This paper considers the construction of model selection procedures based on choosing the model with the largest maximised log-likelihood mimus a penalty, when key parameters are restricted to be in a closed interval. The approach adopted is based on King et al.'s (1995) representative models...

In this paper we construct a test for the difference parameter d in the fractionally integrated autoregressive moving-average (ARFIMA) model. Obtaining estimates by smoothed spectral regression estimation method, we use the moving blocks bootstrap method to construct the test for d. The results...

The recent debate on alcohol tax reform and recommendations from the Henry Tax Review in Australia have highlighted the need for quantifying externalities of excessive alcohol consumption by beverage types. This paper presents micro-level information from the Australian National Drug Strategy...

This study proposes a new approach to estimation of the time series properties of daily volatility in financial markets.

Using a competitive search (price-posting) model, Lester (2011) shows that improving buyers’ price information can counter-intuitively lead to higher prices. We test this result using a lab experiment. Moving from 0 to 1uninformed buyers leads to higher prices in both 2(seller)x2(buyer) and...

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which recent developments related to the impact on measured volatility of market microstructure noise are taken into account. The paper also assesses the robustness of the...

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly taken into account. The option-based...

When independence is assumed, forecasts of mortality for subpopulations are almost always divergent in the long term. We propose a method for non-divergent or coherent forecasting of mortality rates for two or more subpopulations, based on functional principal components models of simple and...

Age-sex-specific population forecasts are derived through stochastic population renewal using forecasts of mortality, fertility and net migration. Functional data models with time series coefficients are used to model age-specific mortality and fertility rates. As detailed migration data are...

Accurate estimates of future age-specific incidence and mortality are critical for allocation of resources to breast cancer control programs and evaluation of screening programs. The purpose of this study is to apply functional data analysis techniques to model age-specific breast cancer...