
Overview
Background
Rodney Strachan received his PhD from Monash University in 2000. His research focuses on Bayesian analysis, econometric theory, time series analysis, inference in time varying parameter and time varying dimension models, identification in reduced rank models and invariance. His current work is looking at specification and computation of large dimensional macroeconometric time series models. Rodney came to UQ from the Australian National University where he was a professor and the deputy head of the Research School of Economics.
Availability
- Professor Rodney Strachan is:
- Available for supervision
- Media expert
Fields of research
Qualifications
- Doctor of Philosophy, Monash University
Research interests
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Time Varying Parameter Models
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Bayesian Econometrics
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Macroeconometrics
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Time Series Analysis
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Modelling High Dimensional Dynamic Systems
Works
Search Professor Rodney Strachan’s works on UQ eSpace
Featured
2024
Journal Article
Multivariate stochastic volatility with co-heteroscedasticity
Chan, Joshua, Doucet, Arnaud, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2024). Multivariate stochastic volatility with co-heteroscedasticity. Studies in Nonlinear Dynamics and Econometrics. doi: 10.1515/snde-2023-0056
Featured
2020
Journal Article
Bayesian state space models in macroeconometrics
Chan, Joshua C.C. and Strachan, Rodney W. (2020). Bayesian state space models in macroeconometrics. Journal of Economic Surveys, 37 (1), 58-75. doi: 10.1111/joes.12405
Featured
2020
Journal Article
Constrained interest rates and changing dynamics at the zero lower bound
Bäurle, Gregor, Kaufmann, Daniel, Kaufmann, Sylvia and Strachan, Rodney (2020). Constrained interest rates and changing dynamics at the zero lower bound. Studies in Nonlinear Dynamics and Econometrics, 24 (2), 685-720. doi: 10.1515/snde-2017-0098
Featured
2020
Journal Article
Reducing the state space dimension in a large TVP-VAR
Chan, Joshua C.C., Eisenstat, Eric and Strachan, Rodney W. (2020). Reducing the state space dimension in a large TVP-VAR. Journal of Econometrics, 218 (1), 105-118. doi: 10.1016/j.jeconom.2019.11.006
Featured
2018
Journal Article
Invariant inference and efficient computation in the static factor model
Chan, Joshua, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2018). Invariant inference and efficient computation in the static factor model. Journal of the American Statistical Association, 113 (522), 819-828. doi: 10.1080/01621459.2017.1287080
Featured
2015
Journal Article
Modelling inflation volatility
Eisenstat, Eric and Strachan, Rodney W. (2015). Modelling inflation volatility. Journal of Applied Econometrics, 31 (5), 805-820. doi: 10.1002/jae.2469
Featured
2013
Journal Article
Evidence on features of a DSGE business cycle model from Bayesian model averaging
Strachan, Rodney W. and Van Dijk, Herman K. (2013). Evidence on features of a DSGE business cycle model from Bayesian model averaging. International Economic Review, 54 (1), 385-402. doi: 10.1111/j.1468-2354.2012.00737.x
Featured
2013
Journal Article
Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy
Jochmann, Marcus, Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2013). Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy. Journal of Applied Econometrics, 28 (1), 62-81. doi: 10.1002/jae.1238
Featured
2012
Journal Article
Bayesian model averaging in the instrumental variable regression model
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney (2012). Bayesian model averaging in the instrumental variable regression model. Journal of Econometrics, 171 (2), 237-250. doi: 10.1016/j.jeconom.2012.06.005
Featured
2012
Journal Article
Time varying dimension models
Chan, Joshua C. C., Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2012). Time varying dimension models. Journal of Business and Economic Statistics, 30 (3), 358-367. doi: 10.1080/07350015.2012.663258
Featured
2011
Journal Article
Bayesian inference in the time varying cointegration model
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney. W. (2011). Bayesian inference in the time varying cointegration model. Journal of Econometrics, 165 (2), 210-220. doi: 10.1016/j.jeconom.2011.07.007
Featured
2010
Journal Article
