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

Tuesday, July 11
8:00 am	Coffee and Pastries
	Instrumental Variables
8:30 am	Re-Thinking about Instrumental Variables
9:15 am	A Robust Test for Weak Instruments with Multiple Endogenous Regressors
10:00 am	Break
	Instrumental Variables and Policy Shocks
10:30 am	Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications
11:15 am	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	Principal Component Analysis for Nonstationary Series (slides)
9:15 am	Spatial Unit Roots
10:00 am	Break
	Estimating the Impact of Fiscal and Carbon Tax Policies
10:30 am	Local Projections in Unstable Environments: How Effective is Fiscal Policy?
11:15 am	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	Asset Embeddings
9:15 am	Inflation Forecasting from Cross-Sectional Stocks (slides)
10:00 am	Break
	Survey Forecasts
10:30 am	A Bayesian Approach for Inference on Probabilistic Surveys
11:15 am	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	Beta-Sorted Portfolios
9:15 am	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	Oil and the Stock Market Revisited: A Mixed Functional VAR Approach
11:15 am	Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified
12:00 pm	Lunch and Adjourn