10th ECB Workshop on Forecasting Techniques: Economic Forecasting with Large Datasets

Welcome address

Matteo Ciccarelli, European Central Bank

Part I

Chair: Barbara Rossi, Universitat Pompeu Fabra

Keynote speech

Learning to analyze economic data using machine learning methods

Serena Ng*, Columbia University

Common factors, trends, and cycles in large datasets

Matteo Luciani*, Board of Governors of the Federal Reserve System
with Matteo Barigozzi, London School of Economics slides

Discussant: Siem Jan Koopman, Vrije Universiteit Amsterdam and Tinbergen Institute

Multivariate Bayesian predictive synthesis in macroeconomic forecasting

Knut A. Aastveit*, Norges Bank and BI Norwegian Business School
with Kenichiro McAlinn, University of Chicago, Booth School of Business;
Jouchi Nakajima, Bank for International Settlements;
and Mike West, Duke University slides

Discussant: Xuguang S. Sheng, American University

On the evolution of the United Kingdom price distributions

Kim Huynh*, Bank of Canada
with Ba M. Chu, Carleton University;
David T. Jacho-Chávez, Emory University;
and Oleksiy Kryvtsov, Bank of Canada slides

Discussant: Fabrizio Venditti, Banca d'Italia

Lunch and poster session

Poster Session

Poster 1: A new approach for detecting shifts in forecast accuracy

Jeremy Chiu*, Bank of England
with Simon Hayes, Bank of England;
George Kapetanios, Kings College London;
and Konstantinos Theodoridis, Cardiff University

Poster 2: Nonlinear dynamic factor models

Pablo Guerrón-Quintana*, Boston College
with Alexey Khazanov, Boston College;
and Molin Zhong, Board of Governors of the Federal Reserve System poster

Poster 3: Nonlinear dynamic factor models with interacting level and volatility

Siem Jan Koopman*, Vrije Universiteit Amsterdam and Tinbergen Institute
with Geert Mesters, Universitat Pompeu Fabra and Barcelona Graduate School of Economics;
and Bernd Schwaab, European Central Bank

Poster 4: Forecasting with many predictors using message passing algorithms

Dimitris Korobilis*, University of Essex poster

Poster 5: The global component of inflation volatility

Massimiliano Marcellino*, Università Bocconi
with Andrea Carriero, Queen Mary University of London;
and Francesco Corsello, Bank of Italy and Università Bocconi

Poster 6: A new approach to nowcasting with mixed-frequency Bayesian VARs

Francesca Monti*, Bank of England and Centre for Macroeconomics
with Domenico Giannone, Federal Reserve Bank of New York and Centre for Economic Policy Research;
and Andrej Sokol, Bank of England and Centre for Macroeconomics

Poster 7: Expectation formation following large unexpected shocks

Xuguang S. Sheng*, American University
with Scott R. Baker, Northwestern University;
and Tucker S. McElroy, U.S. Census Bureau

Poster 8: Adaptive discrete smoothing with an application to (high-dimensional) nonlinear panel data

Martin Spindler*, Universität Hamburg
with Xi Chen, New York University;
Victor Chernozhukov, Massachusetts Institute of Technology;
and Ye Luo, University of Florida

Poster 9: Adaptive state space models with applications to the business cycle and financial stress

Fabrizio Venditti*, Banca d'Italia
with Davide D. Monache, Banca d'Italia;
and Ivan Petrella, Warwick Business School and Centre for Economic Policy Research poster

Part 2

Chair: Michael Ehrmann, European Central Bank

Keynote speech Invariance and causality for robust predictions

Peter Bühlmann*, Eidgenössische Technische Hochschule Zürich

Forecasting with a panel Tobit model

Frank Schorfheide*, University of Pennsylvania
with Laura Liu, Board of Governors of the Federal Reserve System;
and Hyungsik R. Moon, University of Southern California and Yonsei University slides

Discussant: Martin Spindler, Universität Hamburg

A multiple testing approach to the regularisation of large sample correlation matrices

Natalia Bailey*, Monash University
with Hashem Pesaran, University of Southern California;
and L. Vanessa Smith, University of York slides

Discussant: Massimiliano Marcellino, Università Bocconi

Break

Panel discussion: (Macroeconomic) Forecasting with big data: What works? What doesn't? What's next?

Moderator: Giorgio Primiceri, Northwestern University

Peter Bühlmann, Eidgenössische Technische Hochschule Zürich
Francis X. Diebold, University of Pennsylvania
Serena Ng, Columbia University
Hal Varian, Google Inc.

Part 3

Chair: Isabel Vansteenkiste, European Central Bank

Keynote speech Out of controls

Hal Varian*, Google Inc.

Macroeconomic nowcasting with big data through the lens of a sparse factor model

Laurent Ferrara*, Banque de France
with Anna Simoni, Centre de Recherche en Economie et en Statistiques and Centre National de la Recherche Scientifique slides

Discussant: Francesca Monti, Bank of England and Centre for Macroeconomics

Does modeling a structural break improve forecast accuracy?

Andreas Pick*, Erasmus Universiteit Rotterdam, Tinbergen Institute, De Nederlandsche Bank and CESifo Institute
with Tom Boot, University of Groningen slides

Discussant: Jeremy Chiu, Bank of England

Part 4

Chair: Geoff Kenny, European Central Bank

Keynote speech Big data tools and small data surveys

Francis X. Diebold*, University of Pennsylvania

Economic predictions with big data: the illusion of sparsity

Giorgio Primiceri*, Northwestern University
with Domenico Giannone, Federal Reserve Bank of New York and Centre for Economic Policy Research;
and Michele Lenza, European Central Bank slides

Discussant: Pablo Guerrón-Quintana, Boston College

Large-scale dynamic predictive regressions

Daniele Bianchi*, University of Warwick
with Kenichiro McAlinn, University of Chicago, Booth School of Business slides

Discussant: Mike West, Duke University

Predictive density combinations with dynamic learning for large data sets in economics and finance

Herman van Dijk*, Erasmus Universiteit Rotterdam, Norges Bank and Tinbergen Institute with
Roberto Casarin, Università Ca' Foscari Venezia;
Stefano Grassi, Università degli Studi di Roma "Tor Vergata";
and Francesco Ravazzolo, Free University of Bozen-Bolzano and Norges Bank slides

Discussant: Dimitris Korobilis, University of Essex

Concluding remarks

Geoff Kenny, European Central Bank