CEF 1997: Conference Program

Plenary I Louis Pau
Computational Economics in Practice in the Telecommunications Industry

Plenary II Curtis Eaves
Applied General Equilibrium Models and Homotopy Methods

Plenary III David Kendrick, Mario Miranda and Ken Judd
Computational Economics in Graduate Education

1.1 Computation And Econometrics - I

Room:

Organizer: David Belsley - Boston College

Rational Vector Error Correction Models Abstract

Sharon Kozicki - Federal Reserve Bank of Kansas City and Peter A. Tinsley - Federal Reserve Board

A Test for Strong Hysteresis Abstract

Laura Piscitelli - University of Strathclyde

A Wavelet-Based Nonparametric Estimator of the Variance Function Abstract

Zuohong Pan and Xiaodi Wang - Western Connecticut State University

Multivariate Analysis of Business Cycles Abstract

Ulrich Heilemann and Heinz Müench - RWI and Universität Duisburg

1.2	Time Series - I

	Room:
	Chairman: Atsushi Inoue - University of Pennsylvania

	Finite Sample Properties of the Efficient Method of Moments	Abstract
	Romulo Chumacero - University of Chile	Abstract

	EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study	Abstract
	Torben G. Andersen - Northwestern University and Hyung-Jin Chung and Bent E. Sorensen - Brown University	Abstract

	Testing Change in Time Series	Abstract
	Atsushi Inoue - University of Pennsylvania	Abstract

1.3	Optimum Policy Making Under Uncertainity

	Room:
	Chairman and Organizer: Volker Wieland - Federal Reserve Board

	Should Macroeconomic Policy Makers Consider Parameter Covariances?	Abstract Paper
	Hans M. Amman - University of Amsterdam and David Kendrick - University of Texas	Abstract Paper

	Expectations, Learning and the Design of Monetary Policy Rules	Abstract
	Robert Tetlow and Peter von zur Muehlen - Federal Reserve Board	Abstract

	Should the Fed Base Policy Decisions on a Linear Phillips Curve?	Abstract
	Doug Laxton, Dave Rose and Demos Tambakis - International Monetary Fund	Abstract

	Monetary Policy and Uncertainty about the Natural Unemployment Rate	Abstract
	Volker Wieland - Federal Reserve Board	Abstract

1.4	Evolutionary Models - I

	Room:
	Chairman: Dorothea K. Herreiner - University of Bonn

	A Cellular Automata Model of Schumpeterian Growth	Abstract
	Pari Kasliwal - University of California at Los Angeles	Abstract

	Technological Diversity in an Evolutionary Industry Model with Localized Learning and Network Externalities	Abstract Paper
	Nicolas Jonard - Université Louis Pasteur and Murat Yildizoglu - Bureau D'Economie Theorique et Appliquee	Abstract Paper

	Organizational Adaptation on Rugged Fitness Landscapes	Abstract
	Luigi Marengo - University of Trento	Abstract

	Consumption, Saving, and Local Interaction	Abstract
	Dorothea K. Herreiner - University of Bonn	Abstract

1.5	Financial Models - I

	Room:
	Chairman: Andres Schuschny - University of Buenos Aires

	Optimal Trading Strategy When Return Process is AR(1)	Abstract Paper
	Kin Lam and Li Wei - Hong Kong Baptist University	Abstract Paper

	Learning and Contagion Effects in Trasitions Between Regimes: A Schematic Model of Bank Runs	Abstract
	D. Heymann, R. P. J. Perazzo, and Andres Schuschny - University of Buenos Aires	Abstract

1.6	Model Of Bounded Rationality

	Room:
	Chairman: Benedikt Stefansson - University of California at Los Angeles
	Organizer: Franceso Luna - University Of Venice

	Simulating and Analyzing Coevolutionary Instability of Multi-Agent Games with Genetic Algorithms	Abstract
	Shu-Heng Chen and Chih-Chi Ni - National Chengchi University	Abstract

	Production Functions as Turing Machines	Abstract
	Kumaraswamy Velupillai and Stefano Zambelli - Aalborg University	Abstract

	Agent-Based Keynesian Economics; Methodological Issues and a Model	Abstract
	Charlotte Bruun - Aalborg University	Abstract

