Professor Rodney Strachan
Professor

Rodney Strachan

Email: 
Phone: 
+61 7 334 67235

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

Applied economics Econometric and statistical methods Econometrics Econometrics not elsewhere classified Economic models and forecasting Economics Macroeconomics (incl. monetary and fiscal theory) Time-series analysis

Qualifications

  • Doctor of Philosophy, Monash University

Research interests

  • Time Varying Parameter Models

  • Bayesian Econometrics

  • Macroeconometrics

  • Time Series Analysis

  • Modelling High Dimensional Dynamic Systems

Search Professor Rodney Strachan’s works on UQ eSpace

30 works between 1998 and 2024
All (30) Journal Article (27) Book Chapter (1) Conference Publication (2)

1 - 20 of 30 works

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

Multivariate stochastic volatility with co-heteroscedasticity

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

Bayesian state space models in macroeconometrics

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

Constrained interest rates and changing dynamics at the zero lower bound

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

Reducing the state space dimension in a large TVP-VAR

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

Invariant inference and efficient computation in the static factor model

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

Modelling inflation volatility

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

Evidence on features of a DSGE business cycle model from Bayesian model averaging

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

Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy

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

Bayesian model averaging in the instrumental variable regression model

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

Time varying dimension models

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

Bayesian inference in the time varying cointegration model

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

Dynamic probabilities of restrictions in state space models: An application to the Phillips curve

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

On the evolution of the monetary policy transmission mechanism

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

Re-examining the consumption-wealth relationship: The role of model uncertainty

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

Bayesian analysis of the error correction model

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

Valid Bayesian estimation of the cointegrating error correction model

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

Stochastic model specification search for time-varying parameter VARs

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

Nonlinear impacts of international business cycles on the U.K. - A bayesian smooth transition VAR approach

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

False posteriors for the long-term growth determinants

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

Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks

Current funding

  • 2024 - 2026
    Closing the Gap Between Theory and Data in Macroeconometrics
    ARC Discovery Projects
    Open grant
  • 2018 - 2024
    Large dynamic time-varying models for structural macroeconomic inference
    ARC Discovery Projects
    Open grant

Past funding

  • 2014
    UQ Travel Award - Category 1 Dr Eric Eisenstat
    UQ Travel Awards for International Collaborative Research (Category 1)
    Open grant
  • 2012 - 2015
    Estimation of the continuous piecewise linear model and macroeconomic applications
    ARC Discovery Projects
    Open grant
  • 2009 - 2010
    Computing probabilities of theories where these probabilities vary over time with applications in macroeconomics
    ARC Discovery Projects
    Open grant
  • 2008 - 2009
    Dynamic inference in macroeconomic models.
    UQ Early Career Researcher
    Open grant
  • 2007 - 2008
    Regime-switching, Structural Breaks and Time Varying Parameters in Cointegrated Macroeconomic Models
    UQ New Staff Research Start-Up Fund
    Open grant

Availability

Professor Rodney Strachan is:
Available for supervision

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Available projects

  • 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

  • Master Philosophy

    Redistributional Effect of Monetary Shock under the Perspective of Liquidity Friction

    Principal Advisor

    Other advisors: Dr Eric Eisenstat

Completed supervision

Enquiries

Contact Professor Rodney Strachan directly for media enquiries about:

  • Econometrics
  • Forecasting
  • Macro-Econometrics

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