Over the years, I've been extremely fortunate to work with a large number of really talented graduate students as they undertook research for their Ph.D., Masters, or Honours degrees. Here is a list of those students for whom I have been the principal supervisor or co-supervisor. I haven't listed those for whom I was just a committee member.
Many of these theses resulted in peer-reviewed journal publications - either co-authored or sole-authored by the students. These are flagged with an asterisk (*).
Many of these theses resulted in peer-reviewed journal publications - either co-authored or sole-authored by the students. These are flagged with an asterisk (*).
I've added current affiliations where I have the information. It would be good to be able to update the latter.
(Last update: 12 March, 2020)
University of Victoria (1994-2018)
Ph.D. Dissertations
- Huang, Yunkai (Victor), "Non-Global Regression Modelling", 2016
- Godwin, Ryan*, "Econometric Modelling With Non-Standard Count Data", 2012 (Faculty member, University of Manitoba)
- Liu, Jia, “Extreme Value Theory and Copula Theory: A Risk Management Application With Energy Futures”, 2011 (Quantitative Validation and Management Group, TD Bank, Toronto)
- Chen, Qian*, "Four Essays in Finite-Sample Econometrics", 2007 (Central U. of Finance & Economics, Beijing)
- Feng, Hui (Helen)*, "Bayesian and Non-Bayesian Contributions to Fuzzy Regression Analysis", 2006 (Faculty member, King's University College, U. Western Ontario)
- Dong, Lauren Bin*, "Empirical Likelihood in Econometrics", 2003. 1st Economics Ph.D. awarded at U.Vic. (Statistics Canada, Ottawa)
M.A. Theses
- Fisher, Mischa, "CPU Product Line Lifecycles: Econometric Duration Analysis Using Parametric and Non-Parametric Estimators", 2018 (Chief Economist, HomeAdvisor/Angie's List).
- Joyce, Matthew, "Bivariate Extreme Value Analysis of Commodity Prices", 2017 (SAS, Calgary)
- Cann, Ben, "Choosing a data Frequency to Forecast the Quarterly Yen-Dollar Exchange Rate", 2016 (Digital Advertising Specialist, Go2Mobi, Victoria)
- Duan, Jun, "Nowcasting by the MSTS-U-MIDAS Model", 2015 (Ph.D. candidate, University of Victoria)
- Xiao, Ling (Linda), "Bias-Adjusted Maximum Likelihood Estimation for the Generalized Rayleigh Distribution ", 2011 (B.C. Ministry of Health)
- Thorn, Thomas , "Testing for Heteroskedasticity in Bivariate Probit Models", 2011 (Financial Stability Board, Basel, Switzerland)
- Tseng, Poh-Hsin (Peter), "A Meta-Regression Analysis of PPP Studies", Sun Yat-Sen University, 2007 (Co-supervisor) (Ph.D. candidate, University of Victoria)
M.A. Extended Essays
- Wang, Ziming, "Bayesian Estimation of Threshold Choice in the Foreign Exchange Rate Market", 2016
- Harvey, Brett, "Dealing With Model Uncertainty Using Robust Bayesian Averaging Procedures for Exchange Rate Forecasting", 2016
- Meng, Xia (Summer), “Predicting Daily Returns of Selected Stock Prices Using Bayesian Regularized Neural Networks”, 2015 (First Nations Health Authority)
- Xiao, Xue, "Forecasting Canadian Banks' Stock Return Volatility: Maximum Likelihood and Bayesian Analysis of a GARCH Model with Student-t Innovations", 2015
- Li, Jianmin (Jasmine), "An Investigation of the Dow Jones Industrial Average: Is it Possible to Detect Future Structural Breaks?", 2014
- Zhang, Ming (Nathan), "Analysis of the Effects of Crude Oil Price on Gasoline Prices in Canadian Cities", 2014 (B.C. Ministry of Finance)
- Tang, Jingwen, "Comparative Advantage Compared: Canada and China, 1992-2012", 2013
