Center Events

Machine Learning for Macroeconomic Prediction and Policy

October 12, 2017 | Singh Center for Nanotechnology

Thursday, October 12th & Friday, Oct 13th

Glandt Forum, Singh Center for Nanotechnology

Conference on Machine Learning for Macroeconomic Prediction and Policy

Co-Sponsored by Penn’s Warren Center for Network and Data Sciences
and the Federal Reserve Bank of Philadelphia

Organizers: Michael Dotsey (FRBP), Jesus Fernandez-Villaverde (Penn), Michael Kearns (Penn)

SCHEDULE:

Thursday October 12:

8:00 Breakfast

8:45 Welcome

9:00 Stephen Hansen (University of Oxford): The Long-Run Information Effect of Central Bank Text

9:45 Stephen Ryan (Washington University): Classification Trees for Heterogeneous Moment-Based Models

10:30 Break

11:00 James Cowie (DeepMacro): DeepMacro Data Challenges

11:45 Galo Nuno (Banco de España): Machine Learning and Heterogeneous Agent Models

12:30 Lunch

1:30: Francis X. Diebold (Penn): Egalitarian LASSO for Combining Central Bank Survey Forecasts

2:15 Lyle Ungar (Penn): How to Make Better Forecasts

3:00 Vegard Larsen (Norges Bank): Components of Uncertainty

3:45 Break

4:15 Panel: ML and Econometrics: Similarities and Differences (Michael Kearns, Vegard Larsen, Stephen Hansen, Rakesh Vohra (Penn))

Friday October 13:

9:00 Aaron Smalter Hall (Federal Reserve Bank of Kansas City): Recession Forecasting with Bayesian Classification

9: 45 Susan Athey (Stanford GSB): Estimating Heterogeneity in Structural Parameters Using Generalized Random Forests

10:30 Break

11:00 Panel: ML Challenges at the Fed (Jose Canals-Cerda (Philadelphia Fed), Galo Nuno, Jesus Fernandez-Villaverde, Aaron Smalter Hall)

12:30 Lunch

Departures