SI 2018 Forecasting & Empirical Methods

Allan Timmermann and Jonathan H. Wright, Organizers

July 10-13, 2018

Longfellow Room

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

Conference Code of Conduct

Tuesday, July 10
8:00 am
Coffee and Pastries
Econometric Inference
8:30 am
Eben Lazarus, Massachusetts Institute of Technology
Daniel Lewis, Federal Reserve Bank of New York
James H. Stock, Harvard University and NBER
Mark W. Watson, Princeton University and NBER

HAR Inference: Recommendations for Practice
9:15 am
Torben G. Andersen, Northwestern University and NBER
Rasmus T. Varneskov, Copenhagen Business School

Consistent Inference for Predictive Regressions in Persistent VAR Economies
10:00 am
Break
Econometric Modeling
10:30 am
Laura van der Erve, Institute for Fiscal Studies
Neil Shephard, Harvard University
Jack W. Britton, Institute for Fiscal Studies

Where Is The Subsidy Going? Using Administrative Data To Value English Income Contingent Student Loans By Subject And University
11:15 am
Simon C. Smith, University of Southern California

Noncommon Breaks
12:00 n
Adjourn and Lunch
Wednesday, July 11
8:00 am
Coffee and Pastries
Monetary Policy
8:30 am
Atsushi Inoue, Vanderbilt University
Barbara Rossi, Universitat Pompeu Fabra

The Effects of Conventional and Unconventional Monetary Policy: A New Approach
9:15 am
Samuel Hanson, Harvard University and NBER
David Lucca, Federal Reserve Bank of New York
Jonathan H. Wright, Johns Hopkins University and NBER

Interest Rate Conundrums in the 21st Century
10:00 am
Break
Aftermath of the Great Recession
10:30 am
Thomas Mertens, Federal Reserve Bank of San Francisco
John Williams, Federal Reserve Bank of San Francisco

What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices
11:15 am
Olivier Coibion, University of Texas at Austin and NBER
Yuriy Gorodnichenko, University of California, Berkeley and NBER
Mauricio Ulate, Federal Reserve Bank of San Francisco

The Cyclical Sensitivity in Estimates of Potential Output
12:00 n
Adjourn and Lunch
6:00 pm
Clambake at the Royal Sonesta Hotel
Thursday, July 12
8:00 am
Coffee and Pastries
Macroeconometrics
8:30 am
Regis Barnichon, Federal Reserve Bank of San Francisco
Òscar Jordà, Federal Reserve Bank of San Francisco
Geert Mesters, Universitat Pompeu Fabra

The Phillips Multiplier
9:15 am
Fabio Canova, Universitat Pompeu Fabra
Christian Matthes, Federal Reserve Bank of Richmond

Dealing with Misspecification in Structural Macroeconometric Models
10:00 am
Break
Forecasting
10:30 am
Francis X. Diebold, University of Pennsylvania and NBER
Minchul Shin, Federal Reserve Bank of Philadelphia

Egalitarian LASSO for Combining Economic Forecasts
11:15 am
Wagner P. Gaglianone, Banco Central do Brasil
Joao Issler, FGV

Microfounded Forecasting
12:00 n
Adjourn and Lunch
Friday, July 13
8:00 am
Coffee and Pastries
Machine Learning
8:30 am
Serena Ng, Columbia University and NBER
Rishab Guha, Harvard University

A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data (slides)
9:15 am
Bryan T. Kelly, Yale University and NBER
Dacheng Xiu, University of Chicago

Empirical Asset Pricing via Machine Learning
10:00 am
Break
Empirical Finance
10:30 am
Gustavo A. Schwenkler, Santa Clara University

Estimating the Dynamics of Consumption Growth
11:15 am
Tim Bollerslev, Duke University and NBER
Andrew Patton, Duke University
Rogier Quaedvlieg, Erasmus University Rotterdam

Realized SemiCovariances: Looking for Signs of Direction Inside the Covariance Matrix
12:00 n
Adjourn and Lunch