Details about Rodney Strachan
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Short-id: pst79
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Working Papers
2020
- Bayesian State Space Models in Macroeconometrics
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University  View citations (4)
See also Journal Article BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS, Journal of Economic Surveys, Wiley Blackwell (2023) View citations (5) (2023)
- Multivariate Stochastic Volatility with Co-Heteroscedasticity
GRIPS Discussion Papers, National Graduate Institute for Policy Studies View citations (3)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (2)
GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2018) View citations (4)
Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (3)
2018
- Reducing Dimensions in a Large TVP-VAR
Working Paper series, Rimini Centre for Economic Analysis View citations (6)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (6)
Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney (2018) View citations (6)
2016
- Changing dynamics at the zero lower bound
Working Papers, Swiss National Bank, Study Center Gerzensee View citations (3)
Also in Working Papers, Swiss National Bank (2016) View citations (3)
2014
- Modelling Inflation Volatility
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (15)
Also in Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (8)
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (8)
See also Journal Article Modelling Inflation Volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (7) (2016)
- Stochastic Model Specification Search for Time-Varying Parameter VARs
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (31)
Also in Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (9)
See also Journal Article Stochastic Model Specification Search for Time-Varying Parameter VARs, Econometric Reviews, Taylor & Francis Journals (2016) View citations (40) (2016)
- The Zero Lower Bound: Implications for Modelling the Interest Rate
Working Paper series, Rimini Centre for Economic Analysis View citations (12)
2013
- Invariant Inference and Efficient Computation in the Static Factor Model
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (6)
See also Journal Article Invariant Inference and Efficient Computation in the Static Factor Model, Journal of the American Statistical Association, Taylor & Francis Journals (2018) View citations (23) (2018)
2012
- Bayesian Model Averaging in the Instrumental Variable Regression Model
Working Paper series, Rimini Centre for Economic Analysis View citations (40)
Also in GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2011) View citations (5)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (5)
Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (5)
See also Journal Article Bayesian model averaging in the instrumental variable regression model, Journal of Econometrics, Elsevier (2012) View citations (40) (2012)
- Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods
MPRA Paper, University Library of Munich, Germany View citations (15)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (14)
- Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
See also Journal Article EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2013) View citations (12) (2013)
- Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
2011
- Bayesian Inference in a Time Varying Cointegration Model
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (44)
Also in GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2008) View citations (3)
Working Paper series, Rimini Centre for Economic Analysis (2008) View citations (2)
Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (48)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) View citations (2)
See also Journal Article Bayesian inference in a time varying cointegration model, Journal of Econometrics, Elsevier (2011) View citations (47) (2011)
- Divergent Priors and well Behaved Bayes Factors
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
See also Journal Article Divergent Priors and Well Behaved Bayes Factors, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2014) View citations (3) (2014)
- Time Varying Dimension Models
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (2)
Working Paper series, Rimini Centre for Economic Analysis (2010) View citations (6)
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (4)
ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010) View citations (6)
See also Journal Article Time Varying Dimension Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (63) (2012)
2010
- Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Tinbergen Institute Discussion Papers, Tinbergen Institute
Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010)
2009
- Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
Also in Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (4)
Working Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (4)
See also Journal Article Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (7) (2013)
2008
- Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
- Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks
Working Paper series, Rimini Centre for Economic Analysis View citations (6)
See also Journal Article Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks, International Journal of Forecasting, Elsevier (2010) View citations (41) (2010)
