# Monash University, Department of Econometrics and Business Statistics

# Monash Econometrics and Business Statistics Working Papers

Postal: PO Box 11E, Monash University, Victoria 3800, Australia

Phone: +61 3 99052489

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Web page: http://business.monash.edu/econometrics-and-business-statistics

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Phone: +61 3 99052489

Fax: +61 3 99055474

Web page: http://business.monash.edu/econometrics-and-business-statistics

Email:

More information through EDIRC

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Farshid Vahid
**For corrections or technical questions regarding this series, please contact (Dr Xibin Zhang)**

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### 2007

**11/07 A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation***by*Xibin Zhang & Robert D. Brooks & Maxwell L. King**10/07 Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form***by*George Athanasopoulos & D.S. Poskitt & Farshid Vahid**9/07 Optimal combination forecasts for hierarchical time series***by*Rob J. Hyndman & Roman A. Ahmed & George Athanasopoulos**8/07 Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models***by*Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle**7/07 A state space model for exponential smoothing with group seasonality***by*Pim Ouwehand & Rob J. Hyndman & Ton G. de Kok & Karel H. van Donselaar**6/07 Automatic time series forecasting: the forecast package for R***by*Rob J. Hyndman & Yeasmin Khandakar**5/07 Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?***by*Gael M. Martin & Andrew Reidy & Jill Wright**4/07 An Assessment of Alternative State Space Models for Count Time Series***by*Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin**3/07 The vector innovation structural time series framework: a simple approach to multivariate forecasting***by*Ashton de Silva & Rob J. Hyndman & Ralph D. Snyder**2/07 Effective global regularity and empirical modeling of direct, inverse and mixed demand systems***by*Keith R. McLaren & K.K. Gary Wong**1/07 Semiparametric estimation of the dependence parameter of the error terms in multivariate regression***by*Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle

### 2006

**22/06 Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models***by*Chris M Strickland & Gael Martin & Catherine S Forbes**21/06 Impact of Structural Change in Education, Industry and Infrastructure on Income Distribution in Sri Lanka***by*Ramani Gunatilaka & Duangkamon Chotikapanich & Brett Inder**20/06 Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations***by*Giovanni Forchini**19/06 Modelling and forecasting Australian domestic tourism***by*George Athanasopoulos & Rob J. Hyndman**18/06 Measuring the cost of leaving care in Victoria***by*Catherine Forbes & Brett Inder & Sunitha Raman**17/06 Beveridge-Nelson Decomposition with Markov Switching***by*Chin Nam Low & Heather Anderson & Ralph D. Snyder**16/06 Incorporating a Tracking Signal into State Space Models for Exponential Smoothing***by*Ralph D. Snyder & Anne B. Koehler**15/06 The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes***by*S. D. Grose & D. S. Poskitt**14/06 Stochastic population forecasts using functional data models for mortality, fertility and migration***by*Rob J Hyndman & Heather Booth**13/06 Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions***by*Heather Booth & Rob J Hyndman & Leonie Tickle & Piet de Jong**12/06 Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes***by*D. S. Poskitt**11/06 Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach***by*Jae Kim & Param Silvapulle & Rob J. Hyndman**10/06 Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility***by*Gael M. Martin & Andrew Reidy & Jill Wright**9/06 Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures***by*Param Silvapulle & Xibin Zhang**8/06 Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity***by*Azhong Ye & Rob J Hyndman & Zinai Li**7/06 An Anisotropic Model For Spatial Processes***by*Minfeng Deng**6/06 Inequality Trends and Determinants in Sri Lanka 1980-2002: A Shapley Approach to Decomposition***by*Ramani Gunatilaka & Duangkamon Chotikapanich**5/06 Language and Labour in South Africa: A new approach for a new South Africa***by*Katy Cornwell**4/06 VARMA versus VAR for Macroeconomic Forecasting***by*George Athanasopoulos & Farshid Vahid**3/06 Some Nonlinear Exponential Smoothing Models are Unstable***by*Rob J Hyndman & Muhammad Akram**2/06 A Complete VARMA Modelling Methodology Based on Scalar Components***by*George Athanasopoulos & Farshid Vahid**1/06 The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation***by*Giovanni Forchini

