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Details about Farshid Vahid

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Homepage:http://www.buseco.monash.edu.au/about/staff/profile.php?cn=farshid-vahid
Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

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Last updated 2017-02-07. Update your information in the RePEc Author Service.

Short-id: pva160


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Working Papers

2017

  1. Macroeconomic forecasting for Australia using a large number of predictors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. The Australian Macro Database: An online resource for macroeconomic research in Australia
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2016

  1. Bayesian Rank Selection in Multivariate Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2014

  1. Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Journal of Applied Econometrics (2016)
  2. Forecasting with EC-VARMA models
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
  3. The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  4. VAR(MA), what is it good for? more bad news for reduced-form estimation and inference
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads

2013

  1. Common non-linearities in multiple series of stock market volatility
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2011

  1. Demand for Hospital Care and Private Health Insurance in a Mixed Public–Private System: Empirical Evidence Using a Simultaneous Equation Modeling Approach
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne Downloads View citations (10)
    Also in Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York (2010) Downloads View citations (4)
  2. Global Temperature Trends
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2008) Downloads View citations (1)
  3. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (20)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2009) Downloads View citations (2)
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2009) Downloads
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2010) Downloads View citations (2)
    Working Papers Series, Central Bank of Brazil, Research Department (2010) Downloads View citations (5)
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2010) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2011)

2010

  1. Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (8)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010) Downloads View citations (6)
  2. Financial Integration and the Construction of Historical Financial Data for the Euro Area
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester Downloads View citations (2)
    See also Journal Article in Economic Modelling (2011)
  3. VARs, Cointegration and Common Cycle Restrictions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)

2009

  1. 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 Downloads View citations (3)

2007

  1. CONSTRUCTING HISTORICAL EURO AREA DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) Downloads View citations (9)

2006

  1. A Complete VARMA Modelling Methodology Based on Scalar Components
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (6)
    See also Journal Article in Journal of Time Series Analysis (2008)
  2. VARMA versus VAR for Macroeconomic Forecasting
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (10)
    See also Journal Article in Journal of Business & Economic Statistics (2008)

2005

  1. Forecasting Time-Series with Correlated Seasonality
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  2. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
  3. The Effect of Household Characteristics on Living Standards in South Africa 1993 - 98: A Quantile Regression Analysis with Sample Attrition
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics Downloads View citations (2)

2004

  1. Are VAR Models Good Enough?
    Econometric Society 2004 Australasian Meetings, Econometric Society
  2. Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads

2003

  1. Nonlinear Correlograms and Partial Autocorrelograms
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  2. 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 Downloads View citations (4)
  3. The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (12)
    Also in Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2002) Downloads View citations (5)
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2002) Downloads View citations (5)

2002

  1. 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 Downloads
    See also Journal Article in Journal of Applied Econometrics (2007)
  2. Statistical Inference on Changes in Income Inequality in Australia
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
    See also Journal Article in The Economic Record (2003)

2001

  1. 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 Downloads View citations (2)
  2. 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 Downloads View citations (4)
    See also Journal Article in Australian Economic Papers (2001)
  3. Strategy Similarity and Coordination
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (8)
    See also Journal Article in Economic Journal (2004)
  4. 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 Downloads View citations (5)
    Also in Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2001) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2002)
  5. The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    Also in Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2001) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2006)

2000

  1. Clustering Regression Functions in a Panel
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (1)
  2. 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 Downloads View citations (13)
    See also Journal Article in Macroeconomic Dynamics (2001)

1999

  1. Does International Trade Synchronize Business Cycles?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (16)
  2. 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 Downloads View citations (5)
    See also Journal Article in Games and Economic Behavior (2001)
  3. The importance of Common-Cyclical Features in VAR analysis: a Monte-Carlo study (Preliminary Version)
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads

1998

  1. Common cycles and the importance of transitory shocks to macroeconomic aggregates (revised version)
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads

1995

  1. Common cycles in macroeconomic aggregates (revised version)
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads

1994

  1. Common cycles in macroeconomic aggregates
    Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads View citations (4)

Journal Articles

2016

  1. Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
    Journal of Applied Econometrics, 2016, 31, (6), 1100-1119 Downloads
    See also Working Paper (2014)

2015

  1. Asymmetric pricing of diesel at its source
    Energy Economics, 2015, 52, (PA), 183-194 Downloads

2012

  1. Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
    Pacific-Basin Finance Journal, 2012, 20, (2), 271-291 Downloads View citations (5)

