Hosted by the Department of Economics, the University of Otago

Venue: Hutton Theatre, Otago Museum, 419 Great King Street

Day One: Friday 25 FEBRUARY

• 9:45 am Registration and Tea
• 10:20 am Welcome

Session 1: Econometric Theory I (10:30 am – 12:30 pm)

Chair: Alfred Haug (University of Otago)

Peter C. B. Phillips (Yale University, University of Auckland, University of Southampton & Singapore Management University) “Folklore Theorems, Implicit Maps and New Unit Root Limit Theory”

Discussant: Werner Ploberger (Washington University in St. Louis)

Masayuki Hirukawa (Setsunan University) and Yi Yu (Queen’s University) “Functional-Coefficient Cointegration Models in the Presence of Deterministic Trends”

Discussant: Peter Phillips (Yale University, University of Auckland, University of Southampton & Singapore Management University)

Bin Peng (Monash University) “Using GMM to Estimate the Error Cross-Sectional Dependence Panel Data Model”

Discussant: Firmin Doko Tchatoka (University of Tasmania)

Marine Carrasco (Université de Montréal), Liang Hu (University of Leeds) and Werner Ploberger (Washington University in St. Louis) “Consistency of Parametric Bootstrapping in Non-Pivotal Cases”
Discussant: Jin Seo Cho (Yonsei University)

Lunch 12:30 – 1:15 pm

Session 2: Forecasting Applications 1 (1:15 – 2:45 pm)

Chair: Lynda Sanderson (RBNZ & Waikato University)

Chris McDonald (RBNZ) and Leif Anders Thorsrud (Norges Bank & RBNZ) “Evaluating Density Forecasts: Model Combination Strategies versus the RBNZ”

Discussant: David Johnstone (University of Sydney)

Elodie Blanc (University of Otago) “Food Crop Supply in Sub-Saharan Africa and Climate Change: An Error Correction Model Approach”

Discussant: Robert Cairns (McGill University)

Sarah Drought and Chris McDonald (RBNZ), “Forecasting House Price Inflation: A Model Combination Approach”

Discussant: David Fielding (University of Otago)

Tea 2:45 – 3:15 pm

Session 3: Empirical Microeconomics (3:15 – 5:15 pm)

Chair: Steve Satchell (University of Cambridge & University of Sydney)

Rolf Färe (Oregon State University), Shawna Grosskopf (Oregon State University), Bart Frijns (Auckland University of Technology), Dimitri Margaritis (University of Auckland), “A Dynamic Malmquist Productivity Index”

Discussant: Mohammad Jaforullah (University of Otago)

Eldon Ball (ERS-USDA), Rolf Färe, Shawna Grosskopf (Oregon State University) and Dimitri Margaritis (University of Auckland), “R&D and U.S. Agricultural Productivity: A State Panel Approach”

Discussant: Yiğit Sağlam (Victoria University of Wellington)

Yiğit Sağlam (Victoria University of Wellington) “Dynamic Water Resource Management: Optimal Pricing of Water”

Discussant: Murat Genç (University of Otago)

Aurélia Lépine and Alexis Le Nestour (University of Otago) “Health Care Utilization in Rural Senegal: The Facts Before the Extension of Health Insurance to Farmers”

Discussant: Shawna Grosskopf (Oregon State University)

Conference Dinner at 7 pm – No 7 Balmac

Day Two: Saturday 26 FEBRUARY

Session 4: Econometric Theory II (8:30 – 10:30 am)

Chair: Werner Ploberger (Washington University in St. Louis)

Patrik Guggenberger (UCLA), Joaquim J.S. Ramalho (University of Evora) and Richard J. Smith (Cemmap, IFS, UCL & University of Cambridge) “GEL Statistics Under Weak Identification”

Discussant: Taesuk Lee (University of Auckland)

Jin Seo Cho (Yonsei University), Isao Ishida (Osaka University) and Halbert White (UCSD) “Revisiting Tests for Neglected Nonlinearity Using Artificial Neural Networks”

Discussant: Masayuki Hirukawa (Setsunan University)

Firmin Doko Tchatoka (University of Tasmania) “Subset Hypotheses Testing and Instrument Exclusion in the Linear IV Regression”

Discussant: Richard Smith (Cemmap, IFS, UCL & University of Cambridge)

Taesuk Lee (University of Auckland) and Werner Ploberger (Washington University in St. Louis) “Rate-optimal Tests for Jumps in Diffusion Processes”

Discussant: Bin Peng (Monash University)

 Tea 10:30 – 10:45 pm

Session 5: Issues in International Economics (10:45 – 12:15 pm)

Chair: Shawna Grosskopf (Oregon State University)

Robert Cairns (McGillUniversity) “Measurement of Traded and Non-Traded Capital”

Discussant: Rolf Färe (Oregon State University)

Richard Fabling (RBNZ & MOTU) and Lynda Sanderson (RBNZ & Waikato University) “Exporting and Performance: Market Entry, Expansion and Destination Characteristics”

Discussant: Chris Hajzler (University of Otago)

David O’Toole (University of Technology Sydney) “A Degree of Difficulty Measure for Markov Switching Trend Forecasts with an Application to Exchange Rates”

Discussant: Steve Satchell (University of Cambridge & University of Sydney)

Lunch 12:15 – 1:00 pm

Session 6: Empirical Finance (1:00 – 3:00 pm)

Chair: Richard Smith (Cemmap, IFS, UCL & University of Cambridge)

J.Hong (University of Cambridge) and Steve Satchell (University of Cambridge & University of Sydney) “The Sensitivity of Beta to the Time Horizon When Log Prices Follow an Ornstein-Uhlenbeck Process”

Discussant: José Da Fonseca (Auckland University of Technology)

David Johnstone (University of Sydney) “Log Optimal Economic Evaluation of Probability Forecasts”

Discussant: David O’Toole (University of Technology Sydney)

José Da Fonseca (Auckland University of Technology) “Wishart Affine Stochastic Correlation and Realized (Co)Variances: A Least Square Estimation Approach”

Discussant: Leo Krippner (RBNZ)

Leo Krippner (RBNZ) “A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models, and an Empirical Application to U.S. Yield Curve Dynamics”

Discussant: John Knight (University of Western Ontario)

Tea 3:00 – 3:20 pm

Session 7: Empirical Applications (3:20 – 4:50 pm)

Chair: Dorian Owen (University of Otago)

Mark Holmes (Waikato University), Jesús Otero (Universidad del Rosario)
and Theodore Panagiotidis (University of Macedonia) “To What Extent are US Regional Incomes Converging?”

Discussant: Andrew Coleman (University of Otago) 

David Fielding (University of Otago) “The Rise of the Court Jester: New Evidence on
Phanerozoic Macro-evolutionary Dynamics”

Discussant: Özer Karagedikli (RBNZ)

Özer Karagedikli (RBNZ) and Leif Anders Thorsrud (Norges Bank & RBNZ) “Shocked by the World! Introducing the Three Block Open Economy FAVAR”

Discussant: Mark Holmes (Waikato University)

Closing remarks (4:50 – 5:00 pm)