### 2005

**24/05 Demand Forecasting: Evidence-based Methods***by*J. Scott Armstrong & Kesten C. Green**23/05 Real Interest Rate Linkages in the Pacific Basin Region***by*Philip Inyeob Ji & Jae H. Kim**22/05 Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects***by*Jae H. Kim & Hristos Doucouliagos**21/05 Some Properties of Tests for Possibly Unidentified Parameters***by*G. Forchini**20/05 Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model***by*Giovanni Forchini**19/05 Deriving Tests of the Semi-Linear Regression Model Using the Density Function of a Maximal Invariant***by*Jahar L. Bhowmik & Maxwell L. King**18/05 Parameter Estimation in Semi-Linear Models Using a Maximal Invariant Likelihood Function***by*Jahar L. Bhowmik & Maxwell L. King**17/05 Competitor-oriented Objectives: The Myth of Market Share***by*Kesten C. Green & J. Scott Armstrong**16/05 Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases***by*D. S. Poskitt**15/05 Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study***by*Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos**14/05 On the Bimodality of the Exact Distribution of the TSLS Estimator***by*Giovanni Forchini**13/05 Another Look at Measures of Forecast Accuracy***by*Rob J. Hyndman & Anne B. Koehler**12/05 25 Years of IIF Time Series Forecasting: A Selective Review***by*Jan G. De Gooijer & Rob J. Hyndman**11/05 Is systematic downside beta risk really priced? Evidence in emerging market data***by*Don U.A. Galagedera & Robert D. Brooks**10/05 An Analysis of Watermove Water Markets***by*Robert Brooks & Edwyna Harris**9/05 Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches***by*Emawtee Bissoondoyal-Bheenick & Robert Brooks & Angela Y.N.Yip**8/05 Minimum Variance Unbiased Maximum Likelihood Estimation of the Extreme Value Index***by*Roger Gay**7/05 Time Series Forecasting: The Case for the Single Source of Error State Space***by*J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds**6/05 Exponential Smoothing Model Selection for Forecasting***by*Baki Billah & Maxwell L King & Ralph D Snyder & Anne B Koehler**5/05 A Pedant's Approach to Exponential Smoothing***by*Ralph D Snyder**4/05 Small Concentration Asymptotics and Instrumental Variables Inference***by*D. S. Poskitt & C. L. Skeels**3/05 Forecasting age-specific breast cancer mortality using functional data models***by*Bircan Erbas & Rob J. Hyndman & Dorota M. Gertig**2/05 Robust forecasting of mortality and fertility rates: a functional data approach***by*Rob J. Hyndman & Md. Shahid Ullah**1/05 Rating Forecasts for Television Programs***by*Denny Meyer & Rob J. Hyndman

