Barcelona GSE Summer Forum
Balmes Building (UPF) – Balmes 132, Barcelona
TIME SERIES ANALYSIS IN MACRO AND FINANCE
June 19-20, 2014
Session 1: Empirical Macroeconomics (Chair: Christian Brownlees)
09:00-10:00 Invited Speaker: MASSIMILIANO MARCELLINO (Bocconi University)
“Modelling and forecasting exchange rates with time-varying parameter model” (with Angela Abbat)
Session 1: Empirical Macroeconomics (Chair: Christian Brownlees)
10:00-11:00 REGIS BARNICHON (CREI and Barcelona GSE)
“Parametric Estimates of the Non-Linear Effects of Policy: The Case of Monetary Policy”
BARBARA ROSSI (ICREA-UPF and Barcelona GSE)
“New Macroeconomic Uncertainty Indices” (with Tatevik Sekhposyan).
11:00-11:30 Coffee-break*
Session 2: Theoretical Contributions to Time Series Econometrics (Chair: M. Al-Sadoon)
11:30-13:30 ILIYAN GEORGIEV (Universidade Nova de Lisboa)
“Sieve-Based Inference for Infinite-Variance Stationary Linear Processes” (with Giuseppe Cavaliere and A.M. Robert Taylor)
MATTEO LUCIANI (Université Libre Brussels)
“Dynamic Factor Models, Cointegration, and Error Correction Mechanisms” (with Matteo Barigozzi and Marco Lippi)
MAJID AL SADOON (UPF and Barcelona GSE)
“A General Theory of Rank Testing”
LUCA REPETTO (CEMFI)
“Testing a large number of hypotheses in approximate factor models” (with Dante Amengual)
13:30-14:30 Lunch*
Session 3: Forecasting (Chair Barbara Rossi)
14:30-16:30 TATEVIK SEKHPOSYAN (Bank of Canada and Texas A&M University)
“Forecast Optimality Tests in the Presence of Instabilities” (with Barbara Rossi)
MICHAEL MCCRACKEN (St. Louis Fed)
“Evaluating Forecasts from Vector Autoregressions Conditional on Policy Paths”(with Todd Clark)
ANDREAS PICK (Erasmus University)
“Optimal forecasts from Markov switching models”(with Tom Boot)
JEAN-YIVES PITARIKIS (University of Southampton)
“Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model”(with Jesus Gonzalo)
16:30-17:00 Coffee-break*
Session 4: Time Series and Applications (Chair: Barbara Rossi)
17:00-18:00 Invited speaker: KEN WEST (University of Wisconsin)
“Approximate Bias in Time Series Regressions”
Session 1: Finance and Econometrics (Chair: Christian Brownlees)
09:00-11:00 YANG ZU (City University)
“Adaptive Testing For a Unit Root with Non-stationary Volatility” (with Peter Boswijk)
KIRSTIN HUBRICH (ECB)
“Melting down: Systemic Financial Instability and the Macroeconomy Models” (with Philipp Hartmann, Manfred Kremer and Robert J. Tetlow)
RON ALQUIST (Bank of Canada)
“The Comovement in Commodity Prices: Sources and Implications” (with Olivier Coibion)
CHRISTIAN BROWNLEES (UPF and Barcelona GSE)
“Realised Networks” (with Eulàlia Nualart and Yucheng Sun)
11:00-11:30 Coffee-break*
Session 2: Estimation of Macro Models (Chair: Tatevik Sekhposyan)
11:30-13:30 JUAN RUBIO-RAMIREZ (Duke)
“Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications” (with Jonas E. Arias and Daniel F. Waggoner)
CHRISTIANE BAUMEISTER (Bank of Canada)
“Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information” (with James Hamilton)
GABRIEL PEREZ-QUIROS (Bank of Spain)
“The Two Greatest. Great Recession vs. Great Moderation” (with A. Gomez-Loscos and Lola Gadea)
POOYAN AMIR-AHMADI (Goethe U.)
“Common Sources of Instabilities in Macroeconomic Dynamics” (with Dalibor Stevanovic)
13:30-14:30 Lunch*
Session 3: Panel Models and non-stationarities I (Chair: Majid Al Sadoon)
14:30-15:30 Invited Speaker: HASHEM PESARAN (U. of Southern California – U. Of Cambridge)
Tests of Policy Ineffectiveness in Macroeconometrics (with Ron Smith)
15:30-16:30 CAVIT PAKEL (Bilkent University)
“Bias Reduction in Nonlinear and Dynamic Panels in the Presence of Cross-Section Dependence, with a GARCH Panel Application”
JOSEP CARRION-I-SILVESTRE (U. of Barcelona)
“Testing for Panel Cointegration using Common Correlated Effects Estimators” (with Anindya Banerjee)
16:30-17:00 Coffee-break*
Session 4: Panel Models and non-stationarities II (Chair: Majid Al Sadoon)
17:00-17:30 DANIEL WILHELM (University College London)
“Nonstationary Cross-Validation” (with Valentina Corradi and Federico Bandi)
17:30-18:00 ROD MCCRORIE (University of St Andrews)
“The Exact Asymptotic First-order Bias in Least Squares Estimation of the AR(1) Model Under a Unit Root”
Organizers: Majid Al-Sadoon (UPF and Barcelona GSE), Christian Brownlees (UPF and Barcelona GSE) and Barbara Rossi (ICREA-UPF, Barcelona GSE and CREI).