	Economic Theory with 'Bottom Up' Models: Comparative Dynamics, Testing and Verification	Abstract
	Benedikt Stefansson - University of California at Los Angeles	Abstract

2.1	Topics In Commerce And Education

	Room:
	Chairman: Bernardo A. Huberman - Xerox Palo Alto Research Center

	Wide-Area Distributed Database System in Electronic Commerce	Abstract
	Zhangxi Lin, Prabhudev Konana, and Andrew B. Whinston - The University of Texas at Austin	Abstract

	Introductory Honors Economics on the WEB	Abstract
	Alfred L. Norman and Vinit Jagdish - The University of Texas at Austin	Abstract

	Mathematica and Economic Research: A Student Tutorial	Abstract Paper
	David A. Belsley - Boston College	Abstract Paper

	A Methodology for Managing Risk in Electronic Transactions over the Internet	Abstract
	Rajan M. Lukose and Bernardo A. Huberman - Xerox Palo Alto Research Center	Abstract

2.2	Modeling Economic Dynamics And Adjustment Costs

	Room:
	Chairman: John Williams - Federal Reserve Board
	Organizer: Volker Wieland - Federal Reserve Board

	Bayesian Learning and Investment Dynamics	Abstract
	Bartholomew Moore - Rutgers University and Huntley Schaller - Carleton University	Abstract

	Numerical Solution of an Endogenous Growth Model with Threshold Learning	Abstract
	Baoline Chen - Rutgers University	Abstract

	Pricing and Hedging Contingent Claims via Malliavin Calculus	Abstract
	Emilio Barucci and Maria Elvira Mancino - University of Florence	Abstract

	Generalized Adjustment Costs and Macro Dynamics: Specification and System Estimation of a Small-Scale Model of the US Economy	Abstract
	Antulio Bomfim and John Williams - Federal Reserve Board	Abstract

2.3	Financial Models - III

	Room:
	Chairman: Anna Nagurney - University of Massachusetts

	The Evolution of Portfolio Rules in Financial Markets	Abstract
	Emanuela Sciubba - Lucy Cavendish College	Abstract

	Credit Risk Assessment using Statistical and Machine Learning Methods as an Ingredient for Risk Modeling of Financial Intermediaries	Abstract
	Jorge Galindo - Harvard University and Pablo Tamayo - Thinking Machines Corp.	Abstract

	A Computational Model of Economies of Scale and Market Share Instability: A Replicator Dynamics Framework	Abstract
	Mariana Mazzucato - New York University	Abstract

	Network Modeling of International Financial Equilibria with Hedging: Statics and Dynamics	Abstract
	Anna Nagurney and Stavros Siokos - University of Massachusetts	Abstract

2.4	Rational Expectations Analysis - I

	Room:
	Chairman: Marcel Fafchamps - Stanford University

	Analytical and Numerical Solution of Multivariate Nonlinear Rational Expectations Models	Abstract
	Michael Binder, M. Hashem Pesaran - University of Cambridge, and S. Hossein Samiei - IMF	Abstract

	Computationally Efficient Solution and Maximum Likelihood Estimation of Nonlinear Rational Expectations Models	Abstract Paper
	Jeffrey C. Fuhrer and C. Hoyt Bleakley - Federal Reserve Bank of Boston	Abstract Paper

	Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market	Abstract
	Martin Lettau - University of Tilburg, Gang Gong - University of Bielefeld and Willi Semmler - New School for Social Research and University of Bielefeld	Abstract

	Precautionary Saving Credit Constraints and Investment: Theory and Evidence from Semi-Arid India	Abstract
	Marcel Fafchamps - Stanford University and John Pender - International Food Policy Research Institute	Abstract

2.5	Dynamic Contracting

	Room:
	Chairman: B. Taub - University of Illinois

	Contracting and Income Smoothing in an Infinite Agency Model	Abstract
	Richard T. Boylan and Bente Villadsen - Washington University in St. Louis	Abstract

	Dynamic Principal - Multiple Agent Problems	Abstract Paper
	Sevin Yeltekin	Abstract Paper

