NCER Quarterly Report

National Centre for Econometric Research

March 2009

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.

Adam Clements’s paper, On the Efficacy of Techniques for Evaluating Multivariate Volatility Forecasts, has been accepted for presentation at the SoFiE conference in Geneva in June this year.

NCER Scholarship recipient, Tim Christensen, has accepted an offer to do a PhD at Yale University.

The following events were held from September to March:

• Practitioners in Financial Markets workshop, organised by Associate Professor Adam Clements (QUT).
• Workshop on the Interactions between Microeconomics and Macroeconomics, organized by Professor Garry Barrett and Professor Adrian Pagan. The overseas speaker was Dr Tom Crossley (University of Cambridge).
• Workshop on Monetary Policy in Open Economies held at the Reserve Bank of Australia and organized by Drs J. Jaaskela and M. Kulish (RBA) and Professors F. Canova ( Pompeu-Fabra) and Adrian Pagan.
• A series of lectures on Commitment and Information in Games: Applications to Economics and Finance, held at QUT and delivered by Professor Rudi Kerschbamer (University of Innsbruck).
• Courses in Financial Econometrics, University of Stellenbosch, Stan Hurn.

Forthcoming events:

• Labour Econometrics Workshop, QUT, 7-8 August 2009.
• Frontiers in Financial Econometrics Workshop at The Bendheim Center for Finance, Princeton University, 25-26 September 2009.

Recently published working papers include:            

• The Economics of Credence Goods: On the Role of Liability, Verifiability, Reputation and Competition, Uwe Dulleck, Rudolf Kerschbamer and Matthias Sutter, WP 42
• On the efficacy of techniques for evaluating multivariate volatility fore, Adam Clements, Mark Doolan, Stan Hurn and Ralf Becker, WP 41
• The Economics of Discrimination: Evidence from Basketball, Lawrence M. Kahn, WP 40
• An Econometric Analysis of Some Models for Constructed Binary Time Series, Don Harding and Adrian Pagan, WP 39
• Timeless Perspective Policymaking: When is Discretion Superior?, Richard Dennis, WP No 38
• Are optimistic expectations keeping the Chinese happy?, Paul Frijters, Amy Y.C. Liu and Xin Meng, WP No 37
• Inequality Aversion and Performance in and on the Field, Benno Torgler, Markus Schaffner, Bruno S. Frey, Sascha L. Schmidt and Uwe Dulleck, WP No. 36

The top file downloads for the last quarter were as follows:

March and February: An Econometric Analysis of Some Models for Constructed Binary Time Series, Don Harding and Adrian Pagan
January: Are optimistic expectations keeping the Chinese happy?, Paul Frijters, Amy Y.C. Liu and Xin Meng.

The overall most popular download for the quarter is: An Econometric Analysis of Some Models for Constructed Binary Time Series, Don Harding 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

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