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25-26 April 2013
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Organisers: Raffaella Giacomini and Simon Price
Location: RCGP, 30 Euston Square, London, NW1 2FB
UCL, cemmap and the Bank of England are co-sponsoring a workshop in honour of Mark Watson, who is visiting UCL in April. The two-day event will give a platform for new research in macroeconometrics, forecasting and macro-finance. We have assembled an eclectic mix of presenters and discussants from academia and key policy institutions, with expertise ranging from empirical macroeconomics to theoretical econometrics.
| Day 1 – Thursday 25 April | |
| 10:00 | Coffee and registration |
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10:20 |
Introduction by Raffaella Giacomini (UCL and cemmap) |
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10:25 |
Measuring Uncertainty about Long-Run Predictions by Mark Watson (Princeton University): discussant Giuseppe Ragusa (LUISS Rome) |
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11:25 |
Empirical Evidence on Inflation Expectations in the new Keynesian Phillips curve by Sophocles Mavroeidis (University of Oxford): discussant George Kapetanios (QMUL) |
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12:10 |
A Reconciliation of SVAR and Narrative Estimates of Tax Multipliers by Morten Ravn (UCL): discussant Haroon Mumtaz (Bank of England) |
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12:55 |
Lunch |
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13:55 |
Price-Level Uncertainty and Stability in the UK by Paolo Surico (LBS): discussant Vincent Sterk (UCL) |
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14:40 |
Alternative Tests for Correct Specification of Conditional Forecast Densities by Barbara Rossi (ICREA-UPF and BGSE): discussant Nicholas Fawcett (Bank of England) |
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15:25 |
Coffee |
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15:45 |
Inference with a Few Clusters by Rustam Ibragimov (Imperial): discussant Bent Nielsen (Oxford) |
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16:30 |
Robust Bayes Inference for Partially Identified VARs by Toru Kitagawa (UCL and Cemmap): discussant Konstantinos Theodoridis (Bank of England) |
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17:15 |
Indirect Likelihood Inference by Dennis Kristensen (UCL and Cemmap): discussant Myung Seo (LSE) |
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18:00 |
Workshop ends Day 1 |
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19:00 |
Dinner for presenters and discussants hosted by Bank of England, St John, Smithfields |
| Day 2 – Friday 26 April | |
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09:00 |
Coffee |
| 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 | Generalised Density Forecast Combinations by Simon Price (Bank of England and City University): discussant Carlo Altavilla (ECB) |
| 14:35 | Forecasting with Several Macroeconomic Models by Gianni Amisano (ECB): discussant Kevin Sheppard (Oxford) |
| 15:20 | Coffee |
| 15:40 |
Anchoring the Yield Curve with Survey Expectations by Raffaella Giacomini (UCL and Cemmap): discussant Simone Manganelli (ECB) |
| 16:25 | Unspanned Macroeconomic Factors in the Yield 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 |
For further queries, please contact Nirusha Vigi on n.vigi@ucl.ac.uk