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	Patrik Guggenberger, University of California, San Diego Frank Kleibergen, University of Amsterdam Sophocles Mavroeidis, University of Oxford A more Powerful Subvector Anderson Rubin test in Linear IV Regression
9:15 am	Jose L. Montiel Olea, Cornell University Mikkel Plagborg-Moller, Princeton University Simultaneous Confidence Bands: Theoretical Comparisons and Suggestions for Practice
10:00 am	Break
	Bayesian Modeling
10:30 am	Pooyan Amir Ahmadi, University of Illinois Urbana-Champaign Thorsten Drautzburg, Federal Reserve Bank of Philadelphia Identification through Heterogeneity
11:15 am	A. Ronald Gallant, Pennsylvania State University George Tauchen, Duke University 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	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 News and Narratives in Financial Systems: Exploiting Big Data for Systemic Risk Assessment
9:15 am	Daniel Wilson, Federal Reserve Bank of San Francisco 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	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 Is Industrial Production Still the Dominant Factor for the US Economy?
11:15 am	Ambrogio Cesa-Bianchi, Bank of England Mohammad Pesaran, University of Southern California Alessandro Rebucci, Johns Hopkins University and NBER 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	Laura Liu, University of Pittsburgh Hyungsik Moon, University of Southern California Frank Schorfheide, University of Pennsylvania and NBER Forecasting with Dynamic Panel Data Models
9:15 am	Mathias Drehmann, Bank for International Settlements Mikael Juselius, Bank of Finland Anton Korinek, University of Virginia and NBER Accounting for Debt Service
10:00 am	Break
	Macro Modeling and Forecasting
10:30 am	James D. Hamilton, University of California, San Diego and NBER Why you should never use the Hodrick-Prescott filter
11:15 am	Todd Clark, Federal Reserve Bank of Cleveland Michael McCracken, Federal Reserve Bank of St. Louis Elmar Mertens, European Central Bank 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	Joachim Freyberger, University of Bonn Andreas Neuhierl, Washington University in St Louis Michael Weber, University of Chicago and NBER Dissecting Characteristics Nonparametrically
9:15 am	Alexander M. Chinco, Baruch College of the City University of New York Adam Clark-Joseph, University of Illinois Urbana-Champaign Mao Ye, Cornell University and NBER Sparse Signals in the Cross-Section of Returns
10:00 am	Break
	Modeling Macroeconomic Dynamics
10:30 am	Domenico Giannone, International Monetary Fund Michele Lenza, European Central Bank Giorgio Primiceri, Northwestern University and NBER Economic Predictions with Big Data: The Illusion of Sparsity
11:15 am	Leland Farmer, University of Virginia The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models
12:00 noon	Adjourn and Lunch