Hosted by the Department of Finance, AUT University

Venue: AUT Business School – WF Building

Organising Committee: Peter Phillips (Yale University), Bart Frijns and Dimitris Margaritis (AUT University)

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Day One: Friday 26 FEBRUARY

• 13:30 — 14:15 Lunch – WF Level 9
• 14:15 — 16:00 Frontier Estimation and Functional Forms
  SESSION CHAIR: Peter Phillips, Yale University

“Nonparametric stochastic frontier estimation via profile likelihood”

Carlos Martins-Filho^a ,Feng Yao^b

^a University of Colorado

^b West Virginia University

Discussant: Peter Phillips, Yale University

“Generalized quadratic revenue functions”

R. Chambers^a, R. Färe^b, S. Grosskopf^b, M. Vardanyan^c

^a University of Maryland

^b Oregon State University

^c University of Luxembourg

Discussant: Erwin Diewert, UBC

“Stochastic frontiers with bounded inefficiency”

Pavlos Almanidis^a, Junhui Qian^b, Robin C. Sickles^a

^a Rice University

^b Shanghai Jiao Tong University

Discussant: Carlos Martins-Filho, University of Colorado

• 16:00 — 16:15 Coffee Break
• 16:15 — 17:45 Econometric Methods 1
  SESSION CHAIR: Robin Sickles, Rice University

“Dating the timeline of financial bubbles during the subprime crisis”

Peter C. B. Phillips^a, Jun Yub

^aYale University

^bSingapore Management University

Discussant: Robin Sickles, Rice University

“Distributions and moments of ratio statistics associated with quadratic functionals of the ordinary and fractional Brownian motions”

Katsuto Tanaka, Hitotsubashi University

Discussant: Rainer Winkelman, University of Zurich

“Quasi-likelihood estimation of zero-inflated count models”

Kevin E. Staub^a, Rainer Winkelmann^b

^aUniversity of Zurich

^bUniversity of Zurich and IZA

Discussant: Katsuto Tanaka, Hitotsubashi University

• 18:45 — 22:00 Dinner – Khao Restaurant Cnr Chancery and O’Connell St
  www.khao.co.nz

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Day Two: Saturday 27 FEBRUARY

• 9:00 — 11:00 Econometric Methods 2
  SESSION CHAIR: Dorian Owen, University of Otago

“Median-unbiased estimation of structural change models: An application to PPP”

Hatice Ozer Balli^a, Chris J. Murray^b, David H. Papell^b

^aMassey University

^bUniversity of Houston

“Pitfalls in using the relative standard deviation of win percentages to measure competitive balance in sports leagues”

P. Dorian Owen

University of Otago

Discussant: Peiming Wang, AUT

“A hidden Markov zero-inflated bivariate Gaussian-copula negative binomial model for analysis of indivisibility of M&A FDI”

Peiming Wang^a, Peter X.K. Song^b, Joseph D. Alba^c

^aAUT University

^bUniversity of Michigan

^cNanyang Technological University, Singapore

Discussant: Christie Smith, RBNZ

“Weights and pools in Norwegian density combination”

Hilde Bjornland^a, Karsten Gerdrup^b, Anne Sofie Jore^b, Christie Smith^c, Leif Anders Thorsrud^b

^aNorwegian School of Management and Norges Bank,

^bNorges Bank.

^cReserve Bank of New Zealand

Discussant: Dorian Owen, University of Otago

• 11:00 — 11:15 Coffee Break
• 11:15 — 13:15 Econometric Methods 3
  SESSION CHAIR: Tim Maloney, AUT

“Measuring the impact of switching to all multiple-choice assessments: A resampling approach”

Stephen Hickson, W. Robert Reed, Nick Sander

University of Canterbury

Discussant: Tim Maloney, AUT

“The eigensystem vector autogression model”

Leo Krippner

Reserve Bank of New Zealand

Discussant: Jose de Fonseca, AUT

“Threshold regression with weak and strong identifications”

Ping Yu

University of Auckland

“The risk of beta – investor learning and prospect theory”

Dirk Baur

University of Technology Sydney

Discussant: Leo Krippner, RBNZ

• 13:15 — 14:00 Lunch – WF Level 9
• 14:00 — 16:15 Econometric Applications

SESSION CHAIR: David G Mayes, University of Auckland

Understanding Homeland Security:

Theory and UK-Evidence

K. Peren Arin^a,b, Oliver Lorz^c , Otto F.M. Reich^a, N. Spagnolob^d

^aMassey University

^bCentre for Applied Macroeconomic Analysis (CAMA), Canberra

^cAachen University, ^dBrunel University

Discussant: W. Robert Reed, University of Canterbury

“The quality of monetary policy and inflation performance: Globalization and its aftermath”

Martin T Bohl^a, David G Mayes^b, Pierre L Siklos^c

^aUniversity of Münster

^bUniversity of Auckland

^cWilfrid Laurier University

Discussant: Özer Karagedikli, RBNZ

“Does the kiwi fly when the kangaroo jumps? The effect of Australian macroeconomic news on the New Zealand dollar”

Andrew Coleman, Özer Karagedikli

Reserve Bank of New Zealand

Discussant: Amila Karic, La Trobe University

“Euro/US Dollar Exchange Rate – Econometric vs Time Series Models”

Amila Karic

La Trobe University

Discussant: Otto Reich, Massey University

“Should we care about the composition of tax-based stimulus packages? An empirical investigation”

K. Peren Arin^a, Peter. H. Helles^b, Otto F. M. Reich^a

^aMassey University

^bCentre for Applied Macroeconomic Analysis (CAMA), Canberra

Discussant: David G Mayes , University of Auckland

• 16:15 — 16:30 RBNZ-NZESG Award Presentation