- Li, Yanan, "Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets", 2013 (China Business Executives Academy, Dalian)
- Jianfeng Xu (Jackie), "China's Areal Income Inequality, Economic Growth, and Education Investment", 2012
- Chu, Fang (Fanny), "Study of Demographic Dividend and the Economic Development in Selected Asian Countries", 2012 (Co-Supervisor)
- Nelson, Carla, "A Comparison of Some Log-Likelihood Based Goodness of Fit Measures for Binary Choice Models”, 2011 (B.C. Ministry of Finance)
- Wisman, Abdul, “Bias Correction in the AR(1) Model: A Survey and Some New Simulation Evidence”, 2011
- Schwartz, Jacob*, “Bias-Reduced Maximum Likelihood Estimation of the Zero-Inflated Poisson Distribution”, 2011 (Assistant Professor, University of Haifa)
- Zhao, Ting (Annie), “An Investigation of the Output Gap-Inflation Relationship in Canada”, 2011
- Shi, Jingjing, “Incentives for, and Determinants of, Getting a University Education in Canada”, 2010 (Ph.D. candidate, U.Calgary)
- Moe, Neal, “Cointegration and Causality Analysis of West Texas Intermediate Crude Oil and the United States Gulf Natural Gas Liquids Prices”, 2010
- Irrcher, Toby, “Further Exploring Indicator Properties of the Yield Spread in Canada: A Threshold Approach”, 2010 (Bank of Canada, Ottawa)
- Gong, Lili, “An Extreme Value Analysis of Daily Stock Returns”, 2010
- Lee, Seow Chia (Grace), “Exploring the Relationship Between Prices in Developed and Emerging Stock Markets: A Panel Data Analysis, 2009 (Co-Supervisor) (Ph.D. candidate, University of Alberta)
- Homer, Geoffrey, “Early Maternal Employment and Child Cognitive Development: Evidence From Canada”, 2009 (Co-Supervisor) (B.C. Government - Office of the Representative for Children & Youth)
- Stroomer, Chad, “Model Estimation in the Presence of Survey Uncertainty”, 2008 (B.C. Statistics)
- Yu, Shuang, “Value at Risk and Expected Shortfall for Returns on the Shanghai Stock Exchange”, 2008 (Private accounting firm, Surrey, B.C.)
- Mei, Peiyu, “Time Series Count Data: Analysis of the Number One Hit Songs at the Top of the Hot 100”, 2008
- Guo, Shasha*, “Who Will Make an SEO in the Near Future? A Duration Analysis of the Chinese Equity Market”, 2007 (Director of International Trade Company, Shanghai))
- Ren, Feng*, “Extreme Value Analysis of Daily Crude Oil Prices”, 2007
- Bi, Guang*, “An Application of Extreme Value Theory for Measuring Weekend Box Office Returns in the U.S.A.”, 2007 (B.C. Ministry of Forests, Lands and Natural Resource Operations)
- Leng, Jiali, “Alcohol Consumption and Determinants in Canada: An Econometric Analysis”, 2007
- Xu, Jing, “Technical Trading Rules and Stock Returns: An Econometric Analysis”, 2006
- Ni, Yang, “A Duration Analysis of the Initial Public Offering Effect”, 2006 (Faculty member, Shanghai Jiaotong University)
- Wang, Miao, “An Econometric Analysis of Canadian Imports From the U.S.A.: Transitions Function Analysis of Free Trade Agreements”, 2006 (AIA Asset Management Center, Shanghai)
- Xie, Ying (Janice)*, “Duration Analysis of U.S. Patent Approvals”, 2006
- Lu, Fan (Ocean)* , “Benford's Law, and Psychological Barriers in eBay Auctions”, 2005 (Camosun College, Victoria)
- Shih, Li-Han (Ruby)*, “Modelling the Duration of Bank Rate Spells Under Inflation Targeting”, 2005
- Yu, Anna* “Modelling Exchange Rate Regime Durations”, 2005
- Li, Jinhu (Daisy), “Small Sample Properties of Discrete Choice Model Estimators Based on Symmetric and Asymmetric Cumulative Distribution Functions”, 2005 (Ph.D. candidate, Queen's U.)