### 2004

**29/04 Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model***by*D. S. Poskitt & C. L. Skeels**28/04 Forecasting Time-Series with Correlated Seasonality***by*Phillip Gould & Anne B. Koehler & Farshid Vahid-Araghi & Ralph D. Snyder & J. Keith Ord & Rob J. Hyndman**27/04 Value of Expertise For Forecasting Decisions in Conflicts***by*Kesten C. Green & J. Scott Armstrong**26/04 Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors***by*Xibin Zhang & Maxwell L. King**25/04 Adaptive Premiums for Evolutionary Claims in Non-Life Insurance***by*Roger Gay**24/04 Inflation, Financial Development and Endogenous Growth***by*Max Gillman & Mark N. Harris**23/04 Inflation, Financial Development and Growth in Transition Countries***by*Max Gillman & Mark N. Harris**22/04 Random Walk Smooth Transition Autoregressive Models***by*Heather M. Anderson & Chin Nam Low**21/04 Single Source of Error State Space Approach to the Beveridge Nelson Decomposition***by*Heather M. Anderson & Chin Nam Low & Ralph Snyder**20/04 On The Identification and Estimation of Partially Nonstationary ARMAX Systems***by*D. S. Poskitt**19/04 Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small***by*D. S. Poskitt & C. L. Skeels**18/04 Further evidence on game theory, simulated interaction, and unaided judgement for forecasting decisions in conflicts***by*Kesten C. Green**17/04 Structured analogies for forecasting***by*Kesten C. Green & J. Scott Armstrong**16/04 Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns: evidence in Australian data***by*Don U.A. Galagedera & Elizabeth A. Maharaj**15/04 Exponential Smoothing: A Prediction Error Decomposition Principle***by*Ralph D. Snyder**14/04 Modelling Tobacco Consumption with a Zero-Inflated Ordered Probit Model***by*Mark N. Harris & Xueyan Zhao**13/04 Testing for Dependence in Non-Gaussian Time Series Data***by*B.P.M. McCabe & G.M. Martin & R.K. Freeland**12/04 Some Results on the Identification and Estimation of Vector ARMAX Processes***by*D.S. Poskitt**11/04 Bayesian Analysis of Continuous Time Models of the Australian Short Rate***by*Andrew D. Sanford & Gael Martin**10/04 Estimating Components in Finite Mixtures and Hidden Markov Models***by*D.S. Poskitt & Jing Zhang**9/04 Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC***by*Xibin Zhang & Maxwell L. King & Rob J. Hyndman**8/04 Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions***by*Don U.A. Galagedera & Robert Faff**7/04 Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model***by*Jonathan Dark**6/04 Basis convergence and long memory in volatility when dynamic hedging with SPI futures***by*Jonathan Dark**5/04 Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures***by*Jonathan Dark**4/04 Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures***by*Jonathan Dark**3/04 Economic growth and contraction and their impact on the poor***by*Brett Inder**2/04 Migration and Unemployment in South Africa: When Motivation Surpasses the Theory***by*Katy Cornwell & Brett Inder**1/04 The Power Principle and Tail-Fatness Uncertainty***by*Roger Gay

### 2003

**22/03 Averaging Lorenz Curves***by*Duangkamon Chotikapanich & William E. Griffiths**21/03 The Decline in Income Growth Volatility in the United States: Evidence from Regional Data***by*Heather Anderson & Farshid Vahid**20/03 Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities***by*Don U.A. Galagedera & Roland Shami**19/03 Nonlinear Correlograms and Partial Autocorrelograms***by*Heather M. Anderson & Farshid Vahid**18/03 Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?***by*Rachel Campbell & Catherine S. Forbes & Kees Koedijk & Paul Kofman**17/03 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter***by*Catherine S. Forbes & Gael M. Martin & Jill Wright**16/03 Persistence and Nonstationary Models***by*B.P.M. McCabe & G.M. Martin & A.R. Tremayne**15/03 Simulation-Based Bayesian Estimation of Affine Term Structure Models***by*Andrew D. Sanford & Gael M. Martin**14/03 Bayesian Analysis of the Stochastic Conditional Duration Model***by*Chris M. Strickland & Catherine S. Forbes & Gael M. Martin**13/03 General Insurance Premiums When Tail Fatness Is Unknown: A Fat Premium Representation Theorem***by*Roger Gay**12/03 Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves***by*Peter G. Hall & Rob J. Hyndman & Yanan Fan**11/03 Who are the Self-employed? A New Approach***by*Sarah Brown & Lisa Farrell & Mark N. Harris**10/03 Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation***by*Xibin Zhang & Maxwell L. King**9/03 Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter***by*George Woodward & Heather Anderson**8/03 Coherent Predictions of Low Count Time Series***by*B.P.M. McCabe & G.M. Martin**7/03 A Monte Carlo Investigation of Some Tests for Stochastic Dominance***by*Y.K. Tse & Xibin Zhang**6/03 Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms***by*David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin**5/03 Implicit Bayesian Inference Using Option Prices***by*Gael M. Martin & Catherine S. Forbes & Vance L. Martin**4/03 Using Evolutionary Spectra to Forecast Time Series***by*Elizabeth Ann Maharaj**3/03 Invertibility Conditions for Exponential Smoothing Models***by*Rob J. Hyndman & Muhammad Akram & Blyth Archibald**2/03 Empirical Information Criteria for Time Series Forecasting Model Selection***by*Md B. Billah & R.J. Hyndman & A.B. Koehler**1/03 Stochastic models underlying Croston's method for intermittent demand forecasting***by*Lydia Shenstone & Rob J. Hyndman

