NZESG - New Zealand Economic Study Group

The 11th New Zealand
Econometrics Study Group Meeting
University of Auckland, Auckland
Saturday 1 March, 2003

Program Chairs: John Small and Donggyu Sul
All sessions will be held in room G01 at the Commerce A, Building number
114, 3A Symmonds Street, Auckland. Names of presenters are underlined.

  • 8:45 – 9:00 pm Registration & Breakfast (Muffin and Coffee)
  • 9:00 – 9:20 am Welcome: John Small
  • Econometric Theory I: 9:20 AM – 11:00 AM (Chair: John Small)

    Katsuto Tanaka (Hitosubashi University), “Frequency Domain and Wavelet-based Estimation for Long-Memory Signal plus Noise Models”
    Discussant: Jin Lee (National University of Singapore)

    Jin Lee (National University of Singapore), “Wavelet Transformation for Regression Estimationof Non Stationary Long Memory Processes”
    Discussant: Katsuto Tanaka (Hitosubashi University)

    John W. Dalle Molle (Massey University), “Frequency Domain Detection of Fat-Tailed TimeSeries with Unbounded Moments against a Random Walk Alternative”
    Discussant: John Knight (University of Western Ontario)

  • Morning Tea: 11:00 AM – 11:20 AM
  • Econometric Theory II : 11:20 PM – 1:00 PM (Chair: Les Oxley)

    Chirok Han (Victoria University of Wellington), “On the Bias of Fixed Effects Panel Probit Estimators”
    Discussant: Donggyu Sul (University of Auckland)

    Peter C.B. Phillips (Yale University and University of Auckland) and Donggyu Sul (University of Auckland), “Bias in Dynamic Panel Estimation with Fixed Effect, Incidental Trend and Cross Section Dependence”
    Discussant: Chirok Han (Victoria University of Wellington)

    Zhenlin Yang and Y. K. Tse (Singapore Management University) , “A Corrected Plug-In Method for the Quantile Confidence Interval of a Transformed Regression”
    Discussant: Jun Yu (University of Auckland)

  • Lunch: 1:00 PM – 2:00 PM
  • Financial Econometrics: 2:00 PM – 3:40 PM (Chair: Alan Rogers)

    Peter C.B. Phillips (Yale University and University of Auckland) and Jun Yu (University of Auckland), “Jackknifing Bond Option Prices”
    Discussant: Y. K. Tse (Singapore Management University)

    Kin-Yip Ho and Albert Tsui (National University of Singapore), “Modeling Long Memory in Exchange Rate Volatility: A Multivariate Asymmetric GARCH Approach with Time Varying Correlations”
    Discussant: John W. Dalle Molle (Massey University)

    Dimitri Margaritis and Gary Feng, (University of Waikato) “Convergence Trends in International Stock Markets”
    Discussant: Jin Seo Cho (Victoria University of Wellington)

  • Afternoon Tea: 3:40 PM – 4:10 PM
  • Applied Econometrics: 4:10 PM – 5:50 PM (Chair: John Knight)

    Basil M.H. Sharp (University of Auckland), D. Castilla-Espino and J.J.G. Hoyo (Universidad de Huelva), “Efficiency in the New Zealand Fishing Industry Cost Frontier Analysis”
    Discussant: John Small (University of Auckland)

    Wereda Pitchayakan, Aaron Schiff and John Small (University of Auckland), “Stochastic Frontier Analysis of the NZ Electricity Lines Sector”
    Discussant: Alan Rogers (University of Auckland)

    L. Christopher Plantier (Reserve Bank of New Zealand), “A Cross-Country Study of the Neutral Real Rate (NRR)"
    Discussant: Les Oxley (University of Canterbury)

  • Conference Dinner: 6:30 PM – 9:00 PM at Watermark, 33 King Edward Parade, Devonport