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
Estimation and Inference in Weakly Identified Models. Economic and social systems are made up of interacting components leading to complex structures that are difficult to predict and manage. Consequently policy analysis and decision-making must be informed by statistical analysis of data. In many situations the informational content of observations is minimal; examples of such situations are found in the areas of education, health, finance and various aspects of macroeconomic analysis. This pro ....Estimation and Inference in Weakly Identified Models. Economic and social systems are made up of interacting components leading to complex structures that are difficult to predict and manage. Consequently policy analysis and decision-making must be informed by statistical analysis of data. In many situations the informational content of observations is minimal; examples of such situations are found in the areas of education, health, finance and various aspects of macroeconomic analysis. This project aims to develop methods of estimation and inference that make more efficient use of the information available in data. This will lead to more precise statistical analyses, resulting in a clearer understanding of economic and social systems, and better informed policy analysis and decision-making.Read moreRead less
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
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.
A new look at modelling population heterogeneity in econometric study. This research will advance existing quantitative techniques in economic study. New theoretical results will help enhance Australian research reputations. The innovative techniques developed in this project will be demonstrated to study labour force participation of people with disabilities in Australia. Findings of the empirical study will help governments in providing financial assistance to affected families and addressing ....A new look at modelling population heterogeneity in econometric study. This research will advance existing quantitative techniques in economic study. New theoretical results will help enhance Australian research reputations. The innovative techniques developed in this project will be demonstrated to study labour force participation of people with disabilities in Australia. Findings of the empirical study will help governments in providing financial assistance to affected families and addressing the issue of labour shortage in Australia. Furthermore the participation of a high profile international researcher will benefit the local research community and provide a research training opportunity for local postgraduate students.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
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
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
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