Rodney W. Strachan

University of Queensland - School of Economics

Professor of Econometrics

Brisbane, QLD 4072

Australia

SCHOLARLY PAPERS

17

DOWNLOADS

709

SSRN CITATIONS

24

CROSSREF CITATIONS

31

Scholarly Papers (17)

1.
Downloads 135 (269,716)
Citation 6

Modelling Inflation Volatility

CAMA Working Paper 21/2014
Number of pages: 38 Posted: 26 Feb 2014
Eric Eisenstat and Rodney W. Strachan
University of Bucharest and University of Queensland - School of Economics
Downloads 109 (316,844)
Citation 3

Abstract:

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Inflation volatility, monetary policy, time varying parameter model, Bayesian estimation, Change-point model

Modelling Inflation Volatility

CAMA Working Paper No. 68/2014
Number of pages: 32 Posted: 06 Nov 2014 Last Revised: 07 Nov 2014
Eric Eisenstat and Rodney W. Strachan
University of Bucharest and University of Queensland - School of Economics
Downloads 26 (625,725)
Citation 8

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Inflation volatility, monetary policy, time varying parameter model, Bayesian estimation, change-point model.

2.

Reexamining the Consumption-Wealth Relationship: The Role of Model Uncertainty

Number of pages: 28 Posted: 08 Mar 2005
Simon Potter, Gary Koop and Rodney W. Strachan
Peter G. Peterson Institute for International Economics, University of Leicester - Department of Economics and University of Queensland - School of Economics
Downloads 88 (361,809)
Citation 3

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wealth effect, vector error correction model, Bayesian model averaging, cointegration

3.

Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods

Number of pages: 39 Posted: 20 Mar 2012
Joshua C. C. Chan, Joshua C. C. Chan and Rodney W. Strachan
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Queensland - School of Economics
Downloads 66 (426,001)
Citation 8

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integrated likelihood, accept-reject Metropolis-Hastings, cross-entropy, liquidity trap, zero lower bound

4.

Stochastic Model Specification Search for Time-Varying Parameter VARs

CAMA Working Paper No. 23/2014
Number of pages: 35 Posted: 06 Mar 2014 Last Revised: 07 Mar 2014
University of Bucharest, Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of Queensland - School of Economics
Downloads 57 (457,970)
Citation 5

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Bayesian Lasso, shrinkage, fiscal policy

5.

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Tinbergen Institute Discussion Paper No. 08-096/4
Number of pages: 52 Posted: 19 Oct 2008
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 48 (493,803)
Citation 3

Abstract:

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Posterior probability, Grassman manifold, Orthogonal group, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model, Great Ratios, Liquidity trap

6.

The Case for Excellence in Management: The Effects of Management Practices on Productivity

Number of pages: 22 Posted: 04 Nov 2015
Kieron Meagher, Kieron Meagher and Rodney W. Strachan
Australian National University (ANU) - Research School of Economics and University of Queensland - School of Economics
Downloads 43 (515,974)

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Productivity, Management Practices, Superadditive, Complements, Gaussian Process, Bayesian Model Averaging, Piecewise Linear

7.

Invariant Inference and Efficient Computation in the Static Factor Model

CAMA Working Paper 32/2013
Number of pages: 29 Posted: 08 Jun 2013
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 38 (540,122)
Citation 8

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8.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 34 (560,971)
Citation 6

Abstract:

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9.

Bayesian Inference in a Time Varying Cointegration Model

Number of pages: 37 Posted: 01 Aug 2011
Gary Koop, Roberto Leon-Gonzalez and Rodney W. Strachan
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 33 (566,448)
Citation 2

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Bayesian, time varying cointegration, error correction model, reduced rank regression, Markov Chain Monte Carlo

10.

Divergent Priors and Well Behaved Bayes Factors

Tinbergen Institute Discussion Paper 11-006/4
Number of pages: 42 Posted: 15 Jan 2011
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 29 (589,259)

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Improper Prior, Bayes Factor, Marginal Likelihood, Shrinkage Prior, Measure

11.

Evidence on a DSGE Business Cycle Model Subject to Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

CAMA Working Paper No. 3/2012
Number of pages: 41 Posted: 13 Feb 2012
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 26 (608,146)
Citation 2

Abstract:

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Posterior probability, Real business cycle model, Cointegration, Model averaging, Stochastic trend, Impulsive response, Vector autoregressive model

12.

Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging

Tinbergen Institute Discussion Paper 10-050/4
Number of pages: 54 Posted: 31 May 2010
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 26 (608,146)

Abstract:

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Posterior probability, Real business cycle model, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model

13.

Multivariate Stochastic Volatility with Co-Heteroscedasticity

CAMA Working Paper No. 52/2018
Number of pages: 42 Posted: 22 Oct 2018
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of Oxford, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 22 (635,596)
Citation 6

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Markov Chain Monte Carlo, Gibbs Sampling, Flexible Parametric Model, Particle Filter, Co-heteroscedasticity, state-space, reparameterization, alternating-order

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Tinbergen Institute Discussion Paper No. 12-025/4
Number of pages: 50 Posted: 21 Mar 2012
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 21 (663,357)

Abstract:

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Posterior probability, Dynamic stochastic general equilibrium model, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

International Economic Review, Vol. 54, Issue 1, pp. 385-402, 2013
Number of pages: 18 Posted: 24 Jan 2013
Rodney W. Strachan and H. K. van Dijk
University of Queensland - School of Economics and Tinbergen Institute
Downloads 1 (838,183)
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15.

Bayesian State Space Models in Macroeconometrics

CAMA Working Paper No. 90/2020
Number of pages: 43 Posted: 21 Oct 2020
Joshua CC Chan and Rodney W. Strachan
Purdue University and University of Queensland - School of Economics
Downloads 18 (664,121)

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State space model, filter, smoother, non-linear, non-Gaussian, high-dimension, dimension reduction.

16.

The Case for Excellence in Management: A Comment on The Effects of Management Practices on Productivity

Number of pages: 24 Posted: 07 Dec 2020
Kieron Meagher, Kieron Meagher and Rodney W. Strachan
Australian National University (ANU) - Research School of Economics and University of Queensland - School of Economics
Downloads 16 (678,692)

Abstract:

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Productivity, Management Practices, Superadditive, Complements, Gaussian Processes, Bayesian Model Averaging, Piecewise Linear

17.

Reducing Dimensions in a Large TVP-VAR

CAMA Working Paper No. 49/2018
Number of pages: 45 Posted: 15 Oct 2018
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, Eisenstat and University of Queensland - School of Economics
Downloads 8 (741,194)
Citation 1

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Large VAR, time varying parameter, reduced rank covariance matrix