|
|
|
Details about Heather M. Anderson
Access statistics for papers by Heather M. Anderson.
Last updated 2009-11-05. Update your information in the RePEc Author Service.
Short-id: pan164
Jump to Journal Articles Chapters Editor
Working Papers
2007
- CONSTRUCTING HISTORICAL EURO AREA DATA
CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations
Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) View citations
- 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
- 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
- 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)
- Random Walk Smooth Transition Autoregressive Models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
2004
- A Model for Trade Frequency in the Presence of Announcements
Econometric Society 2004 Australasian Meetings, Econometric Society
- 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
- 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
- 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)
- 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
- Choosing Lag Lengths in Nonlinear Dynamic Models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- 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
- 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
- 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
- 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
See also Journal Article in Macroeconomic Dynamics (2001)
1999
- Does International Trade Synchronize Business Cycles?
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
- 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
- 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
- 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
- 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)
- 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
- Common features
Journal of Econometrics, 2006, 132, (1), 1-5 View citations
- 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
- Nonlinear Correlograms and Partial Autocorrelograms
Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 957-982 
See also Working Paper (2003)
2002
- 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
- Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
Australian Economic Papers, 2001, 40, (4), 541-66 View citations
See also Working Paper (2001)
- PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS
Macroeconomic Dynamics, 2001, 5, (04), 482-505 View citations
See also Working Paper (2000)
1999
- 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 View citations
1998
- On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity
Economics Letters, 1998, 60, (3), 291-296 View citations
- Testing multiple equation systems for common nonlinear components
Journal of Econometrics, 1998, 84, (1), 1-36 View citations
1997
- 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
- 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
- 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
- A Cointegration Analysis of Treasury Bill Yields
The Review of Economics and Statistics, 1992, 74, (1), 116-26 View citations
- Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models
Journal of Applied Econometrics, 1992, 7, (S), S119-36 View citations
Chapters
1993
- Modeling Nonlinearity over the Business Cycle
A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 311-326 View citations
Editor
- Empirical Economics
Springer
|
|
|