NZESG - New Zealand Economic Study Group

Meeting 20 Report

Report by Dimitri Margaritis

The 20th Meeting of the New Zealand Econometric Study Group (NZESG), 26-27 February, AUT University, Auckland

The 20th Meeting of the New Zealand Econometric Study Group (NZESG) was hosted and supported by the AUT, Department of Finance, on 26-27 February 2010. Programme Chairs for this Meeting were Professor Peter Phillips (Sterling Professor of Economics and Professor of Statistics at Yale University and Distinguished Alumnus Professor, University of Auckland), Professor Dimitri Margaritis (AUT) and Associate Professor Bart Frijns (AUT). The Group was founded in February 1997, driven by the vision, initiative and energies of Peter Phillips and a small group of active and focussed econometricians from academia, the Reserve Bank and Wellington-based government departments.

Growing from a 15 participant, one day workshop in 1997, to a 30+ participant one and a half day 'mini-conference', the workshop has retained its unique features of a single stream of presentations, with discussants and prestigious, international representation. The 20th Meeting attracted delegates from overseas countries including Australia, Japan, Switzerland and USA.

Nineteen papers were presented with themes ranging from 'Applied New Zealand Research' supported by a strong New Zealand Reserve Bank presence - to 'Theoretical and Empirical Developments in Financial Econometrics'. As has become an important feature of the Meetings, all papers received comments both from a formal discussant and from the floor. This characteristic of the Meetings is a feature that should be retained and extended to other meetings.

In the original spirit of the Group, emphasis was placed on encouraging, supporting and celebrating the achievements of emerging researchers. Hatice Ozer Balli from Massey University was presented with the 'NZESG Research Award' for 2010, which was generously sponsored by the Reserve Bank of New Zealand. Her paper discussed two important empirical issues bearing on the estimation of half life in PPP applications: bias in dynamic estimation and allowance for structural change. The issues were well articulated, the median unbiased estimation approach was shown, and the relevance of bias adjustment in small samples was emphasized when the model undergoes structural change. The PPP application revealed that these methods make a difference in practice. A good presentation was followed by a thoughtful and well balanced discussion.

A special feature of the 20th Meeting was a joint session on Frontier Estimation and Functional Forms with an Efficiency and Productivity Workshop that was held concurrently at AUT University.

The organisers received a resounding 'thumbs-up' for the content, structure and organisation of the meeting and workshop and this was cemented at the conference dinner held on 26th. The next meeting of the Group will be hosted by Professor Dorian Owen, at the University of Otago and the plan is for it to be held in February 2011.