Discovery Early Career Researcher Award - Grant ID: DE190100045
Funder
Australian Research Council
Funding Amount
$377,829.00
Summary
Efficient and effective analytics for real-world time series forecasting. This project aims to create efficient, effective techniques that provide accurate forecasts for heterogeneous sets of time series of varying sizes. Exploiting similarities between time series means using many related series, not larger series when building forecasts. The expected outcomes should be innovative methods that improve accuracy and allow forecasting with shorter time series. The project addresses the need to exp ....Efficient and effective analytics for real-world time series forecasting. This project aims to create efficient, effective techniques that provide accurate forecasts for heterogeneous sets of time series of varying sizes. Exploiting similarities between time series means using many related series, not larger series when building forecasts. The expected outcomes should be innovative methods that improve accuracy and allow forecasting with shorter time series. The project addresses the need to exploit properties of big data accurately in a short time frame, which is transforming many industries. This should enable more accurate and reliable forecasts across industries as diverse as retail, food manufacturing, transport, mining, tourism, energy, and technology.Read moreRead less
Econometric model building and estimation. This project aims to tackle issues in econometric model building and estimation under cross sectional dependence, heterogeneity and nonlinearity. This project will seek to establish flexible econometric models associated with estimation methods and user-friendly computational techniques to try to solve real world problems. The research outcomes are expected to be useful to empirical researchers in evaluating and improving model building and forecasting ....Econometric model building and estimation. This project aims to tackle issues in econometric model building and estimation under cross sectional dependence, heterogeneity and nonlinearity. This project will seek to establish flexible econometric models associated with estimation methods and user-friendly computational techniques to try to solve real world problems. The research outcomes are expected to be useful to empirical researchers in evaluating and improving model building and forecasting from better models in climatology, demography, economics, environment, finance, machine learning and neural networks.Read moreRead less
Inequality of opportunity in Australia. This project aims to develop econometric approaches for identifying opportunity gaps in Australia and other developed countries. Inequality of opportunity arises when the birth lottery or external factors in later life, rather than personal efforts, determine a person’s chances of economic success. A high level of inequality of opportunity holds people back from realising their potential and from contributing productively to society. The project will focus ....Inequality of opportunity in Australia. This project aims to develop econometric approaches for identifying opportunity gaps in Australia and other developed countries. Inequality of opportunity arises when the birth lottery or external factors in later life, rather than personal efforts, determine a person’s chances of economic success. A high level of inequality of opportunity holds people back from realising their potential and from contributing productively to society. The project will focus on the effect of inequality of opportunity on income, health and education with special emphasis placed on Indigenous and migrant populations. The findings should help formulate cost-efficient policy interventions aimed at levelling the economic playing field.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE150100795
Funder
Australian Research Council
Funding Amount
$365,000.00
Summary
New approaches to estimating nonlinear time-varying macroeconometric models. Quantitative models are essential for formulating good policies. In a changing world, the analysis should be based on models that allow the behaviour of the economy to change over time. Due to computational limitations, however, one is often restricted to linear models, even when nonlinear ones are more appropriate. This project aims to develop new methods for estimating time-varying nonlinear models. Two important appl ....New approaches to estimating nonlinear time-varying macroeconometric models. Quantitative models are essential for formulating good policies. In a changing world, the analysis should be based on models that allow the behaviour of the economy to change over time. Due to computational limitations, however, one is often restricted to linear models, even when nonlinear ones are more appropriate. This project aims to develop new methods for estimating time-varying nonlinear models. Two important applications are also considered: one investigates how the zero lower bound on interest rates affects the monetary policy transmission mechanism; and, the other examines how uncertainties about monetary and fiscal policy affect economic growth and inflation. This project will have strong practical significance for conducting macroeconomic policy.Read moreRead less
Measuring inflation expectations and inflation expectations uncertainty. This project aims to construct model-based measures of inflation expectations and inflation expectations uncertainty. Inflation expectations can determine economic outcomes. This project will develop non-linear time-varying models to combine information from noisy and possibly biased measures of inflation expectations from surveys and financial markets. These model-based measures are expected to be better calibrated and to ....Measuring inflation expectations and inflation expectations uncertainty. This project aims to construct model-based measures of inflation expectations and inflation expectations uncertainty. Inflation expectations can determine economic outcomes. This project will develop non-linear time-varying models to combine information from noisy and possibly biased measures of inflation expectations from surveys and financial markets. These model-based measures are expected to be better calibrated and to provide valuable information for policymakers for formulating macroeconomic policies. They can be used to better assess the credibility of monetary policy and shed light on the causes of low inflation rate in developed economies.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE120101130
Funder
Australian Research Council
Funding Amount
$375,000.00
Summary
New models and estimation methods in nonlinear panel data econometrics. This project will develop new econometric models and methods for capturing dynamic and complex relationships within economic and social systems. The outcomes of this project are expected to improve policy making process concerning climate change, economy and financial markets, through providing accurate estimates of relationships of interest.
Australian housing market risks: Simulation, modelling and analysis. This project aims to determine whether the Australian housing market is at risk of a collapse. This project aims to model the systemic risks in this market using an agent-based simulation at the individual household and financial decision-maker levels. This will be achieved by combining simulation software with datasets from the Australian Bureau of Statistics, Census data and mortgage markets into a behavioural model of financ ....Australian housing market risks: Simulation, modelling and analysis. This project aims to determine whether the Australian housing market is at risk of a collapse. This project aims to model the systemic risks in this market using an agent-based simulation at the individual household and financial decision-maker levels. This will be achieved by combining simulation software with datasets from the Australian Bureau of Statistics, Census data and mortgage markets into a behavioural model of financial decisions. This is expected to provide an unprecedented ability to economically zoom in and out on different suburbs, cities and regions across Australia to predict, measure and mitigate systemic risks.Read moreRead less
A new approach to stability analysis for economic systems. This project will provide a new methodology for analysing stability in economic systems. By enhancing our understanding of stability and instability in markets for assets, credit, commodities and natural resources, this project will help economists forecast likely outcomes and improve the formulation of related economic policy.
High-dimensional models with a change point. This project aims to provide a set of estimation and inference procedures for high dimensional quantile regression. Statistical models of threshold regression with change or tipping points are used to explore social issues, including changes in oil and gas prices, effective dosage of drugs and the racial mix in neighbourhoods. To date, using low numbers of variables, the findings have been limited. Big data makes it possible and desirable to solve mor ....High-dimensional models with a change point. This project aims to provide a set of estimation and inference procedures for high dimensional quantile regression. Statistical models of threshold regression with change or tipping points are used to explore social issues, including changes in oil and gas prices, effective dosage of drugs and the racial mix in neighbourhoods. To date, using low numbers of variables, the findings have been limited. Big data makes it possible and desirable to solve more detailed models to provide more accurate results. The quality and accuracy of the project’s results are expected to help governments devise well informed and appropriate policies for social issues.Read moreRead less
Multi-person stochastic games with idiosyncratic information flows. The project will develop rigorous mathematical techniques aiming to quantify the impact of different information flows on solutions to decision making problems under uncertainty that are frequently encountered in Financial Economics, Mathematical Finance and Social Sciences.