- Shen, Kaili*, “Some Empirical Tests of the Rational Addiction Model”, 2005
- Lin, Lin, “Convergence of Economic Freedom and Convergence of Output: An Empirical Study”, 2005
- Yuen, Sylvania, “Convergence in Output and Convergence in Well-Being: A Study of Far East Asian Developing Countries for the Period 1960-2002”, 2004
- Liu, Jia*, “SETAR Modelling of Long-Term GDP Data: An International Comparison”, 2004 (TD Energy Trading, Calgary)
- Yuk, Wing, “Government Size & Economic Growth: Evidence From a Time-Series Analysis of the United Kingdom for the Period 1830 – 1993”, 2004
- Woodbridge, Cameron, “The Vancouver Log Market: A Time Series Analysis of Price Determination”, 2002 (B.C. Ministry of Forests, Lands and Natural Resource Operations; Winemaker, Stormy Weather Wines)
- Werkneh, Gugsa “The Impact of High Government Consumption on the Export-Led Economic Growth of Ethiopia”, 2001 (Employment and Social Development Canada, Ottawa)
- Fisher, Tony “The Application of Jackknife Resampling to Stochastic Frontier Model Estimation: A Monte Carlo Simulation”, 2001 (Paradigm Consulting Group, Ottawa)
- Juraczko, Kasha, “Testing for Asymmetry in Central European Business Cycles”, 1999
- Feltham, Sandra*, “Stochastic Seasonality and Semi-Annual Data”, 1999 (B.C. Ministry of Health)
- Reid, Christopher, “Real Interest Rate Linkages: A Study of the G7 Countries”, 1999
- Tedds, Lindsay, M.*, “Measuring the Size of the Hidden Economy in Canada: A Latent Variable/MIMIC Model Approach”, 1998 (Faculty member,School of Public Admin., UVic)
- Johnson, Betty J.*, “Money-Income Causality and the New Zealand Underground Economy”, 1998 (Sessional faculty, UVic)
- Raic, Gordon, “Futures Market Volatility and the Samuelson Hypothesis”, 1998 (Scotia Capital, Toronto)
- Stuchbury, Neil, “Forecasting the Hourly Demand For Electricity in British Columbia”, 1997
- Quinn, David, “Testing for Asymmetry in the Pricing of Gasoline”, 1997
- Ryan, Kevin*, “Testing for Unit Roots in Economic Time-Series With Missing Observations”, 1996
- DeBenedictis, Linda F.*, “A Regional VAR Model for the B.C. Economy”, 1995 (B.C. Ministry of Social Development)
- Jacobsen, Peter W. F.*, “The Implications of Testing Kuznets' Inverted-U Hypothesis in the Presence of Unit Roots”, 1995 (B.C. Ministry of Forests, Lands and Natural Resource Operations)
- Swetlishoff, Daryl J., “Canadian Softwood Lumber Exports to the United States: A Time Series Analysis”, 1995
Honours Projects
- Chen, L., "The Volatility of the Price of Gold: An Application of Extreme Value Theory", 2014 (Best Buy Canada)
- Zhang, H., “An Introduction to Copula Functions and Their Application in Studying the Dependence of the International Equity Markets”, 2009 (Senior Consultant at Oliver Wyman)
- Agopsowicz, Andrew, “Model Space Priors With Dependencies Among the Regressors”, 2008 (Senior Economist, Royal Bank of Canada)
University of Canterbury (1986-1993)
Ph.D. Dissertations- Small, John P.*, "Sampling Properties of Some Econometric Tests in the Presence of Model Mis-Specification", 1993 (Founding Director, Covec, New Zealand)
- Wan, Alan T. K*. , "Inequality Restricted and Pre-Test Estimation in a Mis-Specified Econometric Model", 1993 (Faculty member, City U. Hong Kong)
(Co-supervisor) - Albertson, Kevin V.* , "Pre-Test Estimation in a Regression Model With a Mis-Specified Error Covariance Matrix", 1993 (Faculty member, Manchester Metropolitan U., U.K.)
