Sunday, July 20, 2014

Some History of NBER Econometrics

My last post led me to reminisce. So, for history buffs, here's a bit on the origins and development of the NBER working group on Forecasting and Empirical Methods in Macro and Finance. (No promises of complete accuracy -- some of my memory may be fuzzy.)

In the early 1990's Steve Durlauf had an idea for an "Empirical Methods in Macro" NBER group, and he asked me to join him in leading it. Bob Hall kindly supported the idea, so we launched. Some years later Steve stepped down, Ken West joined, and we decided to add "Finance." I was also leading a "Forecasting" group with highly-related interests, so we merged the two, and Diebold-Durlauf "Empirical Methods in Macro" then became Diebold-West, "Forecasting and Empirical Methods in Macro and Finance." Quite a mouthful, but it worked!

We met at least once per year at the NBER Summer Institute, sometimes more. Papers drawn from the meetings sometimes appeared as journal symposia. I'm particularly fond of those in International Economic Review (1998, 811-1144), which contains Andersen-Bollerslev on realized volatility from underlying diffusions, Rudebusch on measuring monetary policy in VAR's (with discussion by Sims and a feisty rejoinder by Rudebusch), Christoffersen on interval forecast calibration, Diebold-Gunther-Tay on density forecast calibration, among others, and Review of Economics and Statistics (1999, 553-673), which contains Baxter-King on bandpass filters for business-cycle measurement, Kim-Nelson on measuring changes in business-cycle stability using Bayesian dynamic-factor Markov-switching models, and Gallant-Hsu-Tauchen on range-based asset return volatility estimation, among others.

I eventually stepped down around 2005, and Mark Watson joined. (Mark and I had earlier edited another group symposium in Journal of Applied Econometrics (1996, 453-593).) So Diebold-West became Watson-West, and the group continued to thrive. In 2013, Mark and Ken passed their batons to Allan Timmermann and Jonathan Wright, who are off and running. This summer's program was one of the best ever, and the meeting was heavily over-subscribed.