Nowcasting with model combination

Thursday 11 & Friday 12 December 2008

This workshop involved state of the art contributions that examine the role of forecast combination in short-term macroeconomic forecasting.

Workshop Programme

Day One: Thursday 11 December 2008

8.00am

Coffee and registration

Morning Session

Chaired by Kirdan Lees, Reserve Bank of New Zealand

8.30am

Opening remarks by Alan Bollard, Reserve Bank of New Zealand

8.40am

Forecast Comparisons in Unstable Environments (PDF 202KB)

Barbara Rossi, Duke University

9.20am

Discussant – Pierre Siklos, Wilfred Laurier University

9.30am

General Discussion

9.40am

Nowcasting UK GDP Growth: An Evaluation of Dynamic Factor Models Using Quasi Real-Time Data (PDF 213KB)

Simon Price, Bank of England

10.20am

Discussant – Matthew Yiu, Hong Kong Institute for Monetary Research

10.30am

General Discussion

10.40am

Coffee break

11.00am

Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real Time Data are Available

Kalvinder Shield, University of Melbourne

11.40am

Discussant – Alfred Haug, University f Otago

11.50am

General Discussion

12.00pm

Lunch

Afternoon Session

Chaired by Viv Hall, Victoria University of Wellington

1.30pm

Real-time conditional forecasts with Bayesian VARs: An application to New Zealand, Troy Matheson, Reserve Bank of New Zealand (PDF 373KB)

2.10pm

Discussant – Anella Munro, Bank of International Settlements

2.20pm

General Discussion

2.30pm

Combing Forecast Densities from VARS with Uncertain Instabilities (PDF 210KB)

Shaun Vahey, Melbourne Business School

3.10pm

Discussant – Les Oxley, University of Canterbury

3.20pm

General Discussion

3.40pm

Predicting Local and National House Prices (PDF 358KB)

Chris Otrok, University of West Virginia

4.20pm

Discussant – Sandra Eickmeier, Bundesbank and Reserve Bank of New Zealand

4.30pm

General Discussion





Day Two: Friday 12 December 2008

Morning Session

Chaired by Mico Loretan, Bank of International Settlements

9.00am

Improving and evaluating short term forecasts at the Norges Bank (PDF 1066KB)

Leif Anders Thorsrud, Norges Bank

9.40am

Discussant – Leni Hunter, Reserve Bank of New Zealand

9.50am

General Discussion

10.00am

Incorporating Conjunctural Analysis in Structural Models (PDF 330KB)

Francesca Monti, ECARES

10.40am

Discussant – Heather Anderson, Australia National University

10.50am

General Discussion

11.00am

Coffee Break

11.30am

Short run forecasting at the Federal Reserve Bank of Atlanta

John Robertson, Federal Reserve Bank of Atlanta

12.10pm

General Discussion

12:20pm

Lunch

Afternoon Session

Chaired by Shaun Vahey, Melbourne Business School

1.30pm

Combining Multivariate Density Forecasts Using Predictive Criteria (PDF 361KB)

Hugo Gerard, Reserve Bank of Australia,

2.10pm

Discussant – Mico Loretan, Bank of International Settlements

2.20pm

General Discussion

2.30pm

Evaluating Density Forecasts: Forecast Combinations, Model Mixtures, Calibration and Sharpness (PDF 91KB)

James Mitchell, NIESR

3.10pm

Discussant - Peter Thomson, Statistics Research Associates

3.20pm

General Discussion

3.30pm

Coffee Break

4.00pm

The calibration of probabilistic economic forecasts (PDF 596KB)

Simon van Norden, HEC Montréal, CIRANO and CIREQ

4.40pm

Discussant – Kirdan Lees, Reserve Bank of New Zealand

4.50pm

General Discussion