Ph.D., University of Illinois, 1989
5313 Friedmann Hall
Dr. Higgins's homepage
Econometric Theory; Time Series Analysis; and Forecasting
Professor Higgins teaches a wide range of courses in statistics and econometrics at the undergraduate, Masters and Ph.D. level. His courses emphasize the use of statistical theory to understand contemporary economic issues. His primary course is a Ph.D. field class in econometric theory that focuses on time-series analysis. He also teaches a graduate level economic computing class which covers the SAS System and the use of the Internet as a research tool. He is also active in supervising graduate student research.
Professor Higgins' research focuses on econometric methods for understanding how uncertainty about the future affects the economy. He has written extensively on the theory of empirical models for asset price volatility. He has proposed procedures estimating and testing statistical models of how agents formulate their expectations. He is also interested in developing methods for detecting nonlinear dynamics in equity, foreign exchange and insurance markets. His most recent research deals with economic forecasting. He has found methods for optimal forecasting when forecast errors have asymmetric costs. He is currently studying how professional economic forecasters, who use heterogeneous information and models, arrive at a consensus view of the future.
"Inflation Uncertainty and Money Demand," (with S. Majin), Applied Economics Letters, Vol. 16, 1323-1328, 2009.
"Fractional cointegration analysis of EU convergence," (with Sonila Beliu), Applied Economics, August 2004.
"Exchange-Rate Uncertainity and Workers' Remittances", (with A. Hysenbegasi and S. Pozo), Applied Financial Economics, March 2004.
"Capacity Constraints and the Dynamics of Underwriting Profits", (with P. Thistle), Economic Inquiry, Vol. 38, 442-457, 2000.
"ARCH and Bilinearity as Competing Models for Nonlinear Dependence", (with A.K. Bera), Journal of Business & Economic Statistics, Vol. 15, 43-50, 1997.
"Random Coefficient Formulation of Conditional Heteroskedasticity and Augmented ARCH Models", (with A.K. Bera and S. Lee), Sankhya, Vol. 58, 199-220, 1996.
"A Monte Carlo Study of Tests for Nonnested Models Estimated by Generalized Methods of Moments", (with S. Arkonac), Communications in Statistics-Computation and Simulation, Vol. 24, 745-763, 1995.
"Computation of the GLS Estimator of a Model with Anticipated and Unanticipated Effects," Economic Letters, Vol. 45, 125-129, 1994.
"A Consistency Test for Rational Expectations Models," Journal of Quantitative Economics, Vol. 10, 53-60, 1994.
"A Survey of ARCH Models: Properties, Estimation and Testing," (with A. K. Bera), Journal of Economic Surveys, Vol. 7, 305-366, 1993. To be reprinted in Surveys in Econometrics, eds. L. Oxley, D. George, C. Roberts and S. Sayer (1995), Oxford, Basil Blackwell.
"MicroTSP Version 7.0: A Review," (with N. Ltaifa), Journal of Applied Econometrics, Vol. 7, 423-429, 1992.
"A Class of Nonlinear ARCH Models," (with A. K. Bera), International Economic Review, Vol. 33, 137-158, 1992.
"Interaction Between Autocorrelation and Conditional Heteroskedasticity: A Random-Coefficient Approach," (with A. K. Bera and S. Lee), Journal of Business & Economic Statistics, Vol. 10, 133-142, 1992.
"Test for Conditional Heteroskedasticity in Time Series Models," (with A. K. Bera), Journal of Time Series Analysis, Vol. 13, 501-519, 1992. "A Joint Test for ARCH and Bilinearity in the Regression Model," (with A. K. Bera), Econometric Reviews, 171-181, 1989.
"A Joint Test for ARCH and Bilinearity in the Regression Model," (with A. K. Bera), Econometric Reviews, 171-181, 1989.
"Generalized Least Squares amd Multiple-Length Regression". (WMU Economics Department Working Paper). "Testing the Inflation Level-Uncertainty Tradeoff with ARCH Models". (WMU Economics Department Working Paper).
"Testing the Inflation Level-Uncertainty Tradeoff with ARCH Models". (WMU Economics Department Working Paper).