, Texas A&M University
9:35 AM Nonstationary Approaches for Energy Time Series — Marina Iuliana Knight, University of Bristol
9:55 AM Locating and Quantifying Gas Emission Rates Using Remotely Obtained Concentration Data — Philip Jonathan, Shell Projects &
Technology ; Bill Hirst, Shell Projects & Technology ; David Randell, Shell Projects & Technology ; Fernando Gonzalez del Cueto, Shell
Projects & Technology ; Oliver Kosut, MIT Laboratory for Information and Decision Systems
10:15 AM Floor Discussion
Mon, 7/30/2012, 8:30 AM - 10:20 AM
CC-Room 29C
133 * !
Volatility and ARCH/GARCH — Contributed Papers
Business and Economic Statistics Section
Chair(s): Ginger Koev, Hewlett-Packard
8:35 AM The Estimation of Leverage Effect with High-Frequency Data — Dan Wang, The University of Chicago
8:50 AM Weekly Crude Oil Spot Price Forecasting Using Oil Inventories and Stock Market Indexes — Myung Suk Kim, Sogang University
9:05 AM Exploratory Data Analysis of Stock Returns — Kimihiro Noguchi, University of California at Davis ; Alexander Aue, University of
California at Davis ; Prabir Burman, University of California at Davis
9:20 AM Is the TAR Model Useful for Analyzing Financial Time Series? — Fabio H. Nieto, Universidad Nacional de Colombia ; Edna Carolina
Moreno, Universidad Santo Tomás
9:35 AM GARCH Models Estimation with Missing Observations Using State Space Representation — Natalia Bahamonde, Pontificia
Universidad Católica de Valparaiso ; Sebastián Ossandón, Pontificia Universidad Católica de Valparaíso
9:50 AM Constrained Regression for Interval-Valued Data: The Daily Low/High Interval of SP500 Returns — Wei Lin, University of
California at Riverside ; Gloria González-Rivera, University of California at Riverside
10:05 AM Regularized Realized Covariance Estimator Under Market Microstructure Noise — Changgee Chang, The University of Chicago
Mon, 7/30/2012, 10:30 AM - 12:20 PM
CC-Room 29C
160 * !
7/16/2012 8:30 AM
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Recent Advances in Multivariate and Multiple Time Series — Topic Contributed Papers
Business and Economic Statistics Section
Organizer(s): Scott Holan, University of Missouri
Chair(s): Katherine Bennett Ensor, Rice University
10:35 AM Multivariate Time Series for Mixed Data Types — Ginger Koev, Hewlett-Packard ; Katherine Bennett Ensor, Rice University
10:55 AM Forecasting State Unemployment Rates: A Robust Clustering Approach — Ruey-Shiong Tsay, The University of Chicago
11:15 AM Fast Methods for High-Dimensional Financial Time Series Modeling — Nalini Ravishanker, University of Connecticut ; Jeffrey S.
Pai, University of Manitoba
11:35 AM Flexible Spectral Models for Multivariate Time Series — Scott Holan, University of Missouri ; Tucker McElroy, U.S. Census Bureau
11:55 AM A Nonparametric Approach for Multiple Change-Point Analysis of Multivariate Data — David Scott Matteson, Cornell University ;
Nicholas A James, Cornell University
12:15 PM Floor Discussion
Mon, 7/30/2012, 2:00 PM - 3:50 PM
HQ-Sapphire EF
212 !
Spatial Socio-Demographics — Invited Papers
Business and Economic Statistics Section , International Indian Statistical Association , Statistics Surveys Online Journal
Organizer(s): Noel Cressie, The Ohio State University
Chair(s): Scott Holan, University of Missouri
2:05 PM Spatial Econometrics in an Age of CyberGIScience — Luc Anselin, Arizona State University ; Sergio Rey, Arizona State University
2:30 PM Quantifying Spatial Spillovers Using Simulated Maximum Likelihood Spatial Probit Model Estimates — James Paul LeSage,
Texas State University ; Ronald Kelley Pace, Louisiana State University ; Shuang Zhu, Louisiana State University
2:55 PM Change of Support in Dynamical Spatio-Temporal Models — Christopher Wikle, University of Missouri
3:20 PM Discussant: Noel Cressie, The Ohio State University
3:40 PM Floor Discussion
Mon, 7/30/2012, 2:00 PM - 3:50 PM
CC-Room 26B
247 * !
