SI 2017 Forecasting & Empirical Methods

Jonathan H. Wright and Allan Timmermann, Organizers

July 11-14, 2017

Longfellow Room

Royal Sonesta Hotel

Conference Code of Conduct

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