SI 2017 Forecasting & Empirical Methods

Jonathan H. Wright and Allan Timmermann, Organizers

July 11-14, 2017

Longfellow Room

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
9:15 am	Simultaneous Confidence Bands: Theoretical Comparisons and Suggestions for Practice
10:00 am	Break
	Bayesian Modeling
10:30 am	Identification through Heterogeneity
11:15 am	Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Ito Semimartingale
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
9:15 am	Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses
10:00 am	Break
	Factor Models
10:30 am	Is Industrial Production Still the Dominant Factor for the US Economy?
11:15 am	Uncertainty and Economic Activity: Identification Through Cross-country Correlations
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
9:15 am	Accounting for Debt Service
10:00 am	Break
	Macro Modeling and Forecasting
10:30 am	Why you should never use the Hodrick-Prescott filter
11:15 am	Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
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
9:15 am	Sparse Signals in the Cross-Section of Returns
10:00 am	Break
	Modeling Macroeconomic Dynamics
10:30 am	Economic Predictions with Big Data: The Illusion of Sparsity
11:15 am	The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models
12:00 noon	Adjourn and Lunch