Department of Econometrics and Business Statistics Working Papers

From Monash University, Department of Econometrics and Business Statistics
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267946: A General Volatility Framework and the Generalised Historical Volatility Estimator

Bernard Bollen and Brett Inder

267945: Bayesian Estimation of the Reduced Rank Regression Model Without Ordering Restrictions

Rodney W. Strachan

267944: A New Approach to Model GNP Functions: An Application of Non-Separable Two-Stage Technologies

Gary K. K. Wong

267943: Nonparametric Seemingly Unrelated Regression

Michael Smith and Robert Kohn

267942: Comparisons of Estimators and Tests Based on Modified Likelihood and Message Length Functions

Mizan R. Laskar and Maxwell L. King

267941: Modified Likelihood and Related Methods for Handling Nuisance Parameters in the Linear Regression Model

Mizan R. Laskar and Maxwell L. King

267940: A Comparison of Alternative Estimators for Binary Panel Probit Models

Mark N. Harris, Lachlan R. Macquarie and Anthony J. Siouclis

267939: Exponential Smoothing Methods of Forecasting and General ARMA Time Series Representations

Roland G. Shami and Ralph D. Snyder

267938: Estimating Long-Term Trends in Tropospheric Ozone Levels

Michael Smith, Paul Yau, Thomas Shively and Robert Kohn

267937: U.S. Deficient Sustainability: A New Approach Based on Multiple Endogenous Breaks

Gael M. Martin

267936: Bayesian Approaches to Segmenting a Simple Time Series

Jonathan J. Oliver and Catherine S. Forbes

267935: Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data

Michael Smith, Sharat K. Mathur and Robert Kohn

267934: The Comparison of Two or More Stationary Time Series

Ann Maharaj

267933: Comparison ans Classification of Stationary Multivariate Time Series

Ann Maharaj

267932: Exponential Smoothing of Seasonal Data: A Comparison

Roland G. Shami and Ralph D. Snyder

267931: Trend Stability and Structural Change: An Extension to the M1 Forecasting Competition

Brett Inder and Ralph Snyder

267930: Prediction Intervals for ARIMA Models

R. D. Snyder, J. K. Ord and A. B. Koehler

267929: The Kuznets U-Curve Hypothesis: Some Panel Data Evidence

Laszlo Matyas, Laszlo Konya and Lachlan Macquarie

267928: Analytic Small Sample Bias and Standard Error Calculations for Tests of Serial Correlation in Market Returns

Michael Smith and Narayan Y. Naik

267927: Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior

Gael M. Martin

267926: Private and Public Consumption Expenditure Substitutability: Bayesian Estimates for the G7 Countries

Gael M. Martin and Vance L. Martin

267925: Bayesian Arbitrage Threshold Analysis

Catherine S. Forbes, Guyonne R. J. Kalb and Paul Kofman

267924: Strike Data with a Crisis Point

Offer Lieberman

267923: Modelling Export Activity in a Multicountry Economic Area: The APEC Case

Laszlo Matyas, Laszlo Konya and Mark N. Harris

267922: Aggregation and Cointegration

Gabor Korosi, Ritchard Longmire and Laszlo Matyas

267921: Additive Nonparametric Regression with Autocorrelated Errors

Michael Smith, Chi-Ming Wong and Robert Kohn

267920: Improved Small Sample Model Selection Procedures

Maxwell L. King, Catherine Scipione Forbes and Alan Morgan

267919: A Logit Model of Laundry Detergent Brand Choice in Melbourne

Tim R. L. Fry and Ritchard Longmire

267918: The Stochastic Specification of Attraction Models

Tim R. L. Fry and Eileen M. Sexton

267917: Computers and Productivity in France: Some Evidence

Nathalie Greenan and Jacques Mairesse

267916: Growth Convergence: Some Panel Data Evidence

Michael Lee, Ritchard Longmire, Laszlo Matyas and Mark Harris

267915: Estimating Daily Volatility From Intraday Data

Bernard Bollen and Paul Kofman

267914: Cointegration Analysis of Purchasing Power Parity in a Small Country Context

T. Ravindiran

267913: Business Forecasting with Exponential Smoothing: Computation of Prediction Intervals

Ralph D. Snyder and Simone Grose

267912: A Test of Compare Two Related Stationary Time Series

Anne Maharaj and Brett Inder

267911: The Robustness of Estimators for Dynamic Panel Data Models to Misspecification

Mark N. Harris, Ritchard J. Longmire and Laszlo Matyas

267910: A Comparison of the Accuracy of Asymptotic Approximations in the Dynamic Regression Model Using Kullback-Leibler Information

Ranjani Atukorala and Maxwell L. King

267909: Testing for Serial Correlation in the Presence of Dynamic Heteroscedasticity

Paramosothy Silvapulle and Merran Evens

267908: Estimation of Regression Disturbances Based on Minimum Message Length

Mizan R. Laskar and Maxwell L. King

267907: Using the EM Algorithm with Complete, but Scrambled, Data

Guyonne Kalb

267906: A Comparative Analysis of Different Estimations for Dynamic Panel Data Models

Mark N. Harris and Laszlo Matyas

267905: Testing for Structural Change in Cointegrated Regression Models: Some Comparisons and Generalizations

Kang Hao

267775: Principal Components Analysis of Cointergrated Time Series

David Harris

267774: Trends, Lead Times and Forecasting

Grant R. Saligari and Ralph D. Snyder

267773: Interaction Between the London and New York Stock Markets During Common Trading Hours

Paul Kofman and Martin Martens

267772: "Homogeneity of Variance Test" for the Comparison of Two or More Spectra

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

267771: A Modified Fluctuation Test for Structural Change

Kang Hao and Brett Inder

267770: Fractional Cointegration: A Bayesian Aproach

Gael Martin

267769: Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo

Gael Matrin

267768: A Small Sample Variable Selection Procedure

Catherine Scipione Forbes, Maxwell L. King and Alan Morgan