NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2001

NBER/NSF Forecasting Seminar

NBER EF &G Working Group on Empirical Methods in Macroeconomics

Mark Watson and Kenneth West, Organizers

Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, Massachusetts

July 17-July 20, 2001

PRELIMINARY PROGRAM

TUESDAY, JULY 17:

FORECASTING AND MACROECONOMICS

8:30 AM Coffee and Doughnuts

9:00 AM GRAHAM ELLIOT and ALLAN TIMMERMAN, UC, San Diego

Optimal Forecast Combinations Under General Loss Functions

10:00 AM Break

10:15 AM PETER REINHARD HANSEN, Brown University

An Unbiased & Powerful Test for Superior Predictive Ability

11:15 AM Break

11:30 AM ROBERTO RIGOBON, MIT and NBER

BRIAN SACK, Federal Reserve Board

Measuring the Reaction of Monetary Policy to the Stock Market

12:30 PM Lunch and Adjourn

WEDNESDAY, JULY 18:

ECONOMETRIC THEORY - 1

8:30 AM Coffee and Doughnuts

9:00 AM ATSUSHI INOUE, North Carolina State University

Bootstrapping GMM Estimators for Time Series

(Joint with MOTOTSUGU SHINTANI)

10:00 AM Break

SI01 EFWW Program

page two

10:15 AM JERRY HAUSMAN, MIT and NBER

GUIDO KUERNSTEINER, MIT

Bias Corrected Instrumental Variables Estimation for Dynamic Panel

Models with Fixed Effects

(Joint with JINYONG HAHN)

11:15 AM Break

11:30 AM JONATHAN WRIGHT, Federal Reserve Board

Detecting Lack of Identification in GMM

12:30 PM Lunch and Adjourn

6:00 AM Clambake

Harvard Faculty Club

20 Quincy Street

Cambridge, MA

THURSDAY, JULY 19:

ECONOMETRIC THEORY II

8:30 AM Coffee and Doughnuts

9:00 AM JUSHAN BAI, Boston College

Inference of Factor Models of Large Dimensions

10:AM Break

10:15 AM MICHAEL JANSSON, UC, Berkeley

Stationarity Testing with Covariates

11:15 AM Break

11:30 AM TORBEN ANDERSEN, Northwestern University and NBER

TIMOTHY BOLLERSLEV, Duke University and NBER

FRANK DIEBOLD, University of Pennsylvania and NBER

PAUL LABYS, University of Pennsylvania

Modeling & Forecasting Realized Volatility

12:30 PM Lunch and Adjourn

SI01 EFWW Program

page three

FRIDAY, JULY 20:

MACRO AND FINANCE

8:30 AM Coffee and Doughnuts

9:00 AM ERIC GHYSELS, Pennsylvania State University

When Does Microstructure Noise Affect the Estimation of

Asset Pricing Models?

(Joint with ELENA ANDREOU)

10:00 AM Break

10:15 AM JAMES STOCK, Harvard University and NBER

MARK WATSON, Princeton University and NBER

Forecasting Output and Inflation: the Role of Asset Prices

11:15 AM Break

11:30 AM NORMAN SWANSON, Texas A&M University

An Evaluation of Preliminary Data Announcement Rationality & Business Cycle Asymmetry

(Joint with DICK VAN DYJK)

12:30 PM Lunch and Adjourn

5/28/01