NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2007

NBER Economic Fluctuations and Growth

Working Group on Forecasting & Empirical Methods in Macroeconomics & Finance

Mark Watson and Kenneth West, Organizers

July 10 - 13, 2007

Royal Sonesta Hotel

Charles B Room

40 Edwin H. Land Boulevard

Cambridge, Massachusetts

PROGRAM

TUESDAY, JULY 10:
8:00 am	Coffee and Pastries
8:30 am	TODD CLARK, Federal Reserve Bank of Kansas City
	MICHAEL MCCRACKEN, Federal Reserve Board
	Tests of Equal Predictive Ability with Real-Time Data
9:30 am	Break
9:45 am	RAFFAELLA GIACOMINI, UC, Los Angeles
	BARBARA ROSSI, Duke University
	Model Selection and Forecast Comparison in Unstable Environments
10:45 am	Break
11:00 am	TANYA MOLODTSOVA and DAVID PAPELL University of Houston
	Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals
12:00 n	Lunch and Adjourn
WEDNESDAY, JULY 11:
8:00 am	Coffee and Pastries
8:30 am	TORBEN ANDERSEN, Northwestern University and NBER
	TIM BOLLERSLEV, Duke University and NBER
	NOUR MEDDAHI, Imperial College
	Realized Volatility Forecasting and Market Microstructure Noise
9:30 am	Break
9:45 am	ALEXEI ONATSKI, Columbia Univeristy
	A Formal Statistical Test for The Number of Factors in the Approximate Factor Models
10:45 am	Break
11:00 am	CATHERINE DOZ, Université Cergy-Pontoise
	DOMENICO GIANNONE, Université Libre de Bruxelles
	LUCREZIA REICHLIN, European Central Bank
	A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models
12:00 n	Lunch and Adjourn
6:00 pm	Clambake, Harvard Faculty Club, 20 Quincy Street, Cambridge, MA
THURSDAY, JULY 12:
8:00 am	Coffee and Pastries
8:30 am	SEAN CAMPBELL and STEVEN SHARPE, Federal Reserve Board
	Anchoring Bias In Consensus Forecasts And Its Effect on Market Prices
9:30 am	Break
9:45 am	MIKHAIL CHERNOV, London Business School
	PHILLIPE MUELLER, Columbia University
	The Term Structure of Inflation Forecasts
10:45 am	Break
11:00 am	ANDREW PATTON, London School of Economics
	ALLAN TIMMERMANN, UC, San Diego
	How Quickly is Macroeconomic Uncertainty Resolved? Theory and Empirical Evidence from the Term Structure of Forecast Errors
12:00 n	Lunch and Adjourn
FRIDAY, JULY 13:
8:00 am	Coffee and Pastries
8:30 am	FRANK KLEIBERGEN and SOPHOCLES MAVROEIDIS, Brown University
	Subset Tests in GMM without Assuming Identification
9:30 am	Break
9:45 am	ANNA MIKUSHEVA, MIT
	Uniform Inference in Autoregressive Models
10:45 am	Break
11:00 am	ULRICH MÜLLER, Princeton University
	MARK WATSON, Princeton University and NBER
	Low-Frequency Robust Cointegration Testing
12:00 n	Lunch and Adjourn
6/18/07