Department of Econometrics and Business Statistics Working Papers

From Monash University, Department of Econometrics and Business Statistics
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267767: A Threshold Error Correction Model for Intraday Futures and Index Returns

Martin Martens, Paul Kofman and Ton C. F. Vorst

267766: From Dornbusch to Murphy: Stylized Monetary Dynamics of a Contemporary Macroeconometric Model

Alan Powell

267765: Marginal Likelihood Based Tests of a Subvector of the Parameter Vector of Linear Regression Disturbances

Ismat Ara and Maxwell L. King

267764: Mixtures of Tails in Clustered Automobile Collision Claims

Guyonne R. J. Kalb, Paul Kofman and Tom C. F. Vorst

267763: Misspecified Heterogeneity in Panel Data Models

Pierre Blanchard and Laszlo Matyas

267762: The INITB Macros-User's Guide: A Macro Collection to Write Books Using TEX

Gabor Korosi and Laszlo Matyas

267761: A Computer Simulation of the Spread of Hepatitis C

Dineli Mather

267760: Small-Sample Power of Tests for Inequality Restrictions: The Case of Quarter-Dependent Regressor Errors

Ping Wu and Maxwell L. King

267759: The Application of the Durbin-Watson Test to the Dynamic Regression Model Under Normal and Non-Normal Errors

Maxwell L. King and David C. Harris

267758: Inventory Control: Back to the Molehills

R. D. Snyder

267757: Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models

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

267756: A Parsimonious Autocorrelation Correction for Singular Demand Systems (Third Draft)

Keith R. McLaren

267755: The Size and Power Properties of Combining Choice Set Partition Tests for the IIA Property in the Logit Model

Robert D. Brooks, Tim R. L. Fry and Mark N. Harris

267754: Combining Choice Set Partition Tests for the Independence of Irrelevant Alternatives Property: Size Properties in the Four Alternatives Setting

Robert D. Brooks, Tim R. L. Fry and Mark N. Harris

267753: Advertising Wearout in the Transport Accident Commission Road Safety Campaigns

Tin R. L. Fry

267752: A Diagnostic Test for Structural Change in Cointegrated Regression Models

Kang Hao and Brett Inder

267751: A Significance Test for Classifying ARMA Models

Elizabeth Ann Maharaj

267634: A Comparative Study of Introductory and Undergraduate Econometric Textbooks

Mark N. Harris and Lachlan R. Macquarie

267633: Volatility Patterns and Spillovers in Bund Futures

Philip Hans Franses, Reinoud van Ieperen, Paul Kofman, Martin Martens and Bert Menkveld

267632: Improved Estimation Procedures for Nonlinear Panel Data Models

Offer Lieberman and Laszlo Matyas

267631: Saddlepoint Approximation for the Least Squares Estimation in First-Order Autoregression

Offer Lieberman

267630: A Laplace Approximation to the Moments of a Ratio of Quadratic Forms

Offer Lieberman

267629: Model Selection in Univariate Time Series Forecasting

Chandra Shah

267628: Modelling the Probability of Youth Unemployment in Australia: 1985-1988

Mark N. Harris

267627: Tailing the Bid-Asking Spread

Paul Kofman and Ton C. F. Vorst

267626: Is There Life(F)E After DTB?: Competitive Aspects of Cross Listed Futures Contracts on Synchronous Markets

Paul Kofman, Tony Bouwman and James Moser

267625: Stock Margins and the Conditional Probability of Price Reversals

Paul Kofman and James Moser

267617: Burr Distribution Tables for Approximating p-Values and Critical Values by Matching Skewness and Kurtosis

Merran Evans and Simone Grose

267490: Comparisons of Estimators and Tests Based on Modified Likelihood and Message Length Functions

Mizan R. Laskar and Maxwell L. King

267485: Residual Diagnostic Plots for Checking for Model Mis-Specification in Time Series Regression

Richard Fraccaro, Rob Hyndman and Alan Veevers

267484: Lead Time Demand for Simple Exponential Smoothing

Ralph D. Snyder, Anne B. Koehler and J. Keith Ord

267483: Testing Convergence in Economic Growth for OECD Countries

Syfun Nahar and Brett Inder

267482: Model Selection When a Key Parameter is Constrained to be in an Interval

Md. Zakir Hossain and Maxwell L. King

267481: Bandwidth Selection for Kernel Conditional Density Estimation

David M. Bashtannyk and Rob J. Hyndman

267436: One-Sided Hypothesis Testing in Econometrics: A Sruvey

Ping X. Wu and Maxwell L. King

267435: Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications

Robert D. Brooks and Maxwell L. King

267434: A Comparison of Marginal Likelihood Based and Approximate Point Optimal Tests for Random Regression Coefficients in the Presence of Autocorrelation

Shahidur Rahman and Maxwell L. King

267433: Robustness of Tests for Error Components Models to Nonnormality

Pierre Blanchard and Laszlo Matyas

267431: Testing for Independence of Irrelevant Alternatives: Some Empirical Results

Tim R. L. Fry and Mark N. Harris

267429: Bayesian Statistical Variable Selection: A Review

Catherine M. Scipione

267428: Testing for Structural Change in Cointegrated Regression Models

Kang Hao and Brett Inder

267426: The Use of Information Criteria for Model Selection Between Models with Equal Numbers of Parameters

Simone D. Grose and Maxwell L. King

267425: Testing Hildreth-Houck Against Return to Normalcy Random Regression Coefficients

Robert D. Brooks and King Maxwell L.

267424: An Empirical Investigation of Shock Persistence in Economic Time Series

Geetha Mayadunne, Merran Evans and Brett Inder

267423: Pre-Test Strategies for Time-Series Forecasting in the Linear Regression Model

Maxwell L. King and Mei Leng Rankin

267422: Maximum Likelihood Estimation in Binary Data Models Using Panel Data Under Alternative Distributional Assumptions

Chris Orme and Tim R. L. Fry

267421: Marginal Likelihood Score-Based Tests of Regression Disturbances in the Presence of Nuisance Parameters

Shahidur Rahman and Maxwell L. King

267420: Marginal Likelihood Based Tests of Regression Disturbances

Ismat Ara and Maxwell L. King

267419: Hypothesis Testing in the Presence of Nuisance Parameters

Maxwell L. King

267418: Aggregation and the Long Run Behaviour of Economic Time Series

Gabor Korosi, Laszlo Lovrics and Laszlo Matyas