Keith R. McLaren

B.Ec. M.Ec. (Monash)

M.A. Ph.D. (Northwestern)

F.A.S.S.A.

Professor of Econometrics

Clayton campus, Room 676E, Menzies building  (Building 11).
Mail: Department of Econometrics & Business Statistics, Monash University, Clayton, Vic. 3800, AUSTRALIA
Phone: IDD + 61 3 9905 2395; Fax: IDD + 61 3 9905 5474
Email: Keith.McLaren@BusEco.monash.edu.au

Research Interests

Duality Theory. Applied Econometrics. Demand systems. Intertemporal Optimization. Financial Econometrics.

Research Projects

  • Using the  Consumer's Profit Function to Model Demand Equations, (joint with Russel Cooper and Gary Wong)
  • Using the  Distance Function to Model Inverse Demand Equations, (joint with Gary Wong)
  • A Regular Demand System with Commodity Specific Demographic Effects, (joint with Paul Blacklow, Russel Cooper and Roger Ham)
  • Demand Systems Incorporating Intertemporal Consumption Dynamics, (joint with Russel Cooper and H Youn Kim)
  • The Benefit Function Approach to Modeling Price-Dependent Demand Systems: An Application of Duality Theory (joint with Gary Wong)
  • Evaluating Research Policy in Australian Broadacre Agriculture – Accounting for Interactions between the Beef, Sheep Meat, Wool and Grains Industries (joint with Xueyan Zhao, Dawn Nguyen, Gary Griffith and John Mullen)

Supplementary Information

  • Readers’ Appendix to accompany “Specification and Estimation of Regular Inverse Demand Systems” by Gary K K Wong and Keith R McLaren, American Journal of Agricultural Economics, Vol 87, No. 4, November 2005, pp. 823-834. Readers Appendix

 

Some Selected Recent Publications

  • "Using the Murphy Model to Provide Short-run Macroeconomic Closure for ORANI", (joint with James Breece, Chris Murphy and Alan A. Powell), Economic Record, September 1994.
  • "A Simple Nested Test of the Almost Ideal Demand System", (joint with Jane Fry and Tim Fry), Empirical Economics, 1995.
  • "Approaches to the Solution of Stochastic Intertemporal Consumption Models", (joint with Russel J. Cooper), Australian Economic Papers, June 1995.
  • "A System of Demand Equations Satisfying Effectively Global Regularity Conditions", (joint with Russel J. Cooper), Review of Economics and Statistics, 1996.
  • "The Stochastic Specification of Demand Share Equations: Restricting Budget Shares to the Unit Simplex", (joint with Jane Fry and Tim Fry), Journal of Econometrics 73, 1996.
  • "Using the Cost Function to Generate Flexible Demand Systems - An Initial Exploration" (joint with Peter D. Rossiter and Alan A. Powell)", Econometric Society Australasian Meeting 1996, Proceedings, Volume 2: Econometric Theory, ed. Michael McAleer, Paul Miller and Anthony D. Hall, The University of Western Australia, pp. 379-418.
  • "Compositional Data Analysis and Zeros in Micro Data" (joint with Jane M. Fry and Tim R. L. Fry ), Econometric Society Australasian Meeting 1996, Proceedings, Volume 4: Microeconometrics, ed. Michael McAleer, Paul Miller and Christine Ong, The University of Western Australia, pp. 213-226.
  • "Parsimonious Autocorrelation Corrections for Singular Demand Systems", Economics Letters, Vol. 53, issue 2, November 1996, pp. 115-121.
  • "Compositional Data Analysis and Zeros in Micro Data" (with Jane M. Fry and Tim R. L. Fry),  Applied Economics, Vol. 32, 2000, pp. 953-959; see FF&M2
  •  "Using the Cost Function to Generate Marshallian Demand Systems" (with Peter D. Rossiter and Alan A. Powell), Empirical Economics, Volume 25, Issue 2, 2000, pp. 209-228
  • "Modelling Zeroes in Micro Data" (with Jane M. Fry, Tim R. L. Fry and Tanya Smith), Applied Economics, Vol. 33, 2001, pp.383-392; see FFM&S
  • "Estimating Demand with Varied Levels of Aggregation"   (with Simone Grose); see  G&M1
  • "An EM Algorithm for Modelling Variably-Aggregated Demand" (with Simone Grose); see  G&M2
  •  “On the Empirical Exploitation of Consumers’ Profit Functions in Static Analyses” (with Russel J. Cooper and Gary K.K. Wong), Economics Letters, Volume 72, 2001, pp. 181-187; see  CM&W
  • "Modelling Regular and Estimable Inverse Demand Systems: A Distance Function Approach” (with Gary K. K. Wong) W&M1
  • "Nonsimultaneity and Futures Options Pricing: Simulation and Empirical Evidence" (with Robert E.J. Hibbard and Rob Brown)   BH&M
  • “Specification and Estimation of Regular Inverse Demand Systems: A Distance Function Approach” (with Gary K. K. Wong), American Journal of Agricultural Economics, Vol 87, No. 4, November 2005, pp. 823-834.
  • “Demand Systems Based on Regular Ratio Indirect Utility Functions” By Russel J. Cooper, Macquarie University and Keith R. McLaren, Monash University. Econometric Society Australasian Meeting 2006; see http://esam06.anu.edu.au/
  • “Effective Global Regularity and Empirical Modeling of Direct, Inverse and Mixed Demand Systems (with Gary K. K. Wong), Canadian Journal of Economics, Vol 42, No 2, May 2009, pp. 749-770. See W&M3
  • “The Benefit Function Approach to Modeling Price-Dependent Demand Systems: An Application of Duality Theory“ (with Gary K. K. Wong), American Journal of Agricultural Economics, Vol 91, Issue4, 2009, pp. 1110-1123. available online at http://www3.interscience.wiley.com/journal/120119656/issue
  • “A New Example of a Closed Form Mean-Variance Representation” Working Paper 1/2009, Dept of Econometrics and Business Statistics, Monash University, February 2009. See WP2009/1. A condensed version is published as
  • “Closed Form Mean-Variance Representations”, Medium for Econometric Applications, Volume 17, Edition 2, 2009, pp. 14-18. See MET17-2.
  • “The Econometric Specification of Input Demand Systems Implied by Cost Function Representations” (with Xueyan Zhao) Working Paper 3/2009, Dept of Econometrics and Business Statistics, Monash University, April 2009. See WP2009/3

 

Teaching

  • Third year: ETC3460 Financial Econometrics
  • Fourth year (Honours): ETC4410 Applied Econometrics

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