Monash Econometrics and Business Statistics Working Papers

From Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
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6/00: Valid Bayesian Estimation of the Cointegrating Error Correction Model

Rodney Strachan

5/00: Implicit Bayesian Inference Using Option Prices

G.M. Martin, Catherine Forbes and V.L. Martin

4/00: Bayesian Soft Target Zones

Catherine Forbes and P. Kofman

3/00: Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models

Heather Anderson and Farshid Vahid

2/00: An EM Algorithm for Modelling Variably-Aggregated Demand

S. Grose and Keith McLaren

1/00: Estimating Demand with Varied Levels of Aggregation

S. Grose and Keith McLaren

14/99: Understanding the Kalman Filter: an Object Oriented Programming Perspective

Ralph Snyder and Catherine Forbes

13/99: Bayesian Trace Statistics for the Reduced Rank Regression Model

Rodney Strachan and Brett Inder

12/99: Predicting how People Play Games: a Simple Dynamic Model of Choice

R. Sarin and Farshid Vahid

11/99: A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap

Elizabeth Maharaj

10/99: Forecasting for Inventory Control with Exponential Smoothing

Ralph Snyder, A. Koehler and John Ord

9/99: Forecasting Time Series from Clusters

E.A. Marahaj and Brett Inder

8/99: Does International Trade Synchronize Business Cycles?

Heather Anderson, Noh-Sun Kwark and Farshid Vahid

7/99: Forecasting Sales of Slow and Fast Moving Inventories

Ralph Snyder

6/99: Estimating Advertising Half-Life and the Data Interval Bias

Tim Fry, S. Broadbent and Janine Dixon

5/99: Inter-Regional Migration in Australia: an Applied Economic Analysis

J. Fry, T.R.L. Fry and M.W. Peter

4/99: The Predictive Approach to Teaching Statistics

A. McLean

3/99: School-leavers' Transition to Tertiary Study: a Literature Review

M. Evans

2/99: Generalized Additive Modelling of Mixed Distribution Markov Models with Application to Melbourne's Rainfall

Rob Hyndman and G.K. Grunwald

1/99: Forecasting Models and Prediction Intervals for the Multiplicative Holt-Winters Method

A.B. Koehler, Ralph Snyder and John Ord

18/98: Institutional Characteristics and the Relationship Between Student's Last-Year University and Final-Year Secondary School Academic Performance

M. Evans and A. Farley

17/98: Nonparametric Estimation and Symmetry Tests for Conditional Density Functions

Rob Hyndman and Q. Yao

16/98: Bandwidth Selection for Kernel Conditional Density Estimation

D.M. Bashtannyk and Rob Hyndman

15/98: Model Selection when a Key Parameter Is Constrained to Be in an Interval

M.Z. Hossain and Maxwell King

14/98: Testing Convergence in Economic Growth for OECD Countries

S. Nahar and Brett Inder

13/98: Lead Time demand for Simple Exponential Smoothing

Ralph Snyder, A.B. Koehler and John Ord

12/98: Residual Diagnostic Plots for Checking for model Mis-Specification in Time Series Regression

R. Fraccaro, Rob Hyndman and A. Veevers

11/98: Comparisons of Estimators and Tests Based on Modified Likelihood and Message Length Functions

M.R. Lasker and Maxwell King

10/98: A General Volatility Framework and the Generalised Historical Volatility Estimator

Bernard Bollen and Brett Inder

9/98: bayesian Estimation of the Reduced Rank Regression Model without Ordering Restrictions

Rodney Strachan

8/98: A New Approach to Model GNP Functions: An Application of Non-Separable Two-Stage Technologies

G.K.K. Wong

7/98: Nonparametric Seemingly Unrelated Regression

Michael Smith and Robert Kohn

6/98: Comparisons of Estimators and Tests Based on Modified Likelihood And Message Length Functions

M.R. Laskar and Maxwell King

5/98: Modified Likelihood and Related Methods for Handling Nuisance Parameters in the Linear Regression Model

M.R. Laskar and Maxwell King

4/98: A Comparison of Alternative Estimators for Binary Panel Probit Models

Mark Harris, L.R. Macquarie and A.J. Siouclis

3/98: Exponential Smoothing Methods of Forecasting and General ARMA Time Series Representations

R.G. Shami and Ralph Snyder

2/98: Estimating Long-Term Trends in Tropospheric Ozone Levels

Michael Smith, P. Yau, T. Shively and Robert Kohn

1/98: U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks

Gael Martin

14/97: Bayesian Approaches to Segmenting A Simple Time Series

J.J. Oliver and Catherine Forbes

13/97: Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data

Michael Smith, S.K. Mathur and Robert Kohn

12/97: The Comparison of two or more Stationary Time Series

A. Maharaj

11/97: Comparison and Classification of Stationary Multivariate Time Series

A. Maharaj

10/97: Exponential Smoothing of Seasonal Data: A Comparison

R.G. Shami and Ralph Snyder

9/97: Trend Stability and Structural Change: An Extension to the M1 Forecasting Competition

Ralph Snyder and Brett Inder

8/97: Prediction Intervals for Arima Models

Ralph Snyder, John Ord and A.B. Koehler

7/97: The Kuznets U-Curve Hypothesis: Some Panel Data Evidence

Laszlo Matyas, Laszlo Konya and L. Macquarie

6/97: Analytic Small Sample Bias and Standard Error Calculations for Tests of Serial Correlation in Market Returns

Michael Smith and N.Y. Naik

5/97: Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior

Gael Martin

4/97: Private and Public Consumption Expenditure Substitutability: Bayesian Estimates for the G7 Countries

G.M. Martin and V.L. Martin

3/97: Bayesian Arbitrage Threshold Analysis

Catherine Forbes, Guyonne Kalb and P. Kofman