Discovery Projects - Grant ID: DP0345867

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0345867

Funding Status
Closed

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Funded Activity Summary

Nonlinear Econometric Modelling: A Complex Systems Perspective. It is becoming increasingly accepted that economic systems are both complex and adaptive. However, this introduces a range of problems in constructing, estimating and testing economic models using time series data. In this project, this problem will be addressed through the formulation and implementation of a new methodology and associated techniques. These techniques will allow a researcher to use information obtained from a set of nonlinearity tests to determine which type of nonlinear model provides the best representation of a data generating mechanism. Selected high frequency financial and macroeconomic data (for the US and Australia) will be used in the study. This research is intended to change the direction and emphasis of econometric modelling and promises to have a fundamental impact on forecasting and policy evaluation methods.

Funded Activity Details

Start Date: 01-01-2003

End Date: 31-12-2007

Funding Scheme: Discovery Projects

Funding Amount: $60,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Time-Series Analysis | Economic Models And Forecasting | Econometrics | Applied Statistics

ANZSRC Socio-Economic Objective (SEO)

Technological and organisational innovation | Exchange rates | Monetary policy |

Other Keywords

Applied Statistics | Econometrics | Economic Models And Forecasting | Exchange rates | Monetary policy | Technological and organisational innovation | Time-Series Analysis

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