	Dynamic Agency with Feedback	Abstract
	B. Taub - University of Illinois	Abstract

2.6	Agent - Based Computational Economics - I

	Room:
	Chairman and Organizer: Leigh Tesfatsion - Iowa State University

	Cellular Genetic Automata in Computer Simulation of Economic Growth and Development with Romer Externalities	Abstract
	Roger A. McCain - Drexel University	Abstract
	Discussant: Tomas Klos - Management and Organization, University of Groningen

	Refining the Breeding of Hybrid Strategies	Abstract
	Albert E. Marks and David F. Midgley - University of South Wales and Lee G. Cooper - University of California at Los Angeles	Abstract
	Discussant: Peter Todd - Max Planck Institute, Munich

	When Less is not too Little: On the Adaptation to Adverse Endowment Conditions in Artificial Economies	Abstract
	Bernard Borges and Gregory M. Werner - Max Planck Institute for Psychological Research	Abstract
	Discussant: Christopher Zott - Commerce and Business Organization, UBC

3.1	Computation And Econometrics - II

	Room:
	Chairman:
	Organizer: David A. Belsley - Boston College

	Computing Hessians with the Help of Automatically Detected Partially Separable Structure	Abstract
	David M. Gay - Bell Labs, Lucent Technologies	Abstract

	Parallel Strategies for Solving SURE Models with Variance Inequalities and Positivity of Correlations Constraints	Abstract
	Erricos Kontoghiorghes and Elias Dinenis - City University Business School and Dennis Parkinson - University of London	Abstract

	Global Optimization Methods for Estimating GARCH Models	Abstract
	Max E. Jerrell - Northern Arizona University	Abstract

	Rapid Prototyping of Quantitative Displays	Abstract
	R. W. Oldford - University of Waterloo	Abstract

3.2	Time Series - II

	Room:
	Chairman: Wolfgang Polasek - University of Basel

	Predictive Residual Sum of Squares: A Comparision of Criteria for Estimating Lag Order of an Autoregressive Process	Abstract
	Sidika Basci and Asad Zaman - Bilkent University	Abstract

	Non-Linear Structures and Exchange Rate Dynamics Identification	Abstract Part 1\|2\|3\|4
	Federico Ravenna - New York University	Abstract Part 1\|2\|3\|4

	Structural Breaks and VAR Modeling with Marginal Likelihoods	Abstract
	Wolfgang Polasek - University of Basel	Abstract

3.3	Learning

	Room:
	Chairman: Laura Gardini - University of Brescia
	Organizer: Emilio Barucci - University of Florence

	Economic Dynamics with Learning: New Stability Results	Abstract
	George W. Evans - University of Oregon and Seppo Honkapohja - University of Helsinki	Abstract

	How Small Shocks and Heterogeneous Expectations Can Create Large Swings in the Exchange Rates	Abstract
	Torsten Sloek - University of Copenhagen and Jens Peter Sorenson - University of Chicago & University of Copenhagen	Abstract

	Win-Stay, Lose-Shift. A General Learning Rule for Repeated Normal Form Games	Abstract
	Martin Posch and Werner Brannath - University of Wien	Abstract

	Coexistence of Perfect and Non-Perfect Foresight Cycles in a Bounded Rationality Economy	Abstract
	Gian-Italo Bischi - University of Urbino and Laura Gardini - University of Brescia and University of Urbino	Abstract

3.4	Financial Models - II

	Room:
	Chairman: Spyros Skouras - European University Institute

	Optimization of Trading Systems and Portfolios	Abstract
	John Moody and Lizhong Wu - Oregon Graduate Institute of Science & Technology	Abstract

	A Dynamic Model of Information Selection in Asset Markets	Abstract
	David Goldbaum - George Washington University	Abstract

	Asset Pricing Under Endogenous Expectations in an Artificial Stock Market	Abstract
	W. Brian Arthur - Sante Fe Institute, John H. Holland - University of Michigan, Ann Arbor, Blake LeBaron - MIT, Richard Palmer - Duke University, and Paul Tayler - Brunel University, London	Abstract

