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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3/11: The value of feedback in forecasting competitions

George Athanasopoulos and Rob Hyndman

2/11: Worker time and the cost of stability

Susan Tregeagle, Elizabeth Cox, Catherine Forbes, Cathy Humphreys and Cas O'Neill

1/11: Coherent mortality forecasting: the product-ratio method with functional time series models

Rob Hyndman, Heather Booth and Farah Yasmeen

22/10: Probabilistic Forecasts of Volatility and its Risk Premia

Worapree Maneesoonthorn, Gael Martin, Catherine Forbes and Simone Grose

21/10: Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions

Shuowen Hu, Donald Poskitt and Xibin Zhang

20/10: Forecasting Compositional Time Series with Exponential Smoothing Methods

Anne B. Koehler, Ralph Snyder, John Ord and Adrian Beaumont

19/10: Nonparametric modeling and forecasting electricity demand: an empirical study

Han Lin Shang

18/10: A Bayesian approach to parameter estimation for kernel density estimation via transformations

Qing Liu, David Pitt, Xibin Zhang and Xueyuan Wu

17/10: Short-term load forecasting based on a semi-parametric additive model

Shu Fan and Rob Hyndman

16/10: The price elasticity of electricity demand in South Australia

Shu Fan and Rob Hyndman

15/10: Dual P-Values, Evidential Tension and Balanced Tests

Donald Poskitt and Arivalzahan Sengarapillai

14/10: VARs, Cointegration and Common Cycle Restrictions

Heather Anderson and Farshid Vahid

13/10: Description Length Based Signal Detection in singular Spectrum Analysis

Atikur Khan and Donald Poskitt

12/10: Forecasting the Intermittent Demand for Slow-Moving Items

John Ord, Ralph Snyder and Adrian Beaumont

11/10: Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps

Yin Liao, Heather Anderson and Farshid Vahid

10/10: Automatic forecasting with a modified exponential smoothing state space framework

Alysha M De Livera

9/10: Forecasting age-related changes in breast cancer mortality among white and black US women: A functional approach

Farah Yasmeen, Rob Hyndman and Bircan Erbas

8/10: A comparison of ten principal component methods for forecasting mortality rates

Han Lin Shang, Rob Hyndman and Heather Booth

7/10: A Primal Divisia Technical Change Index Based on the Output Distance Function

Guohua Feng and Apostolos Serletis

6/10: Health mobility: implications for efficiency and equity in priority setting

Katharina Hauck and Aki Tsuchiya

5/10: Adverse events in surgical inpatients: A comparative analysis of public hospitals in Victoria

Katharina Hauck, Xueyan Zhao and Terri Jackson

4/10: A structural equation model of adverse events and length of stay in hospitals

Katharina Hauck and Xueyan Zhao

3/10: A Stochastic Frontier Model for Discrete Ordinal Outcomes: A Health Production Function

William Griffiths, Xiaohui Zhang and Xueyan Zhao

2/10: A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data

Brendan McCabe, Gael Martin and Keith Freeland

1/10: What Do the Bingers Drink? Microeconometric Evidence on Negative Externatilities of Alcohol Consumption by Beverage Types

Preety Pratima Srivastava and Xueyan Zhao

15/09: Forecasting time series with complex seasonal patterns using exponential smoothing

Alysha M De Livera and Rob Hyndman

14/09: An analytical derivation of the relation between idiosyncratic volatility and expected stock return

Don Galagedera

13/09: Description Length and Dimensionality Reduction in Functional Data Analysis

Donald Poskitt and Arivalzahan Sengarapillai

12/09: Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory

Donald Poskitt

11/09: Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand

George Athanasopoulos and Ashton de Silva

10/09: Modelling Australian Domestic and International Inbound Travel: a Spatial-Temporal Approach

Minfeng Deng and George Athanasopoulos

9/09: Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing

James W. Taylor and Ralph Snyder

8/09: Nonparametric time series forecasting with dynamic updating

Han Lin Shang and Rob Hyndman

7/09: Optimal Probabilistic Forecasts for Counts

Brendan McCabe, Gael Martin and David Harris

6/09: VARMA models for Malaysian Monetary Policy Analysis

Mala Raghavan, George Athanasopoulos and Param Silvapulle

5/09: Efficiency, Technical Change, and Returns to Scale in Large U.S. Banks: Panel Data Evidence from an Output Distance Function Satisfying Theoretical Regularity

Guohua Feng and Apostolos Serletis

4/09: Exponential Smoothing and the Akaike Information Criterion

Ralph Snyder and John Ord

3/09: The Econometric Specification of Input Demand Systems Implied by Cost Function Representations

Keith McLaren and Xueyan Zhao

2/09: Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

George Athanasopoulos, Osmani Guillén, João Issler and Farshid Vahid

1/09: A New Example of a Closed Form Mean-Variance Representation

Keith McLaren

11/08: Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals

Jae Kim, Haiyang Song, Kevin Wong, George Athanasopoulos and Shen Liu

10/08: The tourism forecasting competition

George Athanasopoulos, Rob Hyndman, Haiyan Song and Doris C Wu

9/08: Rainbow plots, Bagplots and Boxplots for Functional Data

Rob Hyndman and Han Lin Shang

8/08: The Benefit Function Approach to Modeling Price-Dependent Demand Systems: An Application of Duality Theory

Keith McLaren and K. K. Gary Wong

7/08: A View of Damped Trend as Incorporating a Tracking Signal into a State Space Model

Ralph Snyder and Anne B. Koehler

6/08: Density forecasting for long-term peak electricity demand

Rob Hyndman and Shu Fan

5/08: Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown

Kulan Ranasinghe and Mervyn J. Silvapulle

4/08: Monitoring Processes with Changing Variances

John Ord, Rob Hyndman, Anne B. Koehler and Ralph Snyder

3/08: Testing Conditional Asset Pricing Models: An Emerging Market Perspective

Javed Iqbal, Robert Brooks and Don Galagedera

2/08: Multivariate tests of asset pricing: Simulation evidence from an emerging market

Javed Iqbal, Robert Brooks and Don Galagedera