Forecasting — Contributed Papers
Business and Economic Statistics Section
Chair(s): Bonnie Ray, IBM T. J. Watson Research Center
2:05 PM Forecast Optimality Tests in the Presence of Instabilities — Barbara Rossi, Duke University ; Tatevik Sekhposyan, Bank of Canada
2:20 PM Measuring the Effect of Financial Stress — Michael Owyang, Federal Reserve Bank of St. Louis ; Ana Beatriz Galvao, Queen Mary
College, University of London
2:35 PM Challenges with Forecasting Ratios in Hierarchies — Bruce Elsheimer, SAS Institute ; Michael J Leonard, SAS Institute ; Michele
Trovero, SAS Institute ; Peter Dillman, SAS Institute
7/16/2012 8:30 AM
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2:50 PM What Unemployment Data Can Tell Us About House Prices: Stabilizing Strong but Unstable Connection — Vladimir Ladyzhets,
Lincoln Financial Group
3:05 PM Aggregating and Evaluating Analyst Forecasts Using Percentage and Relative Error — Victor Jose, Georgetown University
3:20 PM Applications of HMMs to Financial Data: A Data-Motivated Approach — Tessa Childers-Day, University of California at Berkeley ;
Lisa Goldberg, MSCI
3:35 PM Tests of Specification and Distributional Change for Predictive Densities — Tatevik Sekhposyan, Bank of Canada ; Barbara Rossi,
Duke University
Mon, 7/30/2012, 5:30 PM - 7:00 PM
HQ-Indigo 202
208712
Business & Economic Statistics Section Business Meeting — Other Cmte/Business
Business and Economic Statistics Section
Chair(s): Mark Little, SAS Institute
Tue, 7/31/2012, 8:30 AM - 10:20 AM
CC-Room 30D
269 * !
High-Dimensional Time Series Models — Invited Papers
JBES-Journal of Business & Economic Statistics , Business and Economic Statistics Section , International Indian Statistical Association
Organizer(s): Oscar Jorda, University of California at Davis/Federal Reserve Bank of San Francisco
Chair(s): Oscar Jorda, University of California at Davis/Federal Reserve Bank of San Francisco
8:35 AM Modeling Dependence in High Dimensions with Factor Copulas — Andrew Patton, Duke University ; Dong Hwan Oh, Duke University
9:00 AM Robust and Sparse Factor Modeling — Christophe Croux, K. U. Leuven ; Peter Exterkate, CREATES - Aarhus University
9:25 AM The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors — Seth Pruitt, Federal Reserve Board
; Bryan Kelly, Chicago Booth
9:50 AM Estimation of Treatment Effects with High-Dimensional Controls — Alexandre Belloni, Duke University ; Victor Chernozhukov,
Massachusetts Institute of Technology ; Christian Hansen, The University of Chicago
10:15 AM Floor Discussion
Tue, 7/31/2012, 8:30 AM - 10:20 AM
CC- Room 33B
273
Resampling and Related Methods in Time Series and Econometrics — Invited Papers
Business and Economic Statistics Section , SSC , Section on Statistical Computing , International Indian Statistical Association , Section on Government Statistics
Organizer(s): Xiaofeng Shao, University of Illinois at Urbana-Champaign
7/16/2012 8:30 AM
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Chair(s): Yinxiao Huang, University of Illinois at Urbana-Champaign
8:35 AM Subsampling Inference for the Autocovariances of Heavy-Tailed Long-Memory Time Series — Tucker McElroy, U.S. Census
Bureau
9:05 AM Bootstrapping Factor-Augmented Regression Models — Silvia Goncalves, Universite de Montreal ; Perron Benoit, Universite de
Montreal
9:35 AM A New Version of Blockwise Empirical Likelihood for Time Series — Soumen Lahiri, Texas A&M University ; Dan Nordman, Iowa State
University
10:05 AM Floor Discussion
Tue, 7/31/2012, 10:30 AM - 12:20 PM
CC-Room 32A
312 * !