- Dynamic probabilities of restrictions in state space models: An application to the Phillips curve
Working Paper series, Rimini Centre for Economic Analysis
See also Journal Article Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (24) (2010)
- Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (9)
- On the Evolution of Monetary Policy
Working Paper series, Rimini Centre for Economic Analysis
2007
- Bayesian Inference in a Cointegrating Panel Data Model
Working Paper series, Rimini Centre for Economic Analysis
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2006) View citations (3)
See also Chapter Bayesian inference in a cointegrating panel data model, Advances in Econometrics, Emerald Group Publishing Limited (2008) View citations (1) (2008)
- Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (11)
Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia View citations (9)
2006
- Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (6)
See also Journal Article Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space, Econometric Reviews, Taylor & Francis Journals (2010) View citations (30) (2010)
- Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (6)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2006) View citations (4)
2005
- Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
See also Journal Article Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model, Econometric Reviews, Taylor & Francis Journals (2007) View citations (2) (2007)
- Bayesian approaches to cointegratrion
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (8)
- Improper priors with well defined Bayes Factors
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (2)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (3)
- Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty
Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (4)
Also in Staff Reports, Federal Reserve Bank of New York (2005) View citations (3)
See also Journal Article Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (14) (2008)
- Valuing Structure, Model Uncertainty and Model Averaging in Vector Autoregressive Process
Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group View citations (3)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (13)
- Weakly informative priors and well behaved Bayes factors
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
2004
- Bayesian Model Selection with an Uninformative Prior
Keele Economics Research Papers, Centre for Economic Research, Keele University
See also Journal Article Bayesian Model Selection with an Uninformative Prior*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (10) (2003)
- Exceptions to Bartlett’s Paradox
Keele Economics Research Papers, Centre for Economic Research, Keele University
- On Priors on Cointegrating Spaces
Keele Economics Research Papers, Centre for Economic Research, Keele University
- The Value of Structural Information in the VAR Model
Keele Economics Research Papers, Centre for Economic Research, Keele University
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (1)
Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (1)
2003
- Bayesian Analysis of Stochastic and Deterministic Processes in The Error Correction Model
Royal Economic Society Annual Conference 2003, Royal Economic Society
- Bayesian model selection for a sharp null and a diffuse alternative with econometric applications
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
2001
- Bayesian Analysis of Stochastic & Deterministic Processes in the Error Correction Model
Working Papers, University of Liverpool, Department of Economics
2000
- Bayesian Maximum Eigenvalue And Trace Statistics For The Cointegrating Error Correction Model
Working Papers, University of Liverpool, Department of Economics
- Valid Bayesian Estimation of the Cointegrating Error Correction Model
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
See also Journal Article Valid Bayesian Estimation of the Cointegrating Error Correction Model, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (44) (2003)
1999
- Bayesian Trace Statistics for the Reduced Rank Regression Model
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
1998
- bayesian Estimation of the Reduced Rank Regression Model without Ordering Restrictions
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
Journal Articles
2023
- BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS
Journal of Economic Surveys, 2023, 37, (1), 58-75 View citations (5)
See also Working Paper Bayesian State Space Models in Macroeconometrics, CAMA Working Papers (2020) View citations (4) (2020)
2020
- Constrained interest rates and changing dynamics at the zero lower bound
Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (2), 26 View citations (1)
- Reducing the state space dimension in a large TVP-VAR
Journal of Econometrics, 2020, 218, (1), 105-118 View citations (55)
2018
- Invariant Inference and Efficient Computation in the Static Factor Model
Journal of the American Statistical Association, 2018, 113, (522), 819-828 View citations (23)
See also Working Paper Invariant Inference and Efficient Computation in the Static Factor Model, CAMA Working Papers (2013) View citations (6) (2013)
2016
- Modelling Inflation Volatility
Journal of Applied Econometrics, 2016, 31, (5), 805-820 View citations (7)
