Recent developments in VAR methodology

Workshop on 20 May 2005

The aim of this workshop is to consider recent developments within the economic VAR literature. The set of presented papers offer a broad range of insights regarding the current use of VAR methodology and where future directions may lead.

The workshop is jointly organised by the Centre for Applied Macroeconomic Analysis, the Federal Reserve Bank of Atlanta and the Reserve Bank of New Zealand. The full program is listed below.

Conference Programme
Reserve Bank of New Zealand, Wellington, Friday May 20, 2005

8:30

Coffee

8:50

Professor Viv Hall (CAMA, Victoria University) Opening Comments

Morning Session: Chair – Aaron Drew (RBNZ)

9:00

9:40

9:50

Adrian Pagan (CAMA, ANU), "Some Issues in Using VARs for Macroeconometric Research",(PDF 1458KB) joint with Renee Fry (CAMA, ANU)

Discussant: K Peren Arin (Massey University)

General Discussion

10:00

10:40

10:50

Paolo Giordani (UNSW), "Efficient Bayesian Inference for

Multiple Change-Point and Mixture Innovation Models"

Discussant: John Haywood (Victoria University of Wellington)

General Discussion

11:00

Coffee

11:30

12:10

12:20

Juan Rubio-Ramirez (Federal Reserve Bank of Atlanta), "A,B,C's (and D)'s for Understanding VARs" (PDF 275KB), joint with Jesus Fernandez-Villaverde (University of Pennsylvania) and Thomas Sargent (NYU)

Discussant: Vance Martin (University of Melbourne)

General Discussion

12:30

Lunch

Afternoon Session: Chair – Shaun Vahey (RBNZ)

2:00

2:40

2:50

Christie Smith (RBNZ), "Taking the S out of New Zealand SVARs"

Discussant: Renee Fry (ANU, CAMA)

General Discussion

3:00

3:40

3:50

James Nason (Federal Reserve Bank of Atlanta), "Identifying the New Keynesian Phillips Curve" (PDF 324KB), with Gregor W. Smith (Queen's University)

Discussant: Kirdan Lees (RBNZ)

General Discussion

4:00

Workshop ends

Conference Participants

K Peren Arim

Bob Buckle

Iris Claus

Edda Claus

Aaron Drew

Renee Fry

Aaron Gill

Paolo Giordani

Alfred Guender

Viv Hall

James Hansen

David Hargreaves

John Haywood

Leni Hunter

Ozer Karagedikli

Kirdan Lees

Dimitri Margaritis

Vance Martin

John McDermott

Nathan McLellan

James Nason

Adrian Pagan

Weshah Razzak

Juan Rubio-Ramirez

Ana Maria Santacreu

Christie Smith

Grant Spencer

Donggyu Sul

Shaun Vahey

Massey University, CAMA

Treasury

Treasury, CAMA

ANU, CAMA

Reserve Bank of New Zealand

ANU, CAMA

Treasury

University of New South Wales

University of Canterbury

Victoria University of Wellington

Reserve Bank of Australia

Reserve Bank of New Zealand

Victoria University of Wellington

Reserve Bank of New Zealand

Reserve Bank of New Zealand

Reserve Bank of New Zealand

Auckland University of Technology

University of Melbourne

ANZ National Bank

Treasury

FRB Atlanta

ANU, CAMA

Department of Labour

FRB Atlanta

NYU

Reserve Bank of New Zealand

Reserve Bank of New Zealand

University of Auckland

Reserve Bank of New Zealand