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

  • Flexible Demand Systems for General Equilibrium Modelling, (joint with Alan A. Powell).
  • Estimating Consumer Demand with Missing Expenditure Data, (joint with Simone Grose).
  • Modelling Consumer Demand with Very Large Numbers of Commodities, (joint with Simone Grose)
  • Modelling South African Food Demand (joint with Frank Agbola and Pushkar Maitra)
  • Nonsimultaneity and Futures Option Pricing (joint with Rob Brown and Robert Hibbard)
  • 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, (with Paul Blacklow, Russel Cooper and Roger Ham)
  • Demand Systems Incorporating Intertemporal Consumption Dynamics, (with Russel Cooper and H Youn Kim)

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 http://www.monash.edu.au/policy/ftp/workpapr/g-120.pdf
  •  "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 zeroes
  • "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  http://www.elsevier.nl/homepage/sae/econbase/ecolet/
  • "Modelling Regular and Estimable Inverse Demand Systems: A Distance Function Approach” (with Gary K. K. Wong) W&M
  • "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.

Teaching

  • Third year: ETC3460 Financial Econometrics
  • Fourth year (Honours): ETC4410 Applied Econometrics
  • Fifth year (Masters): ETC5400/ETC5410 Special Topics in Econometrics.

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