This paper develops a new methodology for identifying the structure of VARMA time series models. The analysis proceeds by examining the echelon canonical form and presents a fully automatic data driven approach to model specification using a new technique to determine the Kronecker invariants. A...

In this paper Australian domestic and international inbound travel are modelled by an anisotropic dynamic spatial lag panel Origin-Destination (OD) travel flow model. Spatial OD travel flow models have traditionally been applied in a single cross-sectional context, where the spatial structure is...

In most finance papers and textbooks mean-variance preferences are usually introduced and motivated as a special case of expected utility theory. In general, the two sufficient conditions to allow this are either quadratic preferences with an arbitrary distribution of stochastic assets, or...

We evaluate the performance of various methods for forecasting tourism demand. The data used include 380 monthly series, 427 quarterly series and 530 yearly series, all supplied to us by tourism bodies or by academics from previous tourism forecasting studies. The forecasting methods implemented...

In this article we advocate more extensive use of the benefit function in specifying price-dependent or inverse demand models. In particular, we demonstrate how duality theory may be used to establish the inter-relationships between the Marshallian (or Hicksian) inverse demands and Luenberger's...

We propose new tools for visualizing large numbers of functional data in the form of smooth curves or surfaces. The proposed tools include functional versions of the bagplot and boxplot, and make use of the first two robust principal component scores, Tukey's data depth and highest density...

The finite sample performance of the Wald, GMM and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This paper extends this analysis in two important ways. Firstly, considering the fact that the Wald test is...

Statistical process control (SPC) has evolved beyond its classical applications in manufacturing to monitoring economic and social phenomena. This extension requires consideration of autocorrelated and possibly non-stationary time series. Less attention has been paid to the possibility that the...

The CAPM as the benchmark asset pricing model generally performs poorly in both developed and emerging markets. We investigate whether allowing the model parameters to vary improves the performance of the CAPM and the Fama-French model. Conditional asset pricing models scaled by conditional...

This paper evaluates the performance of prediction intervals generated from alternative time series models, in the context of tourism forecasting. The forecasting methods considered include the autoregressive (AR) model, the AR model using the bias-corrected bootstrap, seasonal ARIMA models,...