Business and Economic Forecasting Unit – Published Papers

2005

Billah, Md.B, Hyndman, R.J., and Koehler, A.B., Empirical information criteria for time series forecasting model selection. Journal of Statistical Computation and Simulation, 75(10), 831–840.

Dimovski, W., and Brooks, R.D., Dividend forecasts and dividend payments of initial public offerings - when zero means zero and no comment most likely also means zero. Applied Financial Economics Letters, 1(3), 139–141.

Flynn, D., Grose, S.D., Martin, G.M., and Martin, V.L., Pricing Australian S & P 200 options: a Bayesian approach based on generalized distributional forms. Australian and New Zealand Journal of Statistics, 47(1), 101–117.

Green, K.C., Game theory, simulated interaction, and unaided judgement for forecasting decisions in conflicts: further evidence. International Journal of Forecasting, 21, 463–472.

Hyndman, R.J., King, M.L., Pitrun, I., and Billah, Md.B., Local linear forecasts using cubic smoothing splines. Australian & New Zealand Journal of Statistics, 47(1), 87–99.

Hyndman, R.J., Koehler, A.B., Ord, J.K., and Snyder, R.D., Prediction intervals for exponential smoothing using two new classes of state space models. Journal of Forecasting, 24, 17–37.

Kim, J.H., Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach. Applied Economics, 37, 347–354.

Kim, J.H., and Moosa, I.A., Forecasting international tourist flows to Australia: a comparison between the direct and indirect methods. Tourism Management, 26(1), 69–78.

Kim, J.H., and Mahbuba, Y., The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors. Computational Economics, 25(3), 255–267.

Kim, J.H., Bias-corrected bootstrap inference for regression models with autocorrelated errors. Economics Bulletin, 3(44), 1-8.

King, M.L., and Zhang, X., Influence diagnostics in generalized autoregressive conditional heteroscedasticity processes. Journal of Business and Economic Statistics, 23, 118–129.

Lim, G.C., Martin, G.M., and Martin, V.L., Parametric pricing of higher order moments in S & P 500 options. Journal of Applied Econometrics, 20, 377–404.

Martin, G.M., Forbes, C.S., and Martin, V.L., Implicit Bayesian inference using option prices. Journal of Time Series Analysis, 26, 437–462.

Maharaj, E.A., Using wavelets to compare time series patterns. International Journal of Wavelets, Multiresolution and Information Processing, 3(4), 511–521.

Maharaj, E.A., and Wheeler, M., Forecasting an Index of the Madden-Oscillation. International Journal of Climatology, 25, 1611–1618.

McCabe, B.P.M., and Martin, G.M., Bayesian predictions of low count time series. International Journal of Forecasting, 21, 315–330.

McCabe, B.P.M., Martin, G.M., and Tremayne, A.R., Assessing persistence in discrete nonstationary time-series models. Journal of Time Series Analysis, 26, 305–317.

Poskitt, D., A note on the specification and estimation of ARMAX systems. Journal of Time Series Analysis, 26(2) 157–183.

Sandford, A.D., and Martin, G.M., Simulation-based Bayesian estimation of an affine term structure model. Computational Statistics & Data Analysis, 49, 527–554.

Shenstone, L., and Hyndman, R.J., Stochastic models underlying Croston's method for intermittent demand forecasting. Journal of Forecasting, 24, 389–402.

2004

HARRIS, D.C., and D.S. POSKITT, Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion. Econometrics Journal, 7, 191–217.

HYNDMAN, R.J., KING, M.L., PITRUN, I., and BILLAH, B., Local linear forecasts using cubic smoothing splines. Australian & New Zealand Journal of Statistics, 47(1), 87–99.

HYNDMAN, R.J., KOEHLER, A.B., ORD, J.K., and SNYDER, R.D., Prediction intervals for exponential smoothing using two new classes of state space models. Journal of Forecasting, 24(1), 17–37.

HYNDMAN, R.J., The interaction between trend and seasonality. International Journal of Forecasting, 20(4), 561–563.

KIM, J.H., Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators. International Journal of Forecasting, 20(1), 85–97.

