Prof Farshid Vahid-Araghi - Researcher Profile

Biography

Farshid Vahid is a professor in the Department of Econometrics and Business Statistics.

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Keywords

Econometrics, Economics, Time Series Analysis, Learning, Forecasting

Qualifications

PHD ECONOMICS

Institution: The University of California, San Diego

Year awarded: 1993

MSC IN MATHEMATICAL ECONOMICS AND ECONOMETRICS

Institution: London School of Economics

Year awarded: 1987

BSC ECONOMICS (HONS)

Institution: London School of Economics

Year awarded: 1981

Publications

Journal Articles

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.

Anderson, H.M., Dungey, M., Osborn, D., Vahid-Araghi, F., 2011, Financial integration and the construction of historical financial data for the Euro Area, Economic Modelling [P], vol 28, issue 4, Elsevier BV North-Holland, Netherlands, pp. 1498-1509.

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.

Somi, M., Butler, J., Vahid-Araghi, F., Njau, J., Abdulla, S., 2009, Household responses to health risks and shocks: A study from rural Tanzania raises some methodological issues, Journal of International Development [P], vol 21, issue 2, John Wiley & Sons Ltd, West Sussex UK, pp. 200-211.

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.

Gould, P.G., Koehler, A.B., Ord, J.K., Snyder, R.D., Hyndman, R.J., Vahid-Araghi, F., 2008, Forecasting time series with multiple seasonal patterns, European Journal of Operational Research, vol 191, issue 1, Elsevier BV, North-Holland, Netherlands, pp. 205-220.

Somi, M., Butler, J., Vahid-Araghi, F., Njau, J., Kachur, S., Abdulla, S., 2008, Use of proxy measures in estimating socioeconomic inequalities in malaria prevalence, Tropical Medicine & International Health [P], vol 13, issue 3, Wiley-Blackwell Publishing Ltd, Oxford UK, pp. 354-364.

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.

Somi, M., Butler, J., Vahid-Araghi, F., Njau, J., Kachur, S., Abdulla, S., 2007, Economic burden of malaria in rural Tanzania: Variations by socioeconomic status and season, Tropical Medicine & International Health [P], vol 12, issue 10, Wiley-Blackwell Publishing Ltd, Oxford UK, pp. 1139-1147.

Anderson, H., Vahid-Araghi, F., 2007, Forecasting the volatility of Australian stock returns: Do common factors help?, Journal Of Business & Economic Statistics [P], vol 25, issue 1, American Statistical Association, Alexandria USA, pp. 76-90.

Somi, M., Butler, J., Vahid-Araghi, F., Njau, J., Kachur, S., Abdulla, S., 2007, Is there evidence for dual causation between malaria and socioeconomic status? Findings from rural Tanzania, American Journal of Tropical Medicine and Hygiene [P], vol 77, issue 6, American Society of Tropical Medicine and Hygiene, Deerfield USA, pp. 1020-1027.

Choe, K., Nam, K., Vahid-Araghi, F., 2007, Necessity of negative serial correlation for mean-reversion of stock prices, Quarterly Review of Economics and Finance [P], vol 47, issue 4, Elsevier BV, Amsterdam Netherlands, pp. 576-583.

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.

Maitra, P., Vahid, F., 2006, The effect of household characteristics on living standards in South Africa 1993-1998: a quantile regression analysis with sample attrition, Journal of Applied Econometrics, vol 21, issue 7, John Wiley & Sons Ltd, UK, pp. 999-1018.

Issler, J., Vahid-Araghi, F., 2006, The missing link: Using the NBER recession indicator to construct coincident and leading indices of economic activity, Journal of Econometrics [P], vol 132, issue 1, Elsevier BV, Amsterdam Netherlands, pp. 281-303.

Anderson, H., Vahid-Araghi, F., 2005, Nonlinear correlograms and partial autocorrelograms, Oxford Bulletin Of Economics And Statistics [P], vol 67, issue S1, Wiley-Blackwell Publishing Ltd, Oxford UK, pp. 957-982.

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.

Vahid, F., Issler, J., 2002, The importance of common cyclical features in VAR analysis: A Monte Carlo study, Journal of Econometrics, vol 109, Elsevier Science, Switzerland, pp. 341-363.

Issler, J., Vahid, F., 2001, Common cycles and the importance of transitory shocks to macroeconomic aggregates, Journal of Monetary Economics, vol 47, Elsevier, Holland, pp. 449-475.

Anderson, H.M., Vahid, F., 2001, Market architecture and nonlinear dynamics of Australian stock and futures indices, Australian Economic Papers, vol 40, issue 4, Blackwell, Oxford UK, pp. 541-566.

Sarin, R., Vahid, F., 2001, Predicting how people play games: A simple dynamic model of choice, Games and Economic Behavior, vol 34, Academic Press, USA, pp. 104-122.

Anderson, H.M., Vahid, F., 2001, Predicting the probability of a recession with nonlinear autoregressive leading-indicator models, Macroeconomic Dynamics, vol 5, Cambridge University Press, UK, pp. 482-505.

Vahid, F., 1999, A property of the companion matrix of a reduced rank VAR, Econometric Theory, vol 15, issue 5, Cambridge University Press, New York NY USA, pp. 787-788.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Econometric Estimation and Testing in a Class of Semi-Linear Threshold Models.

Supervisors:

Gao, J (Main), Vahid-Araghi, F (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Real exchange rate movements in developed and developing economies.

Supervisors:

Anderson, H (Main), Koo, B (Associate), Vahid-Araghi, F (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).