11th A R Bergstrom Prize in Econometrics to Michelle Lewis

Congratulations to Michelle Lewis, who was awarded the 2015 A. R. Bergstrom Prize in Econometrics for her paper “Forecasting with Macro-Finance Models: Applications to United States and New Zealand”. The Bergstrom Prize can be awarded every two years (although a three year gap ensued this time) and aims to reward the achievement of excellence in econometrics, as evidenced by a research paper in any area of econometrics.

Michelle Lewis’s Masters Thesis employs macro-finance models, which incorporate macroeconomic and timely financial market data, to forecast macroeconomic variables and the yield curve for New Zealand and the United States. The macro-finance models use the arbitrage-free Nelson-Siegel approach to represent yield curve data with just several components, and those components are combined with the macroeconomic variables of economic activity, inflation, and policy interest rates in a joint vector autoregression to produce forecasts.

The key contribution to the literature is that Michelle’s forecasting analysis is undertaken in a genuine real-time setting. That is, the model estimation and forecasts use the actual macroeconomic data that was available at each historical point in time, which realistically allows for an unavoidable uncertainty faced by practitioners. Conversely, the comparable literature to-date uses quasi-real-time macroeconomic data, which simply truncates the final available macroeconomic data series to estimate the model and produce forecasts over history. While showing promising forecasting benefits from macro-finance models, quasi-real-time analysis is unrealistic because it implicitly assumes that future revisions to historical macroeconomic data are already known at each historical point in time.

Fortunately, Michelle’s results show that, even in real time, there are still substantial forecasting benefits from using macro-finance models. The forecast improvements are most significant and robust for inflation and the policy rate, and economic activity for longer horizons. Furthermore, theoretically motivated restrictions on the yield curve dynamics improve the forecast performance of macroeconomic variables, and the yield curve itself.

However, for economic activity at short-term horizons, the forecasts from macro-finance models do not outperform forecasts from a standard vector autoregression of the macroeconomic variables. This result is at odds with the analogous quasi-real-time analysis, hence illustrating that quasi-real-time analysis can overstate the forecasting benefits of macro-finance models.

In their assessment, the adjudicators Professors Alfred Haug and Les Oxley noted: “The thesis is a substantial piece of empirical research that involved constructing new data and applying sophisticated econometric techniques that were skilfully mastered. Overall, it is an excellent piece of empirical econometrics. The author needs to be congratulated on her achievements.”

10th A R Bergstrom Prize in Econometrics to Isabelle Sin

Congratulations to Isabelle Sin, who was awarded the 2012 A. R. Bergstrom Prize in Econometrics for her paper “The Gravity of Ideas: How Distance Affects Translations”. The Bergstrom Prize can be awarded every two years and aims to reward the achievement of excellence in econometrics, as evidenced by a research paper in any area of econometrics.

The citation for the award writes that Izi’s paper, elements of which appeared in her PhD dissertation, is “an innovative study of how various measures of distance affect the international transmission of ideas, as one potentially important component underlying growth and development processes.” More information about the prize is available from the New Zealand Association of Economists.

Applications sought for the tenth A R Bergstrom Prize in Econometrics by 24-Aug-12

Applications are now being sought for the tenth A R Bergstrom Prize in Econometrics.

The objective of the Prize is to reward the achievement of excellence in econometrics, as evidenced by a research paper in any area of econometrics. The Prize is open to New Zealand citizens or permanent residents of New Zealand who, on the closing date of applications, have current or recent (i.e. within two years) student status for a higher degree. It is intended that the awardee will utilise the proceeds to assist in financing further study or research in econometrics in New Zealand or overseas.

The Prize can be awarded once every two years, with its value currently being $2000. The selection committee will consist of Professors P C B Phillips, V B Hall and their nominees.

Applications/nominations must include:

• a formal letter of application and, in the case of students, a letter of nomination by their research adviser or chairperson

• a research paper written by a single author, reporting original research in any area of econometrics

• a CV and relevant academic transcripts

Applications should be emailed or posted by 24 August 2012, to:

Professor V B Hall
School of Economics and Finance
Victoria University of Wellington
P O Box 600 Wellington

Email: viv.hall@vuw.ac.nz

The Prize is supported by funds generously provided by the following sponsors:

    Institutional Sponsors

The New Zealand Association of Economists
The School of Business and Economics at the University of Auckland
The Department of Economics at the University of Canterbury
The Faculty of Commerce and Administration at Victoria University of Wellington
Lincoln University
The Economics Group, Commerce Division at Lincoln University

    Personal Sponsors

C R Wymer
A D Brownlie
R J Bowden
H A Fletcher
R H Court
J A & D E A Giles
V B Hall
D M Emanuel
K B Nowman
P C B Phillips

In addition, royalties from the Festschrift Volume Models, Methods and Applications of Econometrics: Essays in Honour of A.R. Bergstrom, P.C.B. Phillips (ed.) Blackwell, Cambridge MA and Oxford UK, 1993, and from A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends, by Albert Rex Bergstrom and Khalid Ben Nowman, Cambridge University Press, 2007, are applied to support the prize.