Econometrics and Statistics (Ecosta 2018)
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EcoSta2018 PROGRAMME AND ABSTRACTS 2nd International Conference on Econometrics and Statistics (EcoSta 2018) http://cmstatistics.org/EcoSta2018 City University of Hong Kong 19 – 21 June 2018 c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. I EcoSta2018 ISBN: 978-9963-2227-3-5 c 2018 - ECOSTA Econometrics and Statistics All rights reserved. No part of this book may be reproduced, stored in a retrieval system, or transmitted, in any other form or by any means without the prior permission from the publisher. II c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. EcoSta2018 Co-chairs: Igor Pruenster, Alan Wan, Ping-Shou Zhong. EcoSta Editors: Ana Colubi, Erricos J. Kontoghiorghes, Manfred Deistler. Scientific Programme Committee: Tomohiro Ando, Jennifer Chan, Cathy W.S. Chen, Hao Chen, Ming Yen Cheng, Jeng-Min Chiou, Terence Chong, Fabrizio Durante, Yingying Fan, Richard Gerlach, Michele Guindani, Marc Hallin, Alain Hecq, Daniel Henderson, Robert Kohn, Sangyeol Lee, Degui Li, Wai-Keung Li, Yingying Li, Hua Liang, Tsung-I Lin, Shiqing Ling, Alessandra Luati, Hiroki Masuda, Geoffrey McLachlan, Samuel Mueller, Yasuhiro Omori, Marc Paolella, Sandra Paterlini, Heng Peng, Artem Prokhorov, Jeroen Rombouts, Matteo Ruggiero, Mike K.P. So, Xinyuan Song, John Stufken, Botond Szabo, Minh-Ngoc Tran, Andrey Vasnev, Judy Huixia Wang, Yong Wang, Yichao Wu and Jeff Yao. Local Organizing Committee: Guanhao Feng, Daniel Preve, Geoffrey Tso, Inez Zwetsloot, Catherine Liu, Zhen Pang. c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. III EcoSta2018 Dear Colleagues, It is a great pleasure to welcome you to the 2nd International Conference on Econometrics and Statistics (EcoSta 2018). The conference is co-organized by the working group on Computational and Methodological Statistics (CMStatistics), the network of Computational and Financial Econometrics (CFEnetwork), the journal Economet- rics and Statistics (EcoSta) and the Department of Management Sciences of the City University of Hong Kong (CityU). Following the success of the first edition, the aim is for the conference to become a leading meeting in econometrics, statistics and their applications. The EcoSta 2018 consists of about 140 sessions, three keynote talks, three invited sessions, and 550 presentations. There are over 600 participants. These numbers confirm the support of the involved research communities to this important initiative. It is indeed promising that the EcoSta conference will become a successful medium for the dissemination of high quality research in Econometrics and Statistics, and facilitate networking. The Co-chairs acknowledge the collective effort of the scientific program committee, session organizers, and local organizing committee, which has produced a programme that spans all the areas of econometrics and statistics. The CityU provides excellent facilities and a fantastic environment conveniently located in the center of Hong Kong. The local host, volunteers, and sponsoring universities have substantially contributed through their effort to the successful organization of the conference. We thank them all for their support. Particularly we express our sincere appreciation to the host and main sponsor, the Department of Management Sciences of the CityU. It is hoped that the quality of both the scientific programme and the CityU will provide the participants with a productive, stimulating conference, and an enjoyable stay in Hong Kong. The Elsevier journals of Econometrics and Statistics (EcoSta) and Computational Statistics & Data Analysis (CSDA) are associated with CFEnetwork, CMStatistics, and the EcoSta 2018 conference. The participants are encouraged to submit their papers to special or regular peer-reviewed issues of EcoSta and CSDA, and to join the networks. Finally, we are happy to announce that the 3rd International Conference on Econometrics and Statistics (EcoSta 2019) will take place at the National Chung Hsing University, Taiwan from Tuesday the 25th to Thursday the 27th of June 2019. You are invited to participate actively in these events. Tutorials will take place on Friday the 28th of June 2019. Ana Colubi, Erricos J. Kontoghiorghes and Alan Wan on behalf of the Co-Chairs and EcoSta Editors IV c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. EcoSta2018 CMStatistics: ERCIM Working Group on COMPUTATIONAL AND METHODOLOGICAL STATISTICS http://www.cmstatistics.org The working group (WG) CMStatistics comprises a number of specialized teams in various research areas of computational and methodological statistics. The teams act autonomously within the framework of the WG in order to promote their own research agenda. Their activities are endorsed by the WG. They submit research