Details about Rodney Strachan

Access statistics for papers by Rodney Strachan.

Last updated 2020-11-15. Update your information in the RePEc Author Service.

Short-id: pst79

Working Papers

2020

1. Bayesian state space models in macroeconometrics
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
2. Multivariate Stochastic Volatility with Co-Heteroscedasticity
   GRIPS Discussion Papers, National Graduate Institute for Policy Studies
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018)
   GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2018) View citations (1)
   Working Paper series, Rimini Centre for Economic Analysis (2018)

2018

3. Reducing Dimensions in a Large TVP-VAR
   Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney 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 (3)
   Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (2)

2016

4. Changing dynamics at the zero lower bound
   Working Papers, Swiss National Bank, Study Center Gerzensee View citations (2)
   Also in Working Papers, Swiss National Bank (2016) View citations (1)

2014

5. Modelling Inflation Volatility
   Working Paper series, Rimini Centre for Economic Analysis View citations (4)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (4)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (13)
   See also Journal Article in Journal of Applied Econometrics (2016)
6. Stochastic Model Specification Search for Time-Varying Parameter VARs
   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 (2014) View citations (28)
   See also Journal Article in Econometric Reviews (2016)
7. The Zero Lower Bound: Implications for Modelling the Interest Rate
   Working Paper series, Rimini Centre for Economic Analysis View citations (8)

2013

8. 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 in Journal of the American Statistical Association (2018)

2012

9. Bayesian Model Averaging in the Instrumental Variable Regression Model
   Working Paper series, Rimini Centre for Economic Analysis View citations (29)
   Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (3)
   GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2011) View citations (3)
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (3)
   See also Journal Article in Journal of Econometrics (2012)
10. Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods
    MPRA Paper, University Library of Munich, Germany View citations (14)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (8)
11. Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in International Economic Review (2013)
12. 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

2011

13. 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 (19)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2008) View citations (1)
    GRIPS Discussion Papers, National Graduate Institute for Policy Studies (2008) View citations (3)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (19)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) View citations (2)
    See also Journal Article in Journal of Econometrics (2011)
14. Divergent Priors and well Behaved Bayes Factors
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Central European Journal of Economic Modelling and Econometrics (2014)
15. Time Varying Dimension Models
    Working Papers, University of Strathclyde Business School, Department of Economics View citations (2)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (3)
    ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010) View citations (5)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2011)
    Working Paper series, Rimini Centre for Economic Analysis (2010) View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2012)

2010

16. 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

17. 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 Papers, University of Strathclyde Business School, Department of Economics (2009) View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2013)

2008

18. 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)
19. 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 in International Journal of Forecasting (2010)
20. 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 in Journal of Business & Economic Statistics (2010)
21. 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 (10)
22. On the Evolution of Monetary Policy
    Working Paper series, Rimini Centre for Economic Analysis

2007

23. 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 (1)
24. 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 (1)
    Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia View citations (5)

2006

25. 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 (5)
    See also Journal Article in Econometric Reviews (2010)
26. 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 (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2006) View citations (2)

2005

27. 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 in Econometric Reviews (2007)
28. Bayesian approaches to cointegratrion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (6)
29. Improper priors with well defined Bayes Factors
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (1)
30. 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 in Journal of Money, Credit and Banking (2008)
31. 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 (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (8)
32. Weakly informative priors and well behaved Bayes factors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

2004

33. Bayesian Model Selection with an Uninformative Prior
    Keele Economics Research Papers, Centre for Economic Research, Keele University
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
34. Exceptions to Bartlett’s Paradox
    Keele Economics Research Papers, Centre for Economic Research, Keele University
35. On Priors on Cointegrating Spaces
    Keele Economics Research Papers, Centre for Economic Research, Keele University
36. 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

37. Bayesian Analysis of Stochastic and Deterministic Processes in The Error Correction Model
    Royal Economic Society Annual Conference 2003, Royal Economic Society
38. 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 (1)

2001

39. Bayesian Analysis of Stochastic & Deterministic Processes in the Error Correction Model
    Working Papers, University of Liverpool, Department of Economics

2000

40. Bayesian Maximum Eigenvalue And Trace Statistics For The Cointegrating Error Correction Model
    Working Papers, University of Liverpool, Department of Economics
41. 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 in Journal of Business & Economic Statistics (2003)

1999

42. 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

43. 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

2020

1. Constrained interest rates and changing dynamics at the zero lower bound
   Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (2), 26
2. Reducing the state space dimension in a large TVP-VAR
   Journal of Econometrics, 2020, 218, (1), 105-118 View citations (4)

2018

3. Invariant Inference and Efficient Computation in the Static Factor Model
   Journal of the American Statistical Association, 2018, 113, (522), 819-828 View citations (6)
   See also Working Paper (2013)

2016

4. Modelling Inflation Volatility
   Journal of Applied Econometrics, 2016, 31, (5), 805-820 View citations (4)
   See also Working Paper (2014)
5. Stochastic Model Specification Search for Time-Varying Parameter VARs
   Econometric Reviews, 2016, 35, (8-10), 1638-1665 View citations (25)
   See also Working Paper (2014)

2014

6. 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 (2011)

2013

7. 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 (2012)
8. 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 (5)
   See also Working Paper (2009)

2012

9. Bayesian model averaging in the instrumental variable regression model
   Journal of Econometrics, 2012, 171, (2), 237-250 View citations (28)
   See also Working Paper (2012)
10. Time Varying Dimension Models
    Journal of Business & Economic Statistics, 2012, 30, (3), 358-367 View citations (44)
    See also Working Paper (2011)

2011

11. Bayesian inference in a time varying cointegration model
    Journal of Econometrics, 2011, 165, (2), 210-220 View citations (20)
    See also Working Paper (2011)

2010

12. Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
    International Journal of Forecasting, 2010, 26, (2), 326-347 View citations (36)
    See also Working Paper (2008)
13. 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 (20)
    See also Working Paper (2008)
14. Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
    Econometric Reviews, 2010, 29, (2), 224-242 View citations (21)
    See also Working Paper (2006)
15. False posteriors for the long-term growth determinants
    Economics Letters, 2010, 109, (3), 144-146
16. Workshop on Bayesian Econometric Methods
    Review of Economic Analysis, 2010, 2, (2), 135-136

2009

17. Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks
    Journal of Applied Econometrics, 2009, 24, (2), 245-247 View citations (6)
18. Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach
    Studies in Nonlinear Dynamics & Econometrics, 2009, 14, (1), 1-33 View citations (6)
19. On the evolution of the monetary policy transmission mechanism
    Journal of Economic Dynamics and Control, 2009, 33, (4), 997-1017 View citations (128)

2008

20. 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 (13)
    Also in Journal of Money, Credit and Banking, 2008, 40, (2‐3), 341-367 (2008)
    See also Working Paper (2005)

2007

21. Bayesian Inference in Cointegrated I (2) Systems: A Generalization of the Triangular Model
    Econometric Reviews, 2007, 26, (2-4), 439-468 View citations (1)
    See also Working Paper (2005)

2004

22. Bayesian analysis of the error correction model
    Journal of Econometrics, 2004, 123, (2), 307-325 View citations (43)

2003

23. Bayesian Model Selection with an Uninformative Prior*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 863-876 View citations (7)
    See also Working Paper (2004)
24. Valid Bayesian Estimation of the Cointegrating Error Correction Model
    Journal of Business & Economic Statistics, 2003, 21, (1), 185-95 View citations (37)
    See also Working Paper (2000)

Software Items