Details about Farshid Vahid
Access statistics for papers by Farshid Vahid.
Last updated 2023-01-05. Update your information in the RePEc Author Service.
Short-id: pva160
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Working Papers
2022
- Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2020
- Sectoral Employment Dynamics in Australia
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) 
See also Journal Article in Australian Economic Review (2020)
2019
- Global Temperatures and Greenhouse Gases: A Common Features Approach
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 
Also in Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2019)
See also Journal Article in Journal of Econometrics (2022)
2017
- Macroeconomic forecasting for Australia using a large number of predictors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
See also Journal Article in International Journal of Forecasting (2019)
- The Australian Macro Database: An online resource for macroeconomic research in Australia
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) View citations (1)
2016
- Bayesian Rank Selection in Multivariate Regression
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2014
- Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 
See also Journal Article in Journal of Applied Econometrics (2016)
- Forecasting with EC-VARMA models
Working Papers, University of Tasmania, Tasmanian School of Business and Economics
- The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
- VAR(MA), what is it good for? more bad news for reduced-form estimation and inference
Working Papers, University of Tasmania, Tasmanian School of Business and Economics
2013
- Common non-linearities in multiple series of stock market volatility
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2011
- Demand for Hospital Care and Private Health Insurance in a Mixed Public–Private System: Empirical Evidence Using a Simultaneous Equation Modeling Approach
Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (16)
Also in Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York (2010) View citations (15)
- Global Temperature Trends
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2008) View citations (1)
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (31)
Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2009)  FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2010) View citations (2) Working Papers Series, Central Bank of Brazil, Research Department (2010) View citations (6) FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2010) View citations (2) Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2009) View citations (4)
See also Journal Article in Journal of Econometrics (2011)
2010
- Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps
ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics View citations (11)
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010) View citations (11)
- Financial Integration and the Construction of Historical Financial Data for the Euro Area
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (2)
See also Journal Article in Economic Modelling (2011)
- VARs, Cointegration and Common Cycle Restrictions
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
2009
- 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 View citations (5)
See also Journal Article in Econometric Reviews (2012)
2007
- CONSTRUCTING HISTORICAL EURO AREA DATA
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (10)
Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) View citations (11)
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 (6)
See also Journal Article in Journal of Time Series Analysis (2008)
- Nonlinear autoregressive leading indicator models of output in G-7 countries
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2002) 
See also Journal Article in Journal of Applied Econometrics (2007)
- VARMA versus VAR for Macroeconomic Forecasting
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (10)
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 View citations (1)
- Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics View citations (4)
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
ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics View citations (2)
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 (5)
- The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (12)
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2001) View citations (4) FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2002) View citations (5) FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2002) View citations (5)
See also Journal Article in Journal of Econometrics (2006)
2002
- 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 (4)
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 (2)
- 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 View citations (6)
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 (7)
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 View citations (5)
Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2001) View citations (6)
See also Journal Article in Journal of Econometrics (2002)
- The missing link: using the NBER recessions indicator to construct coincident and leading indices of economic activity
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (6)
See also Journal Article in Journal of Econometrics (2006)
2000
- Clustering Regression Functions in a Panel
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
- 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 (12)
See also Journal Article in Macroeconomic Dynamics (2001)
1999
- Does International Trade Synchronize Business Cycles?
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (22)
- 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 (5)
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)
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
1998
- Common cycles and the importance of transitory shocks to macroeconomic aggregates (revised version)
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
1995
- Common cycles in macroeconomic aggregates (revised version)
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
1994
- Common cycles in macroeconomic aggregates
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (4)
Journal Articles
2023
- Multi-population mortality projection: The augmented common factor model with structural breaks
International Journal of Forecasting, 2023, 39, (1), 450-469
2022
- Global temperatures and greenhouse gases: A common features approach
Journal of Econometrics, 2022, 230, (2), 240-254 
See also Working Paper (2019)
2020
- Sectoral Employment Dynamics in Australia and the COVID‐19 Pandemic
Australian Economic Review, 2020, 53, (3), 402-414 
See also Working Paper (2020)
2019
- Macroeconomic forecasting for Australia using a large number of predictors
International Journal of Forecasting, 2019, 35, (2), 616-633 View citations (10)
See also Working Paper (2017)
- The global effects of productivity gains in Asian emerging economies
Economic Modelling, 2019, 83, (C), 127-140 View citations (1)
2017
- A Flexible Functional Form Approach To Mortality Modeling: Do We Need Additional Cohort Dummies?
