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Recent developments in VAR methodology

This March 2005 workshop discussed recent developments within the economic vector autoregression (VAR) literature. The set of presented papers offered a broad range of insights regarding the current use of VAR methodology and where future directions might lead.The workshop was jointly organised by CAMA (the Centre for Applied Macroeconomic Analysis), the Federal Reserve Bank of Atlanta and the Reserve Bank of New Zealand.

Past Event
Friday, 20 May 2005 to Friday, 20 May 2005
9:00 am - 5:00 pm
Reserve Bank of New Zealand


Morning session

Session chair: Aaron Drew (Reserve Bank of New Zealand)

Some issues in using VARs for macroeconometric research
Presented by: Adrian Pagan (CAMA, ANU) joint with Renee Fry (CAMA, ANU)
Discussant: K Peren Arin (Massey University)

Efficient Bayesian inference for multiple change-point and mixture innovation models
Presented by: Paolo Giordani (UNSW)
Discussant: John Haywood (Victoria University of Wellington)

A, B, Cs (and Ds) for understanding VARs
Presented by: Juan Rubio-Ramirez (Federal Reserve Bank of Atlanta) with Jesus Fernandez-Villaverde (University of Pennsylvania) and Thomas Sargent (NYU)
Discussant: Vance Martin (University of Melbourne)

Afternoon session

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

Taking the S out of New Zealand SVARs
Presented by: Christie Smith (Reserve Bank of New Zealand)
Discussant: Renee Fry (CAMA, ANU)

Identifying the new Keynesian Phillips curve
Presented by: James Nason (Federal Reserve Bank of Atlanta) with Gregor W Smith (Queen's University)
Discussant: Kirdan Lees (Reserve Bank of New Zealand)