proposals, organize sessions, tracks and tutorials during the annual WG meetings and edit journal special issues. The Econometrics and Statistics (EcoSta) and Computational Statistics & Data Analysis (CSDA) are the official journals of the CMStatistics. Specialized teams Currently the ERCIM WG has over 1650 members and the following specialized teams BM: Bayesian Methodology MM: Mixture Models CODA: Complex data structures and Object Data Analysis MSW: Multi-Set and multi-Way models CPEP: Component-based methods for Predictive and Ex- NPS: Non-Parametric Statistics ploratory Path modeling OHEM: Optimization Heuristics in Estimation and Modelling DMC: Dependence Models and Copulas RACDS: Robust Analysis of Complex Data Sets DOE: Design Of Experiments SAE: Small Area Estimation EF: Econometrics and Finance SAET: Statistical Analysis of Event Times GCS: General Computational Statistics WG CMStatistics SAS: GMS: General Methodological Statistics WG CMStatistics Statistical Algorithms and Software GOF: Goodness-of-Fit and Change-Point Problems SEA: Statistics of Extremes and Applications HDS: High-Dimensional Statistics SFD: Statistics for Functional Data ISDA: Imprecision in Statistical Data Analysis SL: Statistical Learning LVSEM: Latent Variable and Structural Equation Models SSEF: Statistical Signal Extraction and Filtering MCS: Matrix Computations and Statistics TSMC: Times Series Modelling and Computation You are encouraged to become a member of the WG. For further information please contact the Chairs of the specialized groups (see the WG’s website), or by email at [email protected]. CFEnetwork COMPUTATIONAL AND FINANCIAL ECONOMETRICS http://www.CFEnetwork.org The Computational and Financial Econometrics (CFEnetwork) comprises a number of specialized teams in various research areas of theoretical and applied econometrics, financial econometrics and computation, and empirical finance. The teams contribute to the activities of the network by organizing sessions, tracks and tutorials during the annual CFEnetwork meetings, and by submitting research proposals. Furthermore the teams edit special issues currently published under the Annals of CFE. The Econometrics and Statistics (EcoSta) is the official journal of the CFEnetwork. Specialized teams Currently the CFEnetwork has over 1000 members and the following specialized teams AE: Applied Econometrics ET: Econometric Theory BE: Bayesian Econometrics FA: Financial Applications BM: Bootstrap Methods FE: Financial Econometrics CE: Computational Econometrics TSE: Time Series Econometrics You are encouraged to become a member of the CFEnetwork. For further information please see the website or contact by email at [email protected]. c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. V EcoSta2018 SCHEDULE 2018-06-19 2018-06-20 2018-06-21 Opening, 08:45 - 09:00 F A - Keynote EcoSta2018 J EcoSta2018 08:30 - 09:50 EcoSta2018 09:00 - 09:50 08:30 - 10:10 Coffee Break Coffee Break 09:50 - 10:25 09:50 - 10:25 Coffee Break 10:10 - 10:40 G B K EcoSta2018 EcoSta2018 EcoSta2018 10:20 - 12:25 10:25 - 12:30 10:40 - 12:20 Lunch Break Lunch Break Lunch Break 12:20 - 13:50 12:30 - 14:00 12:25 - 14:00 L C H EcoSta2018 EcoSta2018 EcoSta2018 13:50 - 15:30 14:00 - 15:40 14:00 - 15:40 Coffee Break Coffee Break Coffee Break 15:30 - 16:00 15:40 - 16:10 15:40 - 16:10 M D EcoSta2018 I EcoSta2018 16:00 - 17:15 16:10 - 17:25 EcoSta2018 16:10 - 17:50 N - Keynote E - Keynote EcoSta2018 EcoSta2018 17:25 - 18:15 17:40 - 18:30 Closing, 18:15 - 18:30 Welcome Reception 18:35 - 20:00 Conference Dinner 19:30 - 22:15 VI c ECOSTA ECONOMETRICS AND STATISTICS. All rights reserved. EcoSta2018 REGISTRATION AND SOCIAL EVENTS • Registration. The registration will be open on Monday the 18th of June 2018, 13:30 - 18:00, and during the days of the conference 8:00-18:00 at the University Concourse of the 4th floor of the Yeung Kin Man Academic Building (see maps and indications on pages VIII-X). The conference badges have a QR code with the registration information of the participants. For this reason, it is mandatory to always bring the conference badge. • The coffee breaks will take place at the University Concourse of the 4th floor of the Yeung Kin Man Academic Building (see maps and indications on pages VIII-X). You must have your conference badge in order to attend the coffee breaks. • Welcome Reception, Tuesday the 19th of June 2018, from 18:35 - 20:00. The Welcome Reception is open to the conference participants. It will take place at the space in front of the Wong Cheung Lo Hui Yuet Hall, 5th Floor of the Lau Ming Wai Academic Building (see maps and indications on pages VIII-X). Conference registrants must bring their conference badge in order to attend the reception. Preregistration is required due to health and safety regulations, and limited