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22nd New Zealand Econometrics Study Group programme

This February 2012 seminar was the 22nd NZESG meeting and was held over two days and covered topics relating to econometrics

Past Event
Thursday, 23 February 2012 to Friday, 24 February 2012
6:00 pm
Reserve Bank of New Zealand

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

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)