Program

Friday: 30 July 2004.

Venue: Old Government House, Woman’s Federation Room

• 10:30 Registration
• 10:40 Welcome (Peter C.B. Phillips)

Econometric Theory I: (Chair: Peter C.B. Phillips)

• 11:00 Robust covariance matrix estimation: HAC estimates with long memory/Antipersistence correction by Peter M Robinson (London School of Economics)
• 11:30 Testing for independent and identical distributions by Jin Seo Cho (Victoria Univ. of Wellington)
• 12:00 HAC estimation and HAR Inference by Peter C.B. Phillips (Yale/Auckland)
• 12:30 Lunch (Old Government House) Applied Econometrics (Chair: Horag Choi)
• 13:30 Exchange rate dynamics: The NZ dollar by Anella Munro(RBNZ)
• 14:00 A Monte Carlo analysis of alternative tests of contagion by Renee Fry (ANU)
• 14:30 Trade and Migration to New Zealand by David Law (Treasury)
• 15:00 Afternoon Tea (Old Government House)

Financial and Panel Econometrics: (Chair: Jun Yu)

• 15:30 Structural breaks in realized volatility by Jonathan Reeves (Univ. of New South Wales)
• 16:00 Alternative specifications of stochastic volatility asset return models: Theoretical and empirical comparisons by John L. Knight (Univ. of Western Ontario)
• 16:30 On leverage in a stochastic volatility model by Jun Yu (Singapore Management Univ.)
• 17:00 Sequential panel unit root tests for a mixed panel with nonstationary and stationary time series data by Donggyu Sul (Univ. of Auckland)
• 18:30 Conference Dinner

Saturday: 31 July 2004.

Venue: G17 Commerce A Building

• 08:30 Breakfast

Econometric Theory II (Chair: Chirok Han)

• 09:00 Asymptotic evaluation of long horizon forecasts by Ryan Greenaway-McGrevy (Univ. of Auckland)
• 09:30 Forecasting classical business cycle turning points at the ends of series using Markov switching models by Peter Thomson
• 10:00 Estimations under conditional symmetry by Chirok Han (Victoria Univ. of Wellington)
• 10:30 Morning Tea

Econometrics and Applied Econometrics (Chair: Murray Smith)

• 11:00 Discounting the equity premium puzzle by Vance Martin (Univ. of Melbourne)
• 11:30 Noise reduced realized volatility: A Kalman filter approach by John Owens (Victoria Univ. of Wellington)
• 12:00 Stochastic frontier models with correlated error components by Murray Smith (Univ. of Sydney)
• 12:30 Lunch

Applied Econometrics II (Chair: Alan Rogers)

• 13:30 Gender and ethnicity in the NZ labour market by Murat Genc (Univ. of Otago)
• 14:00 Selection and stunting effects of famine: A case study of the great Chinese famine by Rhema Vaithianathan (Univ. of Auckland)
• 14:30 Technical change and stock effect in a rights-based fishery by Chris J. Bastone (Auckland Univ. of Technology)
• 15:00 Afternoon Tea

Growth Empirics and Monetary Rule (Chair: Debasis Bandyopadhyay)

• 15:30 Productivity, factor accumulation and social networks: Theory and evidence by Dorian Owen (Univ. of Otago)
• 16:00 When are momentum rules more robust than Taylor rules? By Rishab Sethi (RBNZ)
• 16:30 Estimating the output gap: A Kalman filter approach 1 by Ozer Karagedikli (RBNZ)
• 17:00 Estimating TFP Growth Using Dynamic Equilibrium Restrictions of the Solow Model by Debasis Bandyopadhyay (Univ. of Auckland)