Frontiers of Macroeconometrics

25-26 April 2013

Cemmap Bank of England logo

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
Introduction by Raffaella Giacomini (UCL and cemmap)
Measuring Uncertainty about Long-Run Predictions by Mark Watson (Princeton   University): discussant Giuseppe Ragusa (LUISS Rome)
Empirical Evidence on Inflation Expectations in the new Keynesian Phillips curve by Sophocles Mavroeidis (University of Oxford):  discussant George Kapetanios (QMUL)
A Reconciliation of SVAR and Narrative Estimates of Tax Multipliers by Morten Ravn (UCL):  discussant Haroon Mumtaz (Bank of England)
Price-Level Uncertainty and Stability in the UK by Paolo Surico (LBS): discussant Vincent Sterk (UCL)
Alternative Tests for Correct Specification of Conditional Forecast Densities by Barbara Rossi (ICREA-UPF and BGSE): discussant Nicholas Fawcett (Bank of England)
Inference with a Few Clusters by Rustam Ibragimov (Imperial):  discussant Bent Nielsen (Oxford)
Robust Bayes Inference for Partially Identified VARs by Toru Kitagawa (UCL and Cemmap): discussant Konstantinos Theodoridis (Bank of England)
Indirect Likelihood Inference by Dennis Kristensen (UCL and Cemmap):  discussant Myung Seo (LSE)
Workshop ends Day 1
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 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