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NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.
SUMMER INSTITUTE 2014
Forecasting & Empirical Methods
Jonathan Wright and Allan Timmermann, Organizers
July 8-11, 2014
Longfellow Room Royal Sonesta Hotel 40 Edwin H. Land Boulevard Cambridge, Massachusetts
PROGRAM
Tuesday, July 8:
8:00 am	Coffee and Pastries
8:30 am	Econometrics and Forecasting Ulrich Mueller, Princeton University Yulong Wang, Princeton University Inference about Extreme Quantiles and Conditional Tail Expectations
9:15 am	Anurag Banerjee, Durham University, UK Guillaume Chevillon, ESSEC Business School Marie Kratz, ESSEC Business School Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
10:00 am	Break
10:30 am	Barbara Rossi, Universitat Pompeu Fabra Tatevik Sekhposyan, Texas A&M University Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts
11:15 am	Gray Calhoun, Iowa State University Improved Stepdown Methods for Asymptotic Control of Generalized Error Rates
12:00 pm	Lunch and Adjourn
Wednesday, July 9:
8:00 am	Coffee and Pastries
8:30 am	Macro-Finance Marco Del Negro, Federal Reserve Bank of New York Frank Schorfheide, University of Pennsylvania and NBER Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
9:15 am	Philippe Andrade, Banque de France Richard Crump, Federal Reserve Bank of New York Stefano Eusepi, Federal Reserve Bank of New York Emanuel Moench, Federal Reserve Bank of New York Fundamental Disagreement
10:00 am	Break
10:30 am	Gill Segal, University of Pennsylvania Ivan Shaliastovich, University of Pennsylvania Amir Yaron, University of Pennsylvania and NBER Good and Bad Uncertainty: Macroeconomic and Financial Market Implications
11:15 am	Eric Ghysels, University of North Carolina Anh Le, University of North Carolina Sunjin Park, University of North Carolina Haoxiang Zhu, Massachusetts Institute of Technology Risk and Return Trade-off in the U.S. Treasury Market
12:00 pm	Lunch and Adjourn
6:00 pm	Clambake, Royal Sonesta Hotel
Thursday, July 10:
8:00 am	Coffee and Pastries
8:30 am	VARs and Panel Data Models Todd Clark, Federal Reserve Bank of Cleveland Michael McCracken, Federal Reserve Bank of Saint Louis Evaluating Conditional Forecasts from Vector Autoregressions
9:15 am	Tomohiro Ando, Keio University Jushan Bai, Columbia University Panel Data Models with Grouped Factor Structure under Unknown Group Membership
10:00 am	Break
10:30 am	James Hamilton, University of California at San Diego and NBER Christiane Baumeister, Bank of Canada Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
11:15 am	Jonas Arias, Federal Reserve Board Juan Rubio-Ramírez, Duke University Daniel F. Waggoner, Federal Reserve Bank of Atlanta Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
12:00 pm	Lunch and Adjourn
Friday, July 11:
8:00 am	Coffee and Pastries
8:30 am	Options Markets and Risk Premia Geert Bekaert, Columbia University and NBER Eric Engstrom, Federal Reserve Board Andrey Ermolov, Columbia University Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model
9:15 am	Zhaogang Song, Federal Reserve Board George Gao, Cornell University Rare Disaster Concerns Everywhere
10:00 am	Break
10:30 am	Torben Andersen, Northwestern University and NBER Nicola Fusari, Northwestern University Viktor Todorov, Northwestern University The Risk Premia Embedded in Index Options
11:15 am	Aytek Malkhozov, McGill University Laurent Barras, McGill University Variance Risk Premium Dynamics in Equity and Option Markets
12:00 pm	Lunch and Adjourn