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Details about Farshid Vahid
Access statistics for papers by Farshid Vahid.
Last updated 2008-08-04. Update your information in the RePEc Author Service .
Short-id: pva160
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Journal Articles
Working Papers
2008
Global Temperature Trends
ANUCBE School of Economics Working Papers, Australian National University, College of Business and Economics, School of Economics
2007
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)
Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2006
A Complete VARMA Modelling Methodology Based on Scalar Components
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations See Also Journal Article in Journal of Time Series Analysis (2008)
VARMA versus VAR for Macroeconomic Forecasting
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations See Also Journal Article in Journal of Business & Economic Statistics (2008)
2005
Forecasting Time-Series with Correlated Seasonality
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
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)
The Effect of Household Characteristics on Living Standards in South Africa 1993 - 98: A Quantile Regression Analysis with Sample Attrition
ANUCBE School of Economics Working Papers, Australian National University, College of Business and Economics, School of Economics See Also Journal Article in Journal of Applied Econometrics (2006)
2004
Are VAR Models Good Enough?
Econometric Society 2004 Australasian Meetings, Econometric Society
Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model
Econometric Society 2004 Australasian Meetings, Econometric Society
2003
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
The missing link: Using the NBER recession indicator to construct coincident and leading indices of economic activity
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations
Also in
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2002) View citations
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2002) View citations
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2001)
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2001) See Also Journal Article in Journal of Econometrics (2006)
2002
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)
Statistical Inference on Changes in Income Inequality in Australia
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations See Also Journal Article in The Economic Record (2003)
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)
Strategy Similarity and Coordination
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations See Also Journal Article in Economic Journal (2004)
The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
Also in
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2001) See Also Journal Article in Journal of Econometrics (2002)
2000
Clustering Regression Functions in a Panel
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
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
Does International Trade Synchronize Business Cycles?
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
Predicting how People Play Games: a Simple Dynamic Model of Choice
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations See Also Journal Article in Games and Economic Behavior (2001)
The Importance of Common-Cyclical Features in VAR Analysis: A Monte-Carlo Study (Preliminary Version)
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
1998
Common Cycles and the Importance of Transitory Shocks to Macroeconomic Aggregates (Revised Version)
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
1995
Common Cycles in Macroeconomic Aggregates (Revised Version)
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
1994
Common Cycles in Macroeconomic Aggregates
Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations
1993
Non-Synchronous Common Cycles
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
1992
Common Trends and Common Cycles
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations See Also Journal Article in Journal of Applied Econometrics (1993)
Short-Run Forecasts of Electricity Loads and Peaks
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations See Also Journal Article in International Journal of Forecasting (1997)
Journal Articles
2008
A complete VARMA modelling methodology based on scalar components
Journal of Time Series Analysis , 2008, 29 , (3), 533-554 See Also Working Paper (2006)
Forecasting time series with multiple seasonal patterns
European Journal of Operational Research , 2008, 191 , (1), 207-222
VARMA versus VAR for Macroeconomic Forecasting
Journal of Business & Economic Statistics , 2008, 26 , 237-252 See Also Working Paper (2006)
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)
Necessity of negative serial correlation for mean-reversion of stock prices
The Quarterly Review of Economics and Finance , 2007, 47 , (4), 576-583
Nonlinear autoregressive leading indicator models of output in G-7 countries
Journal of Applied Econometrics , 2007, 22 , (1), 63-87 See Also Working Paper (2002)
2006
Common features
Journal of Econometrics , 2006, 132 , (1), 1-5 View citations
The effect of household characteristics on living standards in South Africa 1993-1998: a quantile regression analysis with sample attrition
Journal of Applied Econometrics , 2006, 21 , (7), 999-1018 See Also Working Paper (2005)
The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity
Journal of Econometrics , 2006, 132 , (1), 281-303 View citations See Also Working Paper (2003)
2005
Nonlinear Correlograms and Partial Autocorrelograms
Oxford Bulletin of Economics and Statistics , 2005, 67 , (s1), 957-982 See Also Working Paper (2003)
2004
Strategy Similarity and Coordination
Economic Journal , 2004, 114 , (497), 506-527 See Also Working Paper (2001)
2003
Statistical Inference and Changes in Income Inequality in Australia
The Economic Record , 2003, 79 , (247), 412-424 See Also Working Paper (2002)
2002
The importance of common cyclical features in VAR analysis: a Monte-Carlo study
Journal of Econometrics , 2002, 109 , (2), 341-363 View citations See Also Working Paper (2001)
2001
Common cycles and the importance of transitory shocks to macroeconomic aggregates
Journal of Monetary Economics , 2001, 47 , (3), 449-475 View citations
Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
Australian Economic Papers , 2001, 40 , (4), 541-66 See Also Working Paper (2001)
Predicting How People Play Games: A Simple Dynamic Model of Choice
Games and Economic Behavior , 2001, 34 , (1), 104-122 View citations See Also Working Paper (1999)
1999
Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice
Games and Economic Behavior , 1999, 28 , (2), 294-309 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
Codependent cycles
Journal of Econometrics , 1997, 80 , (2), 199-221 View citations
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
Shorte-run forecasts of electricity loads and peaks
International Journal of Forecasting , 1997, 13 , (2), 161-174 See Also Working Paper (1992)
1993
Common Trends and Common Cycles
Journal of Applied Econometrics , 1993, 8 , (4), 341-60 View citations See Also Working Paper (1992)