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
Robust methods for heteroscedastic regression models for time series. What is the variability of the exchange rate of the Euro to the Australian dollar? Can the use of the electrocardiogram of a patient be improved as a diagnostic tool for heart disease? A well-known limitation of the existing statistical methods for answering these types of questions is that a small proportion of extreme observations have the potential to lead to results that are more in agreement with the outliers than with bu ....Robust methods for heteroscedastic regression models for time series. What is the variability of the exchange rate of the Euro to the Australian dollar? Can the use of the electrocardiogram of a patient be improved as a diagnostic tool for heart disease? A well-known limitation of the existing statistical methods for answering these types of questions is that a small proportion of extreme observations have the potential to lead to results that are more in agreement with the outliers than with bulk of the data. As a consequence, the statistical analyses may lead to wrong conclusions. This project aims to develop new methodologies to solve this problem for a large class of studies. Applications to stock market risk, exchange rate, and diagnosis of heart diseases will illustrate the new methods.Read moreRead less
Identification Power and Instrument Strength in Discrete Outcome Models. This project aims to develop new econometric and statistical techniques to quantify causal effects in treatment models with discrete outcomes. Expected outcomes include a much-needed weak instrument test, a measure for identification strength in partial identification setting, and an instrument-covariate selection procedure for high dimensional discrete models based identification power. The benefits include advanced knowle ....Identification Power and Instrument Strength in Discrete Outcome Models. This project aims to develop new econometric and statistical techniques to quantify causal effects in treatment models with discrete outcomes. Expected outcomes include a much-needed weak instrument test, a measure for identification strength in partial identification setting, and an instrument-covariate selection procedure for high dimensional discrete models based identification power. The benefits include advanced knowledge in econometrics and statistics, and enhanced tools for program evaluation and policy assessment in empirical causal analysis using observational data. The project falls into the category of smarter information use and is relevant to any national priority areas where policy interventions require assessment.Read moreRead less
Selection of mixed strength moment restrictions and optimal inference . This project aims to develop consistent model selection criteria even if the target model only provides a weak signal about the parameter of interest. This project expects to generate new knowledge on model selection using new and innovative techniques. Expected outcomes include the quantification of the maximum information on parameter from weak-signal models; new entropy-based model selection criteria; and a robust investi ....Selection of mixed strength moment restrictions and optimal inference . This project aims to develop consistent model selection criteria even if the target model only provides a weak signal about the parameter of interest. This project expects to generate new knowledge on model selection using new and innovative techniques. Expected outcomes include the quantification of the maximum information on parameter from weak-signal models; new entropy-based model selection criteria; and a robust investigation of the still debated hypothesis in environmental economics that with open and liberalized trade, developing countries would become pollution havens for dirty industries of advanced countries. Success in this undertaking will dramatically enlarge the pool of applied work involving economic models with weak signals.Read moreRead less
Econometric methods for distributional policy effects. This project aims to develop new econometric methods that can measure distributional policy effects by accounting for heterogeneous policy impacts among observationally equivalent individuals. The project expects to develop quantile regression methods under a difference-in-differences framework that accommodates issues of censoring and sample selection. The outcomes of this project are expected to substantially broaden the scope of the stand ....Econometric methods for distributional policy effects. This project aims to develop new econometric methods that can measure distributional policy effects by accounting for heterogeneous policy impacts among observationally equivalent individuals. The project expects to develop quantile regression methods under a difference-in-differences framework that accommodates issues of censoring and sample selection. The outcomes of this project are expected to substantially broaden the scope of the standard mean difference-in-differences approach and have significant contributions to empirical studies in the future. The project intends to provide statistically valid inferential procedures and conduct simulation exercise and empirical studies relevant to policy evaluation for the benefit of Australia and other jurisdictions.Read moreRead less
