Real-Time Data Analysis and Methods in Economics

Thursday, April 19

1:00 p.m.

Welcome and Opening Remarks
Charles I. Plosser, President, Federal Reserve Bank of Philadelphia

Session 1: Business Cycles

1:15 p.m.

S. Boragan Aruoba, University of Maryland (with Frank Diebold and Chiara Scotti)
Real-Time Measurement of Business Conditions (PDF; 526KB, 30 pages)
Discussant: Carlos Capistran, Banco de México

2:15 p.m.

Marcelle Chauvet, UC-Riverside (with Heather L.R. Tierney)
Real Time Changes in Monetary Policy – A Nonparametric VAR Approach (PDF; 521KB, 33 pages)
Discussant: Simon van Norden, HEC Montréal

3:15 p.m.

Break

Session 2 : Prediction

3:30 p.m.

Todd E. Clark, Federal Reserve Bank of Kansas City (with Michael W. McCracken)
Tests of Equal Predictive Ability with Real-Time Data
(PDF, 765 KB, 46 pages)
Discussant: Barbara Rossi, Duke University

4:30 p.m.

Break

4:45 p.m.

Jonathan Wright, Federal Reserve Board (with Jon Faust)
Comparing Greenbook and Reduced Form Forecasts Using a Large Real-Time Dataset
(PDF, 259 KB, 51 pages)
Discussant: Jean Boivin, HEC Montréal

5:45 p.m.

Norman R. Swanson, Rutgers University (with Valentina Corradi and Andres Fernandez)
Information in the Revision Process of Real-Time Datasets
(PDF, 828 KB, 34 pages)
Discussant: Greg Tkacz, Bank of Canada

6:45 p.m.

Reception

Friday, April 20

Session 3: Survey Data and Real-Time Analysis

9:00 a.m.

Allan Timmermann, UC San Diego (with Carlos Capistran)
Forecast Combination with Entry and Exit of Experts (PDF, 369 KB, 28 pages)
Discussant: Mark Watson, Princeton University

10:00 a.m.

Glenn Rudebusch, FRB - San Francisco (with John C. Williams)
Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve (PDF, 593 KB, 28 pages)
Discussant: S. Boragan Aruoba, University of Maryland

11:00 a.m.

Break

11:15 a.m.

Philip Hans Franses, Erasmus University Rotterdam (with Dick van Dijk)
Evaluating Real-Time Forecasts in Real Time (PDF, XX KB, XX pages)
Discussant: Sharon Kozicki, Bank of Canada

12:15 p.m.

Lunch

Session 4: Real-Time Forecasting

1:15 p.m.

Shaun P. Vahey, Norges Bank (with Anthony Garratt, Gary Koop, and Emi Mise)
Real-Time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty (PDF, 357 KB, 45 pages)
Discussant: Dean Croushore, University of Richmond

2:15 p.m.

John Galbraith, McGill University (with Simon van Norden)
The Resolution and Calibration of Probabilistic Econometric Forecasts (PDF, 1.89 MB, 25 pages)
Discussant: Graham Elliott, UC San Diego