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Program: Forecasting in Macroeconomics and Finance

Montréal, 8-9 avril/April 2005

Programme / Program


Vendredi 8 avril

Friday, April 8


8:00 – 8:30

Inscription / Registration

8:30 – 8:40

Mot de bienvenue / Welcoming Address
Peter Christoffersen (McGill University, CIREQ, CIRANO)

8:40 – 10:00

Session I
Président/Chair : John Galbraith (McGill University, CIREQ, CIRANO)

James Stock (Harvard University, NBER), Mark Watson (Princeton University, NBER)
An Empirical Comparison of Methods for Forecasting Using Many Predictors

Kenneth D. West (University of Wisconsin, NBER)
Asymptotically Normal Tests of Encompassing and Equal MSPE

10:00 – 10:30

Pause / Break 

10:30 – 12:30

Session II
Président/Chair : Francis X. Diebold (University of Pennsylvania, NBER)

Hashem Pesaran (University of Cambridge, USC), Davide Pettenuzzo (Bocconi University), Allan Timmermann (University of California, San Diego)
Forecasting Time Series Subject to Multiple Structural Breaks

Graham Elliott (University of California, San Diego)
Forecasting in the Presence of a Break

Raffaella Giacomini (University of California, Los Angeles), Barbara Rossi (Duke University)
Detecting and Predicting Forecast Breakdowns

12:30 – 14:00

Luncheon Address

Francis X. Diebold (University of Pennsylvania, NBER)
New Directions in Forecasting

Presentation by René Garcia (Université de Montréal, CIREQ, CIRANO)

14:00 – 16:00

Session III
Président/Chair : Jean-Marie Dufour (Université de Montréal, CIREQ, CIRANO)

John Campbell (Harvard University, NBER), Samuel Thompson (Harvard University)
Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

Yakov Amihud, Clifford M. Hurvich, Yi Wang (New York University)
Hypothesis Testing in Predictive Regressions

Vadim Marmer (Yale University)
Nonlinearity, Nonstationarity and Spurious Forecasts

16:00 – 16:30

Pause / Break 

16:30 – 17:50

Session IV
Président/Chair : Kenneth D. West (University of Wisconsin, NBER)

Todd E. Clark (Federal Reserve Bank of Kansas City), Michael W. McCracken (University of Missouri-Columbia)
Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts

Atsushi Inoue (North Carolina State University), Lutz Kilian (University of Michigan)
How Useful is Bagging in Forecasting Economic Time Series? A Case Study of U.S. CPI Inflation 


Samedi 9 avril

Saturday, April 9


8:30 – 10:30

Session V
Président/Chair : Bryan Campbell (Concordia University, CIREQ, CIRANO)

Peter R. Hansen (Stanford University), Asger Lunde (Aarhus School of Business), James Nason (Federal Reserve Bank of Atlanta)
Model Confidence Sets for Forecasting Models

George Kapetanios (Queen Mary, University of London), Vincent Labhard, Christoph Schleicher (Bank of England)
Conditional Model Confidence Sets with an Application to Forecasting Models

Valentina Corradi (Queen Mary, University of London), Walter Distaso (University of Exeter), Norman R. Swanson (Rutgers University)
Predicting Volatility Conditional Confidence Intervals via Realized Measures 

10:30 – 11:00

Pause / Break 

11:00 – 13:00

Session VI
Président/Chair : Nikolay Gospodinov (Concordia University, CIREQ)

Monika Piazzesi (University of Chicago, NBER), Eric Swanson (Federal Reserve Board)
Futures Prices as Risk-Adjusted Forecasts of Monetary Policy

Gikas A. Hardouvelis, Dimitrios Malliaropulos (University of Piraeus)
The Yield Spread as a Symmetric Predictor of Output and Inflation

Barbara Rossi (Duke University)
Expectations Hypotheses Tests and Predictive Regressions at Long Horizons 

13:00 – 14:30

Lunch & Adjourn

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