SI 2021 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 13-14, 2021

on Zoom.us

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, International Monetary Fund Michele Lenza, European Central Bank Francesca V. Monti, UCLouvain Andrej Sokol, Bloomberg Economics Nowcasting with Large Bayesian Vector Autoregressions
2:00 pm	Adjourn
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	Adjourn