SI 2017 Forecasting & Empirical Methods
Organized by Jonathan H. Wright and Allan Timmermann
July 11-14, 2017
Royal Sonesta Hotel
Tuesday, July 11
8:00 am
Coffee and Pastries
Econometric Inference
8:30 am

A more Powerful Subvector Anderson Rubin test in Linear IV Regression

Patrik Guggenberger, University of California, San Diego
Frank Kleibergen, University of Amsterdam
Sophocles Mavroeidis, University of Oxford
9:15 am

Simultaneous Confidence Bands: Theoretical Comparisons and Suggestions for Practice

Jose L. Montiel Olea, Cornell University
Mikkel Plagborg-Moller, Princeton University
10:00 am
Break
Bayesian Modeling
10:30 am

Identification through Heterogeneity

Pooyan Amir Ahmadi, University of Illinois Urbana-Champaign
Thorsten Drautzburg, Federal Reserve Bank of Philadelphia
11:15 am

Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Ito Semimartingale

A. Ronald Gallant, The Pennsylvania State University
George Tauchen, Duke University
12:00 noon
Adjourn and Lunch
Wednesday, July 12
8:00 am
Coffee and Pastries
Big Data in Forecasting
8:30 am

News and Narratives in Financial Systems: Exploiting Big Data for Systemic Risk Assessment

Rickard Nyman, UCL Centre for the Study of Decision-Making Uncertainty
David Gregory, Bank of England
Sujit Kapadia, European Central Bank
Paul Ormerod, University College London
Rickard Nyman, UCL Centre for the Study of Decision-Making Uncertainty
9:15 am

Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses

Daniel Wilson, Federal Reserve Bank of San Francisco
10:00 am
Break
Factor Models
10:30 am

Is Industrial Production Still the Dominant Factor for the US Economy?

Elena Andreou, University of Cyprus
Patrick Gagliardini, Università della Svizzera Italiana and Swiss Finance Institute
Eric Ghysels, University of North Carolina at Chapel Hill
Mirco Rubin, EDHEC Business School
11:15 am

Uncertainty and Economic Activity: Identification Through Cross-country Correlations

Ambrogio Cesa-Bianchi, Bank of England
Mohammad Pesaran, University of Southern California
Alessandro Rebucci, Johns Hopkins University and NBER
12:00 noon
Adjourn and Lunch
Thursday, July 13
8:00 am
Coffee and Pastries
Forecasting with Panel Data
8:30 am

Forecasting with Dynamic Panel Data Models

Laura Liu, University of Pittsburgh
Hyungsik Moon, University of Southern California
Frank Schorfheide, University of Pennsylvania and NBER
9:15 am

Accounting for Debt Service

Mathias Drehmann, Bank for International Settlements
Mikael Juselius, Bank of Finland
Anton Korinek, University of Virginia and NBER
10:00 am
Break
Macro Modeling and Forecasting
10:30 am

Why you should never use the Hodrick-Prescott filter

James D. Hamilton, University of California, San Diego and NBER
11:15 am

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

Todd Clark, Federal Reserve Bank of Cleveland
Michael McCracken, Federal Reserve Bank of St. Louis
Elmar Mertens, European Central Bank
12:00 noon
Adjourn and Lunch
Friday, July 14
8:00 am
Coffee and Pastries
Characteristics and Predictors of the Cross-section of Stock Returns
8:30 am

Dissecting Characteristics Nonparametrically

Joachim Freyberger, University of Bonn
Andreas Neuhierl, Washington University in St. Louis
Michael Weber, Purdue University and NBER
9:15 am

Sparse Signals in the Cross-Section of Returns

Alexander M. Chinco, Michigan State University
Adam Clark-Joseph, University of Illinois Urbana-Champaign
Mao Ye, Cornell University and NBER
10:00 am
Break
Modeling Macroeconomic Dynamics
10:30 am

Economic Predictions with Big Data: The Illusion of Sparsity

Domenico Giannone, International Monetary Fund
Michele Lenza, European Central Bank
Giorgio Primiceri, Northwestern University and NBER
11:15 am

The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models

Leland Farmer, University of Virginia
12:00 noon
Adjourn and Lunch