Inference in partially non-stationary time series models

Project: Research

Project Details

Project Description

Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstrap) methods, which will provide a much-needed improvement over the existing (asymptotic) methods for making inference about the long-run. Our research will lead to more reliable models for long-term planning in business, industry and government.
StatusFinished
Effective start/end date1/01/0331/12/05

Funding

  • Australian Research Council (ARC): AUD108,000.00