Details about Farshid Vahid

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Short-id: pva160

Working Papers

2017

1. 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
2. The Australian Macro Database: An online resource for macroeconomic research in Australia
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2016

3. Bayesian Rank Selection in Multivariate Regression
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2014

4. 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)
5. Forecasting with EC-VARMA models
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics
6. 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
7. 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

8. 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

9. 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 (10)
   Also in Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York (2010) View citations (6)
10. Global Temperature Trends
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2008) View citations (1)
11. Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) View citations (22)
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2010) View citations (5)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2009) View citations (2)
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2010) View citations (2)
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2009)
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2010) View citations (2)
    See also Journal Article in Journal of Econometrics (2011)

2010

12. 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 (8)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2010) View citations (6)
13. 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 Univeristy of Manchester View citations (2)
    See also Journal Article in Economic Modelling (2011)
14. VARs, Cointegration and Common Cycle Restrictions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

2009

15. 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 (3)

2007

16. CONSTRUCTING HISTORICAL EURO AREA DATA
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
    Also in Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group (2007) View citations (9)

2006

17. 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)
18. 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

19. Forecasting Time-Series with Correlated Seasonality
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
20. 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 (2)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
21. 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

22. Are VAR Models Good Enough?
    Econometric Society 2004 Australasian Meetings, Econometric Society
23. Forecasting Australian GDP Growth Using Coefficients Constrained by A Term Structure Model
    Econometric Society 2004 Australasian Meetings, Econometric Society

2003

24. 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)
25. 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 (4)
26. 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), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) View citations (12)
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2002) View citations (5)
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2002) View citations (5)

2002

27. Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article in Journal of Applied Econometrics (2007)
28. 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 (3)
    See also Journal Article in The Economic Record (2003)

2001

29. 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)
30. 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 (5)
    See also Journal Article in Australian Economic Papers (2001)
31. Strategy Similarity and Coordination
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (8)
    See also Journal Article in Economic Journal (2004)
32. 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), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2001) View citations (6)
    See also Journal Article in Journal of Econometrics (2002)
33. The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
    Also in FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2001) View citations (6)
    See also Journal Article in Journal of Econometrics (2006)

2000

34. Clustering Regression Functions in a Panel
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
35. 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 (13)
    See also Journal Article in Macroeconomic Dynamics (2001)

1999

36. Does International Trade Synchronize Business Cycles?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (16)
37. 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)
38. The importance of Common-Cyclical Features in VAR analysis: a Monte-Carlo study (Preliminary Version)
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil)

1998

39. Common cycles and the importance of transitory shocks to macroeconomic aggregates (revised version)
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil)

1995

40. Common cycles in macroeconomic aggregates (revised version)
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil)

1994

41. Common cycles in macroeconomic aggregates
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) View citations (4)

Journal Articles

2016

1. Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
   Journal of Applied Econometrics, 2016, 31, (6), 1100-1119
   See also Working Paper (2014)

2015

2. Asymmetric pricing of diesel at its source
   Energy Economics, 2015, 52, (PA), 183-194

2012

3. Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
   Pacific-Basin Finance Journal, 2012, 20, (2), 271-291 View citations (5)

2011

4. Financial integration and the construction of historical financial data for the Euro Area
   Economic Modelling, 2011, 28, (4), 1498-1509 View citations (6)
   See also Working Paper (2010)
5. 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 (22)
   See also Working Paper (2011)

2009

6. 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 (4)

2008

7. A complete VARMA modelling methodology based on scalar components
   Journal of Time Series Analysis, 2008, 29, (3), 533-554 View citations (7)
   See also Working Paper (2006)
8. Forecasting time series with multiple seasonal patterns
   European Journal of Operational Research, 2008, 191, (1), 207-222 View citations (23)
9. 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
10. VARMA versus VAR for Macroeconomic Forecasting
    Journal of Business & Economic Statistics, 2008, 26, 237-252 View citations (28)
    See also Working Paper (2006)

2007

11. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?
    Journal of Business & Economic Statistics, 2007, 25, 76-90 View citations (24)
    See also Working Paper (2005)
12. 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 (1)
13. Nonlinear autoregressive leading indicator models of output in G-7 countries
    Journal of Applied Econometrics, 2007, 22, (1), 63-87 View citations (5)
    See also Working Paper (2002)

2006

14. Common features
    Journal of Econometrics, 2006, 132, (1), 1-5 View citations (7)
15. 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 (4)
16. 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 (23)
    See also Working Paper (2001)

2005

17. Nonlinear Correlograms and Partial Autocorrelograms
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 957-982 View citations (2)
    See also Working Paper (2003)

2004

18. Strategy Similarity and Coordination
    Economic Journal, 2004, 114, (497), 506-527 View citations (7)
    See also Working Paper (2001)

2003

19. Statistical Inference and Changes in Income Inequality in Australia
    The Economic Record, 2003, 79, (247), 412-424 View citations (14)
    See also Working Paper (2002)

2002

20. The importance of common cyclical features in VAR analysis: a Monte-Carlo study
    Journal of Econometrics, 2002, 109, (2), 341-363 View citations (58)
    See also Working Paper (2001)

2001

21. Common cycles and the importance of transitory shocks to macroeconomic aggregates
    Journal of Monetary Economics, 2001, 47, (3), 449-475 View citations (84)
22. Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices
    Australian Economic Papers, 2001, 40, (4), 541-66 View citations (7)
    See also Working Paper (2001)
23. PREDICTING THE PROBABILITY OF A RECESSION WITH NONLINEAR AUTOREGRESSIVE LEADING-INDICATOR MODELS
    Macroeconomic Dynamics, 2001, 5, (04), 482-505 View citations (27)
    See also Working Paper (2000)
24. Predicting How People Play Games: A Simple Dynamic Model of Choice
    Games and Economic Behavior, 2001, 34, (1), 104-122 View citations (31)
    See also Working Paper (1999)

1999

25. Payoff Assessments without Probabilities: A Simple Dynamic Model of Choice
    Games and Economic Behavior, 1999, 28, (2), 294-309 View citations (58)

1998

26. 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)
27. Testing multiple equation systems for common nonlinear components
    Journal of Econometrics, 1998, 84, (1), 1-36 View citations (69)

1997

28. Codependent cycles
    Journal of Econometrics, 1997, 80, (2), 199-221 View citations (90)
29. 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)
30. 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 (2)
31. Shorte-run forecasts of electricity loads and peaks
    International Journal of Forecasting, 1997, 13, (2), 161-174 View citations (75)

1996

32. Aitken Generalization of the Gauss-Markov Theorem without Calculus
    Econometric Theory, 1996, 12, (03), 592-593

1994

33. Deriving Restricted Least Squares without a Lagrangean
    Econometric Theory, 1994, 10, (02), 443-448

1993

34. Common Trends and Common Cycles
    Journal of Applied Econometrics, 1993, 8, (4), 341-60 View citations (240)

Editor

1. Monash Econometrics and Business Statistics Working Papers
   Monash University, Department of Econometrics and Business Statistics