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Professor Farshid Vahid


BSc(Econ), MSc(Econ) London School of Economics
PhD University of California, San Diego
 
Professor and Associate Dean (Research Training)
School of Economics
 
Office Location
Room 2027, HW Arndt Building 25a

Mailing Address
School of Economics
HW Arndt Building 25a
Australian National University
ACT 0200 Australia
 
Telephone  +61 2 612 58164
Fax  +61 2 612 55124
Email  farshid.vahid@anu.edu.au

   
  Disciplines
  Teaching Focus
Teaching Responsibilities
  • Lecturer, EMET2008 Econometric Modelling ()
  • Lecturer, EMET8005 Economic Models and Introductory Econometrics (Sem 1)
  • Lecturer, EMET8011 Econometric Modelling ()
  Publications
  • Gould, P.G., A.B. Koehler, J.K. Ord, R.D. Snyder, R.J. Hyndman and F. Vahid (2008), "Forecasting Time Series with Multiple Seasonal Patterns" European Journal of Operational Research, 191, 205-220.

  • Athanasopoulos, G. and F. Vahid (2008), "VARMA versus VAR for Macroeconomic Forecasting" Journal of Business and Economic Statistics, 26, 237-251.

  • Athanasopoulos, G. and F. Vahid (2008), "A Complete VARMA Modelling Methodology Based on Scalar Components" Journal of Time Series Analysis, 29, 533-554.

  • Somi, M.F., J.R.G. Butler, F. Vahid, J.D. Njau, S.P. Kachur and S. Abdulla (2008), “Use of proxy measures in estimating socioeconomic inequalities in malaria prevalence,” Tropical Medicine and International Health, 13, 354-364.

  • Anderson, H.M. and F. Vahid (2007), "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?" Journal of Business and Economic Statistics, 25, 76-90.

  • Anderson, H.M., G. Athanasopolous and F. Vahid (2007), "Nonlinear Autoregressive Leading Indicator Models of Output in G7 Countries", Journal of Applied Econometrics, 22, 63-87.

  • Somi, M.F., J.R.G. Butler, F. Vahid, J.D. Njau, S.P. Kachur and S. Abdulla (2007), “Economic burden of malaria in rural Tanzania: variations by socioeconomic status and season,” Tropical Medicine and International Health, 12, 1139-47.

  • Somi, M.F., J.R.G. Butler, F. Vahid, J.D. Njau, S.P. Kachur and S. Abdulla (2007), “Is there evidence for dual causation between malaria and socioeconomic status? Findings from rural Tanzania,” American Journal of Tropical Medicine and Hygiene, 77, 1020-1027.

  • Choe, K-I, K. Nam and F. Vahid (2007), “On the necessity of negative serial correlation for mean-reversion of stock prices,” The Quarterly Review of Economics and Finance, 47, 576–583.

  • Maitra, P. and F. Vahid (2006), "The effect of household characteristics on living standards in South Africa 1993-1998: a quantile regression analysis with sample attrition" Journal of Applied Econometrics, 21, 999-1018.

  • Issler, J.V. and F. Vahid (2006), "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity" Journal of Econometrics, 132, 281-303.

  • Vahid, F. (2006), "Common Cycles", Chapter 16 in T.C. Mills and K. Patterson (Eds) Palgrave Handbook of Econometrics, Volume I: Econometric Theory. Palgrave-Macmillan: Basingstoke.

  • Anderson, H.M. and F. Vahid (2005), "Nonlinear Correlograms and Partial Correlograms" Oxford Bulletin of Economics and Statistics, 67, 957-982.

  • Sarin, R. and F. Vahid (2004), "Strategy Similarity and Coordination", Economic Journal, 114, 506-527.

  • Fitzgibbon, L.J., D. L. Dowe and F. Vahid (2004), "Minimum Message Length Autoregressive Model Order Selection", in M. Palanaswami, C. Chandra Sekhar, G. Kumar Venayagamoorthy, S. Mohan and M. K. Ghantasala (eds.), International Conference on Intelligent Sensing and Information Processing (ICISIP), 439-444.

  • Athanasopoulos, G. and F. Vahid (2003), "Statistical Inference and Changes in Income Inequality in Australia", Economic Record, 79, 412-424.

  • Vahid, F. and J.V. Issler (2002), "The Importance of Common Cyclical Features in VAR Analysis: A Monte-Carlo Study", Journal of Econometrics, 109, 341-363.

  • Anderson, H.M. and F. Vahid (2001), "Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices", Australian Economic Papers, 40, 541-566.

  • Issler, J.V. and F. Vahid (2001), "Common Cycles and the Importance of Transitory Shocks to Macroeconomic Aggregates", Journal of Monetary Economics, 47, 449-475.

  • Anderson, H.M. and F. Vahid (2001), "Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models", Macroeconomic Dynamics, 5, 482-505.

  • Sarin, R. and F. Vahid (2001), "Predicting How People Play Games: A Procedurally Rational Model of Choice", Games and Economic Behavior, 34, 104-122.
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