New Procedures for Multiple Testing of Econometric Models. In discipline areas ranging from biological and medicine sciences to economics and commerce, very important decisions are made on the basis of statistical or econometric models. There is usually a high degree of uncertainty about the exact form the model should take and the data available to help decide on the best form of the model is often limited. The new procedures developed in this project will help statisticians and econometricians ....New Procedures for Multiple Testing of Econometric Models. In discipline areas ranging from biological and medicine sciences to economics and commerce, very important decisions are made on the basis of statistical or econometric models. There is usually a high degree of uncertainty about the exact form the model should take and the data available to help decide on the best form of the model is often limited. The new procedures developed in this project will help statisticians and econometricians make better decisions about the best form of their models. Our approach gives a new method of validating an estimated model before it is put to use to make critical decisions.Read moreRead less
Nonparametric estimation of regression models with unknown error distributions. In discipline areas ranging from bioinformatics to economics and commerce, researchers make important decisions based on regression models, where the error density is often unknown. This project will result in a new sampling procedure that aims to choose bandwidth parameters for estimating the regression function and error density in nonparametric regression models. Our approach is of practical importance and can be ....Nonparametric estimation of regression models with unknown error distributions. In discipline areas ranging from bioinformatics to economics and commerce, researchers make important decisions based on regression models, where the error density is often unknown. This project will result in a new sampling procedure that aims to choose bandwidth parameters for estimating the regression function and error density in nonparametric regression models. Our approach is of practical importance and can be used to investigate relationships between variables that are observable in our economy and community. The nation will benefit from the output of this project by having its own experts in the area of proposed research, raising Australia's academic profile in econometrics and statistics. Read moreRead less
A new class of statistical methods for analysing long memory time series models with heteroskedasticity. This project will result in a class of statistical methods that will aid policy makers and financial analysts when examining and predicting key international and Australian macroeconomic and financial variables that exhibit long memory. Leading applications of long memory modelling in the literature include GDP, CPI, asset pricing models, stock returns, exchange rates and interest rates. It w ....A new class of statistical methods for analysing long memory time series models with heteroskedasticity. This project will result in a class of statistical methods that will aid policy makers and financial analysts when examining and predicting key international and Australian macroeconomic and financial variables that exhibit long memory. Leading applications of long memory modelling in the literature include GDP, CPI, asset pricing models, stock returns, exchange rates and interest rates. It will be possible to robustly and efficiently analyse such series in the presence of changes in variability, such as the overall reduction in variability that has occurred since the 1970's, called the "Great Moderation". The utility of the new methods will be demonstrated by a robust and efficient analysis of the Purchasing Power Parity hypothesis.Read moreRead less
Prior sensitivity analysis for Bayesian Markov chain Monte Carlo output. This project aims to develop the first set of techniques to implement an automated output sensitivity analysis for Markov Chain Monte Carlo (MCMC) estimation methods. Computationally intense Bayesian MCMC provide a powerful alternative to classical methods for the estimation of economic models. An obstacle to their wider application is that researchers need to specify prior beliefs about model parameters that will affect t ....Prior sensitivity analysis for Bayesian Markov chain Monte Carlo output. This project aims to develop the first set of techniques to implement an automated output sensitivity analysis for Markov Chain Monte Carlo (MCMC) estimation methods. Computationally intense Bayesian MCMC provide a powerful alternative to classical methods for the estimation of economic models. An obstacle to their wider application is that researchers need to specify prior beliefs about model parameters that will affect the results. The expected outcomes will enable researchers to undertake a routine assessment of the sensitivity of the results to prior inputs.Read moreRead less
Forecasting with single source of randomness state space models. The framework developed in this project, for identifying and
extrapolating trends, seasonal patterns and economic cycles in time
series, has a large and diverse range of useful applications in
Australia. Some examples include its potential use in the
development of appropriate monetary policy, its use to better inform
finance markets of risk levels associated with shares, its use to
forecast demand in supply chains to provide ....Forecasting with single source of randomness state space models. The framework developed in this project, for identifying and
extrapolating trends, seasonal patterns and economic cycles in time
series, has a large and diverse range of useful applications in
