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Christopher Heaton

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Photo of Christopher Heaton
  • Title: Dr.
  • Position: Senior Lecturer - Department of Economics
  • Qualifications: Bachelor of Economics (Honours), Macquarie University; Doctor of Philosophy, University of New South Wales

Contact Details

Areas of Expertise

  • Econometrics
  • Unemployment and the relationship between education and labour market outcomes
  • Education, immigration and labour markets

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 modelling 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 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.

Education

  • Doctor of Philosophy: Econometrics (University of New South Wales)
  • Bachelor of Economics (Honours): Economics (Macquarie University)

Research areas

  • Econometrics
  • Time series
  • Financial econometrics
  • Causality
  • Forecasting
  • High-dimensional time-series models
  • Econometric models of high-frequency financial data
  • Technical trading rules
  • Methods for large data sets
  • Economies of education

Publications

journal toggle icon open Refereed Journal Articles

  • Heaton, C. (2015) "Testing for multiple-period predictability between serially dependent time series" International Journal of Forecasting, 31(3), p.587-597.
  • Park, J.S. and Heaton, C. (2014) "Technical trading rules in Australian financial markets" International journal of Economics and Finance, 6(10), p.67-75.
  • Tani, M, Heaton, C. and Chan, G. (2013) "The wage premium of foreign education: New evidence from Australia" The Australian Economic Review, 46(4), p.395-404.
  • Bowers, C. and Heaton, C. (2013) "What does high-dimensional factor analysis tell us about risk factors in the Australian Stock Market?" Applied Economics, p.1395-1404.
  • Heaton, C. and Solo, V. (2012) "Estimation of high-dimensional linear factor models with grouped variables" Journal of Multivariate Analysis, 105, p.348-367.
  • 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. (Awarded 2011 Best Paper Prize by the Economic Society of Australia)
  • 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.

conference toggle icon open Conferences and Presentations

  • Heaton (2013) "A simple test of multiple-period predictability for serially dependent time series" at Econometric Society Australasian Meeting, 10th-12th July 2003, Sydney.
  • Heaton, C. and Solo, V. (2012) "Estimation of high-dimensional linear factor models with grouped variables" Sydney Econometric Theory (SET) Workshop, UNSW Sydney, 9th-10th July.
  • Heaton, C. (2012) "Within-sample tests of multiple-period predictability" Econometric Society Australasian Meeting, Melbourne, 3rd-6th July.
  • 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.

Affiliations / activities

  • Member of the Econometrics Society
  • Member of the Economic Society of Australia
  • Invited Reviewer for the following Journals:
    • Journal of Econometrics
    • Journal of Multivariate Analysis
    • Economic Record
    • Economics of Education Review
    • World Development
    • Australian Economic Review
    • Economic Papers
    • Metron: The International Journal of Statistics Journal of Econometrics

phd supervision toggle icon open PhD Student Supervision

  • Principal Supervisor of Colin Bowers - "Estimators in the presence of noise and nonsynchronous data"
  • Principal Supervisor of Jung Soo Park - "An econometric assessment of technical trading rules"
  • Associate Supervisor of David Carroll - "Economics of higher education in Australia"
  • Associate Supervisor of Geoffrey Avery - "Mean Reversion and profitability through cointegration of financial assets"

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