New Bayesian Methods with Application to Econometrics — Invited Papers
Council of Chapters , Business and Economic Statistics Section , International Indian Statistical Association
Organizer(s): Hao Wang, University of South Carolina
Chair(s): Hao Wang, University of South Carolina
10:35 AM Identification, Learning, and Less Informative Priors in Endogenous Variable Models — Justin L Tobias, Purdue University ; Josh
Chan, Australian National University
11:00 AM Bayesian Regression with Nonparametric Heteroskedasticity — Andriy Norets, Princeton University
11:25 AM On Some Properties of Markov Chain Monte Carlo Simulation Methods Based on the Particle Filter — Robert Jacob Kohn,
University of New South Wales ; Michael Pitt, University of Warwick ; Paolo Giordani, Sveriges Riksbank
11:50 AM Reparameterizations for Bayesian Econometrics — P. Richard Hahn, The University of Chicago Booth School of Business
12:15 PM Floor Discussion
Tue, 7/31/2012, 10:30 AM - 12:20 PM
CC-Room 33A
327 !
New Developments in Methods for Locally Stationary Processes — Topic Contributed Papers
Business and Economic Statistics Section
Organizer(s): Matthew Nunes, Lancaster University
Chair(s): Hernando Ombao, University of California at Irvine
10:35 AM Inference for Local Autocorrelation Process in Locally Stationary Models — Zhibiao Zhao, Penn State University
10:55 AM Adaptive Sampling of Discrete Time Locally Stationary Processes — Matthew Nunes, Lancaster University ; Idris Eckley, Lancaster
University
11:15 AM Alias Detection and Spectral Estimation Within Locally Stationary Random Fields — Idris Eckley, Lancaster University ; Aimée
Gott, Lancaster University
11:35 AM Tree-Structured Wavelet Thresholding for Estimation of Evolutionary Spectra — Rainer Von Sachs
7/16/2012 8:30 AM
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11:55 AM Semiparametric Dynamic Factor Models for Nonstationary Time Series — Michael Eichler, Maastricht University ; Giovanni Motta,
Maastricht University
12:15 PM Floor Discussion
Tue, 7/31/2012, 10:30 AM - 12:20 PM
CC- Room 33B
344 !
Nonparametrics, Mixtures, and Functional Data — Contributed Papers
Business and Economic Statistics Section
Chair(s): William Leeds, University of Missouri
10:35 AM Finite Mixtures of Archimedean Copulas — Renate Meyer, University of Auckland ; Goeran Kauermann, Ludwig-Maxilians-Universität
München
10:50 AM Time-Varying Beta and the Value Premium: Evidence from the Varying-Coefficient Single-Index Model — Chaojiang Wu,
University of Cincinnati ; Hui Guo, University of Cincinnati ; Yan Yu, University of Cincinnati
11:05 AM Adaptive Nonparametric Regression for Marketplace Response Detection — Junqing Wu, Microsoft Corporation ; Yuedong Wang,
University of California at Santa Barbara ; Wendy Meiring, University of California at Santa Barbara
11:20 AM Nonparametric Estimation of Risk Neutral Distribution Implied by Options — Kam Hamidieh, California State University Fullerton
11:35 AM Functional Coefficient Autoregressive Models for Nonlinear Time Series — Alireza Tahai, Mississippi State University
11:50 AM Modeling and Forecasting the Daily Load Curves for Electricity — Jonathan Hosking, IBM Research ; Soumyadip Ghosh, IBM
Research ; Ramesh Natarajan, IBM Research
12:05 PM Functional Prediction of Intraday Cumulative Returns — Xi Zhang, Utah State University ; Piotr Stefan Kokoszka, Colorado State
University
Tue, 7/31/2012, 12:30 PM - 1:50 PM
CC-Room 33C
357
Economic Outlook Speaker Luncheon (fee event) — Roundtables Speaker with Lunch
Business and Economic Statistics Section
Organizer(s): Alan Montgomery, Carnegie Mellon University
TL11: Forecasting When You Suspect 'This Time Is Different': A Typical Day in the Life of a Macroeconomic Forecaster — Edward
Leamer, University of California at Los Angeles
Tue, 7/31/2012, 2:00 PM - 3:50 PM
CC-Room 29B
385 *
Dynamic Factor and Volatility Modeling of Multivariate Economic and Financial Time Series — Topic Contributed Papers
