Friday, July 28

• 3:30 – 4:00 pm Afternoon Tea (Room 111)
• 4:00 – 4:05 pm Welcome: Peter Phillips and Alfred Haug
• 4:05 – 6:05 pm Session 1

Chair: Robin Harrison (University of Canterbury)

Aaron Smith (University of Virginia): “Random Mean Shifts: A Computationally Efficient Approach to Forecasting and Estimation”
Discussant: Richard Harris (University of Exeter)

George Pan (University of Technology, Sydney): “Estimation of Schwartz’s Commodity Future Pricing Models Using MCMC.” [text version of the paper’s abstract]
Discussant: Andrew Weiss (Victoria University of Wellington)

Cherif Guermat and Richard Harris (University of Exeter): “Estimating Value-at-Risk Using Discounted Maximum Likelihood”
Discussant: Wai Kin Choy (New Zealand Treasury)

Andrew Weiss (Victoria University of Wellington): “An Algorithm for Bayesian Analysis of Simultaneous Equations Systems and Structural VARs”
Discussant: John Landon-Lane (University of New South Wales)

• 7:00pm Dinner (restaurant to be decided at the meeting)

Saturday, July 29

• 9:30 – 10:00am Morning Tea (Room 111)
• 10:00 – 12:00 pm Session 2

Chair: Easaw Chacko (University of Canterbury)

John Landon-Lane (University of New South Wales): “Implications of Imposing Restrictions on Drift in a VAR”
Discussant: Aaron Smith (University of Virginia)

Kevin Fox (University of New South Wales), Quentin Grafton (University of Ottawa), Jim Kirkley (Virginia Institute of Marine Sciences), and Dale Squires (National Marine Fisheries Service): “Profits, Productivity and Index-Number Decompositions”
Discussant: Jeremy Clark (University of Canterbury)

Paul Cashin (IMF), John McDermott and Alasdair Scott (Reserve Bank of New Zealand): “The Myth of Co-Moving Commodity Prices”
Discussant: Jacques Poot (Victoria University of Wellington)

John Knight (University of Western Ontario), Fuchun Li (University College of the Cariboo), and Mingwei Yuan (Bank of Canada): “Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model”
Discussant: Ron Bewley (University of New South Wales)

• 12:00 – 1:00pm Lunch (Room 111)
• 1:00 – 3:00 pm Session 3

Chair: Alfred Haug (University of Canterbury)

Peter Phillips (University of Auckland/Yale University): “Empirical Limits in Econometrics”
Discussant: John Knight (University of Western Ontario)

Les Oxley (University of Waikato): “Identifying an Interest Rate Transmission Mechanism for New Zealand”
Discussant: Dorian Owen (University of Otago)

Leigh Roberts (Victoria University of Wellington): “Towards the Approximate Evaluation of Jack Polynominals”
Discussant: Marco Reale (University of Canterbury)

Rolf Fare, Shawna Grosskopf (Oregon State University), and Osman Zaim (Bilkent University): “An Index Number Approach to Measuring Environmental Performance: An Environmental Kuznets Curve for OECD Countries.”
Discussant: Kevin Fox (University of New South Wales)

• 3:00 – 3:20pm Afternoon Tea (Room 111)
• 3:20 – 4:50 pm Session 4

Chair: Les Oxley (University of Waikato)

Ron Bewley and Minxian Yang (University of New South Wales): “Testing for Structural Breaks in the Long-Run Means of VARs”
Discussant: Leigh Roberts (Victoria University of Wellington)

Graeme Guthrie (Victoria University of Wellington) and Julian Wright (University of Auckland): “Interest Rate Dynamics and Interest Rate Targeting”
Discussant: Christopher Plantier (Reserve Bank of New Zealand)

Weshah Razzak (Reserve Bank of New Zealand): “The Forward Rate Unbiasedness Hypothesis Revisited”
Discussant: Phil Meguire (University of Canterbury)

• 4:50 – 5:00pm Closing: Peter Phillips and Alfred Haug
• 6:00pm Dinner