A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results [ 2002-01-01 - 2005-12-31 ]

Research Grant

Researchers: Dr David Harris (Chief Investigator) ,  Prof Vance Martin (Chief Investigator)

Brief description A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results. The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic factor models for Australia. The project provides a significant contribution to business cycle modelling by solving the intractability problems common to existing classes of dynamic factor models. A key innovation is the development of a simulation based estimator to circumvent the statistical and computational problems associated with existing estimators. The expected outcome of the project will be a more reliable way to monitor the phases of the cycle and forecast turning points, which will be of substantial national benefit.

Funding Amount $106,000

Funding Scheme Discovery Projects

View this grant in the ARC Data Portal