New approaches for testing in nonlinear models. The outcome of this project is a new econometric methodology that will be particularly useful for developing our understanding of Australian (and global) financial markets. Specific benefits are that (i) our value-at-risk models will enhance national and international awareness of issues relating to financial risk management; (ii) our exchange rate pass through model will aid the development of Australian trade and pricing policies and (iii) our du ....New approaches for testing in nonlinear models. The outcome of this project is a new econometric methodology that will be particularly useful for developing our understanding of Australian (and global) financial markets. Specific benefits are that (i) our value-at-risk models will enhance national and international awareness of issues relating to financial risk management; (ii) our exchange rate pass through model will aid the development of Australian trade and pricing policies and (iii) our duration models for trade in Australian stocks will lead to a better understanding of the microstructure of the Australian stock market.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
Persistence in Economic Time Series: Interpretation, Measurement and Inference. An economic time series is said to be persistent if shocks to the series have a permanent effect. Accurate and unambiguous inferences regarding persistence are crucial to an understanding of the response of the variable to shocks, in particular to policy-induced shocks. In this project we will explore new ways of interpreting, measuring and conducting inference on persistence. The aim is to produce significant theor ....Persistence in Economic Time Series: Interpretation, Measurement and Inference. An economic time series is said to be persistent if shocks to the series have a permanent effect. Accurate and unambiguous inferences regarding persistence are crucial to an understanding of the response of the variable to shocks, in particular to policy-induced shocks. In this project we will explore new ways of interpreting, measuring and conducting inference on persistence. The aim is to produce significant theoretical and methodological advances which, when applied to empirical problems, will enable reliable conclusions to be drawn regarding the propagation of shocks and, hence, the likely impact of interventionist government policies.Read moreRead less
Why poorer students are less likely to go to university: Theoretical and empirical evidence for Australia with implications for policy. This project will improve our understanding of the factors that lead to the under-representation of low income students in universities in Australia and other countries. The focus of the analysis will be the impact of a student's family and household environment and innate ability on their school performance, an essential pre-requisite for university admission, ....Why poorer students are less likely to go to university: Theoretical and empirical evidence for Australia with implications for policy. This project will improve our understanding of the factors that lead to the under-representation of low income students in universities in Australia and other countries. The focus of the analysis will be the impact of a student's family and household environment and innate ability on their school performance, an essential pre-requisite for university admission, together with the costs of university education. Identifying the relative importance of these factors in determining educational success will enable families, schools, universities and educational policy-makers to improve opportunities for high ability students from all socioeconomic backgrounds. This will in turn enhance economic growth and productivity, benefiting all Australians.Read moreRead less
Bayesian estimation of flexible spatial models with applications in medical imaging and econometric modeling. This project aims to develop statistical methodology for estimating flexible highly parameterised Bayesian spatial models. The flexible models examined will include regression, choice and time series models for data that is spatially registered. Spatial smoothing of parameters in the models will involve application of hierarchical spatial prior distributions. The resulting methodology wi ....Bayesian estimation of flexible spatial models with applications in medical imaging and econometric modeling. This project aims to develop statistical methodology for estimating flexible highly parameterised Bayesian spatial models. The flexible models examined will include regression, choice and time series models for data that is spatially registered. Spatial smoothing of parameters in the models will involve application of hierarchical spatial prior distributions. The resulting methodology will be applied to the analysis of medical imaging data and to the estimation of spatial econometric models of residential real estate prices. The expected outcomes include developments in the frontier framework of Bayesian computational estimation methodology, improved methods for medical image processing and estimation of high resolution spatial models of residential real estate prices in Australian metropolitan centres.Read moreRead less
A cohort analysis of the demand for meat and the impact of food scares. Australia is the largest beef exporter in the world. In 1999, there were 22.7 million beef cattle, producing 2 million tonnes with a gross value of $4.4 million. To date, Australia has been unaffected by the growing number of major health scares currently plaguing many European and South American countries. Equivalent scares in Australia would be devastating and hence research into the impact of scares on the behaviour of co ....A cohort analysis of the demand for meat and the impact of food scares. Australia is the largest beef exporter in the world. In 1999, there were 22.7 million beef cattle, producing 2 million tonnes with a gross value of $4.4 million. To date, Australia has been unaffected by the growing number of major health scares currently plaguing many European and South American countries. Equivalent scares in Australia would be devastating and hence research into the impact of scares on the behaviour of consumers is of paramount importance. It is the purpose of this research project to quantify the effects of such health/product scares on the demand for meat.
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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
Bayesian Analysis of Treatment Effects in Experiments with Imperfect Compliance. This research has a potential to benefit society by providing methods to evaluate the effectiveness of medical treatments and socio-economic and health related interventions and policies based on experiments with imperfect compliance. The proposed methods are directly relevant to the second national research priority, as they can be used to test potential measures for preventative health care and to evaluate measure ....Bayesian Analysis of Treatment Effects in Experiments with Imperfect Compliance. This research has a potential to benefit society by providing methods to evaluate the effectiveness of medical treatments and socio-economic and health related interventions and policies based on experiments with imperfect compliance. The proposed methods are directly relevant to the second national research priority, as they can be used to test potential measures for preventative health care and to evaluate measures for strengthening Australia's social and economic fabric. The usefulness of our methods is demonstrated in the analysis of the effectiveness of a training program for the unemployed in alleviating negative mental health effects from job loss.Read moreRead less
Bayesian Inference for Welfare Comparisons of Income Inequality and Poverty. The major expected outcome of this research is an array of techniques for making welfare comparisons involving income inequality and poverty within a framework of Bayesian inference. Various applications of the techniques are expected to yield useful information on inequality comparisons over time and space and on changes in the level of poverty. Given that reduction in levels of inequality and poverty is a matter of ma ....Bayesian Inference for Welfare Comparisons of Income Inequality and Poverty. The major expected outcome of this research is an array of techniques for making welfare comparisons involving income inequality and poverty within a framework of Bayesian inference. Various applications of the techniques are expected to yield useful information on inequality comparisons over time and space and on changes in the level of poverty. Given that reduction in levels of inequality and poverty is a matter of major concern, the development of suitable measurement techniques has immense potential for national benefit. In addition, the project will serve as a vehicle for training two PhD students, and hence will contribute to the small pool of highly trained econometricians with expertise in measuring income inequality.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