October 12, 2017 - October 13, 2017
8:00 AM - 1:30 PM
Co-Sponsored by the Warren Center for Network and Data Sciences and the Federal Reserve Bank of Philadelphia.
Organized by Michael Dotsey (FRBP), Jesus Fernandez-Villaverde (Penn), Michael Kearns (Penn).
Thursday, October 12th:
8:00 am- Breakfast
8:45 am- Welcome
9:00 am- Stephen Hansen (University of Oxford): The Long-Run Information Effect of Central Bank Text
9:45 am- Stephen Ryan (Washington University): Classification Trees for Heterogeneous Moment-Based Models
10:30 am- Break
11:00 am- James Cowie (DeepMacro): DeepMacro Data Challenges
11:45 am- Galo Nuno (Banco de España): Machine Learning and Heterogeneous Agent Models
12:30 pm- Lunch
1:30 pm- Francis X. Diebold (Penn): Egalitarian LASSO for Combining Central Bank Survey Forecasts
2:15 pm- Lyle Ungar (Penn): How to Make Better Forecasts
3:00 pm- Vegard Larsen (Norges Bank): Components of Uncertainty
3:45 pm- Break
4:15 pm- Panel: ML and Econometrics: Similarities and Differences (Michael Kearns, Vegard Larsen, Stephen Hansen, Rakesh Vohra (Penn))
Friday October 13th:
9:00 am- Aaron Smalter Hall (Federal Reserve Bank of Kansas City): Recession Forecasting with Bayesian Classification
9: 45 am- Susan Athey (Stanford GSB): Estimating Heterogeneity in Structural Parameters Using Generalized Random Forests
10:30 am- Break
11:00 am- Panel: ML Challenges at the Fed (Jose Canals-Cerda (Philadelphia Fed), Galo Nuno, Jesus Fernandez-Villaverde, Aaron Smalter Hall)
12:30 pm- Lunch
Departures