### 2002

**21/02 Choosing Lag Lengths in Nonlinear Dynamic Models***by*Heather M. Anderson**20/02 Nonlinear Autoregresssive Leading Indicator Models of Output in G-7 Countries***by*Heather M. Anderson & George Athanasopoulos & Farshid Vahid**19/02 Influence Diagnostics in GARCH Processes***by*Xibin Zhang & Maxwell L. King**18/02 Estimation of Hyperbolic Diffusion Using MCMC Method***by*Y.K. Tse & Xibin Zhang & Jun Yu**17/02 A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options***by*Jun Yu & Zhenlin Yang & Xibin Zhang**16/02 The Economic Incidence of R&D and Promotion Investments in the Australian Beef Industry***by*X. Zhao & J.D. Mullen & G.R. Griffith & R.R. Piggott & W.E. Griffiths**15/02 Who Bears the Burden and Who Receives the Gain? - The Case of GWRDC R&D Investments in the Australian Grape and Wine Industry***by*Xueyan Zhao**14/02 Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series***by*Ralph D. Snyder & Catherine S. Forbes**13/02 Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence***by*Robert E.J. Hibbard & Rob Brown & Keith R. McLaren**12/02 Cobb-Douglas Utility - Eventually!***by*Alan A. Powell & Keith R. McLaren & K.R. Pearson & Maureen Rimmer**11/02 An Improved Method for Bandwidth Selection when Estimating ROC Curves***by*Peter Hall & Rob J. Hyndman**10/02 Local Linear Forecasts Using Cubic Smoothing Splines***by*Rob J Hyndman & Maxwell L. King & Ivet Pitrun & Baki Billah**9/02 Statistical Inference on Changes in Income Inequality in Australia***by*George Athanasopoulos & Farshid Vahid**8/02 Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression***by*Brian Hanlon & Catherine Forbes**7/02 The DOGEV Model***by*Tim R.L. Fry & Mark N. Harris**6/02 Regular and Estimable Inverse Demand Systems: A Distance Function Approach***by*Gary K.K. Wong & Keith R. McLaren**5/02 Non-linear Modelling of the Australian Business Cycle using a Leading Indicator***by*Roland G. Shami & Catherine S. Forbes**4/02 Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns***by*G.C. Lim & G.M. Martin & V.L. Martin**3/02 Exponential Smoothing for Inventory Control: Means and Variances of Lead-Time Demand***by*Ralph D. Snyder & Anne B. Koehler & Rob J. Hyndman & J. Keith Ord**2/02 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices***by*C.S. Forbes & G.M. Martin & J. Wright**1/02 Parametric Pricing of Higher Order Moments in S&P500 Options***by*G.C. Lim & G.M. Martin & V.L. Martin

### 2001

**11/01 Prediction Intervals for Exponential Smoothing State Space Models***by*Hyndman, R.J. & Koehler, A.B. & Ord, J.K. & Snyder, R.D.**10/01 Using R to Teach Econometrics***by*Racine, J & Hyndman, R.J.**9/01 The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity***by*Issler, J.V. & Vahid, F.**8/01 Strategy Similarity and Coordination***by*Vahid, F. & Sarin, R.**7/01 Capturing the Shape of Business Cycles with Nonlinear Autoregressive Leading Indicator Models***by*Athanasopoulos, G. & Anderson, H.M. & Vahid, F.**6/01 Statistical Methodological Issues in Studies of Air Pollution and Respiratory Disease***by*Hyndman, R.J. & Erbas, B.**5/01 Unmasking the Theta Method***by*Hyndman, R.J. & Billah, B.**4/01 On the Nature and Role of Hypothesis Tests***by*McLean, A.**3/01 Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices***by*Anderson, H.M. & Vahid, F.**2/01 The Importance Of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study***by*Vahid, F. & Issler, J.V.**1/01 Comparison of Non-Stationary Time Series in the Frequency Domain***by*Maharaj, E.A.

