Rodney W. Strachan

University of Queensland - School of Economics

Professor of Econometrics

Brisbane, QLD 4072

Australia

SCHOLARLY PAPERS

15

DOWNLOADS

620

SSRN CITATIONS

11

CROSSREF CITATIONS

26

Scholarly Papers (15)

1.
Downloads 130 (224,274)
Citation 2

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 (256,691)
Citation 2

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 21 (545,314)
Citation 3

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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

FRB of New York Staff Report No. 202
Number of pages: 28 Posted: 08 Mar 2005
Simon Potter, Gary Koop and Rodney W. Strachan
Federal Reserve Bank of New York, University of Leicester - Department of Economics and University of Queensland - School of Economics
Downloads 88 (294,280)
Citation 3

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

3.

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
Eric Eisenstat, Joshua C. C. Chan and Rodney W. Strachan
University of Bucharest, University of Technology Sydney (UTS) - UTS Business School and University of Queensland - School of Economics
Downloads 55 (380,371)
Citation 3

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Bayesian Lasso, shrinkage, fiscal policy

4.

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 and Rodney W. Strachan
University of Technology Sydney (UTS) - UTS Business School and University of Queensland - School of Economics
Downloads 54 (383,612)
Citation 6

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

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 47 (407,311)
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 and Rodney W. Strachan
Australian National University (ANU) - School of Economics and University of Queensland - School of Economics
Downloads 40 (433,816)

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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
Joshua C. C. Chan, Roberto Leon-Gonzalez and Rodney W. Strachan
University of Technology Sydney (UTS) - UTS Business School, National Graduate Institute for Policy Studies (GRIPS) and University of Queensland - School of Economics
Downloads 37 (446,215)
Citation 5

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8.

Time Varying Dimension Models

Number of pages: 27 Posted: 11 Aug 2011
University 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 29 (482,758)
Citation 5

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 28 (488,061)
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 28 (488,061)

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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 25 (504,244)
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 24 (509,973)

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

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 (545,314)

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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 (697,251)
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14.

Multivariate Stochastic Volatility with Co-Heteroscedasticity

CAMA Working Paper No. 52/2018
Number of pages: 42 Posted: 22 Oct 2018
University 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 8 (608,523)
Citation 2

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

15.

Reducing Dimensions in a Large TVP-VAR

CAMA Working Paper No. 49/2018
Number of pages: 45 Posted: 15 Oct 2018
Joshua C. C. Chan, Eric Eisenstat and Rodney W. Strachan
University of Technology Sydney (UTS) - UTS Business School, Eisenstat and University of Queensland - School of Economics
Downloads 5 (628,466)
Citation 1

Abstract:

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Large VAR, time varying parameter, reduced rank covariance matrix