NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2006

NBER Economic Fluctuations and Growth

Working Group on Forecasting & Empirical Methods in Macroeconomics & Finance

Mark Watson and Kenneth West, Organizers

July 11 - 14, 2006

Royal Sonesta Hotel

40 Edwin H. Land Blvd

Cambridge, Massachusetts

PROGRAM

TUESDAY, JULY 11:
8:00 am	Coffee and Pastries
	Econometric Theory
8:30 am	RUSTAM IBRAGIMOV, Harvard University
	ULRICH MUELLER, Princeton University
	T-Statistic Based Correlation and Heterogeneity Robust Inference
9:30 am	Break
9:45 am	MICHAEL McCRACKEN, University of Missouri
	Combining Forecasts from Nested Models
10:45 am	Break
11:00 am	ALEXEI ONATSKI, Columbia University
	Asymptotic Distribution of Principal Components Estimator of Large Spherical Factor Models
12:00 n	Lunch and Adjourn
WEDNESDAY, JULY 12:
8:00 am	Coffee and Pastries
	Applied Forecasting
8:30 am	MIN WEI, Federal Reserve Board
	Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?
9:30 am	Break
9:45 am	REFET GÜRKAYNAK, Bilkent University
	JUSTIN WOLFERS, University of Pennsylvania and NBER
	Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk
10:45 am	Break
11:00 am	MASSIMILIANO MARCELLINO, Universita Bocconi
	A Simple Benchmark for Forecasts of Growth and Inflation
12:00 n	Lunch and Adjourn
6:00 pm	Clambake, Harvard Faculty Club, 20 Quincy Street, Cambridge, MA
THURSDAY, JULY 13:
8:00 am	Coffee and Pastries
	Volatility
8:30 am	JOHN GEWEKE, University of Iowa
	Smoothly Mixing Regressions
9:30 am	Break
9:45 am	GIORGIO PRIMICERI, Northwestern University and NBER
	ALEJANDRO JUSTINIANO, Federal Reserve Board of Governors
	The Time Varying Volatility of Macroeconomic Fluctuations
10:45 am	Break
11:00 am	ANDREW PATTON, London School of Economics
	Volatility Forecast Comparison Using Imperfect Volatility Proxies
12:00 n	Lunch and Adjourn
FRIDAY, JULY 14:
8:00 am	Coffee and Pastries
	Applied Forecasting
8:30 am	JAMES NASON, Federal Reserve Bank of Atlanta
	JOHN ROGERS, Federal Reserve Board
	Making Exchange Rates Sparkle: Restricting Its Present-Value Model with Common Trends and Common Cycles
9:30 am	Break
9:45 am	JAN GROEN, Bank of England
	Fundamentals Based Exchange Rate Prediction Revisited
10:45 am	Break
11:00 am	FILIPPO ALTISSIMO, European Central Bank
	RICCARDO CRISTADORO, Banca d'Italia
	MARIO FORNI, Universita de Modena e Reggio Emilia
	MARCO LIPPI, Universita di Roma La Sapienza
	GIOVANNI VERONESE, Banca d'Italia
	New Eurocoin: Tracking Economic Growth in Real Time
12:00 n	Lunch and Adjourn
5/23/06