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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1/08: 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

15/07: A Comparison of Methods for Forecasting Demand for Slow Moving Car Parts

Ralph Snyder and Adrian Beaumont

14/07: Non-linear exponential smoothing and positive data

Muhammad Akram, Rob Hyndman and John Ord

13/07: Long-Run Effects of BSE on Meat Consumption

Adam Bialowas, Lisa Farrell, Mark Harris and Cain Polidano

12/07: Hierarchical forecasts for Australian domestic tourism

George Athanasopoulos, Roman A. Ahmed and Rob Hyndman

11/07: A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation

Xibin Zhang, Robert D. Brooks and Maxwell King

10/07: Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form

George Athanasopoulos, Donald Poskitt and Farshid Vahid

9/07: Optimal combination forecasts for hierarchical time series

Rob Hyndman, Roman A Ahmed and George Athanasopoulos

8/07: Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models

Gunky Kim, Mervyn J. Silvapulle and Paramsothy Silvapulle

7/07: A state space model for exponential smoothing with group seasonality

Pim Ouwehand, Rob Hyndman, Ton G. de Kok and Karel H. van Donselaar

6/07: Automatic time series forecasting: the forecast package for R

Rob Hyndman and Yeasmin Khandakar

5/07: Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?

Gael Martin, Andrew Reidy and Jill Wright

4/07: An Assessment of Alternative State Space Models for Count Time Series

Ralph Snyder, Gael Martin, Phillip Gould and Paul D. Feigin

3/07: The vector innovation structural time series framework: a simple approach to multivariate forecasting

Ashton de Silva, Rob Hyndman and Ralph Snyder

2/07: Effective global regularity and empirical modeling of direct, inverse and mixed demand systems

Keith McLaren and K.K. Gary Wong

1/07: Semiparametric estimation of the dependence parameter of the error terms in multivariate regression

Gunky Kim, Mervyn J. Silvapulle and Paramsothy Silvapulle

22/06: Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models

Chris M Strickland, Gael Martin and Catherine Forbes

21/06: Impact of Structural Change in Education, Industry and Infrastructure on Income Distribution in Sri Lanka

Ramani Gunatilaka, Duangkamon Chotikapanich and Brett Inder

20/06: Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations

Giovanni Forchini

19/06: Modelling and forecasting Australian domestic tourism

George Athanasopoulos and Rob Hyndman

18/06: Measuring the cost of leaving care in Victoria

Catherine Forbes, Brett Inder and Sunitha Raman

17/06: Beveridge-Nelson Decomposition with Markov Switching

Chin Nam Low, Heather Anderson and Ralph Snyder

16/06: Incorporating a Tracking Signal into State Space Models for Exponential Smoothing

Ralph Snyder and Anne B. Koehler

15/06: The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes

S. D. Grose and Donald Poskitt

14/06: Stochastic population forecasts using functional data models for mortality, fertility and migration

Rob Hyndman and Heather Booth

13/06: Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions

Heather Booth, Rob Hyndman, Leonie Tickle and Piet de Jong

12/06: Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes

Donald Poskitt

11/06: Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach

Jae Kim, Param Silvapulle and Rob Hyndman

10/06: Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility

Gael Martin, Andrew Reidy and Jill Wright

9/06: Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures

Param Silvapulle and Xibin Zhang

8/06: Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity

Azhong Ye, Rob Hyndman and Zinai Li

7/06: An Anisotropic Model For Spatial Processes

Minfeng Deng

6/06: Inequality Trends and Determinants in Sri Lanka 1980-2002: A Shapley Approach to Decomposition

Ramani Gunatilaka and Duangkamon Chotikapanich

5/06: Language and Labour in South Africa: A new approach for a new South Africa

Katy Cornwell

4/06: VARMA versus VAR for Macroeconomic Forecasting

George Athanasopoulos and Farshid Vahid

3/06: Some Nonlinear Exponential Smoothing Models are Unstable

Rob Hyndman and Muhammad Akram

2/06: A Complete VARMA Modelling Methodology Based on Scalar Components

George Athanasopoulos and Farshid Vahid

1/06: The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation

Giovanni Forchini

24/05: Demand Forecasting: Evidence-based Methods

J. Armstrong and Kesten Green

23/05: Real Interest Rate Linkages in the Pacific Basin Region

Philip Inyeob Ji and Jae Kim

22/05: Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects

Jae Kim and Chris Doucouliagos

21/05: Some Properties of Tests for Possibly Unidentified Parameters

Giovanni Forchini

20/05: Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model

Giovanni Forchini

19/05: Deriving Tests of the Semi-Linear Regression Model Using the Density Function of a Maximal Invariant

Jahar L. Bhowmik and Maxwell King

18/05: Parameter Estimation in Semi-Linear Models Using a Maximal Invariant Likelihood Function

Jahar L. Bhowmik and Maxwell King

17/05: Competitor-oriented Objectives: The Myth of Market Share

Kesten Green and J. Armstrong

16/05: Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases

Donald Poskitt

15/05: Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study

Osmani Guillén, João Issler and George Athanasopoulos

14/05: On the Bimodality of the Exact Distribution of the TSLS Estimator

Giovanni Forchini

13/05: Another Look at Measures of Forecast Accuracy

Rob Hyndman and Anne B. Koehler