Discovery Projects - Grant ID: DP1094010

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/API/grants/DP1094010

Funding Status
Closed

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Funded Activity Summary

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.

Funded Activity Details

Start Date: 2010

End Date: 12-2013

Funding Scheme: Discovery Projects

Funding Amount: $192,981.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Econometrics

ANZSRC Socio-Economic Objective (SEO)

Economic issues not elsewhere classified |

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