Description: C:\Users\keithmcl\WWW\Keith_McLaren_2001.JPGKeith 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@ monash.edu

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)
  • Investigating the appropriateness of econometric specifications of input demand systems implied by Cost Function representations

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/
  • "A Regular Demand System with Commodity-Specific Demographic Effects" by Paul Blacklow, University of Tasmania, Russel Cooper, University of Western Sydney, Roger Ham, University of Western Sydney and Keith McLaren, Monash University. Econometric Society Australasian Meeting 2006; see DEMAIDS.pdf
  • "Demand Systems Incorporating Intertemporal Consumption Dynamics" by Russel J Cooper, University of Western Sydney, H Youn Kim, Western Kentucky 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.  Revised Version Mclaren_Zhao_July_1_2011.pdf

 

Teaching

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

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