CIMF Workshop
Forecasting Under Model Instability
Trinity College, Cambridge, 28 November 2008

9.30-10.00 Registration at Winstanley Lecture Theatre, Trinity College

10.00-10.10 Opening remarks by M. Hashem Pesaran
10.10-10.50 Andrew Patton (Oxford University)
Data-Based Ranking of Realised Volatility Estimators
10.50-11.30 Markus Jochmann, Gary Koop (University of Strathclyde) and
Rodney W. Strachan
Bayesian Forecasting using Stochastic Search Variable Selection in a VAR
Subject to Breaks

11.30-11.50 Coffee/tea break

11.50-12.30 Jennifer L. Castle, Nicholas W. P. Fawcett, and David F. Hendry
(Oxford University)
Forecasting with Equilibrium-correction Models during Structural Breaks
12.30-13.10 Lucrezia Reichlin (London Business School)
TBC

13.10-14.20 Lunch break

14.20-15.00 Andrés González, Kirstin Hubrich, and Timo Teräsvirta (University
of Aarhus)
Forecasting Inflation by an Autoregressive Model with a Shifting Mean
15.00-15.40 Guillaume Chevillon (ESSEC Business School, Paris)
Small Sample Properties of Multistep Forecasts in the Presence of Location
Shifts

15.40-16.00 Coffee/tea break

16.00-16.40 Jan J. J. Groen (Federal Reserve Bank of New York), Richard Paap,
and Francesco Ravazzolo
Real-Time Inflation Forecasting in a Changing World
16.40-17.20 Jan J. J. Groen, George Kapetanios (Queen Mary and Westfield
College, London), and Simon Price
Multivariate Methods for Monitoring Structural Change
17.20-18.00 M. Hashem Pesaran and Andreas Pick (Cambridge University, 
CIMF)
Forecasting Random Walks under Drift Instability

18.00 Drinks