KIM, J.H., Bias-corrected bootstrap predication regions for vector autoregression. Journal of Forecasting, 23, 141–154.

MOOSA, I.A., and J.H. KIM, Direct and indirect forecasting of the money multiplier and velocity of circulation in the United Kingdom. International Economic Journal, 18(1), 103–116.

MOOSA, I.A., and J.H. KIM, Forecasting the velocity of circulation in the Japanese economy. Hitotsubashi Journal of Economics, 45(1), 1–14.

SMYTH, R.L., and INDER, B.A., Is Chinese provincial real GDP per capital nonstationary? Evidence from multiple trend break unit root tests. China Economic Review, 15(1), 1–24.

SNYDER, R.D., KOEHLER, A.B., HYNDMAN, R.J., and ORD, J.K., Exponential smoothing models: means and variances of lead-time demand. European Journal of Operational Research, 158(2), 444–455.

STRACHAN, R.W., and INDER, B.A., Bayesian analysis of the error correction model. Journal of Econometrics, 123(2), 307–325.

2003

Hyndman, R.J. and Billah, B, Unmasking the Theta Method. International Journal of Forecasting, 19, 287–290.

J.H. Kim, Forecasting autoregressive time series with bias-corrected parameter estimators. International Journal of Forecasting, 19, 493–502.

D. Lien, Y.K. Tse and X. Zhang, Structural change and lead-lag relationship between the Nikkei spot index and futures price: A genetic programming approach. Quantitative Finance, 3, 136–144.

R.D. Snyder and C.S. Forbes, Reconstructing the Kalman filter for stationary and non-stationary time series. Studies in Nonlinear Dynamics and Econometrics, 7(2), 1–20.

2002

Hyndman, R.J., Koehler, A.B., Snyder, R.D., and Grose, S. (2002), A state space framework for automatic forecasting using exponential smoothing methods. International J. Forecasting, 18(3), 439–454.

R.J. Hyndman and Q. Yao (2002), Nonparametric estimation and symmetry tests for conditional density functions. Journal of Nonparametric Statistics, 14(3), 259–278.

E.A. Maharaj (2002), Comparison of non-stationary time series in the frequency domain. Computational Statistics and Data Analysis, 40, 131–141.

S. Nahar and B.A. Inder (2002), Testing for convergence in economic growth for OECD countries. Applied Economics, 34(16), 2011–2022.

R.D. Snyder (2002), Forecasting sales of slow and fast moving inventories. European Journal of Operational Research, 140, 684–699.

R.D. Snyder, A.B. Koehler and J.K. Ord (2002), Forecasting for inventory control with exponential smoothing. International Journal of Forecasting, 18(1), 5–18.

2001

R. Ramanathan, R. Engle, C.W.J. Granger, F. Vahid and C. Brace (2001), Short-run forecasts of electricity loads and peaks. In E. Ghysels et al. (eds), Essays in Econometrics: Collected Papers of Clive W.J. Granger, Cambridge University Press, New York, 1, 497-516.

Anderson, H.M. and Vahid F. (2001), Predicting of a recession with nonlinear autoregressive leading indicator models. Macroeconomic Dynamics, in press.

Bashtannyk, D.M., and Hyndman, R.J. (2001), Bandwidth selection for kernel conditional density estimation. Computational statistics and data analysis, 36(3),  279-298.

Chatfield, C., Koehler, A.B., Ord, J.K. and Snyder, R.D. (2001), A new look at models for exponential smoothing. The Statistician (Journal of the Royal Statistical Society, Series D), 50, 147-159.

Hyndman, R.J. (2001), It's time to move from 'what' to 'why' (Comments on The M3-Competition: results, conclusions and implications). International J. Forecasting. 17(4), 567-570.

Issler, J.V. and Vahid F. (2001), Common cycles and the importance of transitory shocks to macroeconomic aggregates. Journal of Monetary Economics, 47, 449-457.

Koehler, A.B., Snyder, R.D. and Ord, J.K. (2001), Forecasting models and prediction intervals for the multiplicative Holt-Winters method. International Journal of Forecasting, 19, 217-225.

