Faculty staff profile

Michael Smith joined MBS in 2007, after eight years as an Associate Professor in the Discipline of Econometrics and Business Statistics at the University of Sydney. During that time he also held visiting positions at the University of Munich and The Wharton School at the University of Pennsylvania.

Michael's research is evenly balanced between the development of econometric and statistical models and methods, and their application to solve problems arising in business and elsewhere. He is prominent internationally for his work on Bayesian semiparametric modeling and model averaging in cross-sectional, spatial and time series contexts.

His work has appeared widely in top journals in econometrics and statistics, including the Journal of Econometrics, Journal of the American Statistical Association, Journal of Business and Economics Statistics, Journal of the Royal Statistical