Macro econometrics and model uncertainty conference

CAMA

                                                                        

RBNZ

Conference on Tuesday 27 and Wednesday 28 June 2006

Joint with CAMA, The Australian National University

Econometricians take a variety of approaches to deal with model uncertainty.  The papers in this conference utilise a wide variety of methods including Bayesian estimation, Bayesian model averaging, and forecast averaging to account for this uncertainty.   The techniques are applied to an assortment of contemporary macroeconomic policy and forecasting issues.  

Conference Programme
Tuesday 27 June 2006, Reserve Bank of New Zealand (RBNZ)

8.15 am

Coffee

Session chair: Grant Spencer (RBNZ)

8.30

Opening comments by Grant Spencer, Head of Economics, RBNZ

8.45

Alejandro Justiniano (BoG FRS) and Bruce Preston (Columbia)

"Monetary Policy and Uncertainty in an Empirical Small Open Economy Model" (PDF 350KB)

9.20

9.30

Discussant – Domenico Giannone (UL de Bruxelles, ECARES)

General discussion

9:45

Morning tea

Session chair: Christie Smith (RBNZ)

10.00

Martin Fukac (CNB), Adrian Pagan (ANU, CAMA and QUT) and Vlad Pavlov (CAMA and QUT)

"Econometric Issues Arising from DSGE Models" (PDF 456KB)

10.35

10:45

Discussant – Kirdan Lees (RBNZ)

General discussion

11.00

Thomas A Lubik (JHU) and Paolo Surico (BoE and University of Bari)

"Policy Shifts, Heteroskedasticity and the Lucas Critique" (PDF 235KB)

11:35

Discussant – Tim Kam (ANU, CAMA)

11:45

General discussion

12.00

Lunch

Session chair: Shaun Vahey (RBNZ)

1.00

Todd E Clark (FRB Kansas) and Michael W McCracken (BoG FRS)

"Averaging Forecasts from VARs with Uncertain Instabilities" (PDF 960KB)

1.35

1.45

Discussant – Christie Smith (RBNZ)

General discussion

2.00

Simon Potter (FRB New York)

"Forecasting the Frequency of Recessions" (PDF 548KB)

2.35

2.45

Discussant – Heather Anderson (ANU, CAMA)

General discussion

3.00

Afternoon tea

Session chair: Troy Matheson (RBNZ)

3.30

Christine De Mol (Universite Libre de Bruxelles, ECARES),
Domenico Giannone (Universite Libre de Bruxelles, ECARES), and Lucrezia Reichlin (ECB, ECARES and CEPR)

"Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?" (PDF 297KB)

4:05

4:15

Discussant – Farshid Vahid (ANU, CAMA)

General discussion

4:30

Gary Koop (Strathclyde), Roberto Leon-Gonzalez (Leicester), and
Rodney W Strachan (Leicester)

"Bayesian Inference in a Cointegrating Panel Data Model" (PDF 392KB)

5:05

5:15

Discussant – Shaun Vahey (RBNZ)

General discussion

6.45 pm

7.15 pm

Pre-dinner drinks:

Zibibbo Bar

Dinner:

Zibibbo Restaurant

Zibibbo

25-29 Taranaki St, Wellington
Tel: 385 6650

Wednesday 28 June 2006, Location: James Cook Hotel Grand Chancellor, 147 The Terrace

Keynote speaker at NZAE Lucrezia Reichlin 9.15 – 10.30 am

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

Session chair: Shaun Vahey (RBNZ)

11:00

Anella Munro (RBNZ) and Rishab Sethi (RBNZ)

"Smooth Operators and the New Zealand Current Account" (PDF 837KB)

11.30

11.40

Discussant – Thomas A Lubik (JHU)

General Discussion

11.50

Anthony Garratt (Birkbeck), Gary Koop (Strathclyde) and Shaun Vahey (RBNZ)

"Forecasting Substantial Data Revisions in the Presence of Model Uncertainty" (PDF 264KB)

12.20

12.30

Discussant – Norman Swanson (Rutgers)

General Discussion