SI 2017 Forecasting & Empirical Methods
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Leland Farmer
The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models -
A. Ronald Gallant, George Tauchen
Exact Bayesian Moment Based Inference for the Distribution of the Small-Time Movements of an Ito Semimartingale -
Alexander M. Chinco, Adam Clark-Joseph, Mao Ye
Sparse Signals in the Cross-Section of Returns -
Joachim Freyberger, Andreas Neuhierl, Michael Weber
Dissecting Characteristics Nonparametrically -
Laura Liu, Hyungsik Moon, Frank Schorfheide
Forecasting with Dynamic Panel Data Models -
Jose L. Montiel Olea, Mikkel Plagborg-Moller
Simultaneous Confidence Bands: Theoretical Comparisons and Suggestions for Practice -
Todd Clark, Michael McCracken, Elmar Mertens
Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors -
Rickard Nyman, David Gregory, Sujit Kapadia, Paul Ormerod, Rickard Nyman
News and Narratives in Financial Systems: Exploiting Big Data for Systemic Risk Assessment -
Domenico Giannone, Michele Lenza, Giorgio Primiceri
Economic Predictions with Big Data: The Illusion of Sparsity -
Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis
A more Powerful Subvector Anderson Rubin test in Linear IV Regression -
Ambrogio Cesa-Bianchi, Mohammad Pesaran, Alessandro Rebucci
Uncertainty and Economic Activity: Identification Through Cross-country Correlations -
James D. Hamilton
Why you should never use the Hodrick-Prescott filter -
Daniel Wilson
Clearing the Fog: The Predictive Power of Weather for Employment Reports and their Asset Price Responses -
Pooyan Amir Ahmadi, Thorsten Drautzburg
Identification through Heterogeneity -
Elena Andreou, Patrick Gagliardini, Eric Ghysels, Mirco Rubin
Is Industrial Production Still the Dominant Factor for the US Economy? -
Mathias Drehmann, Mikael Juselius, Anton Korinek
Accounting for Debt Service
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