Hosted by the Reserve Bank of New Zealand and the Victoria University of Wellington School of Economics and Finance

Day One: Thursday, 23 FEBRUARY

• 9:00 – 9:30 am Registration and tea / coffee
• 9:30 – 9:40 am Welcome

Session 1: time series methods and applications (9:40 – 10:55 am)
Chair: Claus, Iris

Phillips, Peter “Automated Estimation of VECM Systems”

Baur, Dirk “Safe Haven Assets and Investor Behaviour under Uncertainty”

Tran, Duy “The Long-Run Relationship of Gold and Silver and the Influence of Bubbles and Crisis Periods”

• 10:55 – 11:15 am Morning break

Session 2: diagnostics and testing (11:15 am – 12:30 pm)
Chair: Harding, Don

Pauwels, Laurent “Testing for Structural Change in Binary Choice Models With Autocorrelation”

Whitby, Andrew “A Joint Chow Test for Structural Instability”

Doko Tchatoka, Firmin “Testing for Partial Exogeneity With Weak Instruments”

• 12:30 – 1:30 pm Lunch break

Session 3: macroeconomic applications (1:30 – 3:10 pm)
Chair: Krippner, Leo

Groshenny, Nicolas “Mismatch Shocks and the Natural Rate of Unemployment During the Great Recession”
Harding, Don “Evidence on Multiple Equilibria in the United States Unemployment Rate”
Haug, Alfred “Empirical Evidence on Inflation and Unemployment in the Long Run”
Claus, Iris “Government Fiscal Policies and Redistribution in Asian Countries”

• 3:10 – 3:30 pm Afternoon break

Session 4: time series methods (3:30 – 4:45 pm)
Chair: Haug, Alfred

Chen, Ye “Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models”
Da Fonseca, Jose “Distribution of the Least‐Squares Estimator for Diffusion Processes”
Proietti, Tommaso “The Exponential Model for the Spectrum of a Time Series: Extensions and Applications”

• 7:00 pm Dinner

Day Two: Friday, 24 FEBRUARY

• 9:15 am Tea / Coffee

Session 5: assorted methods and applications (9:40 – 10:55 am)
Chair: Hazledine, Tim

Yu, Ping “Identification in Regression Discontinuity Designs with Measurement Error”
Hounkannounon, Bertrand “Bootstrapping Differences-In-Differences Estimates”
Taesuk Lee “Nonmonotonic Standardized Bias of Bipower Variation in Volatile and Fast Mean-reverting Stochastic Volatility Processes”

• 10:55 am Morning break

Session 6: Bayesian and copula methods (11:15 am – 12:30 pm)
Chair: Reale, Marco

Ouysse, Rachida “Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models”
Panchenko, Valentyn “Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support”
Reale, Marco “Graphical models for structural VARMA representations”

• 12:30 – 1:30 pm Lunch break

Session 7: assorted applications (1:30 – 2:45 pm)
Chair: Mayes, David

Chun, Natalie “Manufacturing Dynamism and the Welfare of Workers and Households in India”
Hazledine, Tim “Unravelling Financial Sector Rents”
Sin, Isabelle “Book Translations as Idea Flows: The Effects of the Collapse of Communism on the Diffusion of Knowledge”

• 2:45 – 3:05 pm Afternoon break

Session 8: monetary policy applications (3:05 – 3:55 pm)
Chair: Groshenny, Nicolas

Krippner, Leo “Modifying Gaussian term structure models when interest rates are near the zero lower bound”
Mayes, David “Monetary Policy Announcements and Stock Reactions: An International Comparison”

• 3:55 – 4:05 pm RBNZ-NZESG presentation
• 4:05 pm Final comments and end of meeting