Details about Heather M. Anderson

Access statistics for papers by Heather M. Anderson.

Last updated 2008-07-23. Update your information in the RePEc Author Service.

Short-id: pan164

Working Papers

2007

1. CONSTRUCTING HISTORICAL EURO AREA DATA
   CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis
   Also in
   Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007)
2. Reported Earnings and Analyst Forecasts as Competing Sources of Information: A New Approach
   ANUCBE School of Economics Working Papers, Australian National University, College of Business and Economics, School of Economics

2006

3. BEVERRIDGE NELSON DECOMPOSITION WITH MARKOV SWITCHING
   CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis
   Also in
   Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne (2006)
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2006)

2005

4. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
   ANUCBE School of Economics Working Papers, Australian National University, College of Business and Economics, School of Economics View citations
   See Also Journal Article in Journal of Business & Economic Statistics (2007)
5. Random Walk Smooth Transition Autoregressive Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations

2004

6. A Model for Trade Frequency in the Presence of Announcements
   Econometric Society 2004 Australasian Meetings, Econometric Society
7. Single Source of Error State Space Approach to the Beveridge Nelson Decomposition
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
   Also in
   Econometric Society 2004 Australasian Meetings, Econometric Society (2004)
   See Also Journal Article in Economics Letters (2006)

2003

8. Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
9. Nonlinear Correlograms and Partial Autocorrelograms
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
   See Also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
10. The Decline in Income Growth Volatility in the United States: Evidence from Regional Data
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations

2002

11. Choosing Lag Lengths in Nonlinear Dynamic Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
12. Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See Also Journal Article in Journal of Applied Econometrics (2007)

2001

13. Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
14. Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See Also Journal Article in Australian Economic Papers (2001)

2000

15. Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations

1999

16. Does International Trade Synchronize Business Cycles?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
17. U.S. and Canadian Industrial Production Indices as Coupled Oscillators
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations
    See Also Journal Article in Journal of Economic Dynamics and Control (2002)

1991

18. Modelling Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

1990

19. TREASURY BI;; YIELD CURVES AND COINTEGRATION
    Working Papers, Australian National University - Department of Economics
    Also in
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1990) View citations

Journal Articles

2007

1. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
   Journal of Business & Economic Statistics, 2007, 25, 76-90 View citations
   See Also Working Paper (2005)
2. Nonlinear autoregressive leading indicator models of output in G-7 countries
   Journal of Applied Econometrics, 2007, 22, (1), 63-87 View citations
   See Also Working Paper (2002)

2006

3. Common features
   Journal of Econometrics, 2006, 132, (1), 1-5 View citations
4. Single source of error state space approach to the Beveridge Nelson decomposition
   Economics Letters, 2006, 91, (1), 104-109 View citations
   See Also Working Paper (2004)

2005

5. Nonlinear Correlograms and Partial Autocorrelograms
   Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 957-982
   See Also Working Paper (2003)

2002

6. U.S. and Canadian industrial production indices as coupled oscillators
   Journal of Economic Dynamics and Control, 2002, 26, (1), 33-67 View citations
   See Also Working Paper (1999)

2001

7. Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
   Australian Economic Papers, 2001, 40, (4), 541-66
   See Also Working Paper (2001)

1999

8. Explanations of an Empirical Puzzle: What Can Be Learnt from a Test of the Rational Expectations Hypothesis?
   Journal of Economic Methodology, 1999, 6, (1), 31-59

1998

9. On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity
   Economics Letters, 1998, 60, (3), 291-296 View citations
10. Testing multiple equation systems for common nonlinear components
    Journal of Econometrics, 1998, 84, (1), 1-36 View citations

1997

11. On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands
    Journal of Applied Econometrics, 1997, 12, (5), 477-98 View citations
12. On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from the USA and the Netherlands: Reply
    Journal of Applied Econometrics, 1997, 12, (5), 503-07
13. Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 465-84 View citations

1992

14. A Cointegration Analysis of Treasury Bill Yields
    The Review of Economics and Statistics, 1992, 74, (1), 116-26 View citations
15. Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
    Journal of Applied Econometrics, 1992, 7, (S), S119-36 View citations

Editor

1. Empirical Economics
   Springer