NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2005

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 12 - 15, 2005

PRELIMINARY PROGRAM

TUESDAY, JULY 12:
8:00 am	Coffee and Pastries
8:30 am	ALEXEI ONATSKI, Columbia University
	Determining the Number of Factors from Empirical Distribution of Eigenvalues
9:30 am	Break
9:45 am	ULRICH MÜLLER and PHILIPPE-EMMANUEL PETALAS, Princeton University
	Efficient Estimation of the Parameter Path in Unstable Time Series Models
10:45 am	Break
11:00 am	RONALD GALLANT, Duke University
	ROBERT MCCULLOCH, University of Chicago
	On the Determination of General Scientific Models with Application to Asset Pricing
12:00 n	Lunch and Adjourn
WEDNESDAY, JULY 13:
8:00 am	Coffee and Pastries
8:30 am	MARCO DEL NEGRO, Federal Reserve Bank of Atlanta
	FRANK SCHORFHEIDE, University of Pennsylvania
	FRANK SMETS, European Central Bank
	RAFAEL WOUTERS, National Bank of Belgium
	On the Fit and Forecasting Performance of New-Keynesian Models
9:30 am	Break
9:45 am	JEAN-MARIE DUFOUR, University of Montreal
	LYNDA KHALAF, Universite Laval
	MARAL KICHIAN, Bank of Canada
	Inflation dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis
10:45 am	Break
11:00 am	GLENN RUDEBUSCH and TAO WU, Federal Reserve Bank of San Francisco
	Accounting for a Shift in Term Structure Behavior with No-Arbitrage and Macro-Finance Models
12:00 n	Lunch and Adjourn
6:00 pm	Clambake, Harvard Faculty Club, 20 Quincy Street, Cambridge, MA
THURSDAY, JULY 14
8:00 am	Coffee and Pastries
8:30 am	HASHEM PESARAN, University of Cambridge
	DAVIDE PETTENUZZO, Bocconi University
	ALLAN TIMMERMANN, UC, San Diego
	Forecasting Time Series Subject to Multiple Structural Breaks
9:30 am	Break
9:45 am	JAMES STOCK, Harvard University and NBER
	MARK WATSON, Princeton University and NBER
	An Empirical Comparison Of Methods For Forecasting Using Many Predictors
10:45 am	Break
11:00 am	NELSON MARK, Notre Dame University and NBER
	DONGGYU SUL, University of Auckland
	The Use of Predictive Regressions at Alternative Horizons in Finance and Economics
12:00 n	Lunch and Adjourn
FRIDAY, JULY 15:
8:00 am	Coffee and Pastries
8:30 am	SÌLVIA GONÇALVES, and NOUR MEDDAHI, Université de Montréal
	Bootstrapping Realized Volatility
9:30 am	Break
9:45 am	DENNIS KRISTENSEN, University of Wisconsin
	Modelling the Short-Term Interest Rate: A Semiparametric Approach
10:45 am	Break
11:00 am	TORBEN ANDERSEN, Northwestern University and NBER
	TIM BOLLERSLEV, Duke University and NBER
	FRANCIS DIEBOLD, University of Pennsylvania and NBER
	Some Like it Smooth, and Some Like it Rough:Disenntangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
12:00 n	Lunch and Adjourn
4/22/05