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
Asymptotics in non-linear cointegrating regression: theory and applications. This project provides fundamental research in statistics, econometrics and probability. The results on martingales and nonlinear functionals of integrated stochastic processes will apply to a range of statistical, empirical finance and economic models.
Non-linear cointegrating regression with endogeneity. This project aims to develop the asymptotic theory of estimation and statistical inference in models concerned with non-linear co-integrating regression with endogeneity and long memory. This project will tackle a number of long-standing technical problems related to non-linear covariance functionals and non-linear transformation of nonstationary time series. This project is intended to provide technical tools for practitioners to study the l ....Non-linear cointegrating regression with endogeneity. This project aims to develop the asymptotic theory of estimation and statistical inference in models concerned with non-linear co-integrating regression with endogeneity and long memory. This project will tackle a number of long-standing technical problems related to non-linear covariance functionals and non-linear transformation of nonstationary time series. This project is intended to provide technical tools for practitioners to study the long-run relationship of economic variables, and could apply to a range of statistical, empirical finance and economic models, enhancing national leadership in these areas.Read moreRead less
Development of general methodology for estimating complex time series models. This project will develop novel methods and models for analysing socio-economic and financial data measured over time and will illustrate them with applications. The methods will allow for more efficient and more accurate processing of information and better forecasting which will facilitate better management and more timely policy response.
Discovery Early Career Researcher Award - Grant ID: DE150100309
Funder
Australian Research Council
Funding Amount
$328,614.00
Summary
Understanding the Dynamics of Socioeconomic Related Health Inequalities. Health differences across socio-economic groups have persisted in many countries, including Australia, despite decades of considerable improvements in life expectancy and average health status. Little is known of how policies may influence socio-economic health inequalities as the mechanisms underlying them are complex and the causes differ across population groups and over the lifecycle. This project aims to develop method ....Understanding the Dynamics of Socioeconomic Related Health Inequalities. Health differences across socio-economic groups have persisted in many countries, including Australia, despite decades of considerable improvements in life expectancy and average health status. Little is known of how policies may influence socio-economic health inequalities as the mechanisms underlying them are complex and the causes differ across population groups and over the lifecycle. This project aims to develop methods to quantify the major mechanisms that give rise to changes in socio-economic health inequalities in Australia. This project aims to improve our understanding of the dynamic factors that drive changes in health inequalities, thus providing useful information for decision makers about which policies will be cost effective at reducing them.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE170100787
Funder
Australian Research Council
Funding Amount
$331,000.00
Summary
Misspecification in models of economic behaviour. This project aims to develop a robust method for estimation and inference with misspecified economic models. Economic models are designed to test hypotheses about economic behaviour and to estimate key parameters, but their validity and accuracy critically depend on the assumption that the model is correctly specified, which is often doubtful. This project will reparametrize the model to allow for misspecification. The project aims to help modell ....Misspecification in models of economic behaviour. This project aims to develop a robust method for estimation and inference with misspecified economic models. Economic models are designed to test hypotheses about economic behaviour and to estimate key parameters, but their validity and accuracy critically depend on the assumption that the model is correctly specified, which is often doubtful. This project will reparametrize the model to allow for misspecification. The project aims to help modellers produce results that better inform decision-makers and help them make more reliable decisions.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
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
Modelling health: Reporting behaviour and misclassification using survey data. Empirical models based on large scale survey data sets are used by health economists to inform policymakers. However, in the case of sensitive topics, a potential for survey misreporting may lead to inaccurate estimates of aberrant behaviours. To date, little work has been done analysing the extent and consequences of inaccurate reporting, especially within health economics. By addressing areas where potential for mis ....Modelling health: Reporting behaviour and misclassification using survey data. Empirical models based on large scale survey data sets are used by health economists to inform policymakers. However, in the case of sensitive topics, a potential for survey misreporting may lead to inaccurate estimates of aberrant behaviours. To date, little work has been done analysing the extent and consequences of inaccurate reporting, especially within health economics. By addressing areas where potential for misinformation is high, the overall quality of results will be enhanced. This research will be submitted to highly ranked health economics and econometrics journals to be made available to relevant policymakers intent on ensuring a healthy society.Read moreRead less
Threshold models in micro-econometrics with applications to empirical models of health. The aim of this project is to develop and apply new statistical approaches to endogenously identify non-linear relationships between explanatory variable(s) and the response variable in non-linear econometric models and to illustrate these with applications important to empirical health economics. Literature proliferates in linear models with non-linear effects, but in health economics non-linear models domin ....Threshold models in micro-econometrics with applications to empirical models of health. The aim of this project is to develop and apply new statistical approaches to endogenously identify non-linear relationships between explanatory variable(s) and the response variable in non-linear econometric models and to illustrate these with applications important to empirical health economics. Literature proliferates in linear models with non-linear effects, but in health economics non-linear models dominate. This project will generalise these techniques to allow for various forms of the threshold variable(s), including categorical and continuous, endogenous and exogenous, and those measured with error.Read moreRead less