Frontiers of Macroeconometrics
Bank of England, UCL and cemmap workshop 25 and 26 April 2013
Provisional programme
UCL, cemmap and the Bank of England are co-sponsoring a workshop in honour of Mark Watson. The twoday event will give a platform for new research in macroeconometrics, forecasting and macro-finance.
Organisers: Raffaella Giacomini (r.giacomini@ucl.ac.uk) and Simon Price
(simon.price@bankofengland.co.uk).
Location: RCGP, 30 Euston Square, London, NW1 2FB
Workshop site http://www.ucl.ac.uk/economics/frontiers
Registration free via the Conference Registration Form
Day 1 – Thursday 25 April
10:00 Coffee and registration
10:20 Introduction by Raffaella Giacomini (UCL and cemmap)
10.25 Measuring Uncertainty about Long-Run Predictions by Mark Watson (Princeton University):
discussant Giuseppe Ragusa (LUISS Rome)
11.25 Empirical evidence on inflation expectations in the new Keynesian Phillips curve by Sophocles
Mavroeidis (University of Oxford): discussant George Kapetanios (QMUL)
12.10 A Reconciliation of SVAR and Narrative Estimates of Tax Multipliers by Morten Ravn (UCL):
discussant Haroon Mumtaz (Bank of England)
12.55 Lunch
13.55 Alternative Tests for Correct Specification of Conditional Forecast Densities by Barbara Rossi (UPF):
discussant Nicholas Fawcett (Bank of England)
14.40 Generalised Density Forecast Combinations by Simon Price (Bank of England and City University):
discussant Carlo Altavilla (ECB)
15.25 Coffee
15.45 Inference with a Few Clusters by Rustam Ibragimov (Imperial): discussant Bent Nielsen (Oxford)
16.30 Robust Bayes Inference for Partially Identified VARs by Toru Kitagawa (UCL and Cemmap):
discussant Konstantinos Theodoridis (Bank of England)
17.15 Indirect Likelihood Inference by Dennis Kristensen (UCL and Cemmap): discussant Myung Seo (LSE)
18.00 Workshop ends Day 1
19:00 Dinner for presenters and discussants hosted by Bank of England, St John, Smithfields
Day 2 – Friday 26 April
09.30 Limited information state space models by Ron Gallant (Duke University): discussant Oliver Linton
(Cambridge)
10.15 Parameter Estimation with Out-of-Sample Objective by Peter Hansen (EUI): discussant Valentina
Corradi (Warwick)
11.00 Coffee
11.20 Nominal GDP in real time by Lucrezia Reichlin (LBS): discussant James Mitchell (Warwick Business
School)
12.05 Asymptotic Analysis of the Squared Estimation Error in Misspecified Factor Models by Alexei Onatski
(University of Cambridge): discussant Giovanni Urga (Cass)
12.50 Lunch
13.50 Price-Level Uncertainty and Stability in the UK by Paolo Surico (LBS): discussant Vincent Sterk (UCL)
14.35 Forecasting with several macroeconomic models by Gianni Amisano (ECB): discussant Kevin
Sheppard (Oxford)
15.20 Coffee
15.40 Forecasting with Judgement by Raffaella Giacomini (UCL and Cemmap): discussant Simone
Manganelli (ECB)
16.25 Unspanned Macroeconomic Factors in the Yields Curve by Domenico Giannone (ULB): discussant
Andrea Carriero (QMUL)
17.10 Wrap Up by Simon Price (Bank of England and City University)
17:20 Final close