News story 8th Dec 2016

World-leading econometricians gather in Melbourne

World-leading econometricians will showcase ground-breaking research at the International Conference on Econometrics, at Monash Business School on 8 - 9 December.


The conference honours the global contribution of Professor Maxwell King, the Emeritus Sir John Monash Distinguished Professor at Monash University, whose work in the analysis of data for decision-making in a business context is internationally cited.

Conference presenters include academics from Princeton University, University of Cambridge, Yale University, Brown University and the London School of Economics.

As an example, Professor Oliver Linton from Cambridge University will present a new approach for modelling risk in financial markets that sheds new light on the relationship between risk and return. The flexible approach to modelling is more suitable to complex and volatile financial markets.

Professor Hashem Pesaran from the University of Southern California will present a paper on technology and its impact on productivity in different industries. Technology in one industry can “spill over” to others (for example, technology in the car industry can be used for lawnmowers). His research outlines techniques for identifying industries which have pervasive influence on others.  Such research produces methods that assists governments in determining where to invest in research and development.

The research may also be used by investors to determine which start-up companies to invest in. For example, investors may want to put their money with businesses which are developing technologies that have broader applications, and are therefore a less risky investment.

Professor Heather Anderson from Monash Business School will present a new method for predicting future share market returns with significantly more accuracy. Professor Anderson’s approach uses the LASSO method to efficiently use past information to identify patterns in financial data. The LASSO method assists in identifying useful data and prioritises information so that only the most useful information is used to produce high quality and reliable forecasts.

“The research presented at this conference is applicable to financial markets or the macro economy,” said Professor Brett Inder.

Modelling financial and macroeconomic data can be very difficult. Markets and economies do not behave in smooth and predictable ways. Sudden, one-off events can have dramatic effects, and there are many complex interactions between the various factors in a market. This volatility requires sophisticated analysis.

Professor Brett Inder

"The research being presented is primary research that will have influence ion the approaches being taken in industry; many of these research innovations will affect best practice in years to come.”

As well as presenting world-leading econometric research, the conference also celebrates the 65th birthday of Professor King, who has specialised in the theory and practice of hypothesis testing, model selection, regression analysis, time series analysis and forecasting. Many international academics now apply his hypothesis-testing techniques in their own research.

Professor King, who spent 35 years at Monash University before retiring in 2012, including eight years as Pro Vice-Chancellor (Research and Research Training) has supervised 45 PhD students. In October 2013, Monash University created the Maxwell King PhD Scholarship to honour his outstanding contribution to graduate research.

“Professor King is very respected internationally. He has brought the Monash Business School’s Department of Econometrics and Business Statistics to the global stage,” said Professor Inder.

By Elizabeth Byrne