SI 2024 Forecasting & Empirical Methods
Allan Timmermann and Jonathan H. Wright, Organizers
July 9-12, 2024
Supported by NSF Grant to Conference on Econometrics and Mathematical Economics
Longfellow BC
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA and zoom.us
| Tuesday, July 9 | ||
| 8:00 am | Coffee and Pastries | |
| 8:29 am | Economic Methodology | |
| 8:30 am |
Ulrich Müller, Princeton University Mark W. Watson, Princeton University and NBER Testing Coefficient Variability in Spatial Regressions |
|
| 9:15 am |
Laura Liu, University of Pittsburgh Yulong Wang, Syracuse University Binary Outcome Models with Extreme Covariates: Estimation and Prediction |
|
| 10:00 am | Break | |
| 10:29 am | Counterfactuals | |
| 10:30 am |
Silvia Goncalves, McGill University Serena Ng, Columbia University and NBER Imputation of Counterfactual Outcomes when the Errors are Predictable |
|
| 11:15 am |
Hie Joo Ahn, Federal Reserve Board Simon Smith, Federal Reserve Board Inflation Dynamics During the COVID Era: A High-frequency Approach |
|
| 12:00 pm | Lunch and Adjourn | |
| Wednesday, July 10 | ||
| 8:00 am | Coffee and Pastries | |
| 8:29 am | Causal Inference | |
| 8:30 am |
Junting Duan, Stanford University Markus Pelger, Stanford University and NBER Ruoxuan Xiong, Emory University Causal Inference for Large Dimensional Non-Stationary Panels with Two-Way Endogenous Treatment and Latent Confounders |
|
| 9:15 am |
Jesús Fernández-Villaverde, University of Pennsylvania and NBER Tomohide Mineyama, International Monetary Fund Dongho Song, Johns Hopkins University Are We Fragmented Yet? Measuring Geopolitical Fragmentation and its Causal Effects |
|
| 10:00 am | Break | |
| 10:29 am | Propagation of Shocks | |
| 10:30 am |
Gabriel Chodorow-Reich, Harvard University and NBER Xavier Gabaix, Harvard University and NBER Ralph S. J. Koijen, University of Chicago and NBER Davide Viviano, Harvard University Propagation of Shocks in Networks: Identification and Applications |
|
| 11:15 am |
Martin Almuzara, Federal Reserve Bank of New York Víctor Sancibrián, CEMFI Micro Responses to Macro Shocks |
|
| 12:00 pm | Lunch and Adjourn | |
| Thursday, July 11 | ||
| 8:00 am | Coffee and Pastries | |
| 8:29 am | Topics in Macro Modeling | |
| 8:30 am |
Christiane Baumeister, University of Notre Dame and NBER James D. Hamilton, University of California, San Diego and NBER Uncovering Disaggregated Oil Market Dynamics: A Full-Information Approach to Granular Instrumental Variables |
|
| 9:15 am |
James Mitchell, Federal Reserve Bank of Cleveland Saeed Zaman, Federal Reserve Bank of Cleveland The Distributional Predictive Content of Measures of Inflation Expectations |
|
| 10:00 am | Break | |
| 10:29 am | Transmission of Macro Shocks | |
| 10:30 am |
Regis Barnichon, Federal Reserve Bank of San Francisco Geert Mesters, Universitat Pompeu Fabra Innovation Powered Narrative Inference |
|
| 11:15 am |
Florian Huber, University of Salzburg Massimiliano Marcellino, Bocconi University Tommaso Tornese, Bocconi University The Distributional Effects of Economic Uncertainty |
|
| 12:00 pm | Lunch and Adjourn | |
| Friday, July 12 | ||
| 8:00 am | Coffee and Pastries | |
| 8:29 am | High Frequency Modeling | |
| 8:30 am |
Torben G. Andersen, Northwestern University and NBER Yi Ding, University of Macau Viktor Todorov, Northwestern University The Granular Origins of Tail Risk |
|
| 9:15 am |
Isaac Baley, Universitat Pompeu Fabra Javier Turen, Pontificia Universidad Catolica de Chile Lumpy Forecasts |
|
| 10:00 am | Break | |
| 10:29 am | Empirical Finance | |
| 10:30 am |
Dacheng Xiu, and NBER Stefano Giglio, Yale University and NBER Dake Zhang, University of Chicago Prediction when factors are weak |
|
| 11:15 am |
Svetlana Bryzgalova, London Business School Jiantao Huang, University of Hong Kong Christian Julliard, London School of Economics Macro Strikes Back: Term Structure of Risk Premia and Market Segmentation |
|
| 12:00 pm | Lunch and Adjourn | |