SI 2024 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 9-12, 2024

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	Testing Coefficient Variability in Spatial Regressions (slides)
9:15 am	Binary Outcome Models with Extreme Covariates: Estimation and Prediction (slides)
10:00 am	Break
10:29 am	Counterfactuals
10:30 am	Imputation of Counterfactual Outcomes when the Errors are Predictable (slides)
11:15 am	Inflation Dynamics During the COVID Era: A High-frequency Approach (slides)
12:00 pm	Lunch and Adjourn
Wednesday, July 10
8:00 am	Coffee and Pastries
8:29 am	Causal Inference
8:30 am	Causal Inference for Large Dimensional Non-Stationary Panels with Two-Way Endogenous Treatment and Latent Confounders (slides)
9:15 am	Are We Fragmented Yet? Measuring Geopolitical Fragmentation and its Causal Effects
10:00 am	Break
10:29 am	Propagation of Shocks
10:30 am	Propagation of Shocks in Networks: Identification and Applications
11:15 am	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	Uncovering Disaggregated Oil Market Dynamics: A Full-Information Approach to Granular Instrumental Variables (slides)
9:15 am	The Distributional Predictive Content of Measures of Inflation Expectations
10:00 am	Break
10:29 am	Transmission of Macro Shocks
10:30 am	Innovation Powered Narrative Inference (slides)
11:15 am	The Distributional Effects of Economic Uncertainty (slides)
12:00 pm	Lunch and Adjourn
Friday, July 12
8:00 am	Coffee and Pastries
8:29 am	High Frequency Modeling
8:30 am	The Granular Origins of Tail Risk
9:15 am	Lumpy Forecasts (slides)
10:00 am	Break
10:29 am	Empirical Finance
10:30 am	Prediction when factors are weak
11:15 am	Macro Strikes Back: Term Structure of Risk Premia and Market Segmentation
12:00 pm	Lunch and Adjourn