7/16/2012 8:30 AM
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Business and Economic Statistics Section
Organizer(s): Peter Zadrozny, Bureau of Labor Statistics
Chair(s): Peter Zadrozny, Bureau of Labor Statistics
2:05 PM One-Sided Representations of Generalized Dynamic Factor Models — Marco Lippi, Universita' di Roma "La Sapienza" ; Mario
Forni, Università degli Studi di Modena e Reggio Emilia ; Marc Hallin, ECARES ; Paolo Zaffaroni, Imperial College London
2:25 PM Reduced-Rank Time-Series Models — Victor Solo, University of New South Wales
2:45 PM Generalized Linear Dynamic Factor Models: The Single and the Mixed Frequency Case — Manfred Deistler, Vienna University of
Technology ; Brian D.O. Anderson, Australian National University ; Elisabeth Felsenstein, Vienna University of Technology ; Alexander Filler,
Uniqa ; Bernd Funovits, University of Vienna ; Mohsen Zamani, Australian National University
3:05 PM Cholesky Factorization Method for VARMA Modeling of Residual Volatilities of Single- and Mixed-Frequency Data — Peter
Zadrozny, Bureau of Labor Statistics ; Klaus Wohlrabe, Ifo Institut ; Stefan Mittnik, Ludwig-Maxilians-Universität München
3:25 PM Multivariate Stochastic Volatility Models Based on Non-Gaussian Ornstein-Uhlenbeck Processes: A Quasi-Likelihood Approach
— Arvid Raknerud ; Øivind Skare, University of Oslo
3:45 PM Floor Discussion
Tue, 7/31/2012, 2:00 PM - 3:50 PM
CC-Room 30E
395 !
Labor Estimates by Firm Size — Topic Contributed Papers
Section on Government Statistics , Section on Survey Research Methods , Business and Economic Statistics Section
Organizer(s): Nathan Clausen, Bureau of Labor Statistics
Chair(s): Ed Robison, Bureau of Labor Statistics
2:05 PM Estimates by Firm Size Using the CES Survey — Nathan Clausen, Bureau of Labor Statistics ; Chris Manning, Bureau of Labor
Statistics
2:25 PM Analytical Highlights of CES Firm Size Employment Data — John Mullins, Bureau of Labor Statistics
2:45 PM Development of JOLTS Firm Size Estimation Procedures — Darrell Greene, Bureau of Labor Statistics ; Shail Butani, Bureau of
Labor Statistics ; Mark Crankshaw, Bureau of Labor Statistics ; Vinod Kapani, Bureau of Labor Statistics
3:05 PM Analysis of JOLTS Research Estimates by Size of Firm — Katherine Klemmer, Bureau of Labor Statistics
3:25 PM Choosing Size Classes for Industry Employment Estimates by Firm-Size Class — Jeffrey Groen, Bureau of Labor Statistics ;
Lowell Mason, Bureau of Labor Statistics
3:45 PM Floor Discussion
Tue, 7/31/2012, 2:00 PM - 3:50 PM
CC-Room 29C
406 !
Seasonal Time Series, Goodness-of-Fit, and Unit Root — Contributed Papers
Business and Economic Statistics Section
Chair(s): Barbara J. Robles, Board of Governors of the Federal Reserve System
7/16/2012 8:30 AM
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2:05 PM Detecting Hidden 'Peaks' in ARMA Spectral Estimators — Wayne Woodward, Southern Methodist University ; Henry L Gray,
Southern Methodist University ; Alan C Elliott, The University of Texas Southwestern Medical Center at Dallas
2:20 PM Weighted Portmanteau Statistics — Colin Gallagher, Clemson University ; Thomas Fisher, University of Missouri-Kansas City
2:35 PM Time Series Goodness-of-Fit Testing Using a Weighted Portmanteau Statistic — Thomas Fisher, University of Missouri-Kansas
City ; Colin Gallagher, Clemson University
2:50 PM New Results on Linear Filters Minimizing Phase-Shift for Seasonal Adjustment — Fabien Guggemos, Insee ; Dominique Ladiray,
INSEE ; Michel Grun-Rehomme
3:05 PM The Quality of Seasonal Adjustment: An Empirical Comparison of Various Methods of Seasonal Adjustment — Raj Jain, Bureau
of Labor Statistics
3:20 PM A Note on Mean Squared Prediction Error Under the Unit Root Model with Deterministic Trend — Shu-Hui Yu
3:35 PM Prediction Intervals for ARIMA Processes: A Sieve Bootstrap Approach — Maduka Rupasinghe, Ashland University ; V A
Samaranayake, Missouri University of Science and Technology
