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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC. 

 

SUMMER INSTITUTE 2013

 

NBER-NSF CEME: Forecasting & Empirical Methods in Macroeconomics & Finance Workshop

 

Allan Timmermann and Jonathan Wright, Organizers

 

July 9-12, 2013

 

Royal Sonesta Hotel 

Room Charles A

40 Edwin H. Land Boulevard 

Cambridge, Massachusetts

 

PROGRAM

 

Tuesday July 9

8:00 am

Coffee and Pastries

8:30 am

Francesco Bianchi, Duke University
Methods for Markov-Switching Models

9:15 am

S. Boragan Aruoba, University of Maryland
Francis X. Diebold, University of Pennsylvania and NBER
Jeremy Nalewaik, Federal Reserve System
Frank Schorfheide, University of Pennsylvania and NBER
Dongho Song, University of Pennsylvania
Improving GDP Measurement: A Measurement Error Perspective

10:00 am

Break

10:30 am

Jia Li, Duke University
Andrew Patton, Duke University
Asymptotic Inference about Predictive Accuracy using High Frequency Data

11:15 am

Kyle Jurado, Columbia University
Sydney C. Ludvigson, New York University and NBER
Serena Ng, Columbia University
Measuring Uncertainty

12:00 n

Lunch and Adjourn

Wednesday July 10:

8:00 am

Coffee and Pastries

8:30 am

Xu Cheng, University of Pennsylvania
Bruce Hansen, University of Wisconsin
Forecasting with the Factor Augmented Regression: A Frequentist Model Averaging Approach

9:15 am

Atsushi Inoue, North Carolina State University
Lutz Kilian, University of Michigan
Inference on Impulse Response Functions in Structural VAR Models

10:00 am

Break

10:30 am

Isaiah Andrews, Massachusetts Institute of Technology
Anna Mikusheva, Massachusetts Institute of Technology
A Geometric Approach to Weakly Identified Econometric Models

11:15 am

James Nason, Federal Reserve Bank of Philadelphia
Gregor W. Smith, Queens University
Reverse Kalman Filtering US Inflation with Sticky Professional Forecasts

12:00 n

Lunch and Adjourn

6:00 pm

Clambake, Royal Sonesta Hotel, 40 Edwin H. Land Boulevard, Cambridge, MA

Thursday July 11:

8:00 am

Coffee and Pastries

8:30 am

Drew D. Creal, University of Chicago Booth School of Business
Jing Cynthia Wu, University of Chicago
Estimation of Non-Gaussian Affine Term Structure Models

9:15 am

Jens Christensen, Federal Reserve Bank of San Francisco
Glenn Rudebusch, Federal Reserve Bank of San Francisco
Estimating Shadow-Rate Term Structure Models with Near-Zero Yields

10:00 am

Break

10:30 am

Jesus Fernandez-Villaverde, University of Pennsylvania and NBER
Juan Rubio-Ramirez, Duke University
The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

11:15 am

Efstathios Avdis, University of Alberta
Jessica Wachter, University of Pennsylvania and NBER
Maximum likelihood estimation of the equity premium

12:00 n

Lunch and Adjourn

Friday July 12:

8:00 am

Coffee and Pastries

8:30 am

Anna Orlik, Federal Reserve Board
Laura Veldkamp, New York University and NBER
Understanding Uncertainty Shocks

9:15 am

Federico Bandi, University of Chicago
Benoit Perron, Université de Montréal
Andrea Tamoni, London School of Economics
Claudio Tebaldi,
L.Bocconi University
The Scale of Predictability

10:00 am

Break

10:30 am

Stefano Giglio, University of Chicago and NBER
Bryan T. Kelly, University of Chicago and NBER
Seth Pruitt, Federal Reserve Board
Systemic Risk and the Macroeconomy: An Empirical Evaluation

11:15 am

Yacine Ait-Sahalia, Princeton University and NBER
Roger J.A.. Laeven, Tilburg University
Loriana Pelizzon, Ca' Foscari Univesity of Venice
Mutual Excitation in Eurozone Sovereign CDS

12:00 n

Lunch and Adjourn