NATIONAL BUREAU OF ECONOMIC RESEARCH, INC.

SUMMER INSTITUTE 2003

NBER Economic Fluctuations and Growth

Working Group on Forecasting & Empirical Methods in Macroeconomics & Finance

Mark Watson and Kenneth West, Organizers

Royal Sonesta Hotel

5 Cambridge Parkway

Cambridge, Massachusetts

July 15 - 18, 2003

PRELIMINARY PROGRAM

TUESDAY, JULY 15:

8:30 AM Coffee and Pastries

9:00 AM XIAOHONG CHEN, New York University

SYDNEY C. LUDVIGSON, New York University and NBER

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

10:00 AM Break

10:15 AM PETER CHRISTOFFERSEN, McGill University

FRANCIS DIEBOLD, University of Pennsylvania and NBER

Financial Asset Returns, Market Timing, and Volatility Dynamics

11:15 AM Break

11:30 AM ALEXI ONATSKI, Columbia University

NOAH WILLIAMS, Princeton University and NBER

Modeling Model Uncertainty

12:30 PM Lunch and Adjourn

WEDNESDAY, JULY 16:

8:30 AM Coffee and Pastries

9:00 AM EDWARD LEAMER, UC, Los Angeles and NBER

SIMON POTTER, Federal Reserve Bank of New York

A Nonlinear Model of the Business Cycle

10:00 AM Break

10:15 AM CHANG-JIN KIM, Korea University

JEREMY PIGER, Federal Reserve Bank of St. Louis

RICHARD STARTZ, University of Washington

Estimation of Regime-Switching Regression Models with

Endogenous State Variables

11:15 AM Break

SI03 EFWW program

page two

11:30 AM SOPHOCLES MAVROEIDIS, University of Amsterdam

Identification and Misspecification in Forward Looking Models

12:30 PM Lunch and Adjourn

6:00 PM Clambake, Harvard Faculty Club, 20 Quincy Street, Cambridge, MA

THURSDAY, JULY 17:

8:30 AM Coffee and Pastries

9:00 AM PETER HANSEN, Brown University

Regression Analysis with Many Specifications:

A Bootstrap Method for Robust Inference

10:00 AM Break

10:15 AM MICHAEL JANSSON, UC, Berkeley

MARCELO MOREIRA, Harvard University

Optimal Inference in Regression Models with Nearly Integrated Regressors

11:15 AM Break

11:30 AM DAVID N. DEJONG, ROMAN LISENFELD and JEAN-FRANCOIS RICHARD,

University of Pittsburgh

A Non-Linear Forecasting Model of GDP Growth

12:30 PM Lunch and Adjourn

FRIDAY, JULY 18:

8:30 AM Coffee and Pastries

9:00 AM JAN J.J. GROEN, Bank of England

Exchange Rate Predictability and Monetary Fundamentals

in a Small Multi-Country Panel

10:00 AM Break

10:15 AM NELSON MARK, Ohio State University and NBER

MASAO OGAKI and DONGGYU SUL, Ohio State University

Dynamic Seemingly Unrelated Cointegrating Regression

11:15 AM Break

11:30 AM BEN S. BERNANKE, Federal Reserve Board

JEAN BOIVIN, Columbia University and NBER

PIOTR ELIASZ, Princeton University

Measuring the Effects of Monetary Policy:

A Factor-Augmented Vector Autoregressive (FAVAR) Approach

12:30 PM Lunch and Adjourn 5/22/03