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NATIONAL BUREAU OF
ECONOMIC RESEARCH, INC. |
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SUMMER INSTITUTE 2008 |
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WhatÂ’s New in Econometrics: Time Series |
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James H. Stock and Mark
W. Watson, Organizers |
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Hotel Marlowe |
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July 14-16, 2008 |
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PROGRAM |
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References
(for all the lectures) |
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July
14: |
Preliminaries
and inference |
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8:30 am |
Coffee and pastries |
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9:00 am |
Spectral preliminaries and applications,
the HP filter, linear filtering theory (MW) Slides |
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10:30 am |
Break |
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11:00 am |
Functional central limit theory and
structural breaks (estimation and testing) (MW) Slides |
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12:30 pm |
Lunch |
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1:30 pm |
Many instruments/weak identification in
GMM I (JS)Â Slides |
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3:00 pm |
Break |
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3:30 pm |
Many instruments/weak identification in
GMM II (JS)Â Slides |
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5:00 pm |
Adjourn |
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July
15: |
Methods
for macroeconometric modeling |
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8:30 am |
Coffee and pastries |
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9:00 am |
The Kalman filter, nonlinear filtering,
and Markov Chain Monte Carlo (MW) Slides |
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10:30 am |
Break |
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11:00 am |
Specification and estimation of models
with stochastic time variation (MW)Â Slides |
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12:30 pm |
Lunch |
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1:30 pm |
Recent developments in structural VAR
modeling (JS)Â Slides |
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3:00 pm |
Break |
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3:30 pm |
Econometrics of DSGE models (JS)Â Slides |
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5:00 pm |
Adjourn |
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July
16: |
HAC,
forecasting-related topics |
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8:30 am |
Coffee and pastries |
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9:00 am |
Heteroskedasticity- and autocorrelation
consistent standard errors (MW) Slides |
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10:30 am |
Break |
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11:00 am |
Forecast assessment (MW)Â Slides |
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12:30 pm |
Lunch |
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1:30 pm |
Dynamic factor models and forecasting
with many predictors (JS)Â Slides |
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3:00 pm |
Break |
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3:30 pm |
Macro modeling with many predictors
(JS)Â Slides |
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5:00 pm |
Adjourn |