Professor and Deputy Head of S
Overview
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.
Research Interests
- Time Varying Parameter Models
- Bayesian Econometrics
- Macroeconometrics
- Time Series Analysis
- Modelling High Dimensional Dynamic Systems
Qualifications
- Doctor of Philosophy, Monash University
Publications
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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
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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
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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
-
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
-
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
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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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
Grants
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Large dynamic time-varying models for structural macroeconomic inference
(2018–2023) ARC Discovery Projects
-
UQ Travel Award - Category 1 Dr Eric Eisenstat
(2014) UQ Travel Awards for International Collaborative Research (Category 1)
-
Estimation of the continuous piecewise linear model and macroeconomic applications
(2012–2015) ARC Discovery Projects
Supervision
-
Redistributional Effect of Monetary Shock under the Perspective of Liquidity Friction
Master Philosophy
-
Model Specification, Estimation and Inference in Studying Economic Output
(2018) Doctor Philosophy
-
Light Vehicle Fuel Efficiency Standards and the Rebound Effect
(2018) Doctor Philosophy
Available Projects
-
Large dynamic time-varying models for structural macroeconomic inference
Economies are large, complex and evolving so economic models need to be also. This project will 1) broaden the range of models that can be used for macroeconomic analysis to include models that are more realistic but difficult to compute. 2) Efficient computational methods will therefore be developed for these models. This innovative approach will then be applied to two applications at the forefront of current macroeconomic research (effects of noisy productivity signals on business cycles; effects of fiscal policy shocks). The project outputs will be broadly applicable to both policymakers and applied macroeconomists and should provide widespread and significant benefits by improving policy and boosting Australia‿s comparative advantage.
Publications
Featured Publications
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
-
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
Book Chapter
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Bayesian Approaches to Cointegration
Koop, G., Strachan, R W, van Dijk, H. and Villani, M. (2006). Bayesian Approaches to Cointegration. Palgrave Handbook of Econometrics Volume 1 Econometric Theory. (pp. 871-898) edited by T.C. Mills and K. Patterson. UK: Palgrave Macmillan.
Journal Article
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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
-
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
-
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
-
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
-
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
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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
-
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
-
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
-
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
-
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
-
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
-
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
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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
-
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
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Efficient posterior simulation for cointegrated models with priors on the cointegration space
Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2010). Efficient posterior simulation for cointegrated models with priors on the cointegration space. Econometric Reviews, 29 (2), 224-242. doi: 10.1080/07474930903382208
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Guest editorial: workshop on Bayesian econometric methods
Strachan, Rodney (2010). Guest editorial: workshop on Bayesian econometric methods. The Review of Economic Analysis, 2 (2), 135-136.
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Gefang, Deborah and Strachan, Rodney (2010). Nonlinear impacts of international business cycles on the UK - A Bayesian smooth transition VAR approach. Studies in Nonlinear Dynamics and Econometrics, 14 (1), 2-1-2-34. doi: 10.2202/1558-3708.1677
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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
-
Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks
Strachan, Rodney W. (2009). Comment on ‘Jointness of growth determinants’ by Gernot Doppelhofer and Melvyn Weeks. Journal of Applied Econometrics, 24 (2), 245-247. doi: 10.1002/jae.1050
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Bayesian inference in a cointegrating panel data model
Koop, G., Leon-Gonzalez, R. and Strachan, R. (2008). Bayesian inference in a cointegrating panel data model. Advances in Econometrics, 23, 433-469. doi: 10.1016/S0731-9053(08)23013-6
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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
-
Bayesian inference in cointegrated I(2) systems: A generalization of the triangular model
Strachan, R. (2007). Bayesian inference in cointegrated I(2) systems: A generalization of the triangular model. Econometric Reviews, 26 (2-4), 439-468. doi: 10.1080/07474930701220618
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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 model selection with an uninformative prior
Strachan, Rodney W. and van Dijk, Herman K. (2003). Bayesian model selection with an uninformative prior. Oxford Bulletin of Economics and Statistics, 65 (Supp. 1), 863-876. doi: 10.1046/j.0305-9049.2003.00095.x
-
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
-
Likelihood-based estimation of the regression model with scrambled responses
Strachan, R, King, M and Singh, S (1998). Likelihood-based estimation of the regression model with scrambled responses. Australian & New Zealand Journal of Statistics, 40 (3), 279-290. doi: 10.1111/1467-842X.00032
Conference Publication
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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
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A comparison of Methods for Spatial-Temporal Forecasting With An Application To Real Estate Prices
Svetchnikova, D., Rambaldi, A. N. and Strachan, R. (2008). A comparison of Methods for Spatial-Temporal Forecasting With An Application To Real Estate Prices. ESAM08 Markets and Models: Policy Frontiers in the AWH Phillips Tradition, Wellington, NZ, 9-11 July 2008. NZ: Economic Society of Australia, NZ Association of Economists.
Grants (Administered at UQ)
-
Large dynamic time-varying models for structural macroeconomic inference
(2018–2023) ARC Discovery Projects
-
UQ Travel Award - Category 1 Dr Eric Eisenstat
(2014) UQ Travel Awards for International Collaborative Research (Category 1)
-
Estimation of the continuous piecewise linear model and macroeconomic applications
(2012–2015) ARC Discovery Projects
-
(2009–2010) ARC Discovery Projects
-
Dynamic inference in macroeconomic models.
(2008–2009) UQ Early Career Researcher
-
Regime-switching, Structural Breaks and Time Varying Parameters in Cointegrated Macroeconomic Models
(2007–2008) UQ New Staff Research Start-Up Fund
PhD and MPhil Supervision
Current Supervision
-
Redistributional Effect of Monetary Shock under the Perspective of Liquidity Friction
Master Philosophy — Principal Advisor
Other advisors:
Completed Supervision
-
Model Specification, Estimation and Inference in Studying Economic Output
(2018) Doctor Philosophy — Principal Advisor
Other advisors:
-
Light Vehicle Fuel Efficiency Standards and the Rebound Effect
(2018) Doctor Philosophy — Associate Advisor
Other advisors:
Possible Research Projects
Note for students: The possible research projects listed on this page may not be comprehensive or up to date. Always feel free to contact the staff for more information, and also with your own research ideas.
-
Large dynamic time-varying models for structural macroeconomic inference
Economies are large, complex and evolving so economic models need to be also. This project will 1) broaden the range of models that can be used for macroeconomic analysis to include models that are more realistic but difficult to compute. 2) Efficient computational methods will therefore be developed for these models. This innovative approach will then be applied to two applications at the forefront of current macroeconomic research (effects of noisy productivity signals on business cycles; effects of fiscal policy shocks). The project outputs will be broadly applicable to both policymakers and applied macroeconomists and should provide widespread and significant benefits by improving policy and boosting Australia‿s comparative advantage.
