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 at 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 at 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 - Nice 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, Deutsche Bundesbank 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 Adam Clark-Joseph, University of Illinois at 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