Program

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