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Program Overview/Outline Friday, May 2 1:30 p.m. - 2:45 p.m. Session 1 Chair: Rob McCulloch Chris Strickland (Queensland University of Technology, Australia) Fast Bayesian Analysis of Dynamic Factor Models Bill Mccausland (University of Montreal) The HESSIAN Method (Highly Efficient State Smoothing, In A Nutshell) James Scott (Duke University) Nonparametric multiple hypothesis testing and clustering of autoregressive time series 2:45 p.m. - 3:00 p.m. Break 3:00 p.m. - 4:15 p.m. Session 2 Chair: Hedibert Lopes George Karabatsos (University of Illinois, Chicago) Modeling Heteroscedasticity In The Single-Index Model With The Dirichlet Process Nozer Sinpurwalla (George Washington University) The Utility of Reliability and Survivability Gabriel Huerta (University of New Mexico) Space-Time Analysis of Extreme Values 4:15 p.m. - 4:30 p.m. Break 4:30 p.m. - 6:10 p.m. Session 3 Chair: Dale Poirier Renna Jiang (University of Chicago, GSB) Bayesian Analysis of Random Coefficient Logit Models Using Aggregate Data Martin Burda (University of Toronto) A Bayesian Mixed Logit-Probit Model for Multinomial Choice Andriy Norets (Princeton University) Estimation of Dynamic Discrete Choice Models Using Artificial Neural Network Approximations Herman Van Dijk (Econometric and Tinbergen Institutes) BAYESIAN MODEL AVERAGING IN VECTOR AUTOREGRESSIVE PROCESSES WITH AN INVESTIGATION OF STABILITY OF THE US GREAT-RATIOS AND RISK OF AN INTERNATIONAL LIQUIDITY TRAP 6:10 p.m. - 6:30 p.m. Break 6:30 p.m. - 7:45 p.m. Session 4 Chair: Ehsan Soofi Arnold Zellner (University of Chicago, GSB) A Direct Monte Carlo Approach for Bayesian Analysis of the Seemingly Unrelated Regression and Related Models Jose Quintana (BEST, LLC) Futures Markets and Bayesian Forecasting Xiao-Li Meng (Harvard University) TBA 8:00 p.m. Dinner   Saturday, May 3 8:30 a.m. - 10:10 a.m. Session 5 Chair: Carlos Carvalho Sid Chib (Washington University) Calculating Causal Effects from Panel Data in Eligibility Designs Ivan Jeliaskov (University of California, Irvine) Politics and Macroeconomic Performance in the United States: Cycles and Long-Run Outcomes Shane Jensen (University of Pennsylvania, Wharton School) Bayesian Modeling of Changes in the Distribution of Income Volatility Mario Peruggia (The Ohio State University) Bayesian Model Diagnostics Based on Artificial Autoregressive Errors 10:10 a.m. - 10:30 a.m. Break 10:30 a.m. - 12:10 p.m. Session 6 Chair: Nicholas Polson Michael Johannes (Columbia University) Exact sequential parameter learning and state filtering Alan Bester (University of Chicago, GSB) TBA Satadru Hore (University of Iowa) General Equilibrium Options Pricing under Recursive Preferences Gianni Amisano (European Central Bank) A DSGE model of the term structure with regime shifts 12:10 p.m. - 1:30 p.m. Lunch 1:30 p.m. - 2:45 p.m. Session 7 Chair: Val Johnson Rong Chen (Rutgers University) Statistical inferences of diffusion process with Sequential Monte Carlo Ruey Tsay (University of Chicago, GSB) Jeff Gill (Washington University) Nonparametric Priors For Ordinal Bayesian Social Science Models: Specification and Estimation 2:45 p.m. - 3:00 p.m. Break 3:00 p.m. - 4:15 p.m. Session 8 Chair: Sid Chib Sylvia Fruehwirth-Schnatter (Johannes Kepler University, Austria) Stochastic Model Specification Search for Gaussian and Non-Gaussian State Space Models Chris Hans (The Ohio State University) Bayesian Lasso Regression Juan-Carlos Martinez-Ovando (University of Kent) On Nonparametric Modelling of Markov Processes