High-frequency Estimation of Term Structure Models at the Zero Lower Bound. This project aims to quantify monetary policy shocks as shifts of the entire term structure of interest rates, when the central bank’s policy rate is constrained at the near-zero level. The proposed method will use a high-dimensional panel of high frequency government bond data. The term structure and resultant policy shocks estimated at intra-day frequencies for major economies including Australia, will be made publicly ....High-frequency Estimation of Term Structure Models at the Zero Lower Bound. This project aims to quantify monetary policy shocks as shifts of the entire term structure of interest rates, when the central bank’s policy rate is constrained at the near-zero level. The proposed method will use a high-dimensional panel of high frequency government bond data. The term structure and resultant policy shocks estimated at intra-day frequencies for major economies including Australia, will be made publicly available. This project expects to deepen our understanding of how monetary policy decisions affect the macroeconomy in a near-zero interest-rate environment. This should provide significant benefits to policymakers for implementing and monitoring monetary policy in achieving desired economic outcomes.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200101070
Funder
Australian Research Council
Funding Amount
$376,496.00
Summary
Consequences of Model Misspecification in Approximate Bayesian Computation. In almost any empirical application, the model the analyst is working with constitutes a misspecified description of the true process that has generated the data. While the method of Approximate Bayesian computation (ABC) is now a staple in the toolkit of the applied modeller, the impact of misspecification in ABC is unknown. This project aims to undertake a rigorous study into the behaviour of ABC under model misspecifi ....Consequences of Model Misspecification in Approximate Bayesian Computation. In almost any empirical application, the model the analyst is working with constitutes a misspecified description of the true process that has generated the data. While the method of Approximate Bayesian computation (ABC) is now a staple in the toolkit of the applied modeller, the impact of misspecification in ABC is unknown. This project aims to undertake a rigorous study into the behaviour of ABC under model misspecification. Expected outcomes include new theoretical results for ABC under misspecification and new methods capable of detecting/mitigating model misspecification. This project will provide significant benefits in all spheres where reliable, robust statistical inference methods are required in order to make reliable decisions.
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Predicting the value and use of urban land. This project aims to develop a comprehensive, robust and user-friendly set of modelling tools to predict land values more accurately. Accurate predictions of land values reduce state government revenue risks and improve resource management. The expected outcome of this project is the development of modelling tools which, can be used to study land use allocation, infrastructure delivery and government taxation revenue. This should provide significant be ....Predicting the value and use of urban land. This project aims to develop a comprehensive, robust and user-friendly set of modelling tools to predict land values more accurately. Accurate predictions of land values reduce state government revenue risks and improve resource management. The expected outcome of this project is the development of modelling tools which, can be used to study land use allocation, infrastructure delivery and government taxation revenue. This should provide significant benefits such as the development of new econometric theory, advanced computational methods and evidence-based guidelines for policymakers.Read moreRead less
Innovative Use of Customer Data for Business Growth. This project aims to apply and adapt the latest machine learning techniques to enable companies to utilise their existing customer data to reveal purchase motivations, product preferences, and responsiveness to marketing communications for each single customer. A widespread practice in marketing is to partition customers into broad groups, but customers expect products and services that are tailored to their individual needs. This presents ex ....Innovative Use of Customer Data for Business Growth. This project aims to apply and adapt the latest machine learning techniques to enable companies to utilise their existing customer data to reveal purchase motivations, product preferences, and responsiveness to marketing communications for each single customer. A widespread practice in marketing is to partition customers into broad groups, but customers expect products and services that are tailored to their individual needs. This presents extreme challenges due to the size and complexity of customer databases. The expected outcomes will enable Australian companies to attract and retain more customers, and make more efficient use of their marketing budget. Benefits include equipping companies to better compete domestically and globally.Read moreRead less
Measuring the effect of monetary policy on the economy. This project aims to measure the effect of monetary policy on the economy, notably consumption and investment, in Australia and the US. This research intends to fill a gap in the empirical macroeconomic literature, which focuses on the supply side of the economy. This project will account for unstable economic conditions caused by institutional or behavioural changes, such as financial development / liberalisation and preference shocks, in ....Measuring the effect of monetary policy on the economy. This project aims to measure the effect of monetary policy on the economy, notably consumption and investment, in Australia and the US. This research intends to fill a gap in the empirical macroeconomic literature, which focuses on the supply side of the economy. This project will account for unstable economic conditions caused by institutional or behavioural changes, such as financial development / liberalisation and preference shocks, in the analysis; and develop econometric methods tailored for application to models with time varying parameters. This project expects to contribute to understanding the economy’s recent unresponsiveness to monetary policy.Read moreRead less