SI 2021 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 13-14, 2021


Conference Code of Conduct

Tuesday, July 13
Exploiting Spatial Information
11:00 am
Xavier Gabaix, Harvard University and NBER
Ralph Koijen, University of Chicago and NBER

Granular Instrumental Variables
11:45 am
Ulrich Müller, Princeton University
Mark W. Watson, Princeton University and NBER

Spatial Correlation Robust Inference
Empirical Macroeconomics
12:30 pm
Richard Crump, Federal Reserve Bank of New York
Nikolay Gospondinov, Federal Reserve Bank of Altanta
Hunter Wieman, Princeton University

Elusive "Stars": Robust Trend Estimation
1:15 pm
Jacopo Cimadomo, European Central Bank
Domenico Giannone, Amazon
Michele Lenza, European Central Bank
Francesca V. Monti, UCLouvain
Andrej Sokol, Bloomberg Economics

Nowcasting with Large Bayesian Vector Autoregressions
2:00 pm
Wednesday, July 14
Causal Inference
11:00 AM
Neil Shephard, Harvard University
Ashesh Rambachan, Massachusetts Institute of Technology

Econometric Analysis of Potential Outcomes Time Series: Instruments, Shocks, Linearity and the Causal Response Function
11:45 AM
Silvia Goncalves, McGill University
Ana Maria. Herrera, University of Kentucky
Lutz Kilian, Federal Reserve Bank of Dallas
Elena Pesavento, Emory University

Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors
COVID Econometrics
12:30 PM
Alexander Chudik, Federal Reserve Bank of Dallas
Kamiar Mohaddes, University of Cambridge
M. Hashem Pesaran, University of Southern California
Mehdi Raissi, International Monetary Fund
Alessandro Rebucci, Johns Hopkins University and NBER

A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model
1:15 PM
Andrea Carriero, Queen Mary University of London
Todd Clark, Federal Reserve Bank of Cleveland
Massimiliano Marcellino, Bocconi University
Elmar Mertens, Deutsche Bundesbank

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility (slides)
2:00 pm