Econometric Theory Research Seminar

Welcome to the webpage for the Econometric Theory Research Seminars in the School of Economics at the University of Sydney!

Our meetings provide an opportunity for faculty working in the field of econometric theory to present early-stage and ongoing research. Other interested faculty and Ph.D. students with research relevant to the themes of the group are invited to present as well.

All presentations will be held in the Merewether Building from 12 noon to 1:00 pm.

Please find below the 2016 Econometric Theory Research Seminar Schedule.
If you wish to contribute to a session, please contact

In 2017, Peter Exterkate will coordinate the ETRS series. If you wish to contribute in 2017, please contact


SEMESTER TWO 2016 – 12-1pm Merewether 498           EVERY TUESDAY




14 September

Artem Prokhorov

Endogeneity in stochastic frontier models

21 September

Rami Tabri

An Improved Bootstrap Test for Restricted Stochastic Dominance

5 October

Anastasia Burkovskaya

Non-parametric identification and estimation of ballot stuffing

12 October

Simon Kwok

Policy Evaluation with Interactive Fixed Effects

19 October

Andrey Vasnev

Sensitivity analysis in hospital incentives contracts: Medicare’s value-based purchasing

26 October

Peter Exterkate

A regime-switching stochastic volatility model for forecasting electricity prices





SEMESTER TWO 2014 – 12-1pm Merewether 498           EVERY TUESDAY




19 August

Colin Cameron

Cluster-Robust Inference

26 August

Artem Prokhorov

Copula based factorization in Bayesian multivariate infinite mixture models

2 September

Richard Gerlach

Realized GARCH models and tail risk forecasting, incorporating different intra-day measures

9 September

Rami Tabri

Empirical Likelihood Inference for Robust Poverty Comparisons

16 September



23 September



7 October

Simon Kwok

Calibrating and Diagnosing Multivariate Option Pricing Models

14 October

Stanislav Anatolyev

Uncovering the skewness news impact curve (joint with Anton Petukhov)

28 October



4 November

Valentyn Panchenko

Connecting the dots: econometric methods for uncovering  networks with an application to the Australian financial institutions

11 November

Peter Exterkate

Distribution Forecasting in Nonlinear Models with Stochastic Volatility

25 November

 *Merewether room 426*

Nektarios Aslanidis

Modeling cross correlation across major financial markets: a threshold approach


SEMESTER ONE 2014 – 12-1pm Merewether 498




Thurs 27 March

Adrian Pagan

Econometric Methods for Modelling Systems with a Mixture of I(1) and I(0) Variables*

*co-authors: Lance A. Fisher (Macquarie University) and Hyeon‐seung Huh (Yonsei University)

Thurs 10 April

Qiying Wang

Current developments in nonlinear cointegrating regression

Thurs 8 May

Yunjong Eo


Thurs 22 May

Garry Barrett




2013 schedule






17 Oct


Artem Prokhorov, Business School, USyd

GEL Estimation for Semi-Strong Non-Linear GARCH with Robust Empirical Likelihood Inference

24 Oct


Simon Kwok, School of Economics, USyd

Specification Tests for Calibrated Option Pricing Models

31 Oct


SeoJeong (Jay) Lee, UNSW

Asymptotic refinements of a misspecification-robust bootstrap for empirical likelihood estimators

7 Nov


Rami Tabri, School of Economics, USyd

Empirical Likelihood Estimation for Infinitely Many Poverty Comparisons

 14 Nov


Andrei Vasnev, Business Analytics

A Simple Theoretical Explanation of the Forecast Combination Puzzle