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Christopher Heaton

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  • Title: Doctor
  • Position: Senior Lecturer - Department of Economics
  • Qualifications: BEc Macq. (Hons) PhD UNSW

Contact Details

Profile

Dr Heaton holds a Bachelor of Economics with first class honours from Macquarie University and a PhD in econometrics from the University of New South Wales. His current research interests are in the broad field of time series econometrics and include the modeling of high-dimensional time series, models of high-frequency financial data, causality testing and forecasting. He also has applied interests in labour economics and the economics of education. Dr Heaton's research has been published or is forthcoming in The Econometrics Journal, The Journal of Multivariate Analysis, Economics Letters, Applied Economics, The Economic Record, Economics of Education Review, and Education Economics, and has been presented at many conferences including the North American and European meetings of the Econometric Society, the Conference on Computing in Economics and Finance, and the Conference of Economists.

Publications

Refereed Journal Articles

  • Heaton, C. and Solo, V. (2012) “Estimation of high-dimensional linear factor models with grouped variables” Journal of Multivariate Analysis, 105, p.348-367. 
  • Bowers, C. and Heaton, C. (2011) "What does high-dimensional factor analysis tell us about risk factors in the Australian Stock Market?" Applied Economics, forthcoming. 
  • Heaton, C., Milunovich, G. and Passe De Silva, A. (2011) "International commodity prices and the Australian stock market" Economic Record, March, 87(276), p.37-44. 
  • Heaton, C. and Oslington, P. (2010) "Micro vs macro explanations of post-war US unemployment movements" Economics Letters, February, 106(2), p.87-91. 
  • Heaton, C. and Solo, V. (2004) "Identification of causal factor models of stationary time series" Econometrics Journal, 7 p.618-627. 
  • Heaton, C. and Oslington, P., (2002) "The contribution of structural shocks to Australian unemployment" Economic Record, 78(243), p.433-442. 
  • Heaton, C. (1999) "The equity implications of public subsidisation of higher education: a study of the Fijian case" Education Economics, 7(2), p.153-166. 
  • Heaton,  C.  and Throsby,  D.  (1998) "Benefit-cost analysis of foreign student flows from developing countries:  the case of postgraduate education"  Economics of Education Review, Vol. 17,  No. 2.

Conferences and Presentations

  • Bowers, C. and Heaton, C. (2010) "What does high-dimensional factor analysis tell us about factors in the Australian stock market?" Presented at the 39th Conference of Economists, Sydney 27th-29th September.  
  • Heaton, C. and Solo, V., (2009) "Grouped variable approximate factor analysis" Presented at the 15th International Conference on Computing in Economics and Finance run by the Society for Computational Economics, 15th July 2009 at UTS. 
  • Heaton, C. and Solo, V., (2006) "Estimation of approximate factor models: Is it important to have a large number of variables?" Presented at the North American Meeting of the Econometric Society, Minneapolis, June 22-25. 
  • Heaton, C. and Solo, V., (2003) "Asymptotic principal components estimation of large factor models" Presented at the Society for Computational Economics Conference, Seattle WA, July 11-13. 
  • Heaton, C. and Solo, V., (2003) "Asymptotic principal components estimation of large factor models" Presented at the North American Meeting of the Econometric Society, Washington DC, Jan. 3-5. 
  • Heaton, C. and Solo, V., (2002) "Identification and estimation of causal factor models of stationary time series" Presented at the European Meeting of the Econometric Society, Venice, Aug. 25-28. 
  • Heaton, C. and Oslington, P., (2001) "The contribution of structural shocks to changes in Australian unemployment" Presented at the Conference of Economists, University of Western Australia, Perth, Sept. 23-26. 
  • Heaton, C. and Solo, V. (2000) "Dynamic factor analysis with ARMA factors" Presented at World Congress of the Econometric Society, Seattle Washington, Aug. 11-16.

PhD Student Supervision

  • Principal Supervisor of Colin Bowers - PhD-Economics Research - Full Time
  • Principal Supervisor of Jung Soo Park - PhD-Economics Research - Full Time
  • Associate Supervisor of David Carroll - PhD-Economics Research - Full Time

Research Specialties

  • Time series analysis
  • Dynamic factor analysis
  • High dimensional time series
  • Latent variable in time series
  • Economics of education

Teaching

Professional Activities

Invited Reviewer for the following Journals:

  • Journal of Econometrics
  • Economic Record   
  • Economics of Education Review  
  • World Development
  • Australian Economic Review  
  • Economic Papers 
  • Metron: The International Journal of Statistics

Service:

  • Undergraduate Studies Coordinator (Economics)  
  • Learning and Teaching Committee (FBE)  
  • iLearn Steering Committee

Downloads

Macquarie Economics Research Papers

  • June 2003 Asymptotic Principal Components Estimation of Large Factor Models (with V. Solo)
  • March 2002 Identification and Estimation of Causal Factor Models of Stationary Time Series (with V. Solo)
  • August 2000 Dynamic Factor Analysis with ARMA Factors (with V. Solo)
  • December 1999 Benefit-Cost Analysis of Foreign Student Flows from Developing Countries: The Case of Postgraduate Education (with P. Oslington)
  • November 1996 Benefit-Cost Analysis of Foreign Student Flows from Developing Countries:  The Case of Postgraduate Education (with D. Throsby)
  • May 1996 The Financial Returns to Investment in Overseas and Local Post-School Education
  • October 1995 The Financial Returns to Investment in Overseas and Local Post-School Education