Authors, please upload your paper here.

 

 

 

 

 

NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

 

 

SUMMER INSTITUTE 2011

 

 

 

Forecasting & Empirical Methods in Macroeconomics & Finance Workshop

 

 

 

Mark Watson and Kenneth West, Organizers

 

 

 

July 12 - 15, 2011

 

 

 

Royal Sonesta Hotel

 

Charles Suite B

 

40 Edwin H. Land Boulevard

 

Cambridge, Massachusetts

 

 

 

PROGRAM

 

 

 

Tuesday, July 12:

 

 

 

8:00 am

Coffee and Pastries

 

 

 

 

8:30 am

Allan Timmermann, University of California at San Diego
Peter Hansen, Stanford University
Choice of Sample Split in Out-of-Sample Forecast Evaluation

 

 

 

 

9:30 am

Break

 

 

 

 

9:45 am

Barbara Rossi, Duke University
Atsushi Inoue, North Carolina State University
Out-of-Sample Forecast Tests Robust to the Window Size Choice

 

 

 

 

10:45 am

Break

 

 

 

 

11:00 am

Anisha Ghosh and Christian Julliard, London School of Economics
Alex P. Taylor, Manchester Business School
What is the Consumption-CAPM missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

 

 

 

 

12:00 n

Lunch (in the Riverfront Room) and Adjourn

 

 

 

 

Wednesday, July 13:

 

  

 

8:00 am

Coffee and Pastries

 

 

 

 

8:30 am

Jonathan H. Wright, Johns Hopkins University and NBER
What does Monetary Policy do at the Zero Lower Bound?

 

 

 

 

9:30 am

Break

 

 

 

 

9:45 am

Carlos Carvalho, Federal Reserve Bank of New York
Fernanda Nechio, Federal Reserve Bank of San Francisco
Are People Aware of the Taylor Rule??

 

 

 

 

10:45 am

Break

 

 

 

 

11:00 am

Prakash Loungani, International Monetary Fund
Joao Tovar Jalles, University of Cambridge
Cross-country Evidence on the Quality of Fiscal Forecasts

 

 

12:00 n

Lunch (in the Somerset Room) and Adjourn

 

 

6:00 pm

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

 

 

Thursday, July 14:

  

8:00 am

Coffee and Pastries

 

 

8:30 am

Refet Gurkaynak, Bilkent University
Rochelle Edge, Federal Reserve Board
How Useful Are Estimated DSGE Model Forecasts For Central Bankers?

 

 

9:30 am

Break

 

 

9:45 am

Garland Durham, University of Colorado
John Geweke, University of Technology Sydney
Improving Asset Price Prediction when All Models are False

 

 

10:45 am

Break

 

 

11:00 am

Monica Billio, Univesity Ca' Foscari of Venice
Roberto Casarin, University of Venice
Francesco Ravazzolo, Norges Bank
Herman Van Dijk, Erasmus University
Combining Predictive Densities Using Bayesian Filtering with Applications to US Economics Data

 

 

12:00 n

Lunch (in Ballroom B in the West Tower) and Adjourn

 

 

Friday, July 15:

  

8:00 am

Coffee and Pastries

 

 

8:30 am

Mario Forni, Universita di Modena
Marc Hallin, ECARES
Marco Lippi, Università di Roma, La Sapienza
Paolo Zaffaroni, Imperial College London
One-Sided Representations of Generalized Dynamic Factor Models

 

 

9:30 am

Break

 

 

9:45 am

Drew D. Creal, University of Chicago
Bernd Schwaab, European Central Bank
Siem Jan Koopman and Andre Lucas, VU University Amsterdam
Observation Driven Mixed Measurement Dynamic Factor Models with an Application to Credit Risk

 

 

10:45 am

Break

 

 

11:00 am

Bryan T. Kelly, University of Chicago
Seth Pruitt, Federal Reserve Board
The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

 

 

12:00 n

Lunch (in Ballroom B in the West Tower) and Adjourn