Tue, 7/31/2012, 2:00 PM - 3:50 PM
CC-Sails Pavilion
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Contributed Oral Poster Presentations: Business and Economic Statistics Section — Contributed Poster Presentations
Business and Economic Statistics Section
Chair(s): Marie Kraska, Auburn University
01: Variance - Mean Relationships to Analyze Large Survey Data with Application to Health Expenditure Data — Wenli Luo,
AstraZeneca ; Howard Stratton, University of Albany
02: A Study of the Quality of Family Life for Business Executives — Jonathan Trower, Baylor University ; Kris Moore, Baylor University ;
Charles Goldwaite, Baylor University
03: Investment Strategy in a Business Cycle — Les Yen, PAE Inc. ; Joshua Burke, ICE Communications, DHS
04: A Subjective Production Function for Soybeans, Corn, and Sunflower in the Pampean Region (Argentina) — Luis Frank,
University of Buenos Aires ; Marcial Demarchi, University of Buenos Aires
05: Inference for Duration Models Using Estimating Functions — Julieta Frank, University of Manitoba ; Melody Ghahramani, University
of Winnipeg ; Aerambamoorthy Thavaneswaran, University of Manitoba
06: Investigations Using the Weibull Analysis for Predictability of Failure in the Service Industry — Michael Anderson
07: Bayesian Modeling of Regime-Switching Models: An Application in Multistream Asset Pricing — David Engler, Brigham Young
University ; Brian Hartman, University of Connecticut
Wed, 8/1/2012, 8:30 AM - 10:20 AM
CC-Room 29A
450 *
Topics in Seasonal Adjustment — Topic Contributed Papers
Business and Economic Statistics Section , Section on Survey Research Methods , Section on Government Statistics
Organizer(s): Tucker McElroy, U.S. Census Bureau
Chair(s): Robert Lund, Clemson University
7/16/2012 8:30 AM
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8:35 AM Coupling X-12-Arima-Seats with a Multidimensional Direct Filter Approach for Signal Extraction in Nonstationary Seasonal Time
Series — Chris Blakely, U.S. Department of Commerce
8:55 AM Evaluating AICC Tests in X-13Arima-Seats — Brian Monsell, U.S. Census Bureau
9:15 AM Differences in Performance Between Concurrent and Projected Seasonal Factors for Weekly UI Data — Thomas Evans, Bureau
of Labor Statistics
9:35 AM Complementary Properties of an F-Test and an Empirical Spectral Test for Identifying Seasonality in Unadjusted or Seasonally
Adjusted Series — David Findley, U.S. Census Bureau
9:55 AM Moving from X-12-Arima to X-13Arima-Seats: The UK Experience — Gary Brown, Office for National Statistics ; Daniel Ayoubkhani,
Office for National Statistics
10:15 AM Floor Discussion
Wed, 8/1/2012, 8:30 AM - 10:20 AM
CC-Room 28E
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Panel Data, Skewness, and Testing — Contributed Papers
Business and Economic Statistics Section
Chair(s): Georgette Nicolaides, Syracuse University
8:35 AM Moment-Based Tests for Random Effects in Panel Data Models — Guodong Li, The University of Hong Kong
8:50 AM Nonparametric Panel Data Model Estimation: Efficiency Comparison of Kernel and Spline Estimators — Yue Liu, University of
California at Riverside
9:05 AM Efficient Moment Selection from High-Dimensional Moment Conditions — Hyunkeun Cho, University of Illinois at UrbanaChampaign ; Annie Qu, University of Illinois at Urbana-Champaign
9:20 AM An Innovative Estimation Approach — Yang Yu, Bowling Green State University ; John Chen, Bowling Green State University
9:35 AM Student's T Confidence Intervals Adjusted for Skewed and Autocorrelated Populations — Kyungduk Ko, Boise State University
9:50 AM A Parametric Measure of Dispersion Derived from the Generalized Mean — Victor Guerrero, ITAM ; Claudia R Solis Lemus,
University of Wisconsin-Madison
10:05 AM Directed $T$ Tests of Inequality Constraints Under Alternatives in Linear and Nonlinear Models — Zeng-Hua Lu, University of
South Australia
Wed, 8/1/2012, 10:30 AM - 12:20 PM
CC-Room 29B
480 !
