Program

Venue: Business Faculty, 7th floor, WF Building, 42 Wakefield Street, Auckland

Friday: 19 August 2005

• 11:00 – 12:00 Registration
• 12:00 – 13:00 Lunch
• 13:00 – 13:30 Opening by Prof. Philip Sallis (Deputy Vice-Chancellor)
• 13:30 – 15:00 Session 1, Chair: Peter Phillips

Some Magic with Irrelevant Instruments,Peter Phillips (Yale University)
Data Compatibility and Fixed Effects Panel GMM with Small T,

Chirok Han (Victoria University of Wellington) and Peter Schmidt (Michigan
State University)
Discussant: Donggyu Sul

Some Properties of Tests for Possibly Unidentified Parameters,
Giovanni Forchini (Monash University)
Discussant: Jin Seo Cho

• 15:00 – 15:30 Tea/Coffee
• 15:30 – 17:00
  Session2, Chair: Donggyu Sul

A Robust Test for Long Memory,
David Harris (University of Melbourne), Steve Leybourne (University of
Nottingham) and Brendan McCabe (University of Liverpool)
Discussant: Jedrzej Bialkowski

Effects of Outliers on the Identification and Estimation of GARCH Models,
M. Angeles Carnero (Universidad de Alicante), Daniel Peña (Universidad
Carlos III de Madrid) and Esther Ruiz (Universidad Carlos III de Madrid)
Discussant: Bart Frijns

Testing for Unobserved Heterogeneity in Weibull and Exponential Duration Models,
Jin Seo Cho (Victoria University of Wellington)
Discussant: Peter Thomson

• 19:00 – Late Dinner sponsored by the Department of Finance at AUT

Saturday: 20 August 2005

• 08:30 – 09:00 Tea/Coffee
• 09:30 – 10:30 Session 3, Chair: Dimitri Margaritis

Fiscal policy and Economic Activity: U.S. Evidence,
K. Peren Arin (Massey University) and Faik Koray (Louisiana State
University)
Discussant: Weshah Razzak

Asymmetric Monetary Policy in Australia,
Shawn Chen-Yu Leu (La Trobe University) and Jeffrey Sheen (University of
Sydney)
Discussant: Dimitri Margaritis

New Panel Unit Root Tests Under Cross Section Dependence for
Practitioners,
Donggyu Sul (University of Auckland)
Discussant: Giovanni Forchini

• 10:30 – 11:00 Morning Tea
• 11:00 – 12:30 Session 4, Chair: Alireza Tourani-Rad

Is there Market Discipline for New Zealand Non-Bank Financial
Institutions?,
Kurt Hess (University of Waikato) and Gary Feng (University of Waikato)
Discussant: Alireza Tourani-Rad

A Yield Curve Perspective on the Forward Rate Unbiased Hypothesis,
Leo Krippner (AMP Capital and University of Waikato)
Discussant: Kam Fong Chan

Monetary Transmission and Interest Rate Pass-Through: Evidence from
New Zealand,
Ming-Hua Liu (Auckland University of Technology), Dimitri Margaritis
(Auckland University of Technology) and Alireza Tourani-Rad (Auckland
University of Technology)
Discussant: K. Peren Arin

• 12:30 – 13:30 Lunch
• 13:30 – 15:00 Session 5, Chair: John Gibson

Stochastic Models for Hydro Catchment Inflows; An Exploratory Analysis,
David Harte (Statistics Research Associates), Mark Pickup (Electricity
Commision), Peter Thomson (Statistics Research Associates)
Discussant: Kurt Hess

How Important is Selection in Estimating the Income Gains from
Migration?,
David McKenzie (Stanford University), John Gibson (University of
Canterbury) and Steven Stillman (Motu Economic and Public Policy Trust)
Discussant: Chirok Han

Income, Productivity and Real Interest Rate: Why are New Zealand and
Australia so Different?,
Weshah Razzak (Department of Labour)
Discussant: David McKenzie

• 15:00 – 15:30 Tea/coffee
• 15:30 – 17:00 Session 6, Chair: Bart Frijns

Decomposing volume for VWAP strategies,
Jedrzej Bialkowski (Auckland University of Technology), Serge Darolles
(Société Générale Asset Management AI Paris and CREST) and Gaëllle Le
Fol (Angers University, CREST and Europlace Institute of Finance)
Discussant: M. Angeles Carnero

A New Jump-Diffusion Model for Electricity Spot Prices with Extreme
Jumps,
Kam Fong Chan (University of Auckland) and Philip Gray (University of
Queensland)
Discussant: David Harris

Realized Variance in the Presence of Non-i.i.d. Microstructure Noise,
Bart Frijns (Auckland University of Technology) and Thorsten Lehnert
(Maastricht University)
Discussant: Peter Phillips

• 17:00 – 18:00 Paper Awards (sponsored by Reserve Bank of New Zealand) and Closing words by the Organizers.