Dynamic probabilities of restrictions in state space models: An application to the Phillips curve
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2010). Dynamic probabilities of restrictions in state space models: An application to the Phillips curve. Journal of Business and Economic Statistics, 28 (3), 370-379. doi: 10.1198/jbes.2009.07335
Featured
2009
Journal Article
On the evolution of the monetary policy transmission mechanism
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2009). On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33 (4), 997-1017. doi: 10.1016/j.jedc.2008.11.003
Featured
2008
Journal Article
Re-examining the consumption-wealth relationship: The role of model uncertainty
Koop, G., Potter, S.M. and Strachan, R.W. (2008). Re-examining the consumption-wealth relationship: The role of model uncertainty. Journal of Money, Credit and Banking, 40 (2-3), 341-367. doi: 10.1111/j.1538-4616.2008.00116.x
Featured
2004
Journal Article
Bayesian analysis of the error correction model
Strachan, RW and Inder, B (2004). Bayesian analysis of the error correction model. Journal of Econometrics, 123 (2), 307-325. doi: 10.1016/j.jeconom.2003.12.004
Featured
2003
Journal Article
Valid Bayesian estimation of the cointegrating error correction model
Strachan, R. W. (2003). Valid Bayesian estimation of the cointegrating error correction model. Journal of Business & Economic Statistics, 21 (1), 185-195. doi: 10.1198/073500102288618883
2016
Journal Article
Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric, Chan, Joshua C. C. and Strachan, Rodney W. (2016). Stochastic model specification search for time-varying parameter VARs. Econometric Reviews, 35 (8-10), 1-28. doi: 10.1080/07474938.2015.1092808
2010
Conference Publication
Nonlinear impacts of international business cycles on the U.K. - A bayesian smooth transition VAR approach
Gefang, Deborah and Strachan, Rodney (2010). Nonlinear impacts of international business cycles on the U.K. - A bayesian smooth transition VAR approach. Walter de Gruyter GmbH. doi: 10.2202/1558-3708.1677
2010
Journal Article
False posteriors for the long-term growth determinants
Charemza, Wojciech W., Strachan, Rodney and Żurawski, Piotr (2010). False posteriors for the long-term growth determinants. Economics Letters, 109 (3), 144-146. doi: 10.1016/j.econlet.2010.08.026
2010
Journal Article
Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
Jochmann, Markus., Koop, Gary. and Strachan, Rodney W. (2010). Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks. International Journal of Forecasting, 26 (2), 326-347. doi: 10.1016/j.ijforecast.2009.11.002
Funding
Current funding
Past funding
Supervision
Availability
- Professor Rodney Strachan is:
- Available for supervision
Before you email them, read our advice on how to contact a supervisor.
Available projects
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Closing the Gap Between Theory and Data in Macroeconometrics
This project aims to bring econometric models (the empirical vehicle for inference) and economic models (the theory) closer together. A new model is intended to be proposed that will address a significant issue with the interpretation of the outputs of the econometric models. As a first contribution, the project is expected to develop the model and an inferential framework for this model using probability theory on manifolds. In a second contribution, it is expected to construct an algorithm to permit inference leading to outputs useful to policy analysts. The model is intended to be parsimonious, which facilitates the development of a time-varying version to allow the model to evolve with the economy and provide better policy guidance.
Supervision history
Current supervision
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Master Philosophy
Redistributional Effect of Monetary Shock under the Perspective of Liquidity Friction
Principal Advisor
Other advisors: Dr Eric Eisenstat
Completed supervision
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2018
Doctor Philosophy
Model Specification, Estimation and Inference in Studying Economic Output
Principal Advisor
Other advisors: Professor Valentin Zelenyuk
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2018
Doctor Philosophy
Light Vehicle Fuel Efficiency Standards and the Rebound Effect
Associate Advisor
Other advisors: Professor John Quiggin
Media
Enquiries
Contact Professor Rodney Strachan directly for media enquiries about:
- Econometrics
- Forecasting
- Macro-Econometrics
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