Modeling and Seasonality in Economic Time Series — Invited Papers
Business and Economic Statistics Section , International Indian Statistical Association , Section on Government Statistics
Organizer(s): Tucker McElroy, U.S. Census Bureau
Chair(s): Tucker McElroy, U.S. Census Bureau
10:35 AM Models for High Lead Time Prediction — Granville Tunnicliffe-Wilson, Lancaster University ; John Haywood, Victoria University of
Wellington
7/16/2012 8:30 AM
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11:00 AM Seasonal Heteroskedasticity and Signal Extraction in Time Series — Thomas Morgan Trimbur, Federal Reserve Board ; William
Bell, U.S. Census Bureau
11:25 AM Normally Distributed Seasonal Unit Root Tests — David Alan Dickey, North Carolina State University
11:50 AM Seasonal Autocovariance Structures: PARMA or SARMA? — Robert Lund, Clemson University
12:15 PM Floor Discussion
Wed, 8/1/2012, 10:30 AM - 12:20 PM
CC-Room 29A
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Heavy Tails and Long Memory — Contributed Papers
Business and Economic Statistics Section
Chair(s): Myung Suk Kim, Sogang University
10:35 AM Robust Fitting of Heavy-Tailed Autoregressive Models Using Gini Autocovariance Functions — Marcel Carcea ; Robert Serfling,
The University of Texas at Dallas
10:50 AM Are the Tails Different from the Body? An International Approach to Stock Returns' Tail Dependence — Jose Faias, Catolica
Lisbon SBE
11:05 AM Goodness-of-Fit Testing for Non-Causal Autoregressive Time Series with Stable Noise — Yunwei Cui, University of HoustonDowntown ; Thomas Fisher, University of Missouri-Kansas City ; Rongning Wu, Baruch College
11:20 AM A Goodness-of-Fit Test for Identifying the Maximum Domain of Attraction — Tatsuyoshi Okimoto, Hitotsubashi University ; Hiroaki
Kaido, Boston University
11:35 AM A New Portmanteau Test for Short Memory in Long Memory Processes — Timothy Hughes, PacificSource ; Jaechoul Lee, Boise
State University
11:50 AM Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability — Natalia Sizova, Rice University
12:05 PM Floor Discussion
Wed, 8/1/2012, 2:00 PM - 3:50 PM
HQ-Sapphire IJ
543 *
Repression of Statistics and Statisticians by the Argentine Government: Recent Developments, the Human Rights Context, and International Responses —
Invited Papers
Committee on Scientific Freedom and Human Rights , SSC , Section on Survey Research Methods , Business and Economic Statistics Section , International Indian
Statistical Association , Section on Government Statistics , Statistics Without Borders
Organizer(s): Joseph B. Kadane, Carnegie Mellon University
Chair(s): Joseph B. Kadane, Carnegie Mellon University
2:05 PM Human Rights and Statistics: A Reciprocal Relationship — Jessica Mary Wyndham, AAAS Scientific Responsibility, Human Rights
and Law Program
2:30 PM Argentina: An Update on Credibility in CPI and Other Official Statistics and Perils Endured by Some Statisticians — Edmundo
Berumen, Berumen y Asociados, SA de CV ; Victor A Beker, Economia de la Universidad de Belgrano
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2:55 PM International Responses to Governmental Targeting of Statisticians and Research Organizations in Argentina — William Seltzer,
Fordham University
3:20 PM Discussant: Joseph B. Kadane, Carnegie Mellon University
3:40 PM Floor Discussion
Wed, 8/1/2012, 2:00 PM - 3:50 PM
HQ-Sapphire H
549 * !
