NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

 

SUMMER INSTITUTE 2008

 

What’s New in Econometrics: Time Series

 

James H. Stock and Mark W. Watson, Organizers

 

Hotel Marlowe

25 Edwin H. Land Boulevard

Cambridge, Massachusetts

 

July 14-16, 2008

 

PROGRAM

 

References (for all the lectures)

 

 

July 14:

Preliminaries and inference

 

 

8:30 am

Coffee and pastries

 

 

9:00 am

Spectral preliminaries and applications, the HP filter, linear filtering theory (MW) Slides

 

 

10:30 am

Break

 

 

11:00 am

Functional central limit theory and structural breaks (estimation and testing) (MW) Slides

 

 

12:30 pm

Lunch

 

 

1:30 pm

Many instruments/weak identification in GMM I (JS)  Slides

 

 

3:00 pm

Break

 

 

3:30 pm

Many instruments/weak identification in GMM II (JS)  Slides

 

 

5:00 pm

Adjourn

 

 

July 15:

Methods for macroeconometric modeling

 

 

8:30 am

Coffee and pastries

 

 

9:00 am

The Kalman filter, nonlinear filtering, and Markov Chain Monte Carlo (MW) Slides

 

 

10:30 am

Break

 

 

11:00 am

Specification and estimation of models with stochastic time variation (MW)  Slides

 

 

12:30 pm

Lunch

 

 

1:30 pm

Recent developments in structural VAR modeling (JS)  Slides

 

 

3:00 pm

Break

 

 

3:30 pm

Econometrics of DSGE models (JS)  Slides

 

 

5:00 pm

Adjourn

 

 

July 16:

HAC, forecasting-related topics

 

 

8:30 am

Coffee and pastries

 

 

9:00 am

Heteroskedasticity- and autocorrelation consistent standard errors (MW) Slides

 

 

10:30 am

Break

 

 

11:00 am

Forecast assessment (MW)  Slides

 

 

12:30 pm

Lunch

 

 

1:30 pm

Dynamic factor models and forecasting with many predictors (JS)  Slides

 

 

3:00 pm

Break

 

 

3:30 pm

Macro modeling with many predictors (JS)  Slides

 

 

5:00 pm

Adjourn