Work in Progress

Kaufmann, S. and R.W. Strachan (2024) “Dynamic factor models with common (drifting) stochastic trends”, under submission.

Eisenstat, E. and R.W. Strachan (2023) “Singular Vector Autoregressions”, under submission.

[paper, short online appendix, long online appendix]

Chan, J.C.C., Doucet, A., León-González, R. and R.W. Strachan “Multivariate Stochastic Volatility with Co-Heteroscedasticity,” under submission. 

Publications

1. Chan J.C.C. and R.W. Strachan (2023) “Bayesian State Space Models in Macroeconometrics” Journal of Economic Surveys, Vol. 37, No. 1: 58-75. 

2. Chan J.C.C., Eisenstat, E. and R.W. Strachan (2020) “Reducing the State Space Dimension in a Large TVP-VAR” Journal of Econometrics, 218(1): 105–118. DOI: https://doi.org/10.1016/j.jeconom.2019.11.006 

(This paper gives a new way to estimate singular state space models)

3. Bäurle, G., Kaufmann, S., Kaufmann, D. and R.W. Strachan (2019) “Constrained interest rates and changing dynamics at the zero lower bound” Studies in Nonlinear Dynamics & Econometrics, 24(2), pp. 685–720. DOI: https://doi.org/10.1515/snde-2017-0098. 

4. Chan J.C.C., Léon-Gonzalez, R. and R.W. Strachan (2018) “Invariant Inference and Efficient Computation in the Static Factor Model” Journal of the American Statistical Association Theory and Methods Section, Volume 113, Issue 522: 819-828.

(Bayesian estimation of the static factor model without ordering restrictions)

5. Wiriyawit, V., Kam., T. and R.W. Strachan (2018) “Structural Parameter Estiamtion Bais in Welfare Effects of Tax Policy” Journal of Global Business Review, Volume 20, No. 2: 1 - 28.

6. Eisenstat, E. and R.W. Strachan (2016) “Modelling inflation volatility” Journal of Applied Econometrics, Vol. 31, Issue 5, August 2016, Pages: 805–820.

(Gives consideration to whether log volatility in inflation should be a random walk or some stationary process)

7. Chan J.C.C., Eisenstat, E. and R.W. Strachan (2016) “Stochastic Model Specification Search for Time-Varying Parameter VARs” Econometric Reviews,  35(8-10), 1638-1665.

8. Strachan, R.W. and H. K. Van Dijk (2013) “Evidence on Features of a DSGE Business Cycle model from Bayesian Model Averaging” International Economic Review, Volume 54, Number 1, 385-402.

(Rather than evaluating the full support for an economic model, this paper looks at the evidence for aspects of a model for investment specific technology shocks)

9. Jochmann, M., Koop, G., Léon-Gonzalez, R. and R.W. Strachan (2013) “Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy” The Journal of Applied Econometrics 28, 62-81.

10. Chan J.C.C., Koop, G., Léon-Gonzalez, R. and R.W. Strachan (2012) “Time Varying Dimension Models” Journal of Business and Economic Statistics Volume 30, Issue 3, July, pages 358-367.

11. Koop G., Léon-Gonzalez, R. and R.W. Strachan (2012) “Bayesian Model Averaging in the Instrumental Variable Regression Model” The Journal of Econometrics 171, 237-250.

12. Koop G., Léon-Gonzalez, R. and R.W. Strachan (2011) “Bayesian Inference in the Time Varying Cointegration Model” The Journal of Econometrics 165, 210-220.

13. Koop G., Léon-Gonzalez, R. and R.W. Strachan (2010a) “Dynamic probabilities of restrictions in state space models: An application to the Phillips curve” Journal of Business and Economic Statistics Vol. 28, No. 3: 370-379.

14. Koop G., Léon-Gonzalez, R. and R.W. Strachan (2010b) “Efficient posterior simulation for cointegrated models with priors on the cointegration space” Econometric Reviews Volume 29, Issue 2, 224-242.

15. Charemza, W., Strachan, R.W. and P.M. Żurawski (2010) “False posteriors for the long-term growth determinants” Economics Letters 109: 144–146.

16. Guest Editorial (2010) Workshop on Bayesian Econometric Methods,  The Review of Economic Analysis, Vol. 2, No. 2.

17. Jochmann, M., Koop, G. and R.W. Strachan (2010) “Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks” International Journal of Forecasting Vol. 26, Issue 2: 326-347.

18. Gefang, D. and R.W. Strachan (2010) “Nonlinear Impacts Of International Business Cycles On The UK -- A Bayesian Smooth Transition VAR Approach”  Studies in Nonlinear Dynamics and Econometrics: Vol 14: Issue No. 1, Article 2.

19. Koop, G., Léon-Gonzalez, R. and R.W. Strachan (2009) “On the Evolution of Monetary Policy” Journal of Economic Dynamics and Control 33, 997-1017.

20. Strachan, R.W. (2009) “Comment on ‘Jointness of Growth Determinants’ by Gernot Doppelhofer and Melvyn Weeks” Journal of Applied Econometrics 24, 245-247.

21. Koop, G., Léon-Gonzalez, R. and R.W. Strachan (2008) “Bayesian inference in a cointegrating panel data model” Advances in Econometrics, Volume 23, 433-469. 

22. Koop, G., Potter, S. and R.W. Strachan (2008) “Re-examining the consumption-wealth relationship: The role of uncertainty” Journal of Money, Credit and Banking, Vol. 40, No. 2–3, 341-367.

23. Strachan, R.W. (2007) “Bayesian inference in cointegrated I(2) systems: A generalisation of the triangular model” Econometric Reviews – Special Issue 26, Issues 2-4, 439-468.

24. Koop, G., Strachan, R.W., Van Dijk, H.K., & M. Villani (2006) “Bayesian approaches to cointegration analysis” in The Palgrave Handbook of Econometrics, Vol. 1, Econometric Theory.

25. Strachan, R.W. and B.A. Inder (2004) “Bayesian analysis of the error correction model” Journal of Econometrics 123, 307-325.

26. Strachan, R.W. and H. K. Van Dijk (2003) “Bayesian Model Selection with an Uninformative Prior” Oxford Bulletin of Economics and Statistics 65, 863-876.

27. Strachan, R.W. (2003) “Valid Bayesian estimation of the cointegrating error correction model” Journal of Business and Economic Statistics, 21(1), 185-195.

28. Strachan, R.W. (2000) “Bayesian Analysis of the Cointegrating Error Correction Model: With extension to general reduced rank regression models” Ph.D. Dissertation, Monash University.  

29. Strachan, R.W., King, M.L., & S. Singh (1998) “Likelihood based estimation of the regression model with scrambled responses” Australian and New Zealand Journal of Statistics, 40(3), 279-290.

30. Strong, S. and R.W. Strachan, (1996) “Economic growth and cyclical behaviour in eleven APEC countries” Malaysian Journal of Economic Studies, XXXIII(1), 9-33.