NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2002

NBER Economic Fluctuations and Growth

Working Group on Forecasting & Empirical Methods in Macroeconomics & Finance

Mark Watson and Kenneth West, Organizers

Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, Massachusetts

July 16 - 19, 2002

PRELIMINARY PROGRAM

TUESDAY, JULY 16:



8:30 AM Coffee and Pastries



9:00 AM MICHAEL JANSSON, UC, Berkeley

Point Optimal Tests for the Null Hypothesis of Cointegration



10:00 AM Break



10:15 AM JOHN ROBERTSON and ELLIS TALLMAN, Federal Reserve Bank of Atlanta

CHARLES WHITEMAN, University of Iowa

Conditional Forecasting Using Relative Entropy



11:15 AM Break



11:30 AM M. HASHEM PESARAN, University of Cambridge

TIL SCHUERMANN, Federal Reserve Bank of New York

SCOTT WEINER, Oxford University

Modeling Regional Interdependencies



12:30 PM Lunch and Adjourn

WEDNESDAY, JULY 17:



8:30 AM Coffee and Pastries



9:00 AM MASSIMILIANO MARCELLINO, Universita Bocconi

Instability and Nonlinearity in the EMU



10:00 AM Break



10:15 AM MIKHAIL CHERNOV, Columbia University

A. RONALD GALLANT and ERIC GHYSELS, University of North Carolina

GEORGE TAUCHEN, Duke University

Alternative Models for Stock Price Dynamics



11:15 AM Break



11:30 AM FRANCIS DIEBOLD, University of Pennsylvania and NBER

CANLIN LI, University of Pennsylvania

Forecasting the Term Structure of Government Bond Yields



SI02 EFWW Program

page two



12:30 PM Lunch and Adjourn



6:00 PM Clambake

Harvard Faculty Club

20 Quincy Street

Cambridge, MA



THURSDAY, JULY 18:



8:30 AM Coffee and Pastries



9:00 AM MOTOTSUGU SHINTANI, Vanderbilt University

A Nonlinear Factor Analysis of Business Cycles with a Large Data Set:

Evidence from Japan and the U.S.



10:00 AM Break



10:15 AM LUCREZIA REICHLIN, ECARES

Tracking Greenspan:

Systematic and Unsystematic Monetary Policy Revisited

(Joint with DOMENICO GIANNONE and LUCA SALA



11:15 AM Break



11:30 AM CHRISTOPHER SIMS, Princeton University and NBER

TAO ZHA, Federal Reserve Bank of Atlanta

Macroeconomic Switching



12:30 PM Lunch and Adjourn



FRIDAY, JULY 19:



8:30 AM Coffee and Pastries



9:00 AM BARBARA ROSSI, Duke University

Optimal Tests for Nested Model Selection with Underlying

Parameter Instability



10:00 AM Break



10:15 AM TODD CLARK, Federal Reserve Bank of Kansas City

MICHAEL MCCRACKEN, University of Missouri, Columbia

Forecast-Based Model Selection in the Presence of Structural Breaks



11:15 AM Break



11:30 AM ATSUSHI INOUE, North Carolina State University

LUTZ KILIAN, University of Michigan

In-Sample and Out-of-Sample Tests of Predictability:

Which One Should We Use?



12:30 PM Lunch and Adjourn

6/26/02