### 2000

**11/00 Mixed Model-Based Hazard Estimation***by*Cai, T. & Hyndman, R.J. & Wand, M.P.**10/00 A structural Time Series Model with Markov Switching***by*Shami, R.G. & Forbes, C.S.**9/00 A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods***by*Hyndman, R.J. & Koehler, A.B. & Snyder, R.D. & Grose, S.**8/00 Are Casual Jobs a Freeway to Permanent Employment?***by*Chalmers, J. & Kalb, G.**7/00 Bayesian Exponential Smoothing***by*Forbes, C.S. & Snyder, R.D. & Shami, R.S.**6/00 Valid Bayesian Estimation of the Cointegrating Error Correction Model***by*Strachan, R.**5/00 Implicit Bayesian Inference Using Option Prices***by*Martin, G.M. & Forbes, C.S. & Martin, V.L.**4/00 Bayesian Soft Target Zones***by*Forbes, C.S. & Kofman, P.**3/00 Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models***by*Anderson, H.M. & Vahid, F.**2/00 An EM Algorithm for Modelling Variably-Aggregated Demand***by*Grose, S. & McLaren, K.**1/00 Estimating Demand with Varied Levels of Aggregation***by*Grose, S. & McLaren, K.

### 1999

**14/99 Understanding the Kalman Filter: an Object Oriented Programming Perspective***by*Snyder, R.D. & Forbes, C.S.**13/99 Bayesian Trace Statistics for the Reduced Rank Regression Model***by*Strachan, R.W. & Inder, B.**12/99 Predicting how People Play Games: a Simple Dynamic Model of Choice***by*Sarin, R. & Vahid, F.**11/99 A Test for the Difference Parameter of the ARFIMA Model Using the Moving Blocks Bootstrap***by*Maharaj, E.A.**10/99 Forecasting for Inventory Control with Exponential Smoothing***by*Snyder, R.D. & Koehler, A. & Ord, K.**9/99 Forecasting Time Series from Clusters***by*Marahaj, E.A. & Inder, B.**8/99 Does International Trade Synchronize Business Cycles?***by*Anderson, H.M. & Kwark, N.-S. & Vahid, F.**7/99 Forecasting Sales of Slow and Fast Moving Inventories***by*Snyder, R.**6/99 Estimating Advertising Half-Life and the Data Interval Bias***by*Fry, T.R.L. & Broadbent, S. & Dixon, J.M.**5/99 Inter-Regional Migration in Australia: an Applied Economic Analysis***by*Fry, J. & Fry, T.R.L. & Peter, M.W.**4/99 The Predictive Approach to Teaching Statistics***by*McLean, A.**3/99 School-leavers' Transition to Tertiary Study: a Literature Review***by*Evans, M.**2/99 Generalized Additive Modelling of Mixed Distribution Markov Models with Application to Melbourne's Rainfall***by*Hyndman, R.J. & Grunwald, G.K.**1/99 Forecasting Models and Prediction Intervals for the Multiplicative Holt-Winters Method***by*Koehler, A.B. & Snyder, R.D. & Ord, J.K.

