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29th ANZESG meeting

We hosted a workshop in February 2019 for the 29th meeting of the Australian and New Zealand Econometric Study Group (ANZESG). This meeting has been a regular forum for econometricians to present and discuss their work.

Past Event
Level 7, Chartered Accountants New Zealand, 50 Customhouse Quay, Wellington CBD, New Zealand

ANZESG 2019 Conference Report

Since its foundation as the NZESG in 1997, the ANZESG meeting has been a regular forum for econometricians from Australia and New Zealand, combined with many visitors from further afield in Asia, North America and Europe, to present and discuss their work.

The Programme Chairs for the 2019 meeting were Peter Phillips (Yale University and the University of Auckland) and Leo Krippner (The Reserve Bank of New Zealand). 

The meeting received 37 submissions and all were initially invited to present. The final programme contained 26 papers that were presented in 8 sessions over 2 days. 


Session 1: Keynote 1

Session chair: Leo Krippner

On multicointegration
Presented by: Peter Phillips (Yale University)
Discussant: Ryan Greenaway-McGrevy (University of Auckland)

Parametric interference on the conditional mean of functional data
Presented by: Jin Sep Cho (Yonsei University)
Co-authored by: Juwon Seo (National University of Singapore)
Discussant: Ying Wang (University of Auckland)

A doubly correct robust variance estimator for linear GMM
Presented by: Seojeong Lee (University of New South Wales)
Co-authored by: Jungbin Hwang (University of Connecticut) and Byunghoon Kang (Lancaster University)
Discussant: Richard Smith (University of Cambridge)

The productivity of Italian courts of justice: an equilibrium analysis of supply policies
Presented by: Antonio Peyrache (University of Queensland)
Discussant: Christiana Sintou (University of Glasgow)

Session 2

Session chair: Stan Hurn

Dutch disease in Australia: a structural VAR model with multi-sector
Presented by: Farhana Abedin (University of Adelaide)
Discussant: Leo Krippner (Reserve Bank of New Zealand)

The effects of oil extraction on household wellbeing: evidence from Ghana
Presented by: Akwasu Ampofo (University of Adelaide)
Discussant: Nary Hong (University of New South Wales)

Political attitudes in time of crisis: the role of financial literacy
Presented by: Christian Sintou (University of Glasgow)
Discussant: Akwasi Ampofo (University of Adelaide)

Adverse selection in Australian private health insurance
Presented by: Lan Nguyen (Griffith University)
Co-authored by: Andrew C Worthington
Discussant: Farhand Abedin (University of Adelaide)

Session 3

Session chair: Miguel Herculano

Will the real eigensystem VAR please stand up? A univariate primer
Presented by: Leo Krippner (Reserve Bank of New Zealand)
Discussant: Miguel Herculano (University of Glasgow)

Migration and business cycle dynamics
Presented by: Christie Smith (Reserve Bank of New Zealand)
Co-authored by: Christoph Thoenissen
Discussant: Antonio Peyrache (University of Queensland)

A regime-switching stochastic volatility model for forecasting electricity prices
Presented by: Peter Exterkate (University of Sydney)
Co-authored by: Oskar Knapik (Aarhus University)
Discussant: Christie Smith (Reserve Bank of New Zealand)

Forecasting averaging with panel data vector auto regressions
Presented by: Ryan Greenaway-McGrevy (University of Auckland)
Discussant: Didier Nibbering (Monash University)

Session 4

Session Chair: Peter Exterkate

Improved estimators for measuring correlations between integrated variables in a non-cointegrated functional – coefficient model
Presented by: Yin Wang (University of Auckland)
Co-authored by: Peter C B Phillips (Yale University, University of Auckland, University of Southampton, Singapore Management University) and Yundong Tu (Peking University)
Discussant: Jin Seo Cho (Yonsei University)

A high-dimensional multinomial choice model with an application to holiday destinations
Presented by: Didier Nibbering (Monash University)
Discussant: Valentin Zelenyuk (University of Queensland)

Growth fragility and systemic risk under model uncertainty
Presented by: Miguel Herculano (University of Glasgow)
Discussant: Severin Bernhard (Reserve Bank of New Zealand)

Session 5

Session Chair: Ryan Greenaway-McGrevy

Kernel block bootstrap
Presented by: Richard Smith (University of Cambridge)
Co-authored by: Paulo M D C Parente (ISEG – Lisbon School of Economics and Management)
Discussant: Seojeong Lee (University of New South Wales)

Hypothesis testing based on a vector of statistics
Presented by: Maxwell King (Monash University)
Discussant: Kees Jan van Garderen (University of Amsterdam)

Similar tests for mediation effects and other hypotheses
Presented by: Kees Jan van Garderen (University of Amsterdam)
Co-authored by: Noud van Giersbergen and Hans van Ophem (University of Amsterdam)
Discussant: Maxwell King (Monash University)

Session 6

Session Chair: Seojeong Lee

Forecasting of recessions via dynamic profit for time series: replication and extension of Kauppi and Saikkonen (2008)
Presented by: Valentin Zelenyuk (University of Queensland)
Co-authored by: Byeong U Park (Seoul National University) and Leopold Simar (University of Queensland)
Discussant: Stan Hurn (Queensland University of Technology)

Reserve price efficiency: Evidence from the fine art market
Presented by: Tom Simpson (University of Western Australia)
Discussant: Adam Gorajek (Reserve Bank of Australia)

International trade and the well-meaning economist
Presented by: Adam Gorajek (Reserve Bank of Australia)
Discussant: Lan Nguyen (Griffith University)

Session 7

Session Chair: Valentin Zelenyuk

International productivity growth differentials and global scientific research efforts
Presented by: Weshah Razzak (Central Bank of Oman)
Discussant: Peter Exterkate (University of Sydney)

Who receivers government benefits: the effect of reading and writing assistance on take-up of disability support pension
Presented by: Nary Hong (University of New South Wales)
Discussant: Tom Simpson (University of Western Australia)

Session 8

Session Chair: Christie Smith

Determinants of airport efficiency: a case study of a tourism receiving country
Presented by: Thanh Ngo (Massey University)
Co-authored by: Kan Tsui (School of Aviation, Massey University)
Discussant: Dang My Phuong Phan (University of Wollongong)

The causality between exporting and firm productivity in Vietnamese manufacturing sector
Presented by: Dang My Phuong Phan (University of Wollongong)
Discussant: Weshah Razzak (Central Bank of Oman)