Papers
16th New Zealand Econometric Study Group Meeting – Programme
Friday 4 August 2006
8.40 am - Registration
8.50 am - Welcome
Session 1: Time-Series Econometrics (9.00 – 11.00
am)
Chair: Peter Phillips (Yale University, The University of Auckland
and University of York)
A random walk through seasonal adjustment:
noninvertible moving averages and unit root tests
Tomas del Barrio Castro (University of Barcelona) and Denise
R Osborn (University of Manchester)
Discussant: Alfred Haug (University of Otago)
Markov breaks in regression models
Aaron Smith (University of California, Davis)
Discussant: John McDermott (Victoria University of Wellington)
Do long memory time series have amnesia?
William Rea, Marco Reale, Jennifer Brown (University
of Canterbury)
Discussant: Aaron Smith (University of California, Davis)
Scanning multivariate conditional densities
with probability integral transforms
Isao Ishida (University of Tokyo)
Discussant: Marco Reale (University of Canterbury)
11.00 - 11.30 am - Morning tea
Session 2: Bergstrom, LIML and IV Estimation (11.30 am –
1.00 pm)
Chair: Steve Satchell (University of Cambridge)
Albert Rex Bergstrom: New Zealand's first
econometrician
Peter C.B. Phillips (Yale University, The University
of Auckland and University of York)
Detecting invalid instruments using L1-GMM
Chirok Han (Victoria University of Wellington)
and Peter Schmidt (Michigan State University)
Discussant: Giovanni Forchini (Monash University)
The asymptotic distribution of the LIML
estimator in a partially identified structural equation
Giovanni Forchini (Monash University)
Discussant: Chirok Han (Victoria University of Wellington)
1.00 – 2.00 pm - Lunch
Session 3: Exchange Rates and Interest Rates (2.00 –
4.00 pm)
Chair: Denise Osborn (University of Manchester)
The implementation of monetary policy in
New Zealand: What factors affect the 90-day bank bill rate?
Alfred V. Guender and Oyvinn Rimer (University
of Canterbury)
Discussant: Christie Smith (Reserve Bank of New Zealand)
An empirical study of the Chinese
short-term interest rate: A comparison of the predictive power of
rival one-factor models
Hai Yan Xu, Bert D. Ward, Gilbert Nartea (Lincoln
University)
Discussant: Isao Ishida (University of Tokyo)
Level and trend breaks in exchange rates
- a model selection approach
David V. O'Toole (University of Technology Sydney)
Discussant: Peter Phillips (Yale University, The University of Auckland
and University of York)
Looking at a single currency for ASEAN-5:
An empirical study of economic convergence and symmetry
Zhi Lu Xu, Bert D. Ward and Christopher Gan (Lincoln
University)
Discussant: James Obben (Massey University)
4.00 – 4.30 pm - Afternoon tea ^ Top of page
Session 4: Microeconometric Applications (4.30 –
5.30 pm)
Chair: Alfred Haug (University of Otago)
Subsequent citation as a measure of patent value
Uryia Dolev (University of Canterbury)
Discussant: David O'Toole (University of Technology Sydney)
Analysis of oil consumption with dynamic
panel data models
Michael Webb (Victoria University of Wellington)
Discussant: David Fielding (University of Otago)
7.00 pm - Dinner at St Lee’s
Saturday 5 August 2006
Session 5: Finance and Games (9.00 am – 10.30 am)
Chair: David Mayes (Bank of Finland)
Exact properties of measures of optimal
investment for institutional investors
John Knight (University of Western Ontario) and Stephen
E. Satchell (University of Cambridge)
Discussant: David Alexander (University of Otago)
Identification in empirical games
Jean-Pierre Florens (Université de Toulouse 1) and Erwann
Sbai (University of Auckland)
Discussant: Stephen E. Satchell (University of Cambridge)
Analysis of the relationship between the
share market performance and exchange rates in New Zealand: A cointegrating
VAR approach
James Obben, Andrew Pech and Shamim Shakur (Massey
University)
Discussant: Clayton Weatherston (University of Otago)
10.30 - 11.00 am - Morning tea
Session 6: Applied Macroeconometrics (11.00 am – 12.30
pm)
Chair: John McDermott (Victoria University of Wellington)
Getting real: Some real time applications
to the New Zealand data
Özer Karagedikli and Cath Sleeman (Reserve
Bank of New Zealand)
Discussant: David Mayes (Bank of Finland)
Local linear impulse responses for a small open economy
Alfred Haug (University of Otago) and Christie
Smith (Reserve Bank of New Zealand)
Discussant: Özer Karagedikli (Reserve Bank of New Zealand)
How hard is the euro area core? An evaluation
of growth cycles using wavelet analysis
Patrick M. Crowley (Bank of Finland), Douglas Maraun (University
of Potsdam) and David Mayes (Bank of Finland)
Discussant: Denise Osborn (University of Manchester)
12.30 – 1.30 pm - Lunch
Session 7: Business Cycles and Growth Cycles (1.30 - 3.00
pm)
Chair: David Fielding (University of Otago)
Business cycle regimes in CEECs production:
A threshold SUR approach
Nektarios Aslanidis (Monash University)
Discussant: Dorian Owen (University of Otago)
The New Zealand business cycle:
Return to golden days?
Viv B. Hall and C. John McDermott (Victoria University
of Wellington)
Discussant: Nektarios Aslanidis (Monash University)
A macroeconomic perspective on skill shortages and skill premium
in New Zealand
Weshah A. Razzak and Jason Timmins (Department
of Labour)
Discussant: Niven Winchester (University of Otago)
3.00 – 3.30 pm - Afternoon tea
Session 8: Violence, Demand and Football (3.30 - 5.00 pm)
Chair: Dorian Owen (University of Otago)
"An eye for an eye, a tooth for
a tooth." A study of political violence and counter-insurgency
in Egypt
David Fielding (University of Otago) and Anja Shortland
(University of Leicester)
Discussant: Weshah Razzak (Department of Labour)
The use of conditional cost functions to
generate estimable mixed demand systems
K. K. Gary Wong (The University of Macau) and Hoanjae
Park (Catholic University of Daegu, South Korea)
Discussant: Murat Genç (University of Otago)
Are football referees really biased and
inconsistent? Evidence from the English Premier League
Peter Dawson (University of Bath), Stephen Dobson
(University of Otago), John Goddard (University of Wales, Bangor)
and John Wilson (University of St Andrews)
Discussant: Erwann Sbai (University of Auckland)
5.00 pm - Close of meeting
6.30 pm - Dinner at Plato
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