SI 2018 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 10-13, 2018

Longfellow Room

Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA

Tuesday, July 10
8:00 am	Coffee and Pastries
	Econometric Inference
8:30 am	HAR Inference: Recommendations for Practice
9:15 am	Consistent Inference for Predictive Regressions in Persistent VAR Economies
10:00 am	Break
	Econometric Modeling
10:30 am	Where Is The Subsidy Going? Using Administrative Data To Value English Income Contingent Student Loans By Subject And University
11:15 am	Noncommon Breaks
12:00 n	Adjourn and Lunch
Wednesday, July 11
8:00 am	Coffee and Pastries
	Monetary Policy
8:30 am	The Effects of Conventional and Unconventional Monetary Policy: A New Approach
9:15 am	Interest Rate Conundrums in the 21st Century
10:00 am	Break
	Aftermath of the Great Recession
10:30 am	What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices
11:15 am	The Cyclical Sensitivity in Estimates of Potential Output
12:00 n	Adjourn and Lunch
6:00 pm	Clambake at the Royal Sonesta Hotel
Thursday, July 12
8:00 am	Coffee and Pastries
	Macroeconometrics
8:30 am	The Phillips Multiplier
9:15 am	Dealing with Misspecification in Structural Macroeconometric Models
10:00 am	Break
	Forecasting
10:30 am	Egalitarian LASSO for Combining Economic Forecasts
11:15 am	Microfounded Forecasting
12:00 n	Adjourn and Lunch
Friday, July 13
8:00 am	Coffee and Pastries
	Machine Learning
8:30 am	A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data (slides)
9:15 am	Empirical Asset Pricing via Machine Learning
10:00 am	Break
	Empirical Finance
10:30 am	Estimating the Dynamics of Consumption Growth
11:15 am	Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix
12:00 n	Adjourn and Lunch