Meeting 18 | New Zealand Econometric Study Group (NZESG)

NZESG 18th Meeting, University of Auckland

Programme

Full details of the conference programme is now available as a PDF document.

NZESG 18th Meeting Programme (110kB)

Day One: Friday, 7 March

Venue: Decima Glenn Room, Third Floor OGGB, Room 310

Reception: 12:30pm (Third Floor Social Bridge, OGGB)
OPENING: 1:00pm Basil Sharp (U Auckland)
SPECIAL SESSION I: 1:10 – 3:00pm, Room 310
Chair: YooSoon Chang (Texas A&M U)
Opening Remarks: Joon Y. Park (Texas A&M U)

“Finite Sample Econometrics,” John Chao (U of Maryland) and Grant Hillier (U of Southampton)

“Unit Root,” Zhijie Xiao (Boston College U)

“Linear Nonstationary Models,” Katsuto Tanaka (Hitotsubashi U)

Afternoon Tea: 3:00 – 3:30 PM (Restaurant Third Floor, Room 301)
Special Session II: 3:30 to 5:30 PM, Room 310
Chair: Vance Martin (U Melbourne)

“Nonlinear Nonstationary Models,” Joon Y. Park (Texas A&M U)

“Model Choice,” Werner Ploberger (Washington U)

“Panel Data Methods,” H. Roger Moon (U Southern California)

“Financial Econometrics,” Jun Yu (Singapore Management U)

Group Photo 5:30 – 5:45pm
Pre-dinner Drinks: 6:30 – 7:00pm, Restaurant, Third Floor (Room 301)
Conference Dinner: 7:00 – 9:00pm Chair: John McDermott (RBNZ), Room 310

Day Two: Saturday, 8 March

Venue: OGGB Rooms 310, 321 and 325

Breakfast: 8:30 – 9:00am (Decima Glenn Room 310)
SESSION 1: 9:00 – 10:15am, Chair: Dorian Owen (Otago), Room 325

“Home Wealth and Housing Service Consumption of the Elderly – Evidence from Australia,” Renuka Sane (UNSW)

“Returns to Scale, Technical Progress and Multifactor Productivity Growth in Australia’s Industries,” Thai V. Nguyen (UNSW)

“A Simple Efficient Instrumental Variable Estimator in Panel AR(p) Models,” Kazuhiko Hayakawa (Hitotsubashi)

Morning Tea: 10:15 – 10:45am (Decima Glenn Room 310)
SESSION 2: 10:45am – 12:00noon

Parallel Session 2A: Chair: Seungmoon Choi (Adelaide), Room 325

“Exploiting the GARCH Effects to Test for Cointegrating Rank,” Chor-yiu Sin (Xiamen) and S. Ling (HKUST)

“Semiparametric Estimation in Nonlinear Simultaneous Time Series Models,” Jiti Gao (Adelaide) and Peter C.B. Phillips

“Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions,” Seungmoon Choi (Adelaide)

Parallel Session 2B: Chair: Viv Hall (Victoria), Room 321

“Model Selection, Estimation and Forecasting in VAR Models with Short- and Long-run Restrictions: A Monte Carlo Study,” O.T. Carvalho Guillen (C Bank of Brazil), J.V. Issler (EPGE), G. Athanasopoulos (Monash) and Farshid Vahid (ANU)

“Dynamic Macroeconometric Modelling: Evidence on the Brazilian Monetary System,” Wilson L. Rotatori (Federal University of Sao Joao del Rei) and Jan M. Podivinsky (Southampton)

“Unobserved Components Business Cycles for New Zealand. What Are They, and What Might Drive Them?” Viv B. Hall (Victoria) and C. John McDermott (RBNZ)

Lunch 12:00noon – 1:30pm (Decima Glenn Room 310)
SESSION 3: 1:30 – 3:10pm

Parallel Session 3A: Chair: Johannes Van Biesebroeck (Toronto), Room 325

“Estimators for Long Range Dependence: An Empirical Study,” William Rea, Marco Reale and Jennifer Brown (University of Canterbury)

“The Impact of Asset Prices and Their Information Value for Monetary Policy,” David G. Mayes (Auckland) and Matti Vrien (Turku)

“Linear or Nonlinear Cointegration in the PPP relationship?” Alfred Haug (Otago) and S.A. Basher (York)

“Trade Growth Following the African Growth and Opportunity Act,” Garth Frazer (University of Toronto) and Johannes Van Biesebroeck (Toronto)

Parallel Session 3B: Chair: Giovanni Forchini (Monash), Room 321

“The Asymptotic Distribution of the TSLS Estimator Corrected for a Large Number of Instruments under Partial Identification,”, Giovanni Forchini (Monash)

“A Simple Panel Stationary Test in the Presence of Cross-section Dependence,” Kaddour Hadri (Durham) and Eiji Kurozumi (Hitotsubashi)

