SI 2023 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 11-14, 2023

Longfellow Room BC

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

Summer Institute 2023 master schedule

Tuesday, July 11
8:00 am	Coffee and Pastries
	Instrumental Variables
8:30 am	Domenico Giannone, Amazon Michele Lenza, European Central Bank Giorgio Primiceri, Northwestern University and NBER Re-Thinking about Instrumental Variables
9:15 am	Daniel Lewis, University College London Karel Mertens, Federal Reserve Bank of Dallas A Robust Test for Weak Instruments with Multiple Endogenous Regressors
10:00 am	Break
	Instrumental Variables and Policy Shocks
10:30 am	Marko Mlikota, University of Pennsylvania Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications
11:15 am	Jacob Goldin, University of Chicago and NBER Julian Nyarko, Stanford University Justin Young, Stanford University Forecasting Algorithms for Causal Inference with Panel Data
12:00 pm	Lunch and Adjourn
Wednesday, July 12
8:00 am	Coffee and Pastries
	Unit Roots and Nonstationary Time Series
8:30 am	James D. Hamilton, University of California, San Diego and NBER Jin Xi, University of California, San Diego Principal Component Analysis for Nonstationary Series (slides)
9:15 am	Ulrich Müller, Princeton University Mark W. Watson, Princeton University and NBER Spatial Unit Roots
10:00 am	Break
	Estimating the Impact of Fiscal and Carbon Tax Policies
10:30 am	Atsushi Inoue, Vanderbilt University Barbara Rossi, Universitat Pompeu Fabra Yiru Wang, University of Pittsburgh Local Projections in Unstable Environments: How Effective is Fiscal Policy?
11:15 am	Diego R. Kaenzig, Northwestern University and NBER Maximilian Konradt, Geneva Graduate Institute Climate Policy and the Economy: Evidence from Europe's Carbon Pricing Initiatives
12:00 pm	Lunch and Adjourn
Thursday, July 13
8:00 am	Coffee and Pastries
	Cross-Section of Stock Returns
8:30 am	Xavier Gabaix, Harvard University and NBER Ralph S. J. Koijen, University of Chicago and NBER Motohiro Yogo, Princeton University and NBER Asset Embeddings
9:15 am	Claire Yurong Hong, Shanghai Advanced Institute of Finance Jun Pan, Shanghai Jiao Tong University Shiwen Tian, Shanghai Advanced Institute of Finance Inflation Forecasting from Cross-Sectional Stocks (slides)
10:00 am	Break
	Survey Forecasts
10:30 am	Marco Del Negro, Federal Reserve Bank of New York Federico Bassetti, Politecnico Milano Roberto Casarin, University of Venice A Bayesian Approach for Inference on Probabilistic Surveys
11:15 am	Aeimit Lakdawala, Wake Forest University Jane M. Ryngaert, University of Notre Dame Benjamin Kay, Federal Reserve Board Michael Futch, Civitech Partisan Bias in Professional Macroeconomic Forecasts (slides)
12:00 pm	Lunch and Adjourn
Friday, July 14
8:00 am	Coffee and Pastries
	Risk Factors
8:30 am	Matias D. Cattaneo, Princeton University Richard K. Crump, Federal Reserve Bank of New York Weining Wang Beta-Sorted Portfolios
9:15 am	M. Hashem Pesaran, University of Southern California Ron Smith, Birkbeck College The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong and Latent Factors
10:00 am	Break
	Measuring Risk and Performance in the Stock Market
10:30 am	Hilde C. Bjornland, BI Norwegian Business School Yoosoon Chang, Indiana University Jamie L. Cross, BI Norwegian Business School Oil and the Stock Market Revisited: A Mixed Functional VAR Approach
11:15 am	David Ardia, HEC Montreal Laurent Barras, University of Luxembourg Olivier Scaillet, University of Geneva Patrick Gagliardini, Università della Svizzera Italiana and Swiss Finance Institute Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified
12:00 pm	Lunch and Adjourn