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

Summer Institute 2018 master schedule

Tuesday, July 10
8:00 am	Coffee and Pastries
	Econometric Inference
8:30 am	Eben Lazarus, University of California, Berkeley Daniel Lewis, University College London James H. Stock, Harvard University and NBER Mark W. Watson, Princeton University and NBER HAR Inference: Recommendations for Practice
9:15 am	Torben G. Andersen, Northwestern University and NBER Rasmus T. Varneskov, Copenhagen Business School Consistent Inference for Predictive Regressions in Persistent VAR Economies
10:00 am	Break
	Econometric Modeling
10:30 am	Laura van der Erve, Institute for Fiscal Studies Neil Shephard, Harvard University Jack W. Britton, Institute for Fiscal Studies Where Is The Subsidy Going? Using Administrative Data To Value English Income Contingent Student Loans By Subject And University
11:15 am	Simon C. Smith, University of Southern California Noncommon Breaks
12:00 n	Adjourn and Lunch
Wednesday, July 11
8:00 am	Coffee and Pastries
	Monetary Policy
8:30 am	Atsushi Inoue, Vanderbilt University Barbara Rossi, Universitat Pompeu Fabra The Effects of Conventional and Unconventional Monetary Policy: A New Approach
9:15 am	Samuel Hanson, Harvard University and NBER David Lucca, Jane Street Jonathan H. Wright, Johns Hopkins University and NBER Interest Rate Conundrums in the 21st Century
10:00 am	Break
	Aftermath of the Great Recession
10:30 am	Thomas Mertens, Federal Reserve Bank of San Francisco John Williams, Federal Reserve Bank of New York What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices
11:15 am	Olivier Coibion, University of Texas at Austin and NBER Yuriy Gorodnichenko, University of California, Berkeley and NBER Mauricio Ulate, Federal Reserve Bank of San Francisco 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	Regis Barnichon, Federal Reserve Bank of San Francisco Òscar Jordà, Federal Reserve Bank of San Francisco Geert Mesters, Universitat Pompeu Fabra The Phillips Multiplier
9:15 am	Fabio Canova, Universitat Pompeu Fabra Christian Matthes, Indiana University Dealing with Misspecification in Structural Macroeconometric Models
10:00 am	Break
	Forecasting
10:30 am	Francis X. Diebold, University of Pennsylvania and NBER Minchul Shin, Federal Reserve Bank of Philadelphia Egalitarian LASSO for Combining Economic Forecasts
11:15 am	Wagner P. Gaglianone, Banco Central do Brasil Joao Issler, FGV Microfounded Forecasting
12:00 n	Adjourn and Lunch
Friday, July 13
8:00 am	Coffee and Pastries
	Machine Learning
8:30 am	Serena Ng, Columbia University and NBER Rishab Guha, Harvard University A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data (slides)
9:15 am	Bryan T. Kelly, Yale University and NBER Dacheng Xiu, and NBER Empirical Asset Pricing via Machine Learning
10:00 am	Break
	Empirical Finance
10:30 am	Gustavo A. Schwenkler, Santa Clara University Estimating the Dynamics of Consumption Growth
11:15 am	Tim Bollerslev, Duke University and NBER Andrew Patton, Duke University Rogier Quaedvlieg, Erasmus University Rotterdam Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix
12:00 n	Adjourn and Lunch