Snyder, R.D., Ord, J.K. and Koehler, A. (2001), Prediction intervals for ARIMA models. Journal of Business and Economic Statistics, 19, 217-225.

Snyder, R.D. and Shami R. (2001), Exponential Smoothing of Seasonal Data: A Comparison. Journal of Forecasting, 20, 197-202.  

2000

Fraccaro, R., Hyndman, R.J., and Veevers, A. (2000), Residual diagnostic plots for model mis-specification in time series regression. Australian and New Zealand Journal of Statistics, 42(4), 463-477.

Grunwald, G.K., Hyndman, R.J., Tedesco, L.M. and Tweedie, R.L. (2000), Non-Gaussian conditional linear AR(1) models. Australian and New Zealand Journal of Statistics, 42(4), 479-495.

Hyndman, R.J. and Grunwald, G.K. (2000), Generalized additive modelling of mixed distribution Markov models with application to Melbourne's rainfall. Australian and New Zealand Journal of Statistics. 42(2), 145-158.

Maharaj, E.A. (2000), Clusters of time series. Journal of Classification, 17, 297-314.

1999

Hyndman, R.J. (1999), Nonparametric additive regression models for binary time series. Proceedings, 1999 Australasian Meeting of the Econometric Society, 7-9 July 1999, University of Technology, Sydney.

Maharaj E.A. and Inder B.A. (1999), Forecasting time series from clusters,  International Symposium on Forecasting, Conference Paper

Snyder, R.D.,. Koehler, A.B and. Ord J.K (1999), Lead Time demand for Simple Exponential Smoothing: An Adjustment Factor for the Standard Deviation, Journal of the Operational Research Society, 50, 1079-1068.  

1998

Anderson, H.M. and Vahid, F. (1998), Testing Multiple Equation Systems for Common Nonlinear Components, Journal of Econometrics, 84, 1-36, May.

Grunwald, G.K. and Hyndman, R.J. (1998), Smoothing non-Gaussian time series with autoregressive structure, Computational Statistics and Data Analysis, 28, 171-191.  

1997

Grunwald, G.K., Hamza, K. and Hyndman, R.J. (1997), Some properties and generalizations of non-negative Bayesian time series models, Journal of the Royal Statistical Society B, 59, 615-626.

Hyndman, R.J. and Wand, M.P. (1997), Nonparametric autocovariance function estimation. Aust. J Statist., 39, 313-324.

In, F and Inder B. (1997), Long-run relationships between world vegetable oil prices, Australian Journal of Agricultural and Resource Economics, 41, 455-470.

Lajbcygier, P., Flitman, A., Swan, A. and Hyndman, R. (1997), The pricing and trading of options using a hybrid neural network model with historical volatility. NeuroVe$t Journal, Jan/Feb 1997.

Ord, J.K., Koehler A.B and Snyder R.D. (1997), Estimation and Prediction of a Class of Dynamic Nonlinear Statistical Models, Journal of the American Statistical Association, 92, 1621-1629.

Saligari, G., and Snyder R. D. (1997), Trends, Lead-times and Forecasting, International Journal of Forecasting, 13, 477-488.

Vahid, F. and Engle, R.F. (1997), Codependent Cycles, Journal of Econometrics, 80, 199-221, October.

Ramanathan, R., R.F. Engle, C.W.J. Granger, F. Vahid and C. Brace, (1997), Short-run Forecasts of Electricity Loads and Peaks, International Journal of Forecasting, 13, 161-174.  

1996

Hyndman, R.J. (1996), Computing and graphing highest density regions, Amer. Statist., 50, 120-126.

Hyndman, R.J., Bashtannyk, D.M. and Grunwald, G.K. (1996), Estimating and visualizing conditional densities. J. Comput. Graph. Stat., 5, 315-336.

Inder, B and Hao K. (1996), A new test for structural change in dynamic models, Empirical Economics, 21, 475-482.

Maharaj E.A. (1996), A significance test for classifying ARMA models, Journal of Statistical Computation and Simulation, 54, 305-331.

Snyder, R.D., and Saligari G. (1996), Initialisation of the Kalman Filter with Partially Diffuse Initial Conditions, Journal of Time Series Analysis, 17, 409-424.