Programme for 23 February
Session one: time series methods and applications
Automated estimation of VECM systems
Presented by: Peter Phillips (Yale University)
Discussant: Leo Krippner
- Download the paper (PDF 463KB)
Safe haven assets and investor behaviour under uncertainty
Presented by: Dirk Baur (University of Technology, Sydney)
Discussant: Natalie Chun
- Download the paper (PDF 1MB)
The long-run relationship of gold and silver and the influence of bubbles and crisis periods
Presented by: Duy Tran (University of Technology, Sydney)
Discussant: Marco Reale
- Download the paper (PDF 367KB)
Session two: diagnostics and testing
Testing for structural change in binary choice models with autocorrelation
Presented by: Laurent Pauwels (University of Sydney)
Discussant: Valentyn Panchenko
- Download the paper (PDF 595KB)
A joint chow test for structural instability
Presented by: Andrew Whitby
Discussant: Laurent Pauwels
- Download the paper (PDF 299KB)
Testing for partial exogeneity with weak instruments
Presented by: Firmin Doko Tchatoka (University of Tasmania)
Discussant: Ye Chen
- Download the paper (PDF 347KB)
Session three: macroeconomic applications
Mismatch shocks and the natural rate of unemployment during the great recession
Presented by: Nicolas Groshenny (Reserve Bank of New Zealand)
Discussant: Don Harding (La Trobe University)
- Download the paper (PDF (1.3MB)
Evidence on multiple equilibria in the United States unemployment rate
Presented by: Don Harding (La Trobe University)
Discussant: Alfred Haug (University of Otago)
- Download the paper (PDF 198KB)
Empirical evidence on inflation and unemployment in the long run
Presented by: Alfred Haug (University of Otago)
Discussant: Nicolas Groshenny (Reserve Bank of New Zealand)
- Download the paper (PDF 335KB)
Government fiscal policies and redistribution in Asian countries
Presented by: Iris Claus (Asian Development Bank)
Discussant: Dean Hyslop
- Download the paper (PDF 248KB)
Session four: time series methods
Optimal jackknife for discrete time and continuous time unit root models
Presented by: Ye Chen (Singapore Management University)
Discussant: Ping Yu
- Download the paper (PDF 225KB)
Some closed-form solutions for the asymptotic distribution of the least-squares estimator for diffusion process
Presented by: Jose Da Fonseca (Auckland University of Technology)
Discussant: Bertrand Hounkannounon (Universite de Montreal)
- Download the paper (PDF 361KB)
The exponential model for the spectrum of a time series: Extensions and applications
Presented by: Tommaso Proietti (University of Sydney)
Discussant: Rachida Ouysse
- Download the paper (PDF 601KB)
Programme for 24 February
Session five: assorted methods and applications
Identification in regression discontinuity designs with measurement error
Presented by: Ping Yu (University of Auckland)
Discussant: Andrew Whitby
- Download the paper (PDF 1MB)
Bootstrapping differences-in-differences estimates
Presented by: Bertrand Hounkannounon (Universite de Montreal)
Discussant: Tommaso Proietti
- Download the paper (PDF 205KB)
Nonmonotonic standardised bias of bipower variation in volatile and fast mean-reverting stochastic volatility processes
Presented by: Taesuk Lee (University of Auckland)
Discussant: Jose Da Fonseca
- Download the paper (PDF 448KB)
Session six: Bayesian and copula methods
Comparison of Bayesian moving average and principal component forecasts for large dimensional factor models
Presented by: Rachida Ouysse (University of New South Wales)
Discussant: Mohamad Khaled
- Download the paper (PDF 237KB)
Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support
Presented by: Valentyn Panchenko (University of New South Wales)
Discussant: Taesuk Lee
- Download the paper (PDF 851KB)
Estimation of copula models with discrete margins via Bayesian data augmentation
Presented by: Mohamad Khaled (University of Sydney)
Discussant: Firmin Doko Tchatoka
- Download the paper (PDF 255KB)
Session seven: assorted applications
Does manufacturing firm diversification, concentration and urbanisation increase the welfare of workers and households in India?
Presented by: Natalie Chun (Asian Development Bank)
Discussant: Isabelle Sin (Motu Economic and Public Policy Research)
- Download the paper (PDF 130KB)
Unravelling financial sector rents
Presented by: Tim Hazledine (University of Auckland)
Discussant: Dirk Baur
- Download the paper (PDF 268KB)
Book translations as idea flows: The effects of the collapse of communism on the diffusion of knowledge
Presented by: Isabelle Sin (Motu Economic and Public Policy Research)
Discussant: Tim Hazledine (University of Auckland)
- Download the paper (PDF 861KB)
Session eight: monetary policy applications
Modifying Gaussian term structure models when interest rates are near zero lower bound
Presented by: Leo Krippner (Reserve Bank of New Zealand)
Discussant: David Mayes (University of Auckland)
- Download the paper (PDF 415KB)
Monetary policy announcements and stock reactions: An international comparison
Presented by: David Mayes (University of Auckland)
Discussant: Iris Claus
- Download the paper (PDF 151KB)