Econometrics and Business Statistics Seminars 2002

Professor Rob Faff

An investigation into the role of liquidity in asset pricing: Australian evidence

Mark Harris

Who are the Self-employed? A New Approach

Professor Alan Duncan (Nottingham)

Did the Working Families' Tax Credit Work? Analysing Programme Participation For In-Work Tax Credits

Professor Don Poskitt (Monash)

Spurious Regression and Inference with Long Memory Processes

Simone Grose (Monash)

An EM Algorithm For Modelling Variably-Aggregated Demand

Pushkar Maitra (Monash)

Parental Bargaining, Health Inputs and Child Mortality in India

Baki Billah (Monash)

Unmasking the Theta method; Empirical information criteria for time series forecasting model selection

Victoria Zindewalsh (McGill)

Dimension Reduction for Statistical Controls

Stephen Brown (NYU)

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Rodney Strachan (Liverpool)

Reconsidering Bayesian Cointegration Analysis in the VAR Model

Prof Brendan McCabe

Forecasting for Count Data

Prof David Hendry, Oxford

Forecasting Annual UK Inflation using an Econometric Model over 1875-1991

Prof James Hamilton, University of California, San Diego

Why are Prices Sticky? The Dynamics of Wholesale Gasoline Prices

George Athanasopoulos, Monash

Statistical Inference on Changes in Income Inequality in Australia

Lucy Gunn, Monash

Do Trade Announcements Affect Inter-Trade Durations?

George Woodward, Monash

Bull & Bear market logistic smooth transition market models

Nefula Begum, Monash

A New Approach to Testing a Composite Null against a Composite Alternative

Jahar Bhomik, Monash

Parameter estimation in linear models with a nonlinear component using a maximal invariant likelihood function

Lydia Shenstone, Monash

Comparison of Intermittent Demand Forecasting Models  

Muhammad Akram, Monash

Invertibility conditions for exponential smoothing models

Rebecca Valenzuela, Dept of Economics, Monash

A Gibbs Sampler for Estimating Sets of SURs with
Cross-Set Restrictions on the Coefficients

Barry Goss, Dept of Economics, Monash

Can Economists Forecast Exchange Rates? If so, is it profitable?

Gary Wong, Deakin University

Modelling Regular and Estimable Inverse Demand Systems:
  A Distance Function Approach

Jill Wright, Dept of Econometrics & Business Statistics, Monash

Bayesian Estimation of a Stochastic Volatility Model Using Option
and Spot Prices

Kais Hamza, Dept of Mathematics & Statistics, Monash

Modeling the Term Structure of Interest Rates - Towards a General Model

Robert Kohn, AGSM

Estimation and Variable Selection in Nonparametric Heteroscedastic Regression

Roger Craine, University of California, Berkeley

Dollarization: An Irreversible Decision

Brett Inder, Monash University

  A Threshold Model for How the Poor Benefit from Economic Growth

Paul Kabaila, La Trobe University

Statistical Model Selection: Comparing AIC and BIC

Lee Gordon-Brown - Ann Maharaj - Catherine Forbes - Xueyan Zhao (Monash)

Ongoing Research in Econometrics and Business Statistics

Duangkamon Chotikapanich, Curtin University of Technology

Averaging Income Distributions

Paul Kim, La Trobe University

Forecasting autoregressive time series with bias-corrected parameter
estimators