EcoSta2017 PROGRAMME AND ABSTRACTS 1st International Conference on Econometrics and Statistics (EcoSta 2017) http://cmstatistics.org/EcoSta2017 Hong Kong University of Science and Technology 15 – 17 June 2017 c ECOSTA Econometrics and Statistics. All rights reserved. I EcoSta2017 ISBN: 978-9963-2227-2-8 c 2017 - ECOSTA Econometrics and Statistics Technical Editors: Gil Gonzalez-Rodriguez and Marc Hofmann. 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. EcoSta2017 Co-chairs: Ana Colubi, Erricos J. Kontoghiorghes, Tsung-I Lin, Yasuhiro Omori, Byeong Park and Mike K.P. So. Scientific Programme Committee: Alessandra Amendola, Eric Beutner, Monica Billio, Cathy W.S. Chen, Ray-bin Chen, Ming-Yen Cheng, Jeng-Min Chiou, Sung Nok Chiu, Taeryon Choi, Bertrand Clarke, Aurore Delaigle, Jean-Marie Dufour, Yang Feng, Alain Hecq, Inchi Hu, Salvatore Ingrassia, Yongdai Kim, Robert Kohn, Carlos Lamarche, Degui Li, WK Li, Yi Li, Zudi Lu, Geoff McLachlan, Samuel Mueller, Marc Paolella, Tommaso Proietti, Artem Prokhorov, Igor Pruenster, Jeroen Rombouts, Huiyan Sang, Tak Kuen Siu, Xinyuan Song, Mark Steel, Jianguo Sun, Nobuhiko Terui, Alan Wan, Lan Wang, Toshiaki Watanabe, Yoon-Jae Whang, Heung Wong, Valentin Zelenyuk, Helen Zhang, Ping-Shou Zhong and Hongtu Zhu. Local Organizing Committee: Yingying Li, Xinghua Zheng, Lilun Du, Catherine Chunling Liu, Alan Wan, Geoffrey Tso and Min Xie. c ECOSTA Econometrics and Statistics. All rights reserved. III EcoSta2017 Dear Colleagues, It is a great pleasure to welcome you to the 1st International Conference on Econometrics and Statistics (EcoSta 2017). The Conference is co-organized by the Working Group on Computational and Methodological Statistics (CMStatistics), the Network of Computational and Financial Econometrics (CFENetwork), and the Hong Kong University of Science and Technology (HKUST) Business School. The aim is for the conference to become a leading meeting in econometrics, statistics and their applications. The EcoSta 2017 consists of almost 150 sessions, four keynote talks, four invited sessions, and about 600 presen- tations. There are over 650 participants. This is quite impressive for a first edition of a conference. It is indeed promising that the EcoSta conference will become a successful medium for the dissemination of high quality re- search in Econometrics and Statistics, and facilitate networking. The Co-chairs observed that the collective effort of the scientific program committee, session organizers, and local organizing committee has produced a programme that spans all the areas of econometrics and statistics. The HKUST provides excellent facilities and a fantastic environment with an astonishing scenery on the outskirts 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 HKUST Business School. It is hoped that the quality of both the scientific programme and the HKUST will provide the participants with a productive, stimulating conference, and an enjoyable stay in Honk Kong. The Elsevier journals of Econometrics and Statistics (EcoSta) and Computational Statistics & Data Analysis (CSDA) are associated with CFEnetwork, CMStatistics, and the EcoSta 2017 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 2nd International Conference on Econometrics and Statistics (EcoSta 2018) will take place at the City University of Hong Kong from Tuesday 19 to Thursday 21 of June 2018. You are invited to participate actively in these events. Ana Colubi, Erricos J. Kontoghiorghes and Mike K.P. So on behalf of the Co-Chairs IV c ECOSTA Econometrics and Statistics. All rights reserved. EcoSta2017 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 EcoSta2017 SCHEDULE 2017-06-14 2017-06-15 2017-06-16 2017-06-17 Opening, 08:45 - 09:00 F K A - Keynote EcoSta2017 EcoSta2017 EcoSta2017 08:30 - 09:50 08:30 - 09:50 09:00 - 09:50 Coffee Break Coffee Break Coffee Break, 09:50 - 10:15 09:50 - 10:25 09:50 - 10:25 L EcoSta2017 B G 10:15 - 11:30 EcoSta2017 EcoSta2017 10:25 - 12:30 10:20 - 12:25 M - Keynote EcoSta2017 11:40 - 12:30 Lunch Break Lunch Break Lunch Break 12:30 - 14:00 12:30 - 14:00 12:30 - 14:00 H - Keynote EcoSta2017 C 14:00 - 14:50 N EcoSta2017 EcoSta2017 14:00 - 15:40 14:00 - 15:40 I Coffee Break EcoSta2017 Coffee Break 15:40 - 16:10 15:00 - 16:40 15:40 - 16:10 D EcoSta2017 Coffee Break O 16:10 - 17:25 16:40 - 17:10 EcoSta2017 16:10 - 17:50 E - Keynote J EcoSta2017 Registration & Ice Breaker EcoSta2017 Closing, 17:55 - 18:10 17:40 - 18:30 17:10 - 18:50 17:30 - 19:00 Closing Drink, 18:15 - 18:40 Welcome Reception 18:45 - 20:15 Conference Dinner 19:45 - 22:15 VI c ECOSTA Econometrics and Statistics. All rights reserved. EcoSta2017 MEETINGS AND SOCIAL EVENTS SPECIAL MEETINGS by invitation to group members • The Econometrics and Statistics (EcoSta) Editorial Board meeting will take place on Saturday 17th of June 2017, 09:50-10:50, Room LSK1032. The meeting is by invitation only. • The Econometrics and Statistics (EcoSta) Editorial Board dinner will take place on Saturday 17th of June 2017, 20:00-22:30. A minibus will depart from the conference venue at 19:20. The dinner is by invitation only. SOCIAL EVENTS • Registration & Ice breaker, Wednesday 14th of June 2017, from 17:30 - 19:00. The Ice breaker is open to all registrants and accompanying persons. It will take place at the Hall of the ground floor (see map at page IX). • The coffee breaks will take place at the Conference Lodge (see map at page VIII). You must have your conference badge in order to attend the coffee breaks. • Welcome Reception, Thursday 15th of June 2017, from 18:45 - 20:15. The Welcome Reception is open to all registrants and accompanying persons who have purchased a reception ticket. It will take place at the Lo Ka Chung University Center (see maps at page VIII). Conference registrants must bring their conference badge and ticket and any accompanying persons shall bring their reception tickets in order to attend the reception. Preregistration is required due to health and safety reasons, and limited capacity of the venue. Entrance to the reception venue will be strictly allowed only to those who have a ticket. The Welcome Reception is fully sponsored by the HKUST Business School. • Conference Dinner, Friday 16th of June, from 19:45 to 22:15. The conference dinner is optional and registration is required. It will take place at the Conference Lodge (see map at page VIII). Conference registrants and accompanying persons shall bring their conference dinner tickets in order to attend the conference dinner. • Conference Buffet Lunches.