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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1997-6: Analytic Small Sample Bias and Standard Error Calculations for Tests of Serial Correlation in Market Returns

Michael Stanley Smith and N.Y. Naik

1997-5: Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior

Gael Margaret Martin

1997-4: Private and Public Consumption Expenditure Substitutability: Bayesian Estimates for the G7 Countries

G.M. Martin and V.L. Martin (Vance Lindsay Martin and Gael Margaret Martin)

1997-3: Bayesian Arbitrage Threshold Analysis

C.S. Forbes, Guyonne Kalb and P. Kofman

1997-2: Strike Data with a Crisis Point

O. Lieberman

1997-1: Modelling Export Activity in a Multicountry Economic Area: The APEC Case

Laszlo Matyas, Laszlo Konya and Mark Harris

1996-20: Aggregation and Cointegration

Gabor Korosi, R. Longmire and Laszlo Matyas

1996-19: Additive Nonparametric Regression with Autocorrelated Errors

Michael Stanley Smith, C.M. Wong and Robert J. Kohn

1996-18: Improved Small Sample Midel selection Procedures

M.L. King, C.S. Forbes and A. Morgan

1996-17: A Logit Model of Laudry Detergent Brand Choice in Melbourne

Tim R.L. Fry and R. Longmire

1996-15: Computers and Productivity in France: Some Evidence

N. Greenman and Jacques MAIRESSE

1996-14: Growth Convergence: Some Panel Data Evidence

M. Lee, R. Longmire, Laszlo Matyas and Mark Harris

1996-13: Estimating Daily Volatility from Intraday Data

B. Bollen and P. Kofman

1996-12: Cointegration Analysis of Purchasing Power Parity in a Small Country Context

T. Ravindiran

1996-11: Business Forecasting with Exponential Smoothing: Computation of Prediction Intervals

Ralph David Snyder and S. Grose

1996-10: A Test to Compare two Related Stationary Time Series

A. Maharaj and B. Inder

1996-9: The Robustness of Estimators for Dynamic Panel Data Models to Misspecification

Mark Harris, R.J. Longmire and Laszlo Matyas

1996-8: A Comparison of the Accuracy of Asymptotic Approximations in the Dynamic Regression Model Using Kullback-Leibler Information

R. Atukorala and M.L. King

1996-7: Testing for Serial Correlation in the of Dynamic Heteroscedasticity

Param Silvapulle and M. Evans

1996-6: Estimation of Regression Disturbances Based on Minimum Message Length

M.R. Laskar and M.L. King

1996-5: Using the EM Algorithm with Complete, but Scrambled, data

Guyonne Kalb

1996-4: A Comparative Analysis of Different Estimatiors for Dynamic Panel data Models

Mark Harris and Laszlo Matyas

1996-3: Testing for Structural Change in Cointegrated Regression Models: Some Comparisons and Generalizations

K. Hao

1996-2: Principal Components Analysis of Cointegrated Time Series

D. Harris

1996-1: Trends, Lead Times and Forecasting

G.R. Saligari and Ralph David Snyder

1995-20: Interaction Between the London and New-York Stock Market During Common Trading Hours

P. Kofman and M. Martens

1995-19: Homogeneity of Variance Test for the Comparison of Two or More Spectra

E.A. Maharaj, N. Singh and B.A. Inder

1995-18: A Modified Fluctuation Test for Structural Change

K. Hao and B. Inder

1995-17: Fractional Cointegration: A Bayesian Aproach

Gael Margaret Martin

1995-16: Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo

Gael Margaret Martin

1995-15: A Small Sample Variable Selection Procedure

C.S. Forbes, M.L. King and A. Morgan

1995-14: A Threshold Error Correction Model for Intraday Futures and Index Returns

M. Martens, P. Kofman and T.C.F. Vorst

1995-13: From Dornbush to Murphy: Stylized Monetary Dynamics of a Contemporary Macroeconometric Model

Alan Anthony Leslie Powell

1995-12: Marginal Likelihood Based Tests of a Subvector of the Parameter Vector of Linear Regression Disturbances

. Ara and M.L. King

1995-11: Mixtures of Tails in Clustered Automobile Claims

Guyonne Kalb, P. Kofman and T.C.F. Vorst

1995-10: Misspecified Heterogeneity in Panel Data Models

Pierre Blanchard and Laszlo Matyas

1995-9: The INITB Macros User's Guide: A Macro Collection to Write Books Using TEX

Gabor Korosi and Laszlo Matyas

1995-8: A Computer Simulation of the Spread of Hepatitis C

D. Mather

1995-7: Small-Sample Power of Tests for Inequality Restrictions: The Case of Quarter Independant Errors

P. Wu and M.L. King

1995-6: The Applications of the Durbin-Watson Test to the Dynamic Regression Model Under Normal and Non-Normal Errors

M.L. King and D.C. Harris

1995-5: Inventory Control: Back to the Molehills

Ralph David Snyder

1995-4: Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models

J.K. Ord, A. Koehler and Ralph David Snyder

1995-3: A Parsimonious Autocorrelation Correction for Singular Demand Systems

Keith Robert McLaren

1995-2: The Size and Power Properties of Combining Choice Set Participation Tests for the IIA Property in the Logit Model

Robert D. Brooks, Tim R.L. Fry and Mark Harris

1995-1: Combining Choice Set Partition Tests for the Independence of Irrelevant Alternatives Property: Size Properties in the Four Alternatives Setting

Robert D. Brooks, Tim R.L. Fry and Mark Harris

1994-20: Advertising Wearout in the Transport Accident Commission Road Safety Compaigns

Tim R.L. Fry

1994-19: A Diagnostic Test for Structural Change in Cointegrated Regression Models

K. Hao and B. Inder

1994-18: A Significance Test for Classifying ARMA Models

E.A. Maharaj

1994-17: A Comparative Study of Introductory and Undergraduate Econometric Textbooks

Mark Harris and L.R. Macquarie

1994-16: Volatility Patterns and Spillovers in Bund Futures

Philip Hans Franses, R. Van Ieperen, P. Kofman, M. Martens and B. Menkveld

1994-15: Improved Estimation Procedures for Nonlinear Panel Data Models

O. Lieberman and Laszlo Matyas

1994-7: BURR Distribution Tables for Approximating p-Values and Critical Values by Matching Skewness and Kurtosis

M. Evans and S. Grose

1994-6: One Sided Hypothesis Testing in Econometrics: A Survey

P.X. Wu and M.L. King

1994-5: Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications

R.D. Brooks and M.L. King

1994-4: A Comparison of Marginal Likelihood Based and Approximate Point Optimal Tests for Random Regression Coefficient in the Presence of Autocorrelation

S. Rahman and M.L. King

1994-3: Robustness of Tests for Error Component Models to Nonnormality

P. Blanchard and Laszlo Matyas

1994-2: Testing for Independence or Irrelevent Alternatives: Some Empirical Results

Tim R.L. Fry and Mark Harris

1994-1: Bayesian Statistical Variable Selection: A Review

C.M. Scipione