Econometrics and Business Statistics Seminars 2003

Duangkamon Chotikapanich, Mark Harris, Paul Kim, Don Poskitt
(Econometrics & Business Statistics, Monash)

Research in Econometrics and Business Statistics

Sandra Hui (Accounting & Finance, Monash)

Credit Risk Valuation: An Investigation of the Intensity Approach (abstract)

Denny Meyer (Massey University, visiting Monash)

Nonlinear Cointegration for Count Data (abstract)

Jan Kiviet (University of Amsterdam)

The Effects of Dynamic Feedbacks on LS and MM estimator accuracy in Panel Data Models (abstract)

Mike Clements (University of Warwick)

Interval forecast and event probability forecast evaluation.

Robert Taylor (University of Birmingham)

Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power (abstract)

Catherine Forbes (Monash University)

Diversification meltdown or impact of fat tails on conditional correlation? (abstract)

Xueyan Zhao (Monash University)

Drugs as a Rational Choice: Preliminary Explorations of Marijuana Consumption in Australia. (abstract)

Peter Hall (Australian National University)

Statistical Inference in High-Dimensional, Low Sample Size Settings (abstract)

Xibin Zhang (Monash University)

Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation (abstract)

Lisa Farrell (University of Melbourne)

The Importance of Cigarette Pack Sizes in Determining the Daily Consumption of Cigarettes (abstract)

Friday,
June 6th

David Flynn (National Institute of Economic and Industrial Research)

Pricing Australian S&P200 Options: A Bayesian approach based on generalized distributional forms (abstract)

Don Waldman (University of Colorado, Boulder)

Econometric models for choice data with an application to the demand for broadband Internet access (abstract)

Guido Imbens (University of California, Berkeley)

Identification and Inference in Nonlinear Difference-In-Differences Models (abstract)

Tim Bollerslev (Duke University)

Measuring, modelling and forecasting realised volatilities and jumps (abstract)

Raffaella Gracomini (UCSD)

Tests of Conditional Predictive Ability (abstract)

Andrew Paton (UCSD)

Properties of Optimal Forecasts (abstract)

Brendan McCabe (University of Liverpool)

Testing for Dependence in Models of Non-Gaussian Data (abstract)

Penny Smith (University of Melbourne)

Identification and normalization in Markov switching models of business cycles (abstract)

Jayne Toman (University of Sydney)

A Bootstrap Test of Cross Sectional Structural Change using Evidence from the U.S. Cotton South Antebellum Era (abstract)

Phil Cross (Georgetown University)

Partial Identification of Conditional Means and Variances: Using Marginal Distributions to Sharpen Inference on Mean Regressions (abstract)

Jonathan Dark (Newcastle University)

Long term hedging of the Australian All Ordinaries index using a bivariate error correction FIGARCH model (abstract)

Rachida Ouysse (University of NSW)

Consistent Variable Selection In Large Panels When Factors Are Observable (abstract)

Andy Tremayne (University of Sydney)

Estimation in Conditional First Order Autoregression with Discrete Support(abstract)

Sergio Koreisha (University of Queensland)

Forecasting with Serially Correlated Regression Models(abstract)

Robert McNown (University of Colorado)

Anomalies in Least Squares Testing and estimation of cointegrating relations(abstract)

Francis In (Monash)

The Transmission of Pricing Information of Dually-listed Stocks: A New Approach Using Wavelet Analysis (abstract)

Yi-Peng Tseng (Melbourne Institute)

How do administrative arrangements affect exit from unemployment payments? The case of the Job Seeker Diary in Australia (abstract)