Monash Econometrics and Business Statistics Working Papers

from Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
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2008-5: Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown

Kulan Ranasinghe and Mervyn J. Silvapulle

2008-4: Monitoring Processes with Changing Variances

J. Keith Ord, Rob J. Hyndman, Anne B. Koehler and Ralph David Snyder

2008-3: Testing Conditional Asset Pricing Models: An Emerging Market Perspective

Javed Iqbal, Robert Brooks and Don (Tissa) U. A. Galagedera

2008-2: Multivariate tests of asset pricing: Simulation evidence from an emerging market

Javed Iqbal, Robert Brooks and Don (Tissa) U. A. Galagedera

2008-1: Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown

Kulan Ranasinghe and Mervyn J. Silvapulle

2007-15: A Comparison of Methods for Forecasting Demand for Slow Moving Car Parts

Ralph David Snyder and Adrian Beaumont

2007-14: Non-linear exponential smoothing and positive data

Muhammad Akram, Rob Hyndman and J. Keith Ord

2007-13: Long-Run Effects of BSE on Meat Consumption

Adam Bialowas, Lisa Farrell, Mark Harris and Cain Polidano

2007-12: Hierarchical forecasts for Australian domestic tourism

George Athanasopoulos, Roman A. Ahmed and Rob Hyndman

2007-11: A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation

Xibin Zhang, Robert D. Brooks and Maxwell L. King

2007-10: Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form

George Athanasopoulos, D.S. Poskitt and Farshid Vahid

2007-9: Optimal combination forecasts for hierarchical time series

Rob Hyndman, Roman A Ahmed and George Athanasopoulos

2007-8: Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models

Gunky Kim, Mervyn J. Silvapulle and Paramsothy Silvapulle (Param Silvapulle)

2007-7: A state space model for exponential smoothing with group seasonality

Pim Ouwehand, Rob Hyndman, Ton G. de Kok and Karel H. van Donselaar

2007-6: Automatic time series forecasting: the forecast package for R

Rob Hyndman and Yeasmin Khandakar

2007-5: Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?

Gael Margaret Martin, Andrew Reidy and Jill Wright

2007-4: An Assessment of Alternative State Space Models for Count Time Series

Ralph David Snyder, Gael Margaret Martin, Phillip Gould and Paul D. Feigin

2007-3: The vector innovation structural time series framework: a simple approach to multivariate forecasting

Ashton de Silva, Rob Hyndman and Ralph David Snyder

2007-2: Effective global regularity and empirical modeling of direct, inverse and mixed demand systems

Keith Robert McLaren and K.K. Gary Wong

2007-1: Semiparametric estimation of the dependence parameter of the error terms in multivariate regression

Gunky Kim, Mervyn J. Silvapulle and Paramsothy Silvapulle (Param Silvapulle)

2006-22: Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models

Chris M Strickland, Gael Margaret Martin and Catherine S Forbes

2006-21: Impact of Structural Change in Education, Industry and Infrastructure on Income Distribution in Sri Lanka

Ramani Gunatilaka, Duangkamon Chotikapanich and Brett Inder

2006-20: Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations

Giovanni Forchini

2006-19: Modelling and forecasting Australian domestic tourism

George Athanasopoulos and Rob Hyndman

2006-18: Measuring the cost of leaving care in Victoria

Catherine Forbes, Brett Inder and Sunitha Raman

2006-17: Beveridge-Nelson Decomposition with Markov Switching

Chin Nam Low, Heather M. Anderson and Ralph David Snyder

2006-16: Incorporating a Tracking Signal into State Space Models for Exponential Smoothing

Ralph David Snyder and Anne B. Koehler

2006-15: The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes

S. D. Grose and D. S. Poskitt

2006-14: Stochastic population forecasts using functional data models for mortality, fertility and migration

Rob Hyndman and Heather Booth

2006-13: Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions

Heather Booth, Rob Hyndman, Leonie Tickle and Piet de Jong

2006-12: Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes

D. S. Poskitt

2006-11: Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach

Jae Hoon Kim, Param Silvapulle and Rob Hyndman

2006-10: Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility

Gael Margaret Martin, Andrew Reidy and Jill Wright

2006-9: Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures

Param Silvapulle and Xibin Zhang

2006-8: Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity

Azhong Ye, Rob Hyndman and Zinai Li

2006-7: An Anisotropic Model For Spatial Processes

Minfeng Deng

2006-6: Inequality Trends and Determinants in Sri Lanka 1980-2002: A Shapley Approach to Decomposition

Ramani Gunatilaka and Duangkamon Chotikapanich

2006-5: Language and Labour in South Africa: A new approach for a new South Africa

Katy Cornwell

2006-4: VARMA versus VAR for Macroeconomic Forecasting

George Athanasopoulos and Farshid Vahid

2006-3: Some Nonlinear Exponential Smoothing Models are Unstable

Rob Hyndman and Muhammad Akram

2006-2: A Complete VARMA Modelling Methodology Based on Scalar Components

George Athanasopoulos and Farshid Vahid

2006-1: The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation

Giovanni Forchini

2005-24: Demand Forecasting: Evidence-based Methods

J. Scott Armstrong and Kesten Charles Green

2005-23: Real Interest Rate Linkages in the Pacific Basin Region

Philip Inyeob Ji and Jae Hoon Kim

2005-22: Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects

Jae Hoon Kim and Chris Doucouliagos

2005-21: Some Properties of Tests for Possibly Unidentified Parameters

Giovanni Forchini

2005-20: Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model

Giovanni Forchini

2005-19: Deriving Tests of the Semi-Linear Regression Model Using the Density Function of a Maximal Invariant

Jahar L. Bhowmik and Maxwell L. King

2005-18: Parameter Estimation in Semi-Linear Models Using a Maximal Invariant Likelihood Function

Jahar L. Bhowmik and Maxwell L. King

2005-17: Competitor-oriented Objectives: The Myth of Market Share

Kesten Charles Green and J. Scott Armstrong