Modeling and Forecasting Economic and Financial Time Series with State Space Models

Sveriges Riksbank, the Swedish Central Bank, is hosting a workshop on inference and forecasting in economics and finance using state space models in Stockholm, Sweden, during October 17-18, 2008. The workshop is focused on state space models. Given the emphasis placed on forecasting and nowcasting in modern central banks and other financial institutions, state space models seem a much under-utilized tool in the econometric community. The workshop welcomes theoretical as well as applied contributions. Specific topics of interest include inference, parameter variation, common factor models, measurement errors and filtering, data revision, and mismatched frequencies. For submission, a PDF file containing the paper should be e-mailed to lena.lofgren@riksbank.se by May 23rd. Link for more details.