Journal of Forecasting, 2017, 36, (4), 357-367 View citations (1)
- On weak identification in structural VARMA models
Economics Letters, 2017, 156, (C), 1-6
2016
- Dating the Timeline of House Price Bubbles in Australian Capital Cities
The Economic Record, 2016, 92, (299), 590-605 View citations (29)
- Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
Journal of Applied Econometrics, 2016, 31, (6), 1100-1119 View citations (2)
See also Working Paper (2014)
2015
- Asymmetric pricing of diesel at its source
Energy Economics, 2015, 52, (PA), 183-194 View citations (10)
2012
- Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Pacific-Basin Finance Journal, 2012, 20, (2), 271-291 View citations (9)
- Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
Econometric Reviews, 2012, 31, (1), 60-83 View citations (3)
See also Working Paper (2009)
2011
- Financial integration and the construction of historical financial data for the Euro Area
Economic Modelling, 2011, 28, (4), 1498-1509 View citations (9)
See also Working Paper (2010)
- Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
Journal of Econometrics, 2011, 164, (1), 116-129 View citations (33)
See also Working Paper (2011)
2009
- Household responses to health risks and shocks: A study from rural Tanzania raises some methodological issues
Journal of International Development, 2009, 21, (2), 200-211 View citations (14)
2008
- A complete VARMA modelling methodology based on scalar components
Journal of Time Series Analysis, 2008, 29, (3), 533-554 View citations (18)
See also Working Paper (2006)
- Forecasting time series with multiple seasonal patterns
European Journal of Operational Research, 2008, 191, (1), 207-222 View citations (42)
- John Creedy, Research Without Tears: From the First Ideas to Published Output (Edward Elgar Publishing, 2008)
Agenda - A Journal of Policy Analysis and Reform, 2008, 15, (3), 115-116
- VARMA versus VAR for Macroeconomic Forecasting
Journal of Business & Economic Statistics, 2008, 26, 237-252 View citations (40)
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 (38)
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 View citations (2)
- Nonlinear autoregressive leading indicator models of output in G-7 countries
Journal of Applied Econometrics, 2007, 22, (1), 63-87 View citations (14)
See also Working Paper (2006)
2006
- Common features
Journal of Econometrics, 2006, 132, (1), 1-5 View citations (7)
- 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 View citations (7)
Also in Journal of Applied Econometrics, 2006, 21, (7), 999-1018 (2006)
- 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 (30)
See also Working Paper (2003) Working Paper (2001)
2005
- Nonlinear Correlograms and Partial Autocorrelograms*
Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 957-982 View citations (3)
See also Working Paper (2003)
2004
- Strategy Similarity and Coordination
Economic Journal, 2004, 114, (497), 506-527 View citations (17)
See also Working Paper (2001)
2003
- Statistical Inference and Changes in Income Inequality in Australia
The Economic Record, 2003, 79, (247), 412-424 View citations (23)
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 (71)
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 (109)
- Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
Australian Economic Papers, 2001, 40, (4), 541-566 View citations (5)
See also Working Paper (2001)
- PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS
Macroeconomic Dynamics, 2001, 5, (4), 482-505 View citations (40)
See also Working Paper (2000)
- Predicting How People Play Games: A Simple Dynamic Model of Choice
Games and Economic Behavior, 2001, 34, (1), 104-122 View citations (39)
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 (66)
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 (1)
- Testing multiple equation systems for common nonlinear components
Journal of Econometrics, 1998, 84, (1), 1-36 View citations (91)
1997
- Codependent cycles
Journal of Econometrics, 1997, 80, (2), 199-221 View citations (92)
- 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 (5)
- 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 View citations (5)
- Shorte-run forecasts of electricity loads and peaks
International Journal of Forecasting, 1997, 13, (2), 161-174 View citations (99)
1993
- Common Trends and Common Cycles
Journal of Applied Econometrics, 1993, 8, (4), 341-60 View citations (313)
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