NATIONAL BUREAU OF ECONOMIC
RESEARCH, INC.
SUMMER INSTITUTE 2003
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 15 - 18, 2003
PRELIMINARY PROGRAM
TUESDAY, JULY 15:
8:30 AM Coffee
and Pastries
9:00 AM XIAOHONG
CHEN, New York University
SYDNEY C. LUDVIGSON, New York
University and NBER
Land of Addicts? An Empirical
Investigation of Habit-Based Asset Pricing Models
10:00
AM Break
10:15
AM PETER CHRISTOFFERSEN, McGill
University
FRANCIS DIEBOLD, University of Pennsylvania
and NBER
Financial Asset Returns, Market
Timing, and Volatility Dynamics
11:15
AM Break
11:30
AM ALEXI ONATSKI, Columbia University
NOAH WILLIAMS, Princeton University
and NBER
12:30
PM Lunch and Adjourn
WEDNESDAY, JULY 16:
8:30 AM Coffee and Pastries
9:00 AM EDWARD LEAMER, UC, Los Angeles and
NBER
SIMON POTTER, Federal Reserve Bank of
New York
A Nonlinear Model of the Business
Cycle
10:00
AM Break
10:15
AM CHANG-JIN KIM, Korea University
JEREMY PIGER, Federal Reserve Bank of
St. Louis
RICHARD STARTZ, University of
Washington
Estimation of Markov Regime-Switching
Regression Models
11:15
AM Break
11:30
AM SOPHOCLES MAVROEIDIS, University of
Amsterdam
Identification and Mis-specification Issues
in Forward-Looking Models
12:30
PM Lunch and Adjourn
6:00 PM Clambake,
Harvard Faculty Club, 20 Quincy Street, Cambridge, MA
THURSDAY, JULY 17:
8:30 AM Coffee
and Pastries
9:00 AM PETER
HANSEN, Brown University
Regression Analysis with Many
Specifications:
A Bootstrap Method for Robust
Inference
10:00 AM Break
10:15 AM MICHAEL
JANSSON, UC, Berkeley
MARCELO MOREIRA, Harvard University
Optimal Inference in Regression
Models with Nearly Integrated Regressors
11:15
AM Break
11:30 AM DAVID N. DEJONG, ROMAN LISENFELD and JEAN-FRANCOIS RICHARD,
University of Pittsburgh
A Structural Break in U.S. GDP?
12:30
PM Lunch and Adjourn
FRIDAY, JULY 18:
8:30 AM Coffee
and Pastries
9:00 AM JAN
J.J. GROEN, Bank of England
Exchange Rate Predictability and
Monetary Fundamentals
in a Small Multi-Country Panel
10:00
AM Break
10:15
AM NELSON MARK, Ohio State University and
NBER
MASAO OGAKI, Ohio
State University
DONGGYU SUL, University
of Auckland
Dynamic Seemingly Unrelated
Cointegrating Regression
11:15
AM Break
11:30
AM BEN S. BERNANKE, Federal Reserve
Board
JEAN BOIVIN, Columbia University and
NBER
PIOTR ELIASZ, Princeton University
Measuring the Effects of Monetary
Policy:
A Factor-Augmented Vector
Autoregressive (FAVAR) Approach
12:30 PM Lunch and Adjourn 5/22/03