	A Theory of Technical Analysis	Abstract
	Spyros Skouras	Abstract

3.5	Simulation Models Of Behavior

	Room:
	Chairman and Organizer: Bernardo Huberman - Xerox

	Microsimulation of Markets and Endogenous Price Bubbles	Abstract Paper
	Ken Steiglitz and Liadan I. O'Callaghan - Princeton University	Abstract Paper

	Market Organizations for Perishable Goods	Abstract
	Gerard Weisbuch - ENS and Alain Kirman - ENS and EHESS	Abstract

	The Emergence of Economic Classes in an Agent-based Bargaining Model	Abstract
	Robert Axtell, Joshua M. Epstein, and H. Peyton Young - Brookings Institution	Abstract

	Power Markets for Controlling Smart Matter	Abstract
	Oliver Guenther, Tad Hogg and Bernardo Huberman - Xerox PARC	Abstract

3.6	Numerical Methods

	Room:
	Chairman: Manfred Gilli - University of Geneva

	Approximating and Simulating the Real Business Cycle: Linear Quadratic Methods, Parameterized Expectations and Genetic Algorithms	Abstract
	John Duffy - University of Pittsburgh and Paul D. McNelis - University of Georgetown	Abstract

	A Simple Approach to the Assortment Problem	Abstract
	Götz Uebe - Universität der Bundesweher Hamburg	Abstract

	A Toolkit for Optimizing Functions in Economics	Abstract
	William L. Goffe - University of Southern Mississippi	Abstract

	Practical Results on Parallel Methods for Solving Forward-Looking Models	Abstract
	Manfred Gilli and Giorgio Pauletto	Abstract

3.7	Computation And Economic Theory - II

	Room:
	Chairman: Karl Schmedders - Stanford University

	Testing for a Unique Equilibrium in Computable General Equilibrium Models	Abstract
	Sami Dakhlia - Washington University	Abstract

	Numerical Tracking of the Tracing Procedure for Non-cooperative N-person games	Abstract
	P. J. J. Herings and Antoon van den Eizen - Tilburg University	Abstract

	PATH, NLP2MCP and Economic Applications of Complementarity	Abstract
	Michael C. Ferris - University of Wisconsin	Abstract

	Computational General Equilibrium with Incomplete Assets	Abstract
	Karl Schmedders - Stanford University	Abstract

4.1	Times Series Analysis Of Asset Pricing

	Room:
	Chairman and Organizer: Christopher F. Baum - Boston College

	The Equity Premium and the Term Structure of Interest Rates with Stochastic Differential Utility	Abstract
	Mark E. Fisher and Christian Gilles - Federal Reserve Bank	Abstract

	The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates	Abstract
	Basma Bekdache - Wayne State University and Christopher F. Baum - Boston College	Abstract

	Time-Varying Risk of Realignment in the European Rate Mechanism: A Comparison of Linear and Nonlinear Estimation Techniques	Abstract
	Liga E. Bauer - University of California, Santa Cruz	Abstract

	Low Inflation or Stable Prices? Monetary Policy in the Absence of Deficit Finance	Abstract
	Christopher F. Baum - Boston College and Meral Karasulu - Bogazici University	Abstract

4.2	Computation And Economic Theory - I

	Room:
	Chairman: Seth Greenblat

	Auctions and Optimization: Methods for Closing the Gap Caused by Non-Convexities in Preferences	Abstract
	Rinaldo A. Jose, Patrick Harker and Lyle H. Ungar - University of Pennsylvania	Abstract

	Preface to a Computational Economic Theory of Democracy	Abstract
	Andres Rius - University of Notre Dame	Abstract

	In Defense of Computing in Economics	Abstract
	Billette de Villemeur	Abstract

	Automated Theorem Proving	Abstract
	Seth Greenblat	Abstract

4.3	Innovation And Pricing

	Room:
	Chairman and Organizer: Emilio Barucci - University of Florence

	Innovation and Firm's International Expansion: A Dynamic Approach	Abstract
	Maria Luisa Petit and Francesca Sanna Randaccio - University of Rome "La Sapienza" and Boleslaw Tolwinski - ORE	Abstract