“Testing for Hidden Markov Switching,” Jin Seo Cho (Victoria) and Robert B. Davies (SRA)

“Redundancy of Moment Conditions for Restricted GMM Estimation,” Hailong Qian (Saint Louis)

Afternoon Tea 3:10 – 3:40pm (Decima Glenn Room 310)
SESSION 4: 3:40 – 5:25pm

Parallel Session 4A: Chair: Pian Chen (Victoria), Room 325

“Testing for the Mixture Hypothesis with Misspecified Distributions in Exponential Family,” Jin Seo Cho (Vitoria) and Halbert White (UCSD)

“Testing Distributional Inequalities and Asymptotic Bias,” Kevin Song (U Penn)

“Nonparametric Local Rank Test and Reverse Demand Modeling Strategy,” Pian Chen (Victoria)

Parallel Session 4B: Chair: Liana Jacobi (Melbourne), Room 321

“Estimating Demand with Distance Functions: Parameterization in the Primal and Dual,” R. Fare (Oregon), S. Grosskopf (Oregon), K.J. Hayes (Southern Methodist Univ) and Dimitris Margaritis (AUT)

“The impacts of International Migration on Remaining Household Members: Omnibus Results from a Migration Lottery Program,” John Gibson (Waikato), David McKenzie (DRG), Steven Stillman (MOTU)

“Hard Drug Uptake among Cannabis Users: A Bayesian Analysis,” A.L. Bretteville-Jensen (SIRUS) and Liana Jacobi (Melbourne)

Conference Dinner: From 8:15pm
Venue: Fortuna Buffet Restaurant, SkyCity 2nd Floor

Day Three: Sunday, 9 March

Venue: OGGB Rooms 310, 321, 325

Breakfast: 8:30 – 9:00am (Decima Glenn Room 310)
SESSION 5: 9:00 – 9:50am Chair: Erwann Sbai (Auckland), Room 325

“GARCH Process with Persistent Covariates,” Heejoon Han (National U Singapore)

“Partial Likelihood Ratio-Based Scoring Rules for Evaluating Density Forecasts in Tails,” C. Diks (Amsterdam), Valentyn Panchenko (UNSW) and D. Dijk (Rotterdam)

Morning Tea: 9:50 – 10:15am, Decima Glenn Room 310
Announcement of 2008 RBNZ-NZESG Awards: 10:15 – 10:30am
SESSION 6: 10:30 – 11:45am, Chair: Peter C. B. Phillips, Room 325

“Using Kalman Filter to Extract and Test for Common Stochastic Trends,” Yoosoon Chang (Texas A&M), Bibo Jiang (Rice) and Joon Park (Texas A&M)

“Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression,” Qiying Wang (Sydney) and Peter C.B. Phillips

“Dynamic Panel Regressions for Differences-In-Differences Estimates,” Chirok Han, Peter C.B. Phillips, and Donggyu Sul (Auckland)

Closing Remark: 11:45am, Les Oxley (U of Canterbury), Room 325

Report

The Special 18th Meeting of the New Zealand Econometric Study Group (NZESG) in honor of Peter C.B. Phillips, 7-9 March 2008, University of Auckland, Auckland

The 18th meeting of the New Zealand Econometric Study Group in honor of Peter C.B. Phillips was held at University of Auckland on 7-9th March 2008. The meeting was hosted by the Department of Economics and the venue was in Owen G. Glen Building. The programme chairs were Chirok Han and Donggyu Sul. The conference consisted of two parts. On the first day, seven special invitees reviewed 38 years of Peter’s works. On the second and third day, 27 papers presented on a wide range of topics in theoretical to applied econometrics. Taking part were 51 participants from Australia, Canada, China, Japan, Singapore, the UK, the USA, as well as scholars from most New Zealand universities, the Reserve Bank of New Zealand, and MOTU.

Peter C.B. Phillips, his daughter Lara and his wife Debora Blood.

The conference began with Basil Sharp’s opening speech and ended with Les Oxley’s closing remarks to celebrate Peter’s 60th birthday. At the first conference dinner, Peter gave an unforgettable special speech “Unit Roots in Life: Places & People”. This was an excellent and moving speech about his parents, his childhood, his teachers, students, and the places he has loved and worked in.

This year, five presenters were eligible for the RBNZ-NZESG Award. Papers and presentations were of a very high quality and a joint award was made to Renuka Sane (UNSW), Kazuhiko Hayakawa (Hitotsubashi), and Heejoon Han (National Singapore University).

Renuka Sane and Peter C.B. Phillips Kazuhiko Hayakawa and Peter C.B. Phillips Heejoon Han and Peter C.B. Phillips

NZESG 18th Meeting, University of Auckland

Programme

Report

After Meeting

Downloads

Final Booklet

Keynote Speech (Under Construction: Coming Up Soon)