Discovery Projects - Grant ID: DP0208669

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0208669

Funding Status
Closed

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Funded Activity Summary

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.

Funded Activity Details

Start Date: 01-01-2002

End Date: 31-12-2005

Funding Scheme: Discovery Projects

Funding Amount: $106,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Econometric And Statistical Methods | Econometrics

ANZSRC Socio-Economic Objective (SEO)

Macroeconomic issues not elsewhere classified |

Other Keywords

Econometric And Statistical Methods | Econometrics | Macroeconomic issues not elsewhere classified | Time-Series Analysis

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