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Macro econometrics and model uncertainty conference

This June 2006 conference was a joint workshop between us and CAMA (the Centre for Applied Macroeconomic Analysis). The papers in this conference use a wide variety of methods including Bayesian estimation, Bayesian model averaging and forecast averaging to account for this uncertainty.

Past Event
Reserve Bank of New Zealand

Programme for Tuesday 27 June

Session 1

Session chair: Grant Spencer (Reserve Bank of New Zealand)

Opening comments by Grant Spencer, Head of Economics, RBN

Monetary policy and uncertainty in an empirical small open economy model
Presented by: Alejandro Justiniano (BoG FRS) and Bruce Preston (Columbia)
Discussant: Domenico Giannone (UL de Bruxelles, ECARES)

Session 2

Session chair: Christie Smith (Reserve Bank of New Zealand)

Econometric issues arising from DSGE models
Presented by: Martin Fukac (CNB), Adrian Pagan (ANU, CAMA and QUT) and Vlad Pavlov (CAMA and QUT)
Discussant: Kirdan Lees (Reserve Bank of New Zealand)

Policy shifts, heteroskedasticity and the Lucas critique
Presented by: Thomas A Lubik (JHU) and Paolo Surico (BoE and University of Bari)
Discussant: Tim Kam (ANU, CAMA)

Session 3

Session chair: Shaun Vahey (Reserve Bank of New Zealand)

Averaging forecasts from VARs with uncertain instabilities
Presented by: Todd E Clark (FRB Kansas) and Michael W McCracken (BoG FRS)
Discussant: Christie Smith (Reserve Bank of New Zealand)

Forecasting the frequency of recessions
Presented by: Simon Potter (FRB New York)
Discussant: Heather Anderson (ANU, CAMA)

Session 4

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?
Presented by: Christine De Mol (Universite Libre de Bruxelles, ECARES),
Domenico Giannone (Universite Libre de Bruxelles, ECARES), and Lucrezia Reichlin (ECB, ECARES and CEPR)
Discussant: Farshid Vahid (ANU, CAMA)

Bayesian inference in a cointegrating panel data model
Presented by: Gary Koop (Strathclyde), Roberto Leon-Gonzalez (Leicester), and Rodney W Strachan (Leicester)
Discussant: Shaun Vahey (Reserve Bank of New Zealand)

Programme for Wednesday 28 June

Keynote speaker at NZAE: Lucrezia Reichlin 

Monetary Policy in Real Time: Exploiting Large Datasets to Understand Signals from Output and Inflation

Session 1

Session chair: Shaun Vahey (Reserve Bank of New Zealand)

Smooth operators and the New Zealand current account
Presented by: Anella Munro (Reserve Bank of New Zealand) and Rishab Sethi (Reserve Bank of New Zealand)
Discussant: Thomas A Lubik (JHU)

Forecasting substantial data revisions in the presence of model uncertainty
Presented by: Anthony Garratt (Birkbeck), Gary Koop (Strathclyde) and Shaun Vahey (Reserve Bank of New Zealand)
Discussant: Norman Swanson (Rutgers)