NZESG - New Zealand Economic Study Group

NZESG 14th Meeting
University of Canterbury

Venue: "Coppertop", Commerce Building, Forestry Road, Christchurch

Friday: 11 March 2005.

  • 11:45 - 12:45 Registration, Lunch and Opening
  • 12:45 - 2:45 Chair: John Gibson

    What drives a New Zealand SVAR? by Christie Simth
    Discussant: John Haywood

    Factor model forecasts for New Zealand, Troy Matheson
    Discussant: Ryan Greenaway-McGrevy

    The Contributions from Firm Entry, Exit and Continuation to Labour Productivity Growth in New Zealand David Law and Nathan McLellan
    Discussant: John Gibson

    Measuring Technological Change in New Zealand's Industrial Sectors, Ken Carlaw
    Discussant: Dimitri Margaritis

  • 2:45-3:15 Tea/Coffee
  • 3:15-4:45 Chair: Robin Harrison

    Detecting multiple structural breaks in the mean via atheoretical regression trees, Carmela Cappelli and Marco Reale
    Discussant: Les Oxley

    A test for improved multi-step forecasting, John Haywood and Granville Tunnicliffe Wilson
    Discussant: Robin Harrison

    On the foundations of meta analysis Leigh Roberts
    Discussant: Marco Reale

  • 4:45-5:00 Leg stretch
  • 5:00-6:00 Chair: Jiti Gao

    Testing for infinite density at the median Chirok Han, Jin Seo Cho and Robert de Jong
    Discussant: Leigh Roberts

  • 6:30 – 7:30 Drinks, Staff Club
  • 7:45 - late Workshop dinner, Tandoori Palace (Ilam Road)

Saturday: 12 March 2005.

  • 8:00-8:30 Coffee and Muffins
  • 8:30 - 10:30 Chair: Les Oxley

    Multivariate autoregressive conditional heteroskedasticity with smooth transitions in Conditional correlations, Timo Terasvirta
    Discussant: Michael McAleer

    Model Specification Testing in Nonlinear Time Series Econometrics and Financial Econometrics, Jiti Gao
    Discussant: Rob Taylor

    Spillover Effects in Forecasting Volatility and VaR, Michael McAleer and Bernardo da Veiga
    Discussant: Timo Terasvirta

  • 10:30 - 11:00 Tea/Coffee
  • 11:00-12:30 Chair: Rob Taylor

    Asymmetries in the conditional mean and/or variance leading to unconditional skewness. Annastiina Silvennoinen, Timo Terasvirta and Changli He
    Discussant: Peter Phillips

    Ergodicity, mixing and the existence of moments of a class of Markov models with applications to GARCH and ACD models, Mika Meitz and Pentti Saikkonen
    Discussant: Michael McAleer

    Investigating the relationships between the yield curve, output and inflation using an intertemporallyconsistent and arbitrage free version of the Nelson and Siegel class of yield curve models, Leo Krippner
    Discussant: Mark Holmes

  • 12:30-1:30 Lunch
  • 1:30- 3:00 Chair: Donggyu Sul

    Volatility transmission and dynamic covariance modelling of real interest rates: How integrated are the G7 economics? Mark J. Holmes and Nabil Maghrebi
    Discussant: Donggyu Sul

    Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments. Suhejla Hoti, Michael McAleer and Daniel Slottje
    Discussant: Troy Matheson

    Estimation and comparison of Treasury auction formats when bidders are asymmetric, Olivier Armantier and Erwann Sbai
    Discussant: Leo Krippner

  • 3:00-3:30 Tea/coffee
  • 3:30 - 4:30 Chair: Chirok Han

    Panel Predictive Regressions in Finance and Economics, Ryan Greenaway-McGrevy and Donggyu Sul
    Discussant: Christie Smith

    Bias reduction by recursive mean adjustment in dynamic panel data models, Nelson Mark and Donggyu Sul
    Discussant: Chirok Han

  • 4:30-4:45 Leg stretch
  • 4:45-5:45 Chair: Bonggeun Kim

    Does Cross Sectional Aggregation Bias Solve the PPP Puzzle? Evidence from Micro Panel Data, Bo-Ram Lee and Donggyu Sul
    Discussant: Bonggeun Kim

    The Role of R&D in US Agriculture. Rolf Färe, Shawna Grosskopf and Dimitri Margaritis
    Discussant: Ken Carlaw

  • 5:45 Closing: Peter Phillips and Les Oxley