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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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

12/05: 25 Years of IIF Time Series Forecasting: A Selective Review

Jan G. Gooijer and Rob Hyndman

11/05: Is systematic downside beta risk really priced? Evidence in emerging market data

Don Galagedera and Robert D. Brooks

10/05: An Analysis of Watermove Water Markets

Robert Brooks and Edwyna Harris

9/05: Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches

Emawtee Bissoondoyal-Bheenick, Robert Brooks and Angela Y.N. Yip

8/05: Minimum Variance Unbiased Maximum Likelihood Estimation of the Extreme Value Index

Roger Gay

7/05: Time Series Forecasting: The Case for the Single Source of Error State Space

John Ord, Ralph Snyder, Anne B Koehler, Rob Hyndman and Mark Leeds

6/05: Exponential Smoothing Model Selection for Forecasting

Baki Billah, Maxwell King, Ralph Snyder and Anne B Koehler

5/05: A Pedant's Approach to Exponential Smoothing

Ralph Snyder

4/05: Small Concentration Asymptotics and Instrumental Variables Inference

Donald Poskitt and Christopher Skeels

3/05: Forecasting age-specific breast cancer mortality using functional data models

Bircan Erbas, Rob Hyndman and Dorota M. Gertig

2/05: Robust forecasting of mortality and fertility rates: a functional data approach

Rob Hyndman and Md. Shahid Ullah

1/05: Rating Forecasts for Television Programs

Denny Meyer and Rob Hyndman

29/04: Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model

Donald Poskitt and Christopher Skeels

28/04: Forecasting Time-Series with Correlated Seasonality

Phillip Gould, Anne B. Koehler, Farshid Vahid, Ralph Snyder, John Ord and Rob Hyndman

27/04: Value of Expertise For Forecasting Decisions in Conflicts

Kesten Green and J. Armstrong

26/04: Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors

Xibin Zhang and Maxwell King

25/04: Adaptive Premiums for Evolutionary Claims in Non-Life Insurance

Roger Gay

24/04: Inflation, Financial Development and Endogenous Growth

Max Gillman and Mark Harris

23/04: Inflation, Financial Development and Growth in Transition Countries

Max Gillman and Mark Harris

22/04: Random Walk Smooth Transition Autoregressive Models

Heather Anderson and Chin Nam Low

21/04: Single Source of Error State Space Approach to the Beveridge Nelson Decomposition

Heather Anderson, Chin Nam Low and Ralph Snyder

20/04: On The Identification and Estimation of Partially Nonstationary ARMAX Systems

Donald Poskitt

19/04: Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small

Donald Poskitt and Christopher Skeels

18/04: Further evidence on game theory, simulated interaction, and unaided judgement for forecasting decisions in conflicts

Kesten Green

17/04: Structured analogies for forecasting

Kesten Green and J. Armstrong

16/04: Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data

Don Galagedera and Elizabeth Maharaj

15/04: Exponential Smoothing: A Prediction Error Decomposition Principle

Ralph Snyder

14/04: Modelling Tobacco Consumption with a Zero-Inflated Ordered Probit Model

Mark Harris and Xueyan Zhao

13/04: Testing for Dependence in Non-Gaussian Time Series Data

Brendan McCabe, Gael Martin and R.K. Freeland

12/04: Some Results on the Identification and Estimation of Vector ARMAX Processes

Donald Poskitt

11/04: Bayesian Analysis of Continuous Time Models of the Australian Short Rate

Andrew D. Sanford and Gael Martin

10/04: Estimating Components in Finite Mixtures and Hidden Markov Models

Donald Poskitt and Jing Zhang

9/04: Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC

Xibin Zhang, Maxwell King and Rob Hyndman

8/04: Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions

Don Galagedera and Robert Faff

7/04: Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model

Jonathan Dark

6/04: Basis convergence and long memory in volatility when dynamic hedging with SPI futures

Jonathan Dark

5/04: Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures

Jonathan Dark

4/04: Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures

Jonathan Dark

3/04: Economic growth and contraction and their impact on the poor

Brett Inder

2/04: Migration and Unemployment in South Africa: When Motivation Surpasses the Theory

Katy Cornwell and Brett Inder

1/04: The Power Principle and Tail-Fatness Uncertainty

Roger Gay

22/03: Averaging Lorenz Curves

Duangkamon Chotikapanich and William Griffiths