New Insights on Modelling Time Trends with Panel Data: Theory and Practice. This project aims to tackle important challenges in time trend modelling by taking advantage of panel data structures. This project expects to propose flexible models in time trend modelling to retrieve reliable inference. The expected outcomes include innovative econometric models and methods that have a wide range of applications, and are particularly suited for empirical problems within large and complex systems. This ....New Insights on Modelling Time Trends with Panel Data: Theory and Practice. This project aims to tackle important challenges in time trend modelling by taking advantage of panel data structures. This project expects to propose flexible models in time trend modelling to retrieve reliable inference. The expected outcomes include innovative econometric models and methods that have a wide range of applications, and are particularly suited for empirical problems within large and complex systems. This will provide significant benefits to all fields in which data displays any form of trending behaviour. The proposed model is used to evaluate the economic consequences of climate change and global housing market contagion, which provide strong evidence-based insights to the environmental and economic policies in Australia.Read moreRead less
Identification and inference in nonparametric models. This project will develop reliable methods for identification, estimation and inference of nonparametric models for the evaluation of economic policies on outcome variables of interest. This econometric methodology will allow a better understanding of the quantitative effects of an economic policy which will result in better informed policy decisions. The results will have applications to labour market policies, health care policies and educa ....Identification and inference in nonparametric models. This project will develop reliable methods for identification, estimation and inference of nonparametric models for the evaluation of economic policies on outcome variables of interest. This econometric methodology will allow a better understanding of the quantitative effects of an economic policy which will result in better informed policy decisions. The results will have applications to labour market policies, health care policies and education policies among others. The project will also provide national benefits in terms of building up the local stock of researchers trained in the area of identification and estimation of nonparametric models; it will further improve the international reputation that Australia has in econometric theory.Read moreRead less
Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications. This project proposes to tackle several very important and difficult issues in modelling general climatological, economic and financial panel data that involve possible trending components. This project seeks to establish some general asymptotic theory for model estimation and specification technologies that are suited to such general nonlinear panel data that may be stochastically non-stationary and endogenous. The resea ....Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications. This project proposes to tackle several very important and difficult issues in modelling general climatological, economic and financial panel data that involve possible trending components. This project seeks to establish some general asymptotic theory for model estimation and specification technologies that are suited to such general nonlinear panel data that may be stochastically non-stationary and endogenous. The research outcomes of this project are expected to be applicable in evaluating and improving empirical model building and forecasting from better models in climatology, economics and finance with possible endogeneity and nonlinearity and non-stationarity.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
Estimating and Testing Heterogeneous Structural Changes. This project aims to develop new methods of extracting non-central, irregular patterns from data, and to detect such patterns in climate data and city-level racial composition data. The project expects to have methodological and empirical contributions, propose innovative data-driven approaches, and extract important features of climate and racial-composition data. The anticipated outcomes of this project are new methods of measuring the r ....Estimating and Testing Heterogeneous Structural Changes. This project aims to develop new methods of extracting non-central, irregular patterns from data, and to detect such patterns in climate data and city-level racial composition data. The project expects to have methodological and empirical contributions, propose innovative data-driven approaches, and extract important features of climate and racial-composition data. The anticipated outcomes of this project are new methods of measuring the relationship between human activities and extreme weather, and for quantifying dynamic racial composition. These empirical results should demonstrate the substantial benefits of the new methods by presenting important empirical evidence for designing policies against extreme weather and racial segregation.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
Economic Reform and Australian Electoral Decision Making. Australia has undergone dramatic economic, demographic and social change in the past twenty years. This project will investigate how these changes have impacted upon elector behaviour. With compulsory voting, comprehensive census data and the Australian Election Study an uniquely detailed dataset can be constructed. This dataset and the application of ?cutting edge? statistical techniques from the fields of cohort analysis and discrete ch ....Economic Reform and Australian Electoral Decision Making. Australia has undergone dramatic economic, demographic and social change in the past twenty years. This project will investigate how these changes have impacted upon elector behaviour. With compulsory voting, comprehensive census data and the Australian Election Study an uniquely detailed dataset can be constructed. This dataset and the application of ?cutting edge? statistical techniques from the fields of cohort analysis and discrete choice modelling will allow for the untangling of various influences on voter behaviour. With compulsory voting many biases due to voter turnout issues will be avoided making this project an unbiased test, with international interest and significance, of voter behaviour.Read moreRead less
Helping Central Banks Measure Unobserved Variables Using Real-time Forecasts. The project addresses structural measurement problems confronted routinely by central bankers. The techniques developed, and the estimates provided, will aid directly the Partner Organisations (the Reserve Bank of Australia, the Reserve Bank of New Zealand and Norges Bank) and other central banks in formulating monetary policy. The analysis will allow interest rates in Australia and elsewhere to be set with greater pre ....Helping Central Banks Measure Unobserved Variables Using Real-time Forecasts. The project addresses structural measurement problems confronted routinely by central bankers. The techniques developed, and the estimates provided, will aid directly the Partner Organisations (the Reserve Bank of Australia, the Reserve Bank of New Zealand and Norges Bank) and other central banks in formulating monetary policy. The analysis will allow interest rates in Australia and elsewhere to be set with greater precision. The techniques developed in this project will facilitate the understanding and communication of monetary policy within the central banks concerned, and enhance communication of monetary policy strategy to the public.Read moreRead less
Australian Real Time Data: Construction, Analysis and Implications for Real Time Policy Making. This first comprehensive macroeconomic real time database for Australia recording the actual data available to policy makers at the time of making decisions will serve as a standard reference for accurate ex post macroeconomic policy evaluation and for accurate forecasts and decision making which are robust to data revisions. The free database will be of interest to Australian researchers, economists, ....Australian Real Time Data: Construction, Analysis and Implications for Real Time Policy Making. This first comprehensive macroeconomic real time database for Australia recording the actual data available to policy makers at the time of making decisions will serve as a standard reference for accurate ex post macroeconomic policy evaluation and for accurate forecasts and decision making which are robust to data revisions. The free database will be of interest to Australian researchers, economists, forecasters and policy makers. Readily applicable and interpretable forecasts of the business cycle and the current state of the Australian (and US) economy (e.g. likelihood of recessions or inflation) will be of direct relevance to Australian policy-makers in Government, the Reserve Bank of Australia, and to the Australian decision-makers. 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