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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2/97: Strike Data with a Crisis Point

O. Lieberman

1/97: Modelling Export Activity in a Multicountry Economic Area: The APEC Case

Laszlo Matyas, Laszlo Konya and Mark Harris

20/96: Aggregation and Cointegration

Gabor Korosi, R. Longmire and Laszlo Matyas

19/96: Additive Nonparametric Regression with Autocorrelated Errors

Michael Smith, C.M. Wong and Robert Kohn

18/96: Improved Small Sample Midel selection Procedures

Maxwell King, Catherine Forbes and A. Morgan

17/96: A Logit Model of Laudry Detergent Brand Choice in Melbourne

Tim Fry and R. Longmire

15/96: Computers and Productivity in France: Some Evidence

N. Greenman and Jacques Mairesse

14/96: Growth Convergence: Some Panel Data Evidence

Xin Lee, R. Longmire, Laszlo Matyas and Mark Harris

13/96: Estimating Daily Volatility from Intraday Data

Bernard Bollen and P. Kofman

12/96: Cointegration Analysis of Purchasing Power Parity in a Small Country Context

T. Ravindiran

11/96: Business Forecasting with Exponential Smoothing: Computation of Prediction Intervals

Ralph Snyder and S. Grose

10/96: A Test to Compare two Related Stationary Time Series

A. Maharaj and Brett Inder

9/96: The Robustness of Estimators for Dynamic Panel Data Models to Misspecification

Mark Harris, R.J. Longmire and Laszlo Matyas

8/96: A Comparison of the Accuracy of Asymptotic Approximations in the Dynamic Regression Model Using Kullback-Leibler Information

R. Atukorala and Maxwell King

7/96: Testing for Serial Correlation in the of Dynamic Heteroscedasticity

Param Silvapulle and M. Evans

6/96: Estimation of Regression Disturbances Based on Minimum Message Length

M.R. Laskar and Maxwell King

5/96: Using the EM Algorithm with Complete, but Scrambled, data

Guyonne Kalb

4/96: A Comparative Analysis of Different Estimatiors for Dynamic Panel data Models

Mark Harris and Laszlo Matyas

3/96: Testing for Structural Change in Cointegrated Regression Models: Some Comparisons and Generalizations

K. Hao

2/96: Principal Components Analysis of Cointegrated Time Series

David Harris

1/96: Trends, Lead Times and Forecasting

G.R. Saligari and Ralph Snyder

20/95: Interaction Between the London and New-York Stock Market During Common Trading Hours

P. Kofman and M. Martens

19/95: Homogeneity of Variance Test for the Comparison of Two or More Spectra

Elizabeth Maharaj, N. Singh and Brett Inder

18/95: A Modified Fluctuation Test for Structural Change

K. Hao and Brett Inder

17/95: Fractional Cointegration: A Bayesian Aproach

Gael Martin

16/95: Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo

Gael Martin

15/95: A Small Sample Variable Selection Procedure

Catherine Forbes, Maxwell King and A. Morgan

14/95: A Threshold Error Correction Model for Intraday Futures and Index Returns

M. Martens, P. Kofman and Ton Vorst

13/95: From Dornbush to Murphy: Stylized Monetary Dynamics of a Contemporary Macroeconometric Model

Alan Powell

12/95: Marginal Likelihood Based Tests of a Subvector of the Parameter Vector of Linear Regression Disturbances

I. Ara and Maxwell King

11/95: Mixtures of Tails in Clustered Automobile Claims

Guyonne Kalb, P. Kofman and Ton Vorst

10/95: Misspecified Heterogeneity in Panel Data Models

Pierre Blanchard and Laszlo Matyas

9/95: The INITB Macros User's Guide: A Macro Collection to Write Books Using TEX

Gabor Korosi and Laszlo Matyas

8/95: A Computer Simulation of the Spread of Hepatitis C

D. Mather

7/95: Small-Sample Power of Tests for Inequality Restrictions: The Case of Quarter Independant Errors

P. Wu and Maxwell King

6/95: The Applications of the Durbin-Watson Test to the Dynamic Regression Model Under Normal and Non-Normal Errors

Maxwell King and David Harris

5/95: Inventory Control: Back to the Molehills

Ralph Snyder

4/95: Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models

John Ord, A. Koehler and Ralph Snyder

3/95: A Parsimonious Autocorrelation Correction for Singular Demand Systems

Keith McLaren

2/95: The Size and Power Properties of Combining Choice Set Participation Tests for the IIA Property in the Logit Model

Robert D. Brooks, Tim Fry and Mark Harris

1/95: Combining Choice Set Partition Tests for the Independence of Irrelevant Alternatives Property: Size Properties in the Four Alternatives Setting

Robert D. Brooks, Tim Fry and Mark Harris

20/94: Advertising Wearout in the Transport Accident Commission Road Safety Compaigns

Tim Fry

19/94: A Diagnostic Test for Structural Change in Cointegrated Regression Models

K. Hao and Brett Inder

18/94: A Significance Test for Classifying ARMA Models

Elizabeth Maharaj

17/94: A Comparative Study of Introductory and Undergraduate Econometric Textbooks

Mark Harris and L.R. Macquarie

16/94: Volatility Patterns and Spillovers in Bund Futures

Philip Hans Franses, R. Van Ieperen, P. Kofman, M. Martens and Albert Menkveld

15/94: Improved Estimation Procedures for Nonlinear Panel Data Models

O. Lieberman and Laszlo Matyas

7/94: BURR Distribution Tables for Approximating p-Values and Critical Values by Matching Skewness and Kurtosis

M. Evans and S. Grose

6/94: One Sided Hypothesis Testing in Econometrics: A Survey

P.X. Wu and Maxwell King

5/94: Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications

Robert Brooks and Maxwell King

4/94: A Comparison of Marginal Likelihood Based and Approximate Point Optimal Tests for Random Regression Coefficient in the Presence of Autocorrelation

S. Rahman and Maxwell King

3/94: Robustness of Tests for Error Component Models to Nonnormality

P. Blanchard and Laszlo Matyas

2/94: Testing for Independence or Irrelevent Alternatives: Some Empirical Results

Tim Fry and Mark Harris

1/94: Bayesian Statistical Variable Selection: A Review

C.M. Scipione