L'ISAE Istituto Studi e Analisi Economiche, organizza in Roma, il 27 Marzo 2009, la sua prima conferenza internazionale di previsioni Macroeconomiche.
DATA
27 marzo 2009,
dalle ore 08,30
LUOGO
Piazza Indipendenza 4,
Roma
First Macroeconomic Forecasting Conference, Rome, 27th March 2009
Preliminary Program
8:30 Registration
9:00 Welcome (Alberto Majocchi)
9:10 Introductory talk (Sergio de Nardis)
9:20 – 9:55 Invited talk:
Helmut Lütkepohl (European University Institute), Forecasting aggregated time series variables: a survey.
10:00 – 11:00 Contributed parallel sessions
Session 1: Econometrics of Macroeconomic Forecasting
Chair: Alain Hecq
*
F. Busetti, J. Marcucci and G. Veronese, Comparing forecast accuracy: a Monte Carlo investigation.
*
G. Cubadda and A. Hecq, Testing for common autocorrelation in data rich environments.
Session 2: Forecasting and Policy
Chair: Diego J. Pedregal
*
T. M. Sinclair, E. N. Gamber, H.O. Stekler, E. Reid, Multivariate forecast errors and the Taylor rule.
*
D. J. Pedregal, J. J. Perez, Should quarterly government finance statistics be used for fiscal surveillance in Europe.
Session 3: Business cycle
Chair: Monica Billio
*
C. Frale, M. Marcellino, G. L. Mazzi, T. Proietti, Survey data as coincident or leading indicators.
*
M. Billio, R. Casarin, Identifying business cycle turning points with sequential Monte Carlo methods.
11:00 – 11:15 Coffee break
11:15 – 12:45 Contributed parallel sessions
Session 1: Factor Models
Chair: Christiaan Heij
*
L. Monteforte, G. Moretti, Real time forecasts of inflation: the role of financial variables.
* J. P. A. M. Jacobs, P. W. Otter, A. H. J. den Reijer, Information, data dimension and factor structure.
C. Heij, D. van Dijk, P. J. F. Groenen, Improved forecasting with leading indicators the principal covariate index.
Session 2: Nowcasting and Forecasting GDP
Chair: Marco Marini
L. Ferrara, D. Guégan, P. Rakotomarolahy, GDP nowcasting with ragged-edge data.
K. Drechsel, L. Maurin, Flow of conjunctural information and forecast of Euro area economic activity.
* F. Bacchini, A. Ciammola, R. Iannaccone, M. Marini, Combining forecasts for a flash estimated of the Euro area GDP.
Session 3: Forecast Evaluation and Comparison
Chair: Michał Rubaszek
*
K. Lahiri, J. G. Wang, Evaluating probability forecasts for GDP declines.
*
F. Fichtner, R. Rüffer, B. Schnatz, Leading indicators in a globalised world.
*
M. Rubaszek, P. Skrzypczyński, On the forecasting performance of a small-scale DSGE model.
12:45 – 14:30 Lunch and Poster session
14:40 – 15:20 Invited talk:
Michael P. Clements (University of Warwick), Explanations of the inconsistencies in survey respondents' forecasts.
15:30 – 16:30 Contributed parallel sessions
Session 1: Factor Models
Chair: Claudia Cicconi
S. Eickmeier, T. Ng, National forecasting with large international datasets – an application to New Zealand.
C. Cicconi, On the estimation of common factors in the presence of block structures.
Session 2: Nowcasting and Forecasting GDP
Chair: Elke Hahn
*
E. Angelini, G. Camba-Mendez, D. Giannone, L. Reichlin, G. Rünstler, Short-term forecasts of euro area GDP growth.
*
E. Hahn, F. Skudelny, Early estimates of Euro area real GDP growth a bottom-up approach from the production side.
Session 3: Business cycle
Chair: Don Hardin
M. Wildi, J. Sturm, Real-time filtering: using the multivariate DFA to monitor the US business cycle.
D. Harding, A. Pagan, An econometric analysis of some models for constructed binary time series.
16:30 – 16:45 Coffee break
16:45 – 18:15 Contributed parallel sessions
Session 1: Econometrics of Macroeconomic Forecasting
Chair: Robert M. Kunst
*
M. Costantini, C. Pappalardo, Combination of forecast methods using encompassing tests.
*
G. Chevillon, Multi-step forecasting in the presence of location shifts.
*
M. Costantini, R. M. Kunst, Combining forecasts based on multiple encompassing tests in a macroeconomic core system.
Session 2: Business surveys
Chair: Rolf Scheufele
*
S. Lui, J. Mitchell, M. Weale, Qualitative business surveys: signal or noise?
*
R. Scheufele, Are qualitative inflation expectations useful to predict inflation?
Session 3: Forecast Evaluation and Comparison
Chair: Giuseppe Parigi
*
A. Elbourne, H. Kranendonk, R. Luginbuhl, B. Smid, M. Vromans, Pooled VAR based forecasts: a comparison with a large macro model.
*
N. Robinzonov, K. Wohlrabe , Freedom of choice in macroeconomic forecasting.
*
G. Bulligan, R. Golinelli, G. Parigi, Forecasting monthly industrial production in real-time: from single equations to factor-based models.
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