NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

SUMMER INSTITUTE 2008

 

NBER Economic Fluctuations and Growth

Working Group on Forecasting & Empirical Methods in Macroeconomics & Finance

 

Mark Watson and Kenneth West, Organizers

 

July 8 – 11, 2008

 

Royal Sonesta Hotel

Charles B

40 Edwin H. Land Boulevard

Cambridge, Massachusetts

 

PROGRAM

   

TUESDAY, JULY 8:

 

 

 8:00 am

Coffee and Pastries

 

 

 8:30 am

LUTZ KILIAN, University of Michigan

 

What Do We Learn from the Price of Crude Oil Futures?

 

 

 9:30 am

Break

 

 

 9:45 am

FRANCIS DIEBOLD, University of Pennsylvania and NBER

 

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

 

 

10:45 am

Break

 

 

11:00 am

JONATHAN WRIGHT, The Federal Reserve Board

 

Efficient Predictive Regressions

 

 

12:00 n

Lunch and Adjourn

 

 

WEDNESDAY, JULY 9:

 

 

 8:00 am

Coffee and Pastries

 

 

 8:30 am

NOUR MEDDAHI, Imperial College London

 

Generalized Affine Models

 

 

 9:30 am

Break

 

 

 9:45 am

PETER HANSEN, Stanford University

 

In-Sample and Out-of-Sample Fit: Their Joint Distribution and its Implications for Model Selection and Model Averaging

 

 

10:45 am

Break

 

 

11:00 am

ULRICH MULLER, Princeton University

 

An Alternative Sense of Asymptotic Efficiency

 

 

12:00 n

Lunch and Adjourn

 

 

 6:00 pm

Clambake, Harvard Faculty Club, 20 Quincy Street, Cambridge, MA

 

 

THURSDAY, JULY 10:

 

 

 8:00 am

Coffee and Pastries

 

 

 8:30 am

CRAIG BURNSIDE, Duke University and NBER

 

Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors

 

 

 9:30 am

Break

 

 

 9:45 am

MASSIMILIANO MARCELLINO, Universita Bocconi

 

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

 

 

10:45 am

Break

 

 

11:00 am

SOPHOCLES MAVROEIDIS, Brown University

 

Inference in Models with Adaptive Learning, with an Application to the New Keynesian Philips Curve

 

 

12:00 n

Lunch and Adjourn

 

 

FRIDAY, JULY 11:

 

 

 8:00 am

Coffee and Pastries

 

 

 8:30 am

JUSHAN BAI and PENG WANG, New York University

 

Conditional Markov Chain and Its Application to Economic Time Series Analysis

 

 

 9:30 am

Break

 

 

 9:45 am

HONG LI, Brandeis University

 

Measuring the Impact of Asset Price Booms Using Quantile Vector Autoregressions

 

 

10:45 am

Break

 

 

11:00 am

RAY FAIR, Yale University

 

Estimating Exchange Rate Equations Using Estimated Expectations

 

 

12:00 n

Lunch and Adjourn

 

 

5/5/08