NCER Quarterly Report
National Centre for Econometric Research
September 2008
The NCER was established in July 2006 and is a research organisation dedicated to enhancing econometric research and to disseminating the outcomes to policymakers, business professionals, and the academic community. This research embraces all forms of econometrics, including the development of new methodologies, estimating quantitative models of economic and financial behaviour, assessing the effects of public policy and projecting the effects of alternative policy proposals.
The NCER supports research activities of its programs, organises special events such as seminars and workshops and maintains an active Distinguished Visitor program. The current research of NCER members and visitors is disseminated by means of the working paper series.
Events
The following events were held during the quarter to September:
- Master Class in Econometric Modelling, Professor David Hendry (Oxford University).
- Frontiers in Financial Econometrics Workshop, with keynote addresses by Professor Yacine Aït-Sahalia (Princeton University) and Professor David Hendry.
- Inflation forecasting: points and probabilities open seminar, Professor Kenneth F. Wallis (University of Warwick).
- Dynamic Stochastic General Equilibrium Models, series of lectures by Professor Adrian Pagan (QUT/UNSW).
Forthcoming events:
- Practitioners in Financial Markets workshop, organised by Associate Professor Adam Clements (QUT), 28 October.
- Workshop on the Interactions between Microeconomics and Macroeconomics. This is organized by Professor Garry Barrett and Professor Adrian Pagan at University of New South Wales, 18 December 2008. The overseas speaker will be Dr Tom Crossley (University of Cambridge). Papers will be presented on a variety of topics including productivity at the firm level and the savings and portfolio behaviour of households.
- Workshop on Monetary Policy in Open Economies held at the Reserve Bank of Australia 15-16 December 2008 and organized by Drs J. Jaaskela and M. Kulish (RBA) and Professors F. Canova ( Pompeu-Fabra) and Adrian Pagan.
- The Microeconomics of Finance, series of lectures by Professor Rudi Kerschbamer (University of Innsbruck), February 2009.
Post Doctoral Fellowships
Drs. Annastiina Silvennoinen and David Johnston have accepted NCER post doctoral fellowships for a two year period commencing January 2009. Annastiina did her PhD in time-series econometrics at the Stockholm School of Economics, while David’s PhD from the University of Melbourne looked at the attainment and influence of skill in Australia.
NCER Visitor Program
The NCER maintains an active Distinguished Visitor program. A full list of 2008 visitors is available at http://www.ncer.edu.au/visitors/
Visitors planned for 2009 include:
Rudi Kerschbamer (University of Innesbruck), Timo Teräsvirta (University of Aarhus), P. Trivedi (University of Indiana) and Kenneth F. Wallis (University of Warwick).
Hot off the Press
Recently published working papers include:
- Discrete time-series models when counts are unobservable, T M Christensen, A S Hurn and K A Lindsay, WP No. 35
- Developing analytical distributions for temperature indices for the purposes of pricing temperature-based weather derivatives, Adam Clements, A S Hurn and K A Lindsay, WP No. 34
- Estimating the Payoffs of Temperature-based Weather Derivatives, Adam Clements, A S Hurn and K A Lindsay, WP No. 33
- The Devil is in the Detail: Hints for Practical Optimisation, T M Christensen, A S Hurn and K A Lindsay, WP No. 32
- Buying Online: Sequential Decision Making by Shopbot Visitors, Uwe Dulleck, Franz Hackl, Bernhard Weiss and Rudolf Winter-Ebmer, WP No. 31
- Model Uncertainty and Monetary Policy, Richard Dennis, WP No. 30
- The Frequency of Price Adjustment and New Keynesian Business Cycle Dynamics, Richard Dennis, WP No. 29
- Robustness in Health Research: Do differences in health measures, techniques, and time frame matter?, Paul Frijters and Aydogan Ulker, WP No. 28
- Early Child Development and Maternal Labor Force Participation: Using Handedness as an Instrument, Paul Frijters, David W. Johnston, Manisha Shah and Michael A. Shields, WP No. 27
- The mystery of the U-shaped relationship between happiness and age, Paul Frijters and Tony Beatton, WP No. 26
RePEc Update
The top file downloads for the last quarter were as follows:
August: The Jump component of S&P 500 volatility and the VIX index, Ralf Becker, Adam Clements and Andrew McClelland.
July: Some Issues in Using Sign Restrictions for Identifying Structural VARs, Renée A. Fry and Adrian Pagan.
June: Modelling Spikes in Electricity Prices, Ralf Becker, Stan Hurn and Vlad Pavlov; and Extending an SVAR Model of the Australian Economy, Mardi Dungey and Adrian Pagan.
The overall most popular download for the quarter is “Some Issues in Using Sign Restrictions for Identifying Structural VARs”, Renée A. Fry and Adrian Pagan.
Corporate Affiliates
The NCER gratefully acknowledges the generous financial support of its corporate affiliates.
Queensland Investment Corporation
Office of Economic and Statistical Research, Queensland Treasury
NCER Quarterly Report is produced by the National Centre for Econometric Research