Australia. Some examples include its potential use in the
development of appropriate monetary policy, its use to better inform
finance markets of risk levels associated with shares, its use to
forecast demand in supply chains to provide a better service to
customers, and its use in call centres to better tailor staff
schedules to meet customer calls.Read moreRead less
The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to unders ....The US Interest Rate Conundrum and its Implications for Australia. The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internationally. As U.S. interest rates and U.S. monetary policy in general are important determinants of interest rates in Australia, the project will lead to an improved understanding of the international mechanism linking interest rates. This will also provide a better framework in which to understand and monitor monetary policy in Australia. An important aspect of the project is the development of new testing procedures that improve upon existing nonparametric methods.Read moreRead less
Estimation and Inference in Weakly Identified Models. Economic and social systems are made up of interacting components leading to complex structures that are difficult to predict and manage. Consequently policy analysis and decision-making must be informed by statistical analysis of data. In many situations the informational content of observations is minimal; examples of such situations are found in the areas of education, health, finance and various aspects of macroeconomic analysis. This pro ....Estimation and Inference in Weakly Identified Models. Economic and social systems are made up of interacting components leading to complex structures that are difficult to predict and manage. Consequently policy analysis and decision-making must be informed by statistical analysis of data. In many situations the informational content of observations is minimal; examples of such situations are found in the areas of education, health, finance and various aspects of macroeconomic analysis. This project aims to develop methods of estimation and inference that make more efficient use of the information available in data. This will lead to more precise statistical analyses, resulting in a clearer understanding of economic and social systems, and better informed policy analysis and decision-making.Read moreRead less
Modelling Income Distributions over Space and Time: 1985-2010. The aim of this project is to develop and use interpolation and extrapolation methods, designed to overcome data scarcity, to estimate annual income distributions for countries, regions and the world for the period 1985 to 2010, facilitating measurement and comparison of changes in inequality, per capita income, poverty, and pro-poor growth, at national, regional and global levels. Reliable estimates of these welfare measures provide ....Modelling Income Distributions over Space and Time: 1985-2010. The aim of this project is to develop and use interpolation and extrapolation methods, designed to overcome data scarcity, to estimate annual income distributions for countries, regions and the world for the period 1985 to 2010, facilitating measurement and comparison of changes in inequality, per capita income, poverty, and pro-poor growth, at national, regional and global levels. Reliable estimates of these welfare measures provide valuable information for policy advisors and other researchers interested in growth and welfare of society.Read moreRead less
How do company announcements affect trading frequency in stocks? This project addresses the question of how financial markets respond to news by investigating how company announcements affect trading patterns in Australian banking stocks. Analysis will be based on new extensions to autoregressive conditional hazard (ACH) models, with research focussing on how to incorporate announcement variables into an ACH framework and how to modify standard ACH analysis to account for simultaneous transactio ....How do company announcements affect trading frequency in stocks? This project addresses the question of how financial markets respond to news by investigating how company announcements affect trading patterns in Australian banking stocks. Analysis will be based on new extensions to autoregressive conditional hazard (ACH) models, with research focussing on how to incorporate announcement variables into an ACH framework and how to modify standard ACH analysis to account for simultaneous transactions, market frictions and spillover effects. The results of this research will assist government and companies in choosing announcement times, aid traders in portfolio adjustment and will lead to a better understanding of the microstructure of Australian stock markets.Read moreRead less
A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results. The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic factor models for Australia. The project provides a significant contribution to business cycle modelling by solving the intractability problems common to existing classes of dynamic factor models. A key innovation is the development of a simul ....A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results. The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic factor models for Australia. The project provides a significant contribution to business cycle modelling by solving the intractability problems common to existing classes of dynamic factor models. A key innovation is the development of a simulation based estimator to circumvent the statistical and computational problems associated with existing estimators. The expected outcome of the project will be a more reliable way to monitor the phases of the cycle and forecast turning points, which will be of substantial national benefit.Read moreRead less