2011

  1. Financial integration and the construction of historical financial data for the Euro Area
    Economic Modelling, 2011, 28, (4), 1498-1509 Downloads View citations (6)
    See also Working Paper (2010)
  2. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
    Journal of Econometrics, 2011, 164, (1), 116-129 Downloads View citations (20)
    See also Working Paper (2011)

2009

  1. Household responses to health risks and shocks: A study from rural Tanzania raises some methodological issues
    Journal of International Development, 2009, 21, (2), 200-211 Downloads View citations (3)

2008

  1. A complete VARMA modelling methodology based on scalar components
    Journal of Time Series Analysis, 2008, 29, (3), 533-554 Downloads View citations (6)
    See also Working Paper (2006)
  2. Forecasting time series with multiple seasonal patterns
    European Journal of Operational Research, 2008, 191, (1), 207-222 Downloads View citations (19)
  3. John Creedy, Research Without Tears: From the First Ideas to Published Output (Edward Elgar Publishing, 2008)
    Agenda - A Journal of Policy Analysis and Reform, 2008, 15, (3), 115-116 Downloads
  4. VARMA versus VAR for Macroeconomic Forecasting
    Journal of Business & Economic Statistics, 2008, 26, 237-252 Downloads View citations (28)
    See also Working Paper (2006)

2007

  1. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
    Journal of Business & Economic Statistics, 2007, 25, 76-90 Downloads View citations (22)
    See also Working Paper (2005)
  2. Necessity of negative serial correlation for mean-reversion of stock prices
    The Quarterly Review of Economics and Finance, 2007, 47, (4), 576-583 Downloads View citations (1)
  3. Nonlinear autoregressive leading indicator models of output in G-7 countries
    Journal of Applied Econometrics, 2007, 22, (1), 63-87 Downloads View citations (5)
    See also Working Paper (2002)

2006

  1. Common features
    Journal of Econometrics, 2006, 132, (1), 1-5 Downloads View citations (7)
  2. 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 Downloads View citations (4)
  3. 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 Downloads View citations (23)
    See also Working Paper (2001)

2005

  1. Nonlinear Correlograms and Partial Autocorrelograms
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 957-982 Downloads View citations (1)
    See also Working Paper (2003)

2004

  1. Strategy Similarity and Coordination
    Economic Journal, 2004, 114, (497), 506-527 Downloads View citations (7)
    See also Working Paper (2001)

2003

  1. Statistical Inference and Changes in Income Inequality in Australia
    The Economic Record, 2003, 79, (247), 412-424 Downloads View citations (14)
    See also Working Paper (2002)

2002

  1. The importance of common cyclical features in VAR analysis: a Monte-Carlo study
    Journal of Econometrics, 2002, 109, (2), 341-363 Downloads View citations (55)
    See also Working Paper (2001)

2001

  1. Common cycles and the importance of transitory shocks to macroeconomic aggregates
    Journal of Monetary Economics, 2001, 47, (3), 449-475 Downloads View citations (81)
  2. Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
    Australian Economic Papers, 2001, 40, (4), 541-66 Downloads View citations (6)
    See also Working Paper (2001)
  3. PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS
    Macroeconomic Dynamics, 2001, 5, (04), 482-505 Downloads View citations (27)
    See also Working Paper (2000)
  4. Predicting How People Play Games: A Simple Dynamic Model of Choice
    Games and Economic Behavior, 2001, 34, (1), 104-122 Downloads View citations (31)
    See also Working Paper (1999)

1999

  1. Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice
    Games and Economic Behavior, 1999, 28, (2), 294-309 Downloads View citations (58)

1998

  1. On the pooling of cross-sectional and time-series data in the presence of heteroskedasticity
    Economics Letters, 1998, 60, (3), 291-296 Downloads View citations (1)
  2. Testing multiple equation systems for common nonlinear components
    Journal of Econometrics, 1998, 84, (1), 1-36 Downloads View citations (69)

1997

  1. Codependent cycles
    Journal of Econometrics, 1997, 80, (2), 199-221 Downloads View citations (91)
  2. 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 Downloads View citations (5)
  3. 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 Downloads View citations (2)
  4. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174 Downloads View citations (73)

1996

  1. Aitken Generalization of the Gauss-Markov Theorem without Calculus
    Econometric Theory, 1996, 12, (03), 592-593 Downloads

1994

  1. Deriving Restricted Least Squares without a Lagrangean
    Econometric Theory, 1994, 10, (02), 443-448 Downloads

1993

  1. Common Trends and Common Cycles
    Journal of Applied Econometrics, 1993, 8, (4), 341-60 Downloads View citations (238)

Editor

  1. Monash Econometrics and Business Statistics Working Papers
    Monash University, Department of Econometrics and Business Statistics
 
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