Second Forecasting Conference – Duke University, March 9-10, 207

Second Forecasting Conference

March 9-10, 2007

“Empirical Econometric Methods applied to Business Cycles and Forecasting: Comparisons between the U.S. and Europe”

Organized by Barbara,

who gratefully *thanks*:

THE DUKE CENTER FOR EUROPEAN STUDIES &

THE JOSIAH CHARLES TRENT MEMORIAL FOUNDATION

March 9, 2007

Room 139, Social Science Building

Duke University

8:25

Coffee and Breakfast

WELCOME!!!

SESSION 1

Empirical methods : the European side

8:30-9

Valentina Corradi,

Professor, University of Warwick

“Testing One-Factor Models vs Stochastic Volatility in the Presence of Jumps and Microstructure Noise”, with Walter Distaso

9-9:30

Andrew Patton,

Assist. Prof.,

London School of Economics

"How Fast is Macroeconomic Uncertainty Resolved? Theory and Empirical Evidence from the Term Structure of Forecast Errors", joint with Allan Timmermann

9:30-10

Fabio Busetti,

Researcher,

Bank of Italy

"Tests of time-invariance",

with Andrew Harvey

10-10:30

Coffee Break!

SESSION II

Oil price shocks, technology shocks & business cycles

10:30-11

Lutz Kilian,

Assoc. Prof.,

University of Michigan

"Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market"

11-11:30

Ana Herrera,

Assist. Prof.,

Michigan State

"Oil Shocks and Macroeconomic Behavior: The Role of Inventories"

11:30-12

Nikolay Gospodinov,

Assoc. Prof.,

Concordia

“Inference in Nearly Nonstationary SVAR Models with Long-Run Identifying Restrictions”

Please stay around for the pictures!!!

12-1:30

Lunch

Poster session!

1:30-2PM

SESSION III

Econometric methods

2-2:30

Raffaella Giacomini,

Assist. Prof.,

UCLA

“Model Selection and Forecasting in Unstable Environments” ,

with Barbara Rossi

2:30-3

Nour Meddahi,

Assoc. Prof.,

Imperial College

“Realized volatility forecasting and market microstructure noise”

with Torben Andersen and Tim Bollerslev

3-3:30

Coffee Break!

SESSION IV

New directions

3:30-4

Clive Granger, Nobel Prize Laureate,

UCSD

“Personal comments on the evaluation of Macro Models”

4-4:30

Hong Li,

Assist. Prof.,

Brandeis

“Testing Alternative Models of Price Adjustment”

4:30-5

Ulrich Muller,

Assist. Prof.,

Princeton University

“Efficient Estimation of Parameter Path in Unstable Time Series Models”, with Philippe-Emanuel Petalas

5-5:30

Coffee Break!

SESSION V

The financial side

5:30-6

Peter Hansen,

Assist. Prof.,

Stanford

"Subsampling Realized Kernels"

6-6:30

Allan Timmermann,

Professor,

UCSD

“Predictability of Stock Returns and Asset

Allocation under Structural Breaks”

March 10, 2007

Room 139, Social Science Building

Duke University

		Coffee and pastries
	SESSION VI	Empirical methods - business cycles
9-9:30	Lucrezia Reichlin, Director, European Central Bank	“Bayesian VARs for large cross-sections”, joint with M. Banbura and D. Giannone
9:30-10	James Nason, Researcher, Atlanta Fed	“Information Criteria for IRF Matching Estimators”, with A. Hall, A. Inoue and B. Rossi
10-10:30	Michael Owyang, Researcher, St Louis Fed	“Whatever Happened to the Business Cycle: A Bayesian Analysis of Jobless Recoveries”

10:30-11		Coffee Break!
	SESSION VII	Empirical methods: the U.S. side
11-11:30	Mark Watson, Professor, Princeton U.	A Numeraire Price Index and Neutrality, with Ricardo Reis
11:30-12	Ken West, Professor University of Wisconsin-Madison	“Econometric Analysis of Present Value Models When the Discount Factor Is near One”
12-12:30	Jonathan Wright, Researcher, Federal Reserve Board	"Comparing Greenbook and Reduced Form Forecasts", with Jon Faust

12:30-1:30		Final remarks and lunch!