Contact
Faculty of Economics and Commerce, School of Economics, Australian National University
ACT 0200 Australia
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Professor Heather M. Anderson

Prizes and Honours

Winner of the best discussant award, PhD Conference in Economics and Business, Perth, 2001
Featured in various “Who’s Who” volumes since 1992 Philanthropic and Educational organisation (P.E.O.) International Peace Scholarship, 1988 – 1992
Josephine de Karman Fellowship, 1990
University of California San Diego Excellent Teaching Awards, 1988, 1990, 1991
University of California San Diego Tuition Scholarships 1987 - 1991

Professional Memberships

Member, Econometric Society since 1992
Member, American Statistical Association since 1993
Member, American Economic Association since 1996

Employment

2004 -Professor, School of Economics, Faculty of Economics and Commerce, A.N.U. ACT, Australia
2001-2003 Associate Professor, Department of Econometrics and Business Statistics, Monash University, Clayton, Victoria, Australia
2002 Visiting Academic, Department of Economics, University of California at San Diego July-December 1999-2000 Senior Lecturer, Department of Econometrics and Business Statistics, Monash University, Clayton, Victoria, Australia
1995-1998 Assistant Professor, Department of Economics, Texas A and M University, U.S.A
1992-1995 Assistant Professor, Department of Economics, University of Texas at Austin, U.S.A.

Research Interests

Nonlinear Time Series Analysis, Empirical Finance, Empirical Macroeconomics.

Research Grants

2001, Monash University Research Fund, Large Grant ($50,000) (with B. Goss, K. McLaren and R. Gay)
2001-2003, ARC Large Grant (with F. Vahid) ($77,000)
2004-2006, ARC Large Grant, ($127,000)
1999 – 2003, various Monash University Research Fund Small Grants (total of $39,400)

Selected Professional Activities

Editorial board, Journal of Applied Econometrics
Guest Editor, Journal of Econometrics (2002-2003)
Editorial Board, Economic Record
Associate Editor, Studies in Nonlinear Dynamics and Econometrics
Reviewer for ARC and NSF
Regular referee for more than 25 international journals

Selected Publications

  • “Choosing Lag Lengths in Nonlinear Dynamic Models”, forthcoming in “Advances in Economics and Econometrics”, in ed. S. Hurn and R. Becker (Edgar Elgar Press), 2003.
  • “Scientific Explanations in Econometrics – a Case Study”, (with B. Stigum and G. Torvik), in “Econometrics and the Philosophy of Economics”, ed. B. Stigum, (Princeton University Press), 2003.
  • “U.S. and Canadian Industrial Production Indices as Coupled Oscillators”, (with J. B. Ramsey), The Journal of Economic Dynamics and Control, V26, 33 – 67, 2002.
  • “Market Architecture and Nonlinear Dynamics of Australian Stock and Futures Indices” (with F. Vahid), Australian Economic Papers, 40, no. 4. 541 – 566, 2001.
  • “Predicting the Probability of a Recession with Nonlinear Autoregressive Leading Indicator Models”, (with F. Vahid), Macroeconomic Dynamics, V5, 482 –505, 2001.
  • “Explanations of an Empirical Puzzle: What can be Learnt from a Test of the Rational Expectations Hypothesis?”, Journal of Economic Methodology, 6.1, 31 – 59, 1999
  • “Asymmetric Nonlinear Smooth Transition GARCH Models” (with K. Nam and F. Vahid), in Nonlinear Time Series Analysis of Economic and Financial Data, ed. P. Rothman, (Kluwer Academic Press). 1999.
  • “Detecting Common Nonlinear Components Using Canonical Correlations,” (with F. Vahid), Journal of Econometrics, Vol. 84, 1 – 36, 1998.
  • “On the Pooling of Cross-sectional and Time-series Data in the Presence of Heteroskedasticity” (with F. Vahid), Economics Letters, Vol 60, 3, 291 – 296, 1998.
  • “Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market,” Oxford Bulletin of Economics and Statistics, Vol. 59, 465-484, 1997.
  • “On the Correspondence between Individual and Aggregate Food Consumption Functions: Evidence from US and Netherlands” (with F. Vahid), Journal of Applied Econometrics, Vol. 12, 447 – 498, 1997.
  • “Reply to Schmidt, Cramer and Pesaran” (with F. Vahid), Journal of Applied Econometrics, Vol. 12, 503 - 507, 1997.
  • “Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models” (with T. Teräsvirta), Journal of Applied Econometrics, Vol. 7, S119 – S136, 1993
  • “Modelling Nonlinear Relationships over the Business Cycle” (with C.W.J. Granger and T. Teräsvirta), in “New Research on Business Cycles, Indicators and Forecasting” ed J.H. Stock and M.W. Watson (University of Chicago Press) 1993.
  • “A Cointegration Analysis of Treasury Bill Yields” (with A.D. Hall and C.W.J. Granger), The Review of Economics and Statistics, Vol. LXXIV, 1992.