Benchmarking and Seasonal Adjustment — Invited Papers
Section on Government Statistics , Section on Survey Research Methods , Business and Economic Statistics Section
Organizer(s): Tucker McElroy, U.S. Census Bureau
Chair(s): Michael Sverchkov, Bureau of Labor Statistics (SCI)
2:05 PM Reducing Revisions in Real Time Trend-Cycle Estimation — Estelle Bee Dagum, University of Bologna ; Silvia Bianconcini,
University of Bologna
2:35 PM Frequency Domain Analysis of Seasonal Adjustment Filters Applied to Periodic Labor Force Survey Series — Richard B. Tiller,
Bureau of Labor Statistics
3:05 PM Theoretical and Real Trading-Day Frequencies — Dominique Ladiray, INSEE
3:35 PM Floor Discussion
Wed, 8/1/2012, 2:00 PM - 3:50 PM
CC-Room 31A
563 * !
Modeling and Analyzing Data Revisions — Topic Contributed Papers
Business and Economic Statistics Section , Section for Statistical Programmers and Analysts , Section on Government Statistics
Organizer(s): Riccardo Gatto, Eurostat
Chair(s): Riccardo Gatto, Eurostat
2:05 PM The Importance of Metadata for Analyzing Data Revisions — Andreas Lorenz, Deutsche Bundesbank
2:25 PM Data Revisions and ISO Vintages — Jorge Dias, European Central Bank ; Magdalena Lalik, European Central Bank
2:45 PM Modeling Multivariate Data Revisions — Jan-Egbert Sturm, KOF Swiss Economic Institute, ETH Zurich
3:05 PM Modeling Multivariate Revisions in a Cointegrated Vector Autoregressive Model — Riccardo Gatto, Eurostat ; Gian Luigi Mazzi,
Eurostat ; Alain Hecq, Maastricht University
3:25 PM An Area-Wide Real-Time Database for the Euro Area — Domenico Giannone, Universite' Libre de Bruxelles
3:45 PM Floor Discussion
Wed, 8/1/2012, 2:00 PM - 3:50 PM
CC-Room 30E
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Optimal Portfolios, Clustering, and Change Points — Contributed Papers
Business and Economic Statistics Section
Chair(s): Jason Duan, The University of Texas at Austin
2:05 PM Optimal Orthogonal Portfolios with Conditioning Information — Andrew Siegel, University of Washington ; Wayne E. Ferson,
University of Southern California
2:20 PM Inference on Optimal Portfolio Weights Using Generalized Pivotal Quantity — Yuanyuan Zhu, The University of Hong Kong ; Philip
L.H. Yu, The University of Hong Kong ; Thomas Mathew, University of Maryland Baltimore County
2:35 PM Utilizing ARC Length to Cluster Stocks According to Risk — Ferebee Tunno, Arkansas State University ; Tharanga
Wickramarachchi, Clemson University
2:50 PM A Bayesian Model on Market Microstructure and Asymmetric Information Trading — Feng Liu, University of North Carolina at
Chapel Hill
3:05 PM Day of the Week Effect on Turkish Foreign Exchange Market Volatility During the Global Financial Crisis — Ece Oral, Central
Bank of the Republic of Turkey
3:20 PM Lasso for Change-Point Detection in Time Series — Chun-Yip Yau, Chinese University of Hong Kong ; Ngai Hang Chan, Chinese
University of Hong Kong ; Rongmao Zhang, Zhejiang University
3:35 PM Arc Length as a Measure of Risk — Tharanga Wickramarachchi, Clemson University ; Colin Gallagher, Clemson University ; Robert
Lund, Clemson University
Thu, 8/2/2012, 8:30 AM - 10:20 AM
CC-Room 31C
591 !
Analysis of Complex Time Series: Correlation, Nonlinearity, Nonstationarity, and Functional Structure — Invited Papers
Business and Economic Statistics Section , Section on Survey Research Methods , International Indian Statistical Association
Organizer(s): Lily Wang, The University of Georgia
Chair(s): Lily Wang, The University of Georgia
8:35 AM Functional Dynamic Factor Models with Application to Yield Curve Forecasting — Haipeng Shen, The University of North
Carolina at Chapel Hill ; Spencer Hays, Pacific Northwest Research Laboratory ; Jianhua Huang, Texas A&M University
9:05 AM Robust Association Studies Using Density Power Divergences with Application to Consumer Expenditure Survey and Survey of
Consumer Finance — T N Sriram, University of Georgia ; Ross Iaci, The College of William and Mary
9:35 AM Efficient Inference for Autoregression in the Presence of Trend — Lijian Yang, Soochow University/Michigan State University ;
Debin Qiu, Soochow University ; Qin Shao, University of Toledo
10:05 AM Floor Discussion
Thu, 8/2/2012, 8:30 AM - 10:20 AM
CC-Room 32A
617 * !