	Financial Fragility, Bounded Rationality and Agents Heterogeneity	Abstract
	Domenico Delli Gatti - Universita' Cattolica, Milano and Mauro Gallegati - Universita di Teramo & Universita di Macerata, and Antonio Palestrini - Universita di Ancona	Abstract

	Innovation and Capital Accumulation in a Vintage Capital Model: an Infinite Dimensional Control Approach	Abstract
	Emilio Barucci - University of Florence and F. Gozzi - Pisa University	Abstract

4.4	Options - I

	Room:
	Chairman: Michael A. Sullivan - Florida International University

	The Random-Time Binomial Model	Abstract
	Dietmar P. J. Leisen - CREST Timbre J319	Abstract

	Option Valuation Using Quadrature	Abstract
	Michael A. Sullivan - Florida International University	Abstract

4.5	Problems In Public Finance - I

	Room:
	Chairman: Morris A. Davis - University of Pennsylvania

	A Quantitative Analysis of Employment Guarantee Programs with an Application to Rural India	Abstract
	Pushkar Maitra - USC	Abstract

	Optimal Indirect Taxes for Brazil: Combining Equity and Efficiency	Abstract
	Rozane Bezerra de Siqueira - Universidade Federal de Pernambuco	Abstract

	Medicare, Medicaid, Medigap, and the Life Expectancy of the Elderly	Abstract
	Morris A. Davis - University of Pennsylvania	Abstract

4.6	Agent-Based Computational Economics - II

	Room:
	Chairman: Gregory Werner - Max Planck Institute
	Organizer: Leigh Tesfatsion - Iowa State University

	Does Evolution Make Reasoning Improve Learning?	Abstract
	Bernard Borges and Peter M. Todd - Max Planck Institute for Psychological Research	Abstract
	Discussant: Robert Marks - AGSM, UNSW, Sydney

	Decentralized Interaction and Co-adaptation in the Repeated Prisoner's Dilemma	Abstract Paper
	Tomas Klos - University of Groningen	Abstract Paper
	Discussant: Roger McCain - Economics, Drexel University

	A Genetic Algorithm Approach to Repeated Bargaining Under Symmetric and Asymmetric Information	Abstract
	Christoph Zott - The University of British Columbia	Abstract
	Discussant: Gregory Werner - Max Planck Institute, Munich

5.1	Automatic Differentiation: A Tutorial Session

	Room:
	Chairman and Organizer: Max Jerrell - Northern Arizona University

	Computing Implied Volatilities Using Automatic Differentiation	Abstract
	Lucas Roh - Argonne National Laboratory	Abstract

	Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models	Abstract
	Max E. Jerrell - Northern Arizona University	Abstract

5.2	Asset Markets

	Room:
	Chairman: Michael Gordy - Federal Reserve Board

	Asset Prices Under Asymmetric Information	Abstract
	Christian Haefke - University of California, San Diego and Leopold Soegner - Vienna University of Economics and Business Administration	Abstract

	Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models	Abstract Paper
	Ming Liu - The Chinese University of Hong Kong and Harold H. Zhang - Carnegie Mellon University	Abstract Paper

	Volume and Return Relationships in the Stock Market	Abstract
	J. Guillermo Llorente-Alvarez and J. del Hoyo - Universidad Autonoma de Madrid	Abstract

	Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data	Abstract
	Robert B. Avery and Michael Gordy - Federal Reserve Board	Abstract

5.3	Techniques In Economic Dynamics

	Room:
	Chairman: Willi Semmler - New School for Social Research
	Organizer: Emilio Barucci - University of Florence, Peter Stemp - The University of Melbourne, and Volker Wieland - Federal Reserve Board

	Optimal Forward-Looking Monetary Policy under Rational Expectations	Abstract
	Peter Zadrozny	Abstract

	Adaptive Rational Expectations in Models of Monetary Dynamics	Abstract
	Carl Chiarella and Alexander Khomin - University of Technology, Sydney	Abstract

	A Discrete Differential Equation Model of the US: 1972-84	Abstract
	Walter Waymeyer	Abstract

	The Use of Extremal Vector Field Analysis to Study Debt Dynamics	Abstract
	Willi Semmler - New School for Social Research and Malte Sieveking - University of Frankfurt	Abstract

