Assoc Prof George Athanasopoulos - Researcher Profile

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Address

Department of Econometrics and Business Statistics
Building 11E, Clayton

Contact Details

Tel: +61 3 990 31075

Email: George.Athanasopoulos@monash.edu


Biography

Forecasts add to investment confidence

When it comes to spending money, businesses and governments are turning to forecasts to improve their investment decisions. Econometrician Dr George Athanasopoulos is leading research to improve the accuracy of these forecasts for the Australian tourism sector. He is also developing more complex predictive models to help governments analyse how policy changes will affect the national economy.

George says forecasting is essentially about improving business and investment confidence. In the case of tourism, the domestic tourism sector is the largest single financial contributor to the national economy. Tourism Australia provides 10-year tourism activity forecasts to help the industry plan investment and promotional initiatives.

In 2005, domestic tourism generated an estimated $55.5 billion for the economy. Forecasts at the time indicated continuing growth. But George says when Tourism Australia asked him to refine its modelling he discovered errors in the original model that resulted in an overly optimistic outlook. The forecasts actually masked the beginning of a downturn.

“The new model identified that domestic tourism was on the decline. All forecasts were revised downwards,” he says. Tourism Australia was quick to make use of George’s new forecasts and the industry has been able to respond with new domestic marketing campaigns.
 
George has continued to work with Tourism Australia through its research arm, Tourism Research Australia. He has been developing a model that incorporates hierarchies for local, regional, state, national and international tourism. This will allow for better planning to respond to changes in different market sectors.

“The key innovation of this method is the efficient reconciliation of forecasts from each level,” George says. “Tourism Research Australia uses this method to generate accurate forecasts of international arrivals at the national, state and regional level – it makes sure the numbers add up. It also uses this for domestic tourism at a much more detailed level.”

On a larger scale, George is also developing highly complex Vector AutoRegressive Model Average (VARMA) models for economic forecasting and policy analysis.
Economists already use several other models to identify how government actions and policies filter through the economy.

“These models work okay, but we know the VARMA models will be more accurate. However, they are much more difficult to use because they are much more complex.”

Factors being modelled include interest rates, currency exchange rates and inflation. Because these have such significant flow-on effects in the economy, even small gains in the accuracy of modelling are important. More accurate modelling, for instance, may provide earlier warning of potential international economic crises.

Improving the usability of VARMA modelling is a major aim of George’s research. He is working on an automated VARMA model that will allow economists and others without high-level expertise to use it.

He is also enthusiastic about sharing his love of numbers. To this end he is collaborating with Monash colleague Professor Rob Hyndman to produce an online textbook titled Forecasting: Principles and Practice <a  href="http://robjhndman.com/fpp/" target="_blank"> (http://robjhndman.com/fpp/) </a>.

The book will include practical examples and will be regularly updated as research refines the modelling. George believes that with free, open access via the internet, it will become the most widely used text in the field for both teaching and practical use.

Keywords

Commentary: forecasting, tourism forecasting practices, Supervision: multivariate times series analysis, forecasting methods

Qualifications

DOCTOR OF PHILOSOPHY - COMMERCE
Institution: Monash University
Year awarded: 2007
BACHELOR OF COMMERCE (HONS)
Institution: Monash University
Year awarded: 2000

Publications

Journal Articles

Athanasopoulos, G., De Silva, A.J., 2012, Multivariate exponential smoothing for forecasting tourist arrivals, Journal of Travel Research [P], vol 51, issue 5, Sage Publications Inc, Thousand Oaks USA, pp. 640-652.

Raghavan, M.V., Silvapulle, P., Athanasopoulos, G., 2012, Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods, Applied Economics [P], vol 44, issue 29, Routledge, Abingdon UK, pp. 3841-3856.

Athanasopoulos, G., Poskitt, D.S., Vahid-Araghi, F., 2012, Two canonical VARMA forms: Scalar component models vis-a-vis the Echelon form, Econometric Reviews [P], vol 31, issue 1, Taylor & Francis Inc, Philadelphia USA, pp. 60-83.

Kim, J., Wong, K., Athanasopoulos, G., Liu, S., 2011, Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals, International Journal of Forecasting [P], vol 27, issue 3, Elsevier BV, Amsterdam Netherlands, pp. 887-901.

