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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)
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