NZESG - New Zealand Economic Study Group

NZESG 20th Meeting Programme

Hosted by the Department of Finance, AUT University

Venue: AUT Business School – WF Building

Organising Committee: Peter Phillips (Yale University), Bart Frijns and Dimitris Margaritis (AUT University)

Day One: Friday 26 FEBRUARY

  • 13:30 -- 14:15 Lunch - WF Level 9

  • 14:15 -- 16:00 Frontier Estimation and Functional Forms
    SESSION CHAIR: Peter Phillips, Yale University

    “Nonparametric stochastic frontier estimation via profile likelihood”

    Carlos Martins-Filhoa ,Feng Yaob

    a University of Colorado

    b West Virginia University

    Discussant: Peter Phillips, Yale University

    “Generalized quadratic revenue functions”

    R. Chambersa, R. Färeb, S. Grosskopfb, M. Vardanyanc

    a University of Maryland

    b Oregon State University

    c University of Luxembourg

    Discussant: Erwin Diewert, UBC

    “Stochastic frontiers with bounded inefficiency”

    Pavlos Almanidisa, Junhui Qianb, Robin C. Sicklesa

    a Rice University

    b Shanghai Jiao Tong University

    Discussant: Carlos Martins-Filho, University of Colorado

  • 16:00 -- 16:15 Coffee Break

  • 16:15 -- 17:45 Econometric Methods 1
    SESSION CHAIR: Robin Sickles, Rice University

    “Dating the timeline of financial bubbles during the subprime crisis”

    Peter C. B. Phillipsa , Jun Yub

    a Yale University

    b Singapore Management University

    Discussant: Robin Sickles, Rice University

    “Distributions and moments of ratio statistics associated with quadratic functionals of the ordinary and fractional Brownian motions”

    Katsuto Tanaka, Hitotsubashi University

    Discussant: Rainer Winkelman, University of Zurich

    “Quasi-likelihood estimation of zero-inflated count models”

    Kevin E. Stauba, Rainer Winkelmannb

    a University of Zurich

    b University of Zurich and IZA

    Discussant: Katsuto Tanaka, Hitotsubashi University

  • 18:45 -- 22:00 Dinner - Khao Restaurant Cnr Chancery and O'Connell St

Day Two: Saturday 27 FEBRUARY

  • 9:00 -- 11:00 Econometric Methods 2
    SESSION CHAIR: Dorian Owen, University of Otago

    “Median-unbiased estimation of structural change models: An application to PPP”

    Hatice Ozer Balli a, Chris J. Murrayb, David H. Papellb

    aMassey University

    bUniversity of Houston

    “Pitfalls in using the relative standard deviation of win percentages to measure competitive balance in sports leagues”

    P. Dorian Owen

    University of Otago

    Discussant: Peiming Wang, AUT

    “A hidden Markov zero-inflated bivariate Gaussian-copula negative binomial model for analysis of indivisibility of M&A FDI”

    Peiming Wanga, Peter X.K. Songb, Joseph D. Albac

    aAUT University

    bUniversity of Michigan

    cNanyang Technological University, Singapore

    Discussant: Christie Smith, RBNZ

    “Weights and pools in Norwegian density combination”

    Hilde Bjornlanda, Karsten Gerdrupb, Anne Sofie Joreb, Christie Smithc, Leif Anders Thorsrudb

    aNorwegian School of Management and Norges Bank,

    bNorges Bank.

    cReserve Bank of New Zealand

    Discussant: Dorian Owen, University of Otago

  • 11:00 -- 11:15 Coffee Break

  • 11:15 -- 13:15 Econometric Methods 3
    SESSION CHAIR: Tim Maloney, AUT

    “Measuring the impact of switching to all multiple-choice assessments: A resampling approach”

    Stephen Hickson, W. Robert Reed, Nick Sander

    University of Canterbury

    Discussant: Tim Maloney, AUT

    “The eigensystem vector autogression model”

    Leo Krippner

    Reserve Bank of New Zealand

    Discussant: Jose de Fonseca, AUT

    “Threshold regression with weak and strong identifications”

    Ping Yu

    University of Auckland

    “The risk of beta – investor learning and prospect theory”

    Dirk Baur

    University of Technology Sydney

    Discussant: Leo Krippner, RBNZ

  • 13:15 -- 14:00 Lunch - WF Level 9

  • 14:00 -- 16:15 Econometric Applications
    SESSION CHAIR: David G Mayes, University of Auckland

    Understanding Homeland Security:

    Theory and UK-Evidence

    K. Peren Arina,b, Oliver Lorzc , Otto F.M. Reicha, N. Spagnolobd

    aMassey University

    bCentre for Applied Macroeconomic Analysis (CAMA), Canberra

    cAachen University, dBrunel University

    Discussant: W. Robert Reed, University of Canterbury

    “The quality of monetary policy and inflation performance: Globalization and its aftermath”

    Martin T Bohla, David G Mayesb, Pierre L Siklosc

    aUniversity of Münster

    bUniversity of Auckland

    cWilfrid Laurier University

    Discussant: Özer Karagedikli, RBNZ

    “Does the kiwi fly when the kangaroo jumps? The effect of Australian macroeconomic news on the New Zealand dollar”

    Andrew Coleman, Özer Karagedikli

    Reserve Bank of New Zealand

    Discussant: Amila Karic, La Trobe University

    “Euro/US Dollar Exchange Rate – Econometric vs Time Series Models”

    Amila Karic

    La Trobe University

    Discussant: Otto Reich, Massey University

    “Should we care about the composition of tax-based stimulus packages? An empirical investigation”

    K. Peren Arina, Peter. H. Hellesb, Otto F. M. Reicha

    aMassey University

    bCentre for Applied Macroeconomic Analysis (CAMA), Canberra

    Discussant: David G Mayes , University of Auckland

  • 16:15 -- 16:30 RBNZ-NZESG Award Presentation