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
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