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

                    Modeling Model Uncertainty

 

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

                    with Endogenous Switching

 

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