### 1998

**18/98 Institutional Characteristics and the Relationship Between Student's Last-Year University and Final-Year Secondary School Academic Performance***by*Evans, M. & Farley, A.**17/98 Nonparametric Estimation and Symmetry Tests for Conditional Density Functions***by*Hyndman, R.J. & Yao, Q.**16/98 Bandwidth Selection for Kernel Conditional Density Estimation***by*Bashtannyk, D.M. & Hyndman, R.J.**15/98 Model Selection when a Key Parameter Is Constrained to Be in an Interval***by*Hossain, M.Z. & King, M.L.**14/98 Testing Convergence in Economic Growth for OECD Countries***by*Nahar, S. & Inder, B.**13/98 Lead Time demand for Simple Exponential Smoothing***by*Snyder, R.D. & Koehler, A.B. & Ord, J.K.**12/98 Residual Diagnostic Plots for Checking for model Mis-Specification in Time Series Regression***by*Fraccaro, R. & Hyndman, R. & Veevers, A.**11/98 Comparisons of Estimators and Tests Based on Modified Likelihood and Message Length Functions***by*Lasker, M.R. & King, M.L.**10/98 A General Volatility Framework and the Generalised Historical Volatility Estimator***by*Bollen, B. & Inder, B.**9/98 bayesian Estimation of the Reduced Rank Regression Model without Ordering Restrictions***by*Strachan, R.W.**8/98 A New Approach to Model GNP Functions: An Application of Non-Separable Two-Stage Technologies***by*Wong, G.K.K.**7/98 Nonparametric Seemingly Unrelated Regression***by*Smith, M. & Kohn, R.**6/98 Comparisons of Estimators and Tests Based on Modified Likelihood And Message Length Functions***by*Laskar, M.R. & King, M.L.**5/98 Modified Likelihood and Related Methods for Handling Nuisance Parameters in the Linear Regression Model***by*Laskar, M.R. & King, M.L.**4/98 A Comparison of Alternative Estimators for Binary Panel Probit Models***by*Harris, M.N. & Macquarie, L.R. & Siouclis, A.J.**3/98 Exponential Smoothing Methods of Forecasting and General ARMA Time Series Representations***by*Shami, R.G. & Snyder, R.D.**2/98 Estimating Long-Term Trends in Tropospheric Ozone Levels***by*Smith, M. & Yau, P. & Shively, T. & Kohn, R.**1/98 U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks***by*Martin, G.M.

### 1997

**14/97 Bayesian Approaches to Segmenting A Simple Time Series***by*Oliver, J.J. & Forbes, C.S.**13/97 Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data***by*Smith, M. & Mathur, S.K. & Kohn, R.**12/97 The Comparison of two or more Stationary Time Series***by*Maharaj, A.**11/97 Comparison and Classification of Stationary Multivariate Time Series***by*Maharaj, A.**10/97 Exponential Smoothing of Seasonal Data: A Comparison***by*Shami, R.G. & Snyder, R.D.**9/97 Trend Stability and Structural Change: An Extension to the M1 Forecasting Competition***by*Snyder, R. & Inder, B.**8/97 Prediction Intervals for Arima Models***by*Snyder, R.D. & Ord, J.K. & Koehler, A.B.**7/97 The Kuznets U-Curve Hypothesis: Some Panel Data Evidence***by*Matyas, L. & Konya, L. & Macquarie, L.**6/97 Analytic Small Sample Bias and Standard Error Calculations for Tests of Serial Correlation in Market Returns***by*Smith, M. & Naik, N.Y.**5/97 Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior***by*Martin, G.M.**4/97 Private and Public Consumption Expenditure Substitutability : Bayesian Estimates for the G7 Countries***by*Martin, G.M. & Martin, V.L.**3/97 Bayesian Arbitrage Threshold Analysis***by*Forbes, C.S. & Kalb, G.R.J. & Kofman, P.**2/97 Strike Data with a Crisis Point***by*Lieberman, O.**1/97 Modelling Export Activity in a Multicountry Economic Area : The APEC Case***by*Matyas, L. & Konya, L. & Harris, M.N.

### 1996

**20/96 Aggregation and Cointegration***by*Korosi, G. & Longmire, R. & Matyas, L.**19/96 Additive Nonparametric Regression with Autocorrelated Errors***by*Smith, M. & Wong, C.M. & Kohn, R.**18/96 Improved Small Sample Midel selection Procedures***by*King, M.L. & Forbes, C.S. & Morgan, A.