SI 2017 Forecasting & Empirical Methods

Jonathan H. Wright and Allan Timmermann, Organizers

July 11-14, 2017

Longfellow Room

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

Conference Code of Conduct

Tuesday, July 11
8:00 am
Coffee and Pastries
Econometric Inference
8:30 am
Patrik Guggenberger, University of California at San Diego
Frank Kleibergen, University of Amsterdam
Sophocles Mavroeidis, University of Oxford

A more Powerful Subvector Anderson Rubin test in Linear IV Regression
9:15 am
Jose L. Montiel Olea, Columbia University
Mikkel Plagborg-Moller, Princeton University

Simultaneous Confidence Bands: Theoretical Comparisons and Suggestions for Practice
10:00 am
Break
Bayesian Modeling
10:30 am
Pooyan Amir Ahmadi, University of Illinois at Urbana-Champaign
Thorsten Drautzburg, Federal Reserve Bank of Philadelphia

Identification through Heterogeneity
11:15 am
A. Ronald Gallant, Pennsylvania State University
George Tauchen, Duke University

Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Ito Semimartingale
12:00 noon
Adjourn and Lunch
Wednesday, July 12
8:00 am
Coffee and Pastries
Big Data in Forecasting
8:30 am
Rickard Nyman, UCL Centre for the Study of Decision-Making Uncertainty
David Gregory, Bank of England
Sujit Kapadia, European Central Bank
Paul Ormerod, University College London
Rickard Nyman, UCL Centre for the Study of Decision-Making Uncertainty

News and Narratives in Financial Systems: Exploiting Big Data for Systemic Risk Assessment
9:15 am
Daniel Wilson, Federal Reserve Bank of San Francisco

Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses
10:00 am
Break
Factor Models
10:30 am
Elena Andreou, University of Cyprus
Patrick Gagliardini, Università della Svizzera Italiana and Swiss Finance Institute
Eric Ghysels, University of North Carolina at Chapel Hill
Mirco Rubin, EDHEC Business School - Nice

Is Industrial Production Still the Dominant Factor for the US Economy?
11:15 am
Ambrogio Cesa-Bianchi, Bank of England
Mohammad Pesaran, University of Southern California
Alessandro Rebucci, Johns Hopkins University and NBER

Uncertainty and Economic Activity: Identification Through Cross-country Correlations
12:00 noon
Adjourn and Lunch
Thursday, July 13
8:00 am
Coffee and Pastries
Forecasting with Panel Data
8:30 am
Laura Liu, University of Pennsylvania
Hyungsik Moon, University of Southern California
Frank Schorfheide, University of Pennsylvania and NBER

Forecasting with Dynamic Panel Data Models
9:15 am
Mathias Drehmann, Bank for International Settlements
Mikael Juselius, Bank of Finland
Anton Korinek, University of Virginia and NBER

Accounting for Debt Service
10:00 am
Break
Macro Modeling and Forecasting
10:30 am
James D. Hamilton, University of California, San Diego and NBER

Why you should never use the Hodrick-Prescott filter
11:15 am
Todd Clark, Federal Reserve Bank of Cleveland
Michael McCracken, Federal Reserve Bank of St. Louis
Elmar Mertens, Deutsche Bundesbank

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
12:00 noon
Adjourn and Lunch
Friday, July 14
8:00 am
Coffee and Pastries
Characteristics and Predictors of the Cross-section of Stock Returns
8:30 am
Joachim Freyberger, University of Wisconsin-Madison
Andreas Neuhierl, Washington University in St. Louis
Michael Weber, University of Chicago and NBER

Dissecting Characteristics Nonparametrically
9:15 am
Alexander M. Chinco, University of Illinois at Urbana-Champaign
Adam Clark-Joseph, University of Illinois at Urbana-Champaign
Mao Ye, University of Illinois at Urbana-Champaign and NBER

Sparse Signals in the Cross-Section of Returns
10:00 am
Break
Modeling Macroeconomic Dynamics
10:30 am
Domenico Giannone, Amazon.com
Michele Lenza, European Central Bank
Giorgio Primiceri, Northwestern University and NBER

Economic Predictions with Big Data: The Illusion of Sparsity
11:15 am
Leland Farmer, University of Virginia

The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models
12:00 noon
Adjourn and Lunch