Paris School of Economics - École d'Économie de Paris

Economics serving society

10th French Econometrics Conference, PSE

PSE is glad to organize and welcome the 10th French Econometrics Conference during 2 days in Paris, in partnership with the CNRS, the Université Paris 1 and thanks to an ANR funding (EUR - PgSE).

  • To know everything about this conference, visit the dedicated website: https://fec.sciencesconf.org
  • Organizers: Catherine Doz et Philipp Ketz
  • Support: Caroline Bauer, Ania Le Fur et Marie-France Mabele

Full Programme

Thursday, 29 November 2018

8:30-8:55 Reception

8:55-9:00 Opening address by Jean-Marc Tallon (Deputy Director of Research at Paris School of Economics)

9:00-10:35
Siem Jan Koopman (Vrije Universiteit Amsterdam, keynote speaker) - Dynamic Factor Models for Scenario Analysis

Stéphane Lhuissier (Banque de France) - The Switching Skewness over the Business Cycle
Discussion: Pierre-Alain Pionnier (OECD)

Session chair: Catherine Doz (University Paris 1 - Paris School of Economics)

10:35-10:55 Coffee break

10:55-12:40
Pierre-Alain Pionnier (OECD) - Short-Term Macroeconomic Forecasting and Turning Point detection after the Great Recession
Discussion: Guillaume Chevillon (ESSEC Business School)

Anne Vanhems (Toulouse Business School) - A mollifier approach to the deconvolution problem
Discussion: Yves Rozenholc (Paris-Descartes University)

Emmanuel Guerre (Queen Mary University of London) - Nonparametric Identification of First-Price Auction with Unobserved Competition: A Density Discontinuity Framework
Discussion: Xavier D’Haultfœuille (CREST)

Session chair: Mélika Ben Salem (UPEM)

12:40-14:00 Lunch and poster session

  • Anmar Al Wakil (Paris-Dauphine University - Natixis) - Do Hedge Funds Hedge? New Evidence from Volatility Risk Premia Embedded in VIX Options
  • Charles Chevalier (Paris-Dauphine University) - Trends everywhere? The case of hedge fund styles
  • Ophélie Couperier (CREST-ENSAE) - Backtesting Expected Shortfall via Multi-Quantile Regression
  • Lucas Girard (CREST) - Measuring Speech Polarization: Identification and Estimation
  • Elias Moor (ETH Zürich) - Identification and Estimation of Causal Intensive Margin Effects by Difference-in-Difference Methods
  • Milena Suarez Castillo (INSEE-CREST) - Disentangling the causal effects of air pollutants on health: when the numerous characteristics of the planetary boundary layer can help

14:00-16:10
Stéphane Bonhomme (University of Chicago, keynote speaker) - Minimizing Sensitivity to Model Misspecification

Benjamin Holcblat (University of Luxembourg) - The Empirical Saddlepoint Estimator
Discussion: Philipp Ketz (Paris School of Economics)

Emmanuel Flachaire (Aix-Marseille University) - Pareto Models for Top Incomes
Discussion: Thomas Blanchet (Paris School of Economics)

Session chair: Laurent Gobillon (Paris School of Economics)

16:10-16:30 Coffee break

16:30-18:15
Frank Kleibergen (University of Amsterdam) - Robust Inference for Consumption-Based Asset Pricing
Discussion: Roméo Tédongap (ESSEC Business School)

Deniz Erdemlioglu (IESEG School of Management) - Testing for intensity jumps in high frequency data with new information arrivals
Discussion: Nour Meddahi (Toulouse School of Economics)

Gilles de Truchis (Paris-Nanterre University) - Long memory and power law in coherency between realized volatility and trading volume
Discussion: Yang Lu (Paris 13 University)

Session chair: Elena Dumitrescu (Paris-Nanterre University)

.................................
Friday, 30 November 2018

9:00-10:35
Eric Renault (Brown University, keynote speaker) - Weak Instruments Test in Discrete Choice Models

Laurent Davezies (CREST) - Asymptotic results under multiway clustering
Discussion: Paul Doukhan (University of Cergy-Pontoise)

Session chair: Philipp Ketz (Paris School of Economics)

10:35-10:55 Coffee break

10:55-12:40
Margherita Comola (Paris-Sud University - Paris School of Economics) - Treatment Effects Accounting for Network Changes
Discussion: Laurent Davezies (CREST)

François Poinas (Toulouse School of Economics) - Estimating a Model of Qualitative and Quantitative Education Choices in France
Discussion: Maxime Tô (IPP - UCL - IFS)

Laurent Gobillon (Paris School of Economics) - Lifecycle Wages and Human Capital Investments: Selection and Missing Data
Discussion: Sebastian Buhai (Stockholm University - CEPREMAP)

Session chair: Philippe Gagnepain (University Paris 1 - Paris School of Economics)

12:40-13:40 Lunch and poster session

13:40-15:50
Susan Athey (Stanford University, keynote speaker) - Estimation and Inference for Heterogenous Treatment Effects and Optimal Treatment Assignment Policies

Jérémy L’hour (CREST) - A Penalized Synthetic Control Estimator for Disaggregated Data
Discussion: David Margolis (Paris School of Economics)

Luc Behaghel (Paris School of Economics) - Next please! Estimating the effect of treatments allocated by randomized waiting lists
Discussion: Jérémy L’hour (CREST)

Session chair: Marc Gurgand (Paris School of Economics)

15:50-16:10 Coffee break

16:10-17:20
Jean-Jacques Forneron (Boston University) - A Sieve-SMM Estimator for Dynamic Models
Discussion: Eric Gautier (Toulouse School of Economics)

Anna Simoni (CREST) - Bayesian Estimation and Comparison of Conditional Moment Models
Discussion: Christian Robert (Paris-Dauphine University)

Session chair: Emmanuel Guerre (Queen Mary University of London)