Professor Rodney Strachan
Professor
+61 7 336 56242
+61 7 336 56770
Room 546, Level 5, Colin Clark Building (#39)
| Featured projects | Duration |
|---|---|
|
Estimation of the continuous piecewise linear model and macroeconomic applications ARC Discovery Project |
2012–2015 |
|
Large dynamic time-varying models for structural macroeconomic inference ARC Discovery Project |
2018–2020 |
Book Chapter
Koop, G., Strachan, R W, van Dijk, H. and Villani, M. (2006). Bayesian Approaches to Cointegration. In T.C. Mills and K. Patterson (Ed.), Palgrave Handbook of Econometrics Volume 1 Econometric Theory 1st ed. (pp. 871-898) UK: Palgrave Macmillan.
Journal Articles
Eisenstat, Eric, Chan, Joshua C. C. and Strachan, Rodney W. (2016) Stochastic model specification search for time-varying parameter VARs. Econometric Reviews, 1-28. doi:10.1080/07474938.2015.1092808
Eisenstat, Eric and Strachan, Rodney W. (2015) Modelling inflation volatility. Journal of Applied Econometrics, 31 5: 805-820. doi:10.1002/jae.2469
Strachan, Rodney W. and Van Dijk, Herman K. (2013) Evidence on features of a DSGE business cycle model from Bayesian model averaging. International Economic Review, 54 1: 385-402. doi:10.1111/j.1468-2354.2012.00737.x
Jochmann, Marcus, Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2013) Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy. Journal of Applied Econometrics, 28 1: 62-81. doi:10.1002/jae.1238
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney (2012) Bayesian model averaging in the instrumental variable regression model. Journal of Econometrics, 171 2: 237-250. doi:10.1016/j.jeconom.2012.06.005
Chan, Joshua C. C., Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2012) Time varying dimension models. Journal of Business and Economic Statistics, 30 3: 358-367. doi:10.1080/07350015.2012.663258
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney. W. (2011) Bayesian inference in the time varying cointegration model. Journal of Econometrics, 165 2: 210-220. doi:10.1016/j.jeconom.2011.07.007
Charemza, Wojciech W., Strachan, Rodney and Żurawski, Piotr (2010) False posteriors for the long-term growth determinants. Economics Letters, 109 3: 144-146. doi:10.1016/j.econlet.2010.08.026
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2010) Dynamic probabilities of restrictions in state space models: An application to the Phillips curve. Journal of Business and Economic Statistics, 28 3: 370-379. doi:10.1198/jbes.2009.07335
Jochmann, Markus., Koop, Gary. and Strachan, Rodney W. (2010) Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks. International Journal of Forecasting, 26 2: 326-347. doi:10.1016/j.ijforecast.2009.11.002
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2010) Efficient posterior simulation for cointegrated models with priors on the cointegration space. Econometric Reviews, 29 2: 224-242. doi:10.1080/07474930903382208
Strachan, Rodney (2010) Guest editorial: workshop on Bayesian econometric methods. The Review of Economic Analysis, 2 2: 135-136.
Gefang, Deborah and Strachan, Rodney (2010) Nonlinear impacts of international business cycles on the UK - A Bayesian smooth transition VAR approach. Studies in Nonlinear Dynamics and Econometrics, 14 1: 2-1-2-34. doi:10.2202/1558-3708.1677
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2009) On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33 4: 997-1017. doi:10.1016/j.jedc.2008.11.003
Strachan, Rodney W. (2009) Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks. Journal of Applied Econometrics, 24 2: 245-247. doi:10.1002/jae.1050
Koop, G., Potter, S.M. and Strachan, R.W. (2008) Re-examining the consumption-wealth relationship: The role of model uncertainty. Journal of Money, Credit and Banking, 40 2-3: 341-367. doi:10.1111/j.1538-4616.2008.00116.x
Koop, G., Leon-Gonzalez, R. and Strachan, R. (2008) Bayesian inference in a cointegrating panel data model. Advances in Econometrics, 23 433-469. doi:10.1016/S0731-9053(08)23013-6
Strachan, R. (2007) Bayesian inference in cointegrated I(2) systems: A generalization of the triangular model. Econometric Reviews, 26 2-4: 439-468. doi:10.1080/07474930701220618
Strachan, RW and Inder, B (2004) Bayesian analysis of the error correction model. Journal of Econometrics, 123 2: 307-325. doi:10.1016/j.jeconom.2003.12.004
Strachan, Rodney W. and van Dijk, Herman K. (2003) Bayesian model selection with an uninformative prior. Oxford Bulletin of Economics and Statistics, 65 Supp. 1: 863-876. doi:10.1046/j.0305-9049.2003.00095.x
Strachan, R. W. (2003) Valid Bayesian estimation of the cointegrating error correction model. Journal of Business & Economic Statistics, 21 1: 185-195. doi:10.1198/073500102288618883
Strachan, R, King, M and Singh, S (1998) Likelihood-based estimation of the regression model with scrambled responses. Australian & New Zealand Journal of Statistics, 40 3: 279-290. doi:10.1111/1467-842X.00032
Conference Papers
Svetchnikova, D., Rambaldi, A. N. and Strachan, R. (2008). A comparison of Methods for Spatial-Temporal Forecasting With An Application To Real Estate Prices. In: ESAM08- Proceedings. ESAM08 Markets and Models: Policy Frontiers in the AWH Phillips Tradition, Wellington, NZ, (). 9-11 July 2008.