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Home Page > Staff : Staff List
Professor Heather Anderson
PhD University of California at San Diego, 1992.
Professor
School of Economics
Office Location
Room
2007, HW Arndt Building 25a
Mailing Address
School of Economics
HW Arndt Building 25A
Australian National University
ACT 0200 Australia
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| Disciplines | | | Research Focus | | Nonlinear Time Series Analysis, Empirical Finance, Empirical Macroeconomics. | | Teaching Focus | General Teaching information
Econometrics | | Administrative Responsibilities / PhD Supervision |
- Deputy Director, Centre for Applied Macroeconomic Analysis, Australian National University, 2005 – present,
- Deputy Head of School, 2008 - present
| | Professional Activities |
- Fellow of the Academy of Social Sciences in Australia (elected 2005)
- Co-Chair, Econometric Society Australasian Meeting in 2009 (ESAM09)
- Editorial Board of the Journal of Applied Econometrics, 2001 - present,
- Guest Editor, Journal of Econometrics, 2002 - 2005,
- Editorial Board, Economic Record, 2003 – present,
- Associate Editor, Studies in Nonlinear Dynamics and Econometrics, 2003 – present,
- Editorial Board, Empirical Economics, 2004 - 2006, Co-editor 2007 - present,
- Member of the Econometric Society (1992 - present),
- Member of the American Economic Society (1996 - present)
- Member of the American Statistical Association (1993 - present)
| | Other Publications |
- "Common Factors" in the New Palgrave Dictionary of Economics (2nd Edition, eds L. Blume and S. Durlauf), MacMillan Press, V2, p17 - 20, 2008.
- "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas Using a Nonlinear Market Model with an Endogenous Threshold Parameter" (coauthored with George Woodward), Quantitative Finance, Vol 9 8, 2009.
- "Economic Applications of Innovation State Space Models - The Beveridge-Nelson Decomposition" (co-authored with Chin Nam Low and Ralph Snyder), in Forecasting with Exponential Smoothing: The State Space Approach (editors, R.J. Hyndman, A.B. Koehler, J.K. Ord and R.D. Snyder), Springer Verlag, p 327 - 338, 2008.
- "Nonlinear Autoregressive Leading Indicator Models of Output in G7 Countries" (coauthored with G. Athanasopolous and F. Vahid), Journal of Applied Econometrics, 22, 1, 63 - 87, 2007.
- "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?" (coauthored with F. Vahid), Journal of Business and Economic Statistics, 25, 76 - 90, 2007.
- "Common Features" (coauthored with Joao Issler and Farshid Vahid), Journal of Econometrics, 132/1 1 - 5, 2006.
- "Single Source of Error State Space Approach to the Beveridge Nelson Decomposition" (coauthored with Chin Nam Low and Ralph Snyder), Economics Letters, 91, 104-109, 2006.
- "Random Walk Smooth Transition Autoregressive Models" (co-authored with Chin Nam Low), Chapter 10 in "Nonlinear Time Series Analysis of Business Cycles", edited by D. van Dijk, C. Milas and P.A. Rothman, Elsevier Science, 247 - 281, 2006.
- "Nonlinear Correlograms and Partial Correlograms" (co-authored with Farshid Vahid), Oxford Bulletin of Economics and Statistics, 67, 957 - 982, 2005.
- “Choosing Lag Lengths in Nonlinear Dynamic Models”, in “Advances in Economics and Econometrics”, edited by R. Becker and S. Hurn (Edward Elgar Press), 176 - 204, 2004.
- “Scientific Explanations in Econometrics – a Case Study”, (co-authored with Bernt Stigum and Geir Torvik), in “Econometrics and the Philosophy of Economics”, edited by B. Stigum, (Princeton University Press), 578 – 609, 2003.
- “U.S. and Canadian Industrial Production Indices as Coupled Oscillators”, (co-authored with J. B. Ramsey), The Journal of Economic Dynamics and Control, V26, 33 – 67, 2002
- “Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices” (co-authored with F. Vahid), Australian Economic Papers, 40, no. 4. 541 – 566, 2001.
- “Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models”, (co-authored with F. Vahid), Macroeconomic Dynamics, V5, 482 –505, 2001.
- “Explanations of an Empirical Puzzle: What can be Learnt from a Test of the Rational Expectations Hypothesis?”, Journal of Economic Methodology, 6.1, 31 – 59, 1999. Also in “Econometrics and the Philosophy of Economics”, edited by B. Stigum, (Princeton University Press), 525 – 557, 2003.
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