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Business Analytics Seminars

The seminars are on Fridays at 11am in Room 2150, Abercrombie Building (H70), unless otherwise specified.

The seminar organiser is Dr Andrey Vasnev.

28th Oct 2016 - 11:00 am

Venue: Rm 2150 Abercrombie Bldg H70

Speaker: Dr Laurent Pauwels, Discipline of Business Analytics; The University of Sydney

Title: Fundamental Moments

Global trade can give rise to global hubs, which find themselves at the center of the global economy. A hub is a center of activity -geographic or sectoral- whose influence on the global economy is large enough that local disturbances have observable consequences in the aggregate. This paper investigates the existence, nature, and rise of such hubs through a model of worldwide input-output linkages. The model is fitted to the World Input-Output Database (WIOD) to evaluate the importance of vertical trade in creating global hubs with significant effects on the volatility of countries' cycles, and their international correlation. Our results suggest that worldwide granularity has increased sizeably since 1995, with significant consequences on GDP volatility and co-movements, especially in developed countries. The increase in granularity, in turn, is well explained by international trade.


*joint work with Jean Imbs , Paris School of Economics (CNRS)


4th Nov 2016 - 11:00 am

Venue: Rm 2150 Abercrombie Bldg H70

Speaker: Prof Gael Martin, Department of Econometrics; Monash University

Title: Asymptotic Properties of Approximate Bayesian Computation

Approximate Bayesian computation (ABC) is becoming an accepted tool for statistical analysis in models with intractable likelihoods. With the initial focus being primarily on the practical import of ABC, exploration of its formal statistical properties has begun to attract more attention. In this paper we consider the asymptotic behaviour of the posterior obtained from ABC and the ensuing posterior mean. We give general results on: (i) the rate of concentration of the ABC posterior on sets containing the true parameter (vector); (ii) the limiting shape of the posterior; and (iii) the asymptotic distribution of the ABC posterior mean. These results hold under given rates for the tolerance used within ABC, mild regularity conditions on the summary statistics, and a condition linked to identification of the true parameters. Important implications of the theoretical results for practitioners of ABC are highlighted.

*joint work with David Frazier, Monash University; Gael Martin; Monash University; Judith Rousseau, CREST, University of Paris, Dauphine; Christian Robert, CREST, University of Paris, Dauphine, University of Warwick.