Conferences & Events

Conference Agenda and Papers: 25th Anniversary of Seminal Research by Stephen Beveridge and Charles R. Nelson

March 31–April 1, 2006
Federal Reserve Bank of Atlanta
Atlanta, Georgia

Friday, March 31
8:15 a.m.	Registration and buffet breakfast
8:45	Welcoming remarks Robert A. Eisenbeis, Executive Vice President and Director of Research, Federal Reserve Bank of Atlanta
9:00	Uncertainty and Disagreement in Economic Forecasting Stefania D’Amico, Board of Governors of the Federal Reserve System Athanasios Orphanides, Board of Governors of the Federal Reserve System Presentation Discussant Michael W. McCracken, Board of Governors of the Federal Reserve System
10:00	Optimal Estimation under Nonstandard Conditions Peter C.B. Phillips, Yale University Werner Ploberger, University of Rochester Presentation Discussant Jack Porter, University of Wisconsin, Madison
11:00	Break
11:15	Time Series Properties of ARCH Processes with Persistent Covariates Heejoon Han, Rice University Joon Y. Park, Rice University Presentation Discussant Dennis Kristensen, University of Wisconsin, Madison
12:15 p.m.	Lunch
1:30	Forecasting Economic Time Series Using Targeted Predictors Jushan Bai, New York University Serena Ng, University of Michigan, Ann Arbor Presentation Discussant Jeremy Piger, Federal Reserve Bank of St. Louis
2:30	Forecasting with a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components? Christine de Mol, Université Libre de Bruxelles Domenico Giannone, Université Libre de Bruxelles Lucrezia Reichlin, European Central Bank Presentation Discussant James D. Hamilton, University of California, San Diego
3:30	Break
4:00	Testing Models of Low-Frequency Variability Ulrich K. Müller, Princeton University Mark W. Watson, Princeton University Presentation Discussant Peter R. Hansen, Stanford University
5:00	Global Yield Curve Dynamics and Interaction: A Generalized Nelson-Siegel Approach Francis X. Diebold, University of Pennsylvania Canlin Li, University of California, Riverside Vivian Z. Yue, New York University Discussant James Morley, Washington University, St. Louis
6:15	Reception
6:45	Dinner and speaker
8:00	Introduction of speaker Robert A. Eisenbeis, Executive Vice President and Director of Research, Federal Reserve Bank of Atlanta Speaker Charles R. Nelson, University of Washington

Saturday, April 1
8:15 a.m.	Continental breakfast
8:45	The Beveridge-Nelson Decomposition and Impulse-Response Analysis in the Presence of Markov-Switching: Has the Persistence of Real GDP Changed since the Mid-1980s? Chang-Jin Kim, Korea University and the University of Washington Presentation Discussant James M. Nason, Federal Reserve Bank of Atlanta
9:45	Generalized Methods for Restricted Markov-Switching Models with Independent State Variables Christopher A. Sims, Princeton University Daniel F. Waggoner, Federal Reserve Bank of Atlanta Tao Zha, Federal Reserve Bank of Atlanta Discussant Timothy Cogley, University of California, Davis
10:45	Break
11:30	Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? Lutz Kilian, University of Michigan, Ann Arbor Presentation Discussant Richard Startz, University of Washington
12:15 p.m.	Lunch
1:30	Efficient Forecast Tests for Conditional Policy Forecasts Jon Faust, Johns Hopkins University and Board of Governors of the Federal Reserve System Jonathan H. Wright, Board of Governors of the Federal Reserve System Presentation Discussant Ellis W. Tallman, Federal Reserve Bank of Atlanta
2:30	Least Squares Forecast Averaging Bruce E. Hansen, University of Wisconsin, Madison Presentation Discussant Jonathan H. Wright, Board of Governors of the Federal Reserve System
3:30	Break and adjournment

One hour is allocated for each paper and discussion: forty minutes for the paper presentation, ten minutes for the discussant, and ten minutes for open-floor discussion.