- Giles, Judith A.* , "Preliminary-Test Estimation of a Mis-Specified Linear Model With Spherically Symmetric Disturbances", 1990 (Co-supervisor) (Faculty member, U. Victoria, Canada)
- Lye, Jennifer N.*, "Some Contributions to Finite-Sample Analysis in Three Econometric Models", 1990 (Faculty member, U. Melbourne, Australia)
M.Comm./B.Sc.(Hons.) Research Projects
- Dods, Johannah L.*, “Alternative Strategies for Augmenting the Dickey-Fuller Test: Some Size Robustness Results”, 1993 (N.Z. Superannuation Fund)
- Mandeno, Robert J.*, “A Cointegration/Causality Analysis of Short-Term and Long-Term U.S. Interest Rates”, 1993 (Deutschebank, U.K.)
- Sullivan, Michael J.,* “The Robustness of ARCH/GARCH Tests to First-Order Autocorrelation”, 1993 (Banking professional, London, U.K.)
- Carrodus, Michael*, “The Exact Distribution of R-Squared When the Regression Disturbances are Autocorrelated”, 1991
- Scott, Murray*, “The Exact Size of the Chow Test When the Errors are Autocorrelated”, 1991
- Lieberman, Offer*, “How Does Model Misspecification Affect the Optimal Size of Preliminary Test?”, 1990 (Faculty member, Technion U., Israel)
- Saxton, Guy*, “The Power of the Goldfeld-Quandt Test When Regressors are Omitted”, 1990
- Small, John P.*, “The Exact Power of the Durbin-Watson Test When the Disturbances Are Heteroscedastic”, 1990 (Founding Director, Covec, New Zealand)
- Albertson, K. V., “A Regression Based Business Leading Indicator”, 1989 (Faculty member, Manchester Metropolitan U., U.K.)
- Wignall, Kevin, “A Vector Autoregressive Model of the Canterbury Economy”, 1989
- Wan, Alan, “A VAR Model for Predicting Housing Price in Selected N.Z. Centres”, 1988 (Faculty member, City U., Hong Kong)
- Browning, Karen*, “How Reliable are the 'Provisional' Releases of Official New Zealand Economic Data?”, 1988
- Young, Alan, “An Examination of the Statistical Distribution of Share Prices on the New Zealand Stock Exchange”, 1987
- Harland, Susan, “Consumers' Expenditure on Alcoholic Beverages in New Zealand”, 1987
- Coleman, Andrew, “Vector Autoregressive Modelling of the New Zealand Exchange Rate”, 1986 (Motu, New Zealand)
- Dissanayake, M., “An Engel Curve Analysis of Sri Lankan Household Expenditure Data”, 1986
Monash University (1977-1985)
Ph.D. Dissertations
- Perkins, John L., "A Cross-Section/Time Series Analysis of Consumer Demand in Australia With Demographic Effects", 1984
- Evans, Merran A.*, "Inference and Non-Ideal Conditions in the Linear Regression Model", 1983 (Co-Supervisor) (Pro Vice-Chancellor, Planning & Quality, Monash U., Australia)
- Low, Chan Kee*, "Seemingly Unrelated Regressions With Heteroskedastic Disturbances: Some Finite Sample Results", 1982 (Faculty member, Nanyang Technical U., Singapore)
M.Ec. Theses
- Clarke, Judith A.*, “Some Implications of Estimating a Regression Scale Parameter After a Preliminary Test of Restrictions”, 1987 (Co-Supervisor) (Faculty member, University of Victoria, Canada)
- Child, Andrew W., “An Econometric Analysis of the Industrial Demand for Energy in Australia”, 1985 (Co-Supervisor)
- Knight, Jennifer., “An Econometric Analysis of the Effects of Changes in the Commonwealth Employment Service”, 1982
- Piterman, Hannah E., “Australian Labour Market 1972-1976: Indicators, Problems and Policies”, 1979 (Co-Supervisor)
- Rich, Michael M.*, “New Zealand Beef and Sheep Supply Relationships: An Econometric Application of Joint Firm/Household Decision Making”, 1978