See also Working Paper Modelling Inflation Volatility, CAMA Working Papers (2014) View citations (15) (2014)
- Stochastic Model Specification Search for Time-Varying Parameter VARs
Econometric Reviews, 2016, 35, (8-10), 1638-1665 View citations (40)
See also Working Paper Stochastic Model Specification Search for Time-Varying Parameter VARs, CAMA Working Papers (2014) View citations (31) (2014)
2014
- Divergent Priors and Well Behaved Bayes Factors
Central European Journal of Economic Modelling and Econometrics, 2014, 6, (1), 1-31 View citations (3)
See also Working Paper Divergent Priors and well Behaved Bayes Factors, Tinbergen Institute Discussion Papers (2011) View citations (2) (2011)
2013
- EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING
International Economic Review, 2013, 54, (1), 385-402 View citations (12)
See also Working Paper Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging, Tinbergen Institute Discussion Papers (2012) View citations (2) (2012)
- Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
Journal of Applied Econometrics, 2013, 28, (1), 62-81 View citations (7)
See also Working Paper Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy, SIRE Discussion Papers (2009) (2009)
2012
- Bayesian model averaging in the instrumental variable regression model
Journal of Econometrics, 2012, 171, (2), 237-250 View citations (40)
See also Working Paper Bayesian Model Averaging in the Instrumental Variable Regression Model, Working Paper series (2012) View citations (40) (2012)
- Time Varying Dimension Models
Journal of Business & Economic Statistics, 2012, 30, (3), 358-367 View citations (63)
See also Working Paper Time Varying Dimension Models, CAMA Working Papers (2011) View citations (1) (2011)
2011
- Bayesian inference in a time varying cointegration model
Journal of Econometrics, 2011, 165, (2), 210-220 View citations (47)
See also Working Paper Bayesian Inference in a Time Varying Cointegration Model, CAMA Working Papers (2011) View citations (44) (2011)
2010
- Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
International Journal of Forecasting, 2010, 26, (2), 326-347 View citations (41)
See also Working Paper Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks, Working Paper series (2008) View citations (6) (2008)
- Dynamic Probabilities of Restrictions in State Space Models: An Application to the Phillips Curve
Journal of Business & Economic Statistics, 2010, 28, (3), 370-379 View citations (24)
See also Working Paper Dynamic probabilities of restrictions in state space models: An application to the Phillips curve, Working Paper series (2008) (2008)
- Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
Econometric Reviews, 2010, 29, (2), 224-242 View citations (30)
See also Working Paper Efficient Posterior Simulation for Cointegrated Models with Priors On the Cointegration Space, Discussion Papers in Economics (2006) View citations (6) (2006)
- False posteriors for the long-term growth determinants
Economics Letters, 2010, 109, (3), 144-146
- Workshop on Bayesian Econometric Methods
Review of Economic Analysis, 2010, 2, (2), 135-136
2009
- Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks
Journal of Applied Econometrics, 2009, 24, (2), 245-247 View citations (7)
- Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach
Studies in Nonlinear Dynamics & Econometrics, 2009, 14, (1), 33 View citations (12)
- On the evolution of the monetary policy transmission mechanism
Journal of Economic Dynamics and Control, 2009, 33, (4), 997-1017 View citations (209)
2008
- Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty
Journal of Money, Credit and Banking, 2008, 40, (2-3), 341-367 View citations (14)
Also in Journal of Money, Credit and Banking, 2008, 40, (2‐3), 341-367 (2008)
See also Working Paper Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty, Discussion Papers in Economics (2005) View citations (4) (2005)
2007
- Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model
Econometric Reviews, 2007, 26, (2-4), 439-468 View citations (2)
See also Working Paper Bayesian Inference in Cointegrated I (2) Systems: a Generalisation of the Triangular Model, Discussion Papers in Economics (2005) View citations (1) (2005)
2004
- Bayesian analysis of the error correction model
Journal of Econometrics, 2004, 123, (2), 307-325 View citations (66)
2003
- Bayesian Model Selection with an Uninformative Prior*
Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 863-876 View citations (10)
See also Working Paper Bayesian Model Selection with an Uninformative Prior, Keele Economics Research Papers (2004) (2004)
- Valid Bayesian Estimation of the Cointegrating Error Correction Model
Journal of Business & Economic Statistics, 2003, 21, (1), 185-95 View citations (44)
See also Working Paper Valid Bayesian Estimation of the Cointegrating Error Correction Model, Monash Econometrics and Business Statistics Working Papers (2000) View citations (1) (2000)
Chapters
2008
- Bayesian inference in a cointegrating panel data model
A chapter in Bayesian Econometrics, 2008, pp 433-469 View citations (1)
See also Working Paper Bayesian Inference in a Cointegrating Panel Data Model, Rimini Centre for Economic Analysis (2007) (2007)
Editor
- Advances in Econometrics
Emerald Group Publishing Limited
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