Song, H., Li, G., Witt, S., Athanasopoulos, G., 2011, Forecasting tourist arrivals using time-varying parameter structural time series models, International Journal of Forecasting [P], vol 27, issue 3, Elsevier BV, Amsterdam Netherlands, pp. 855-869.

Athanasopoulos, G., Guillen, O., Issler, J., Vahid-Araghi, F., 2011, Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions, Journal of Econometrics [P], vol 164, issue 1, Elsevier BV, Amsterdam Netherlands, pp. 116-129.

Deng, M., Athanasopoulos, G., 2011, Modelling Australian domestic and international inbound travel: A spatial-temporal approach, Tourism Management [P], vol 32, issue 5, Pergamon, Oxford UK, pp. 1075-1084.

Hyndman, R., Ahmed, R., Athanasopoulos, G., Shang, H., 2011, Optimal combination forecasts for hierarchical time series, Computational Statistics and Data Analysis [P], vol 55, issue 9, Elsevier BV, Amsterdam Netherlands, pp. 2579-2589.

Athanasopoulos, G., Hyndman, R., Song, H., Wu, D., 2011, The tourism forecasting competition, International Journal of Forecasting [P], vol 27, issue 3, Elsevier BV, Amsterdam Netherlands, pp. 822-844.

Athanasopoulos, G., Hyndman, R., 2011, The value of feedback in forecasting competitions, International Journal of Forecasting [P], vol 27, issue 3, Elsevier BV, Amsterdam Netherlands, pp. 845-849.

Athanasopoulos, G., Ahmed, R.A., Hyndman, R.J., 2009, Hierarchical forecasts for Australian domestic tourism, International Journal of Forecasting [P], vol 25, issue 1, Elsevier BV, Netherlands, pp. 146-166.

Athanasopoulos, G., Vahid, F., 2008, A complete VARMA modelling methodology based on scalar components, Journal of Time Series Analysis, vol 29, issue 3, Wiley-Blackwell Publishing Ltd, UK, pp. 533-554.

Athanasopoulos, G., Hyndman, R.J., 2008, Modelling and forecasting Australian domestic tourism, Tourism Management, vol 29, issue 1, Pergamon, UK, pp. 19-31.

Athanasopoulos, G., Vahid, F., 2008, VARMA versus VAR for macroeconomic forecasting, Journal of Business and Economic Statistics, vol 26, issue 2, American Statistical Association, USA, pp. 237-252.

Anderson, H.M., Athanasopoulos, G., Vahid, F., 2007, Nonlinear autoregressive leading indicator models of output in G-7 countries, Journal of Applied Econometrics, vol 22, issue 1, John Wiley & Sons Ltd, UK, pp. 63-87.

Athanasopoulos, G., Vahid, F., 2003, Statistical interference and changes in income inequality in Australia, The Economic Record, vol 79, issue 247, Blackwell Publishing Asia, Australia, pp. 412-424.

Conference Proceedings

Athanasopoulos, G., Poskitt, D.S., Vahid, F., 2006, Two canonical VARMA forms: Scalar component models versus Echelon form, Proceedings of ESAM 2006: Australasian Meeting of the Econometric Society, 04 July 2006 to 07 July 2006, The Econometric Society, http://esam06.anu.edu.au, pp. 1-25.

Postgraduate Research Supervisions

Current Supervision

Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
Computation of Prediction Intervals for Optimal Combination Forecasts.
Supervisors:
Athanasopoulos, G (Joint), Hyndman, R (Joint-co).
Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
Forecasting for count time series.
Supervisors:
Hyndman, R (Main), Athanasopoulos, G (Associate).
Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
VARMA models and macroeconomic modelling: some new methodology and algorithms.
Supervisors:
Vahid-Araghi, F (Main), Anderson, H (Associate), Athanasopoulos, G (Associate), Poskitt, D (Associate).

Completed Supervision

Student:
Ahmed, R.
Program of Study:
Forecasting hierarchical time series. (PHD) 2008.
Supervisors:
Hyndman, R (Main), Athanasopoulos, G (Associate).
Student:
Raghavan, M.
Program of Study:
Econometrics analysis of Malaysian monetary policy. (PHD) 2010.
Supervisors:
Silvapulle, P (Main), Athanasopoulos, G (Associate).