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Professor Rodney Strachan

Professor
School of Economics
+61 7 3365 6782
Room 546, Level 5, Colin Clark Building (#39)
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Professor Rodney Strachan

Curriculum Vitae

View CV (PDF, 284.4 KB)

Research

Bayesian econometrics, time series analysis, state space models, macro-econometrics

Selected Publications

Chan J., Leon-Gonzalez R. and R. W. Strachan (2017) "Invariant Inference and Efficient Computation in the Static Factor Model", forthcoming in the Journal of the American Statistical Association Theory and Methods Section

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

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

Strachan, R. W. and H. K. Van Dijk, (2013) "Evidence on Features of a DSGE Business Cycle model from Bayesian Model Averaging", The International Economic Review, Volume 54, Issue 1, February 2013, Pages: 385–402

Jochmann, M., Koop G., R. Leon-Gonzalez and R. 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 Volume 28, Issue 1, Pages: 62-81

Chan J., G. Koop, R. Léon-Gonzalez and R. Strachan (2012) "Time Varying Dimension Models" Journal of Business and Economic Statistics, 30(3), 358-367.

Koop G., R. Léon-Gonzalez and R. Strachan (2012) "Bayesian Model Averaging in the Instrumental Variable Regression Model" forthcoming in The Journal of Econometrics 7-JUL-2012 DOI information: 10.1016/j.jeconom.2012.06.005.

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

Koop G., R. Leon- Gonzalez and R. W. Strachan (2010) "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

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

Koop G., R. Léon- González and R. W. Strachan (2010) "Efficient posterior simulation for cointegrated models with priors on the cointegrationspace" Econometric Reviews Volume 29, Issue 2, 224-242

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

Teaching

ECON1320 Quantitative Economic & Business Analysis B

 

 

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

Publications

Book Chapter (1)
Journal Articles (25)
Conference Papers (2)

Book Chapter

Koop, G., Strachan, R W, van Dijk, H. and Villani, M. (2006). Bayesian Approaches to Cointegration. Palgrave Handbook of Econometrics Volume 1 Econometric Theory. (pp. 871-898) edited by T.C. Mills and K. Patterson. UK: Palgrave Macmillan.

Journal Articles

Bäurle, Gregor, Kaufmann, Daniel, Kaufmann, Sylvia and Strachan, Rodney (2020). Constrained interest rates and changing dynamics at the zero lower bound. Studies in Nonlinear Dynamics and Econometrics, 24 (2), 685-720. doi: 10.1515/snde-2017-0098
Chan, Joshua C.C., Eisenstat, Eric and Strachan, Rodney W. (2020). Reducing the state space dimension in a large TVP-VAR. Journal of Econometrics, 218 (1), 105-118. doi: 10.1016/j.jeconom.2019.11.006
Chan, Joshua, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2018). Invariant inference and efficient computation in the static factor model. Journal of the American Statistical Association, 113 (522), 819-828. doi: 10.1080/01621459.2017.1287080
Eisenstat, Eric, Chan, Joshua C. C. and Strachan, Rodney W. (2016). Stochastic model specification search for time-varying parameter VARs. Econometric Reviews, 35 (8-10), 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
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
Strachan, Rodney (2010). Guest editorial: workshop on Bayesian econometric methods. The Review of Economic Analysis, 2 (2), 135-136.
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

Gefang, Deborah and Strachan, Rodney (2010). Nonlinear impacts of international business cycles on the U.K. - A bayesian smooth transition VAR approach. Walter de Gruyter GmbH. doi: 10.2202/1558-3708.1677
Svetchnikova, D., Rambaldi, A. N. and Strachan, R. (2008). A comparison of Methods for Spatial-Temporal Forecasting With An Application To Real Estate Prices. ESAM08 Markets and Models: Policy Frontiers in the AWH Phillips Tradition, Wellington, NZ, 9-11 July 2008. NZ: Economic Society of Australia, NZ Association of Economists.

Areas of research

Econometric and Statistical Methods
Econometrics
Macroeconometric Analysis
Time-Series Analysis and Forecasting