29th Australian & New Zealand Econometric Study Group (ANZESG) Meeting

ANZESG meeting logos

Date: Thursday 14 and Friday 15 February 2019
Location: Level 7, Chartered Accountants New Zealand, 50 Customhouse Quay, Wellington CBD, New Zealand

ANZESG 2019 Conference Report

The 29th meeting of the Australia New Zealand Econometric Study Group (ANZESG) was hosted by The Reserve Bank of New Zealand of Economics on 14 and 15 February 2019 in Wellington. Since its foundation as the NZESG in 1997, the 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 local organising chair Leo Krippner was supported by the Reserve Bank’s Economics Department, and particularly Emma Clark who provided brilliant assistance prior to the meeting and throughout the proceedings.

The meeting received 37 submissions and all were initially invited to present. The final programme contained 26 papers that were presented in eight sessions over two days. The workshop retained its unique feature of a single stream, with 15 minute presentations, a discussant session of up to five minutes, and the remaining time for general questions and discussion. Time management was particularly effective this year, assisted by a computer count down and beeper system.

We received more than 30 submissions in a wide variety of econometric topics, theoretical and applied, and related to economics and finance. The resulting programme, and other notes, is below.


Programme

Session 1: Keynote 1

Session Chair: Leo Krippner

On multicointegration

Download the paper (PDF 607KB)

Presented by: Peter Phillips - Yale University

Discussant: Ryan Greenaway-McGrevy (University of Auckland)

Parametric Interference on the conditional mean of functional data

Download the paper (PDF 397KB)

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

Download the paper (PDF 314KB)

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

Download the paper (PDF 953 KB)

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

Download the paper (PDF 1.9MB)

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

Download the paper (PDF 1.47MB)

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

Download the paper (PDF 583KB)

Presented by: Christian Sintou - University of Glasgow

Discussant: Akwasi Ampofo (University of Adelaide

Adverse Selection in Australian private health insurance

Download the paper (PDF 1MB)

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

Download the paper (PDF 319KB)

Presented by: Leo Krippner - Reserve Bank of New Zealand

Discussant: Miguel Herculano (University of Glasgow)

Migration and business cycle dynamics

Download the paper (PDF 1.63MB)

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

Download the paper (PDF 520KB)

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

Download the paper (PDF 422KB)

Presented by: Ryan Greenaway-McGravy - 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

Download the paper (PDF 422KB)

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

Download the paper (PDF 741KB)

Presented by: Didier Nibbering - Monash University.

Discussant: Valentin Zelenyuk (University of Queensland)

Growth fragility and systemic risk under model uncertainty

Download the paper (PDF 884 KB)

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

Download the paper (PDF 998KB)

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

Download the paper (PDF 256 KB)

Presented by: Maxwell King - Monash University

Discussant: Kees Jan van Garderen (University of Amsterdam)

Similar tests for mediation effects and other hypotheses

Download the paper (PDF 3.19MB)

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 probit for time series: replication and extension of Kauppi and Saikkonen (2008)

Download the paper (PDF 442KB)

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)

Why don't agricultural prices always adjust towards parity?

Download the paper (PDF 986 KB)

Presented by: Long Vo - The University of Western Australia

Discussant: Thanh Ngo (Massey University)

Reserve price efficiency: Evidence from the fine art market

Download the paper (PDF 710KB)

Presented by: Tom Simpson - The 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

Download the Paper (PDF 570KB)

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

Download the paper (PDF 468KB)

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

Download the paper (PDF 532 KB)

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

Download the paper (PDF 111KB)

Presented by: Dang My Phuong Phan - University of Wollongong

Discussant: Weshah Razzak (Central Bank of Oman)