SI 2021 Forecasting & Empirical Methods
Organized by Allan Timmermann and Jonathan H. Wright
Supported by the National Science Foundation
July 13-14, 2021
on Zoom.us
Tuesday, July 13
Exploiting Spatial Information
11:00 am

Granular Instrumental Variables

Xavier Gabaix, Harvard University and NBER
Ralph Koijen, University of Chicago and NBER
11:45 am

Spatial Correlation Robust Inference

Ulrich Müller, Princeton University
Mark W. Watson, Princeton University and NBER
Empirical Macroeconomics
12:30 pm

Elusive "Stars": Robust Trend Estimation

Richard Crump, Federal Reserve Bank of New York
Nikolay Gospondinov, Federal Reserve Bank of Altanta
Hunter Wieman, Princeton University
1:15 pm

Nowcasting with Large Bayesian Vector Autoregressions

Jacopo Cimadomo, European Central Bank
Domenico Giannone, International Monetary Fund
Michele Lenza, European Central Bank
Francesca V. Monti, UCLouvain
Andrej Sokol, Bloomberg Economics
2:00 pm
Adjourn
Wednesday, July 14
Causal Inference
11:00 AM

Econometric Analysis of Potential Outcomes Time Series: Instruments, Shocks, Linearity and the Causal Response Function

Neil Shephard, Harvard University
Ashesh Rambachan, Massachusetts Institute of Technology
11:45 AM

Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors

Silvia Goncalves, McGill University
Ana Maria. Herrera, University of Kentucky
Lutz Kilian, Federal Reserve Bank of Dallas
Elena Pesavento, Emory University
COVID Econometrics
12:30 PM

A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model

Alexander Chudik, Federal Reserve Bank of Dallas
Kamiar Mohaddes, University of Cambridge
M. Hashem Pesaran, University of Southern California
Mehdi Raissi, International Monetary Fund
Alessandro Rebucci, Johns Hopkins University and NBER
1:15 PM

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility (slides)

Andrea Carriero, Queen Mary University of London
Todd Clark, Federal Reserve Bank of Cleveland
Massimiliano Marcellino, Bocconi University
Elmar Mertens, European Central Bank
2:00 pm
Adjourn