Programme

Venue: Lecture Room L4, L Block, Waikato University Campus (L Block is located beside the Library)

Day One: Friday, 3 August

• Welcome, 10:30
• Opening, 11:00
• Session 1: Friday August 3, 11:15 to 12:30
  Chair: David Mayes

Over the Hedge or Under It? Exporters’ Optimal and Selective Hedging Choices
Richard Fabling# and Arthur Grimes^
#Ministry of Economic Development
^Motu; University of Waikato

Measuring Firm-Level Volatility: the Case of Japan
Emmanuel De Veirman*
Reserve Bank of New Zealand

Do Financial Incentives affect the Quality of Expert Performance? Evidence from the Racetrack
Glenn Boyle
NZ Institute for the Study of Competition and Regulation,Victoria University of Wellington

• Lunch, 12-30 to 13-50, The Station Café, Hillcrest Road (1 min walk from L Block)
• Session 2: Friday August 3, 13:50 to 15:30
  Chair: Glenn Boyle

Politics, Stock Markets, and Model Uncertainty
K. Peren Arin, Alexander Molchanov*, and Otto Reich, Department of Commerce, Massey University, Auckland

Hidden Markov Models, Daily Returns and Asset Allocation
Jan Bulla*
School of Economics and Finance, Victoria University of Wellington

Estimation of Precautionary Demand Caused by Financial Shocks
Yoji Morita#, Shigeyoshi Miyagawa# and Jahanur Rahman^
#Department of Economics, Koyoto Gakuen University
^Department of Statistics, Rajshahi University

Explaining bank distress in Eastern European transition economies
Kadri Männasoo# and David G Mayes^
#Bank of Estonia
^Bank of Finland

• Afternoon Break 15:30 to 16:00
• Session 3: Friday August 3, 16:00 to 17:15
  Chair: John Gibson
  A further look at the WTP-space versus preference-space discrepancy in panel mixed logit models
  Ric Scarpa
  Waikato University

Surveying migrant households: a comparison of census-based, snowball, and intercept point surveys

David J. McKenzie and Johan Mistiaen
Development Research Group, World Bank

On The Dynamic of Search and Matching in New Zealand and Australia
W A Razzak
Labour Market Dynamics, Department of Labour, Wellington, New Zealand

• Optional dinner reservation has been made for Caffe Centrale, Alma Street (opposite Novotel) for 19:30.

Day Two: Saturday, 4 August

• Session 4: Saturday August 4, 09:15 to 10:55
  Chair: Weshah Razzak
  Can a multi-sectoral design improve indicator-based forecasts of the GDP growth rate? Evidence from Switzerland
  Michael Graff
  University of Queensland & ETH Zurich, KOF, Swiss Institute for Business Cycle Research

Assessing Inflation Targeting in Latin America within a New-Keynesian Macro model
Peter McMenamin*
School of Economics and Finance, Victoria University of Wellington

Augmented Solow Regression: Some Pitfalls and New Opportunities
Peter C.B. Phillips# and Donggyu Sul^
#Cowles Foundation, Yale University, University of Auckland & University of York
^Department of Economics, University of Auckland

• Morning Break 10:55 to 11:15
• Session 5: Saturday August 4, 11:15 to 13:05
  Chair: Les Oxley
  Dimension Reduction Using Inverse Regression and Nonparametric Factors
  Pian Chen* and Aaron Smith
  Department of Agricultural and Resource Economics, University of California, Davis

Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions
Seungmoon Choi*
School of Economics, University of Adelaide

Estimation and asymptotic theory for a new class of mixture models
Eduardo F. Mendes#*, Marcelo C. Medeiros^ and Alvaro Veiga^
#Department of Electrical Engineering, Pontifical Catholic University of Rio de Janeiro and Department of Economics, University of Canterbury
^Department of Electrical Engineering, Pontifical Catholic University of Rio de Janeiro
Estimation and Inference in Dynamic Panel Regressions under Cross Section Dependence
Ryan Greenaway-McGrevy, Chirok Han and Donggyu Sul
University of Auckland

• Lunch Break 13:05 to 14:00
• Session 6: Saturday August 4, 14:00 to 15:15
  Chair: Ryan Greenaway-McGrevy
  Realised volatility: long memory or shifting means? An empirical study
  William Rea*, Eduardo F. Mendes, Les Oxley and Marco Reale
  University of Canterbury

An analysis of tax revenue forecast errors
Martin Keene# and Peter Thomson^
#New Zealand Treasury
^Statistics Research Associates Ltd

Some new approaches to forecasting the price of electricity: a study of Californian market
Eduardo F. Mendes, Les Oxley and Marco Reale
University of Canterbury

• Conclusion of the NZESG, 15:15

* Contender for the RBNZ-NZESG award. The NZESG gratefully acknowledges the financial support of the Reserve Bank of New Zealand (RBNZ) in sponsoring the RBNZ-NZESG Awards in Econometrics to young researchers during 2007. We hope to make Awards to young econometricians at each of our NZESG meetings on the basis of research presented at an NZESG meeting. Awards will be accompanied by a cheque for $500.

To qualify for an NZESG Award, researchers should be either working towards a Ph.D or have completed doctoral research within the past two years.

Awards will be adjudicated by an appointed NZESG committee.