Report by Les Oxley

Leading Econometrians Share Their Knowledge:
The 14 th Meeting of the New Zealand Econometric Study group (NZESG), 11-12 March, University of Canterbury

The 14th Meeting of the New Zealand Econometric Study Group (NZESG) was hosted and supported by the College of Business and Economics, 11-12 th March 2005. 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) and Professor Les Oxley (University of Canterbury). 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 and Wellington-based agencies.

Left to right: Les Oxley, Peter Phillips and Michael McAleer

Growing from a 15 participant, one day workshop in 1997, to a 38 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 14 th Meeting was one of the largest in the 8 year history of the Group, attracting 38 delegates from 7 countries including England, Finland, Sweden and Taiwan. This continued the strong reputation of the Meetings in attracting international participation and stimulating interaction from overseas delegates.

Twenty-two papers were presented with themes ranging from ‘Applied New Zealand Research’ supported by a strong New Zealand Treasury and Reserve Bank presence – to ‘Theoretical and Empirical Developments in Financial Econometrics’. The Group was particularly fortunate to have attracted some of the world’s leading experts in the field of financial econometrics and time series analysis including Professor Timo Terasvirta (Stockholm School of Economics), Professor Michael McAleer (University of Western Australia and Adjunct Professor University of Canterbury) and Professor Jiti Gao (University of Western Australia) and Robert Taylor (University of Birmingham). Rarely do such giants of the discipline converge on Christchurch and their expertise and enthusiasm was evident for all to see.

In the original spirit of the Group, emphasis was placed on encouraging, supporting and celebrating the achievements of emerging researchers. Leo Krippner (AMP Capital and PhD candidate, University of Waikato) was awarded the ‘NZESG Student Award’ for 2005, and Mika Meitz (PhD candidate, Stockholm School of Economics) and Annastiniia Silvenoinnen (PhD candidate, Stockholm School of Economics) received ‘Commendations’ for ‘two fine examples of theoretical econometric research in the area of ARCH/GARCH/ACD modelling’.

Organisers received a resounding ‘thumbs-up’ for the content, structure and organisation of the workshop. The next meeting of the Group will be hosted by the Auckland University of Technology in August 2005.