5.4	Computational Finance

	Room:
	Chairman: Vadim Linetsky - University of Michigan
	Organizer: Larry Eisenberg -

	Markovian Term Structure Models	Abstract
	Patrick Hagan - Banque Paribas and Diana E. Woodward - CSA Inc.	Abstract

	A Technique for Calibrating Derivative Security Pricing Models: Numerical Solution of an Inverse Problem	Abstract
	Ronald Lagnado - C-ATS Software, Inc. and Stanley Osher - University of California, at Los Angeles	Abstract

	The Self-Evolving Logic of Financial Claim Prices	Abstract
	Thomas A. Noe - Georgia State University	Abstract

	Occupation Time Derivatives	Abstract
	Vadim Linetsky - University of Michigan	Abstract

5.5	Economic Growth

	Room:
	Chairman: Jess Gaspar - University of Chicago

	Echoes Dynamics in Vintage Models: Basic Theoretical and Computational Results	Abstract
	Raouf Boucekkine and Omar Licandro - Universidad Carlos III de Madrid	Abstract

	Transitional Dynamics in Non-Scale Growth Models	Abstract
	Theo Eicher and Stephen J. Turnovsky - University of Washington	Abstract

	An Application of Gröbner Bases to Computing MLE's of the Structural Coefficients of Nonlinear-Perfect-Foresight Models	Abstract
	Gary S. Anderson - Federal Reserve Board	Abstract

	Growth and Migration	Abstract
	Jess Gaspar - University of Chicago	Abstract

5.6	Computer Languages - I

	Room:
	Chairman: Alexander Khomin - University Of Technology
	Organizer: Kuan-Pin Lin - Portland State University

	Enjoying a Free Lunch: Computational Economics with Linux	Abstract
	Dirk Eddelbittel	Abstract

	Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems	Abstract
	Carl Chiarella and Alexander Khomin - University of Technology	Abstract

	An Agent-Based Computational Model for the Evolution of Trade Networks	Abstract
	David McFadzean - Kumo Software Corporation and Leigh Tesfatsion - Iowa State University	Abstract

6.1	Computation And Econometrics - III

	Room:
	Chairman: George Tauchen - Duke University
	Organizer: David A. Belsley - Boston College

	Estimation of Game Theoretic Models: Computational Issues	Abstract
	Jean-Pierre Florens - University of Toulouse I and Jean-François Richard - University of Pittsburgh	Abstract

	On the Long-Run Stability of Term Premia	Abstract
	Basma Bekdache and Byeongseon Seo - Wayne State University	Abstract

	Estimation and Stochastic Simulation of Large-Scale Econometric Models with Rational Expectations	Abstract
	Giuseppe Bruno, Giancarlo Marra, and Andrea Cividini - Bank of Italy and Carlo Bianchi - University of Pisa	Abstract

	Reproducing Partial Observed Systems with Application to Interest Rate Diffusions	Abstract
	A. Ronald Gallant - University of North Carolina and George Tauchen - Duke University	Abstract

6.2	Time Series - III

	Room:
	Chairman: Pieter J. van der Sluis - University of Amsterdam

	Tests for Bounded Rationality: An Application to the U.S. Cattle Market	Abstract
		Abstract

Plenary I	Louis Pau Computational Economics in Practice in the Telecommunications Industry
Plenary II	Curtis Eaves Applied General Equilibrium Models and Homotopy Methods
Plenary III	David Kendrick, Mario Miranda and Ken Judd Computational Economics in Graduate Education

1.1	Computation And Econometrics - I

	Room:
	Organizer: David Belsley - Boston College

	Rational Vector Error Correction Models	Abstract
	Sharon Kozicki - Federal Reserve Bank of Kansas City and Peter A. Tinsley - Federal Reserve Board	Abstract

	A Test for Strong Hysteresis	Abstract
	Laura Piscitelli - University of Strathclyde	Abstract

	A Wavelet-Based Nonparametric Estimator of the Variance Function	Abstract
	Zuohong Pan and Xiaodi Wang - Western Connecticut State University	Abstract

	Multivariate Analysis of Business Cycles	Abstract
	Ulrich Heilemann and Heinz Müench - RWI and Universität Duisburg	Abstract