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Events calendar

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.

Published:
Past Event
Tuesday, 27 June 2006 to Wednesday, 28 June 2006
9:00 am - 5:00 pm
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)