Description: 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.

Emeritus Professor of Econometrics

Clayton campus, Room 763E, 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)
  • 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 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" Jane M. Fry, Tim R. L. Fry, Keith R. McLaren 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" Russel J. Cooper, Keith R. McLaren  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" Keith R. McLaren and 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" Keith R. McLaren and 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" Keith R. McLaren and 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.
  • "A New Example of a Closed Form Mean-Variance Representation, and Implications for the Equity Premium Puzzle" December 2013. See A New Example of a Closed Form Mean-Variance Representation, and Implications for the Equity Premium Puzzle.pdf
  • "The Econometric Specification of Input Demand Systems Implied by Cost Function Representations" Keith R. McLaren and 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.
  • "Empirical Demand Systems Incorporating Intertemporal Consumption Dynamics", H. Youn Kim Keith R. McLaren and K. K. Gary Wong, Empirical Economics 2013, Volume 45, pp. 349-370. ( Published online August 2012).
  • "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis" H. Youn Kim, Keith R. McLaren and K.K. Gary Wong, Working Paper 4/2014, Dept of Econometrics and Business Statistics, Monash University, February 2014. See WP2014/4.
  • "Econometric Modelling of Price Response by Alcohol Types to Inform Alcohol Tax Policies", Preety Srivastava, Keith R. McLaren, Michael Wohlgenant and Xueyan Zhao, Australian Journal of Agricultural and Resource Economics, 59, 3, July 2015, pp. 412-432. Also Working Paper 5/2014, Dept of Econometrics and Business Statistics, Monash University, February 2014. See WP2014/5.
  • "Economic welfare evaluation in an era of rapid technological change" Russel J. Cooper, Keith R. McLaren, Fahd Rehman, Wojciech A. Szewczyk, Economics Letters, 131, 2015 pp. 38-40.
  • "A Class of Demand Systems Satisfying Global Regularity and Having Complete Rank Flexibility", Keith R. McLaren and Ou Yang, Empirical Economics, Vol. 51, Issue 1, 2016, pp. 315-337. Online August 2015. Also Working Paper 6/2014, Dept of Econometrics and Business Statistics, Monash University, February 2014. See WP2014/6.
  • "Forecasting Compositional Time Series: A State Space Approach", Ralph D.Snyder, J. Keith Ord, Anne B. Koehler, Keith R. McLaren, and Adrian N. Beaumont, International Journal of Forecasting, forthcoming, DOI 10.1016/j.ijforecast.2016.11.008.
  • Kim, H. Y., McLaren, K. R., & Wong, K. K. G. (2019). Valuation of public goods: an intertemporal mixed demand approach. Empirical Economics, (0123456789). https://doi.org/10.1007/s00181-019-01734-0.
  • Kim, H. Y., McLaren, K. R., & Wong, K. K. G. (2019). Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis With Intertemporal Two-Stage Budgeting. Macroeconomic Dynamics, 1–47.

 

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