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Applied Econometrics and Forecasting in Macroeconomics and Finance Workshop

August 16 - 17, 2007

The Federal Reserve Bank of St. Louis hosted a workshop on Applied Econometrics and Forecasting in Macroeconomics and Finance on August 16 and 17, 2007. The workshop is intended for scholarly research papers on topics in all areas of applied macroeconometrics, including forecasting and finance.

For more information about the conference or help with hotel reservations, please contact Beverly Benham at (314) 444-8577 or or Denise Cain at (314) 444-8567 or

Please note that attendance is by invitation only.

Thursday, August 16

"Introductory Remarks"
Bob Rasche, Federal Reserve Bank of St. Louis

"Information Criteria for IRF Matching Estimation"
Barbara Rossi, Duke University

"What Do We Learn from the Price of Oil Futures?"
Lutz Kilian, University of Michigan

"Forward Premia and Price Volatility in Commodity Futures Markets"
Aaron Smith, University of California, Davis

"Tests of Equal Predictive Ability with Real-Time Data"
Michael McCracken, Federal Reserve Board of Governors (Federal Reserve Bank of St. Louis staff economist as of August 2008)

"Why Are Gasoline Prices Sticky? A Test of Alternative Models of Price Adjustment"
Ana Maria Hererra, Michigan State University

"Break or Time Varying Parameter?"
Graham Elliott, University of California, San Diego

"Multivariate Forecast Rationality"
Michael Owyang, Federal Reserve Bank of St. Louis

Friday, August 17

"Dynamic Factor Models with Time-Varying Parameters"
Chris Otrok, University of Virginia

"Higher Power Tests for no Cointegration"
Elena Pesavento, Emory University

"Monetary Policy Analysis with Potentially Misspecified Models"
Marco Del Negro, Federal Reserve Bank of New York

"Path Forecasting"
Oscar Jorda, University of California, Davis

"Multivariate Contemporaneous Threshold Autoregressive Models"
Michael Dueker, Federal Reserve Bank of St. Louis

Schedule of events and participants (PDF)

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