Demand and Non-Gaussian Data — Contributed Papers
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Business and Economic Statistics Section
Chair(s): Baoline Chen, Bureau of Economic Analysis
8:35 AM Assessing the Difference Between Demand Sharing and Shock Sharing in Supply Chains — Vladimir Kovtun, Stern School of
Business ; Avi Giloni, Yeshiva University ; Clifford Hurvich, Stern School of Business
8:50 AM Analysis of Multinomial Discrete Choice Probit Model with Structured Correlation Matrix — Bhaskara Ravi, Old Dominion
University ; N. Rao Chaganty, Old Dominion University
9:05 AM Censored Regression with Heteroskedasticity — Hieu Nguyen, Brigham Young University ; James McDonald, Brigham Young
University
9:20 AM Learning from Only Positive and Unlabeled Data Using Generalized Stochastic Frontier Model — Liuxia Wang, Sentrana Inc.
9:35 AM Multifractal Processes for Count Data, with an Application in Car Insurance — Jean-Philippe Boucher, Université du Québec à
Montréal
9:50 AM Estimation and Evaluating of Aggregate Discounted Claims — Min Deng, University of Maryville of St. Louis
10:05 AM Floor Discussion
Thu, 8/2/2012, 10:30 AM - 12:20 PM
CC-Room 29C
645 * !
Recent Developments in Benchmarking and Reconciliation of Large Systems of Time Series Data: Theory and Practice — Topic Contributed Papers
Business and Economic Statistics Section , International Indian Statistical Association , Statistics Surveys Online Journal , Section on Government Statistics
Organizer(s): Baoline Chen, Bureau of Economic Analysis
Chair(s): Tommaso Di Fonzo, ISTAT/University of Padua
10:35 AM Diagnostics for Benchmarking Economic Time Series at the U.S. Census Bureau — Irene Brown, U.S. Census Bureau
10:55 AM Restoring Accounting Constraints in Time Series of U.S. Industry Accounts — Baoline Chen, Bureau of Economic Analysis
11:15 AM Benchmarking and Reconciliation of Time Series According to a Growth Rates Preservation Principle — Marco Marini,
International Monetary Fund ; Tommaso Di Fonzo, ISTAT/University of Padua
11:35 AM A New Method of Simultaneously Balancing Economic Accounting Systems at Current and Constant Prices — Vittorio Nicolardi
11:55 AM A Review of Benchmarking Methods — Neil Parkin, Office for National Statistics ; Gary Brown, Office for National Statistics
12:15 PM Floor Discussion
Thu, 8/2/2012, 10:30 AM - 12:20 PM
CC-Room 29D
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Option Pricing, Nonparametrics, and Testing — Contributed Papers
Business and Economic Statistics Section
Chair(s): Song Lin, The Nielsen Company
10:35 AM Option Pricing and Distribution Characteristics — David Mauler, Brigham Young University ; James McDonald, Brigham Young
University
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10:50 AM European Option Pricing Under Jump Diffusion with Proportional Transaction Costs — Yang Yu, SUNY at Stony Brook ; Haipeng
Xing, SUNY at Stony Brook ; Tiong Wee Lim, National University of Singapore
11:05 AM C(a)-Type LM Tests in Time Series GEL Model Under Strong and Weak Identification — Kalidas Jana, The University of Texas at
Brownsville
11:20 AM Smoothed Jackknife Empirical Likelihood Inferences for Lorenz Curves — Shan Luo, Georgia State University ; Gengsheng Qin,
Georgia State University ; Xin Huang, Fred Hutchinson Cancer Research Center
11:35 AM A New Test For Randomness with Application to Stock Market Index Data — Boris Iglewicz, Temple University ; Alicia Graziosi
Strandberg, Temple University
11:50 AM Examining Inequality in Subpopulations Using the Gini Index — Chaitra Nagaraja, Fordham University
12:05 PM Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals and Nonclassical Measurement Errors —
Suyong Song, University of Wisconsin-Milwaukee
2012 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.
ASA Meetings Department • 732 North Washington Street, Alexandria, VA 22314 • (703) 684-1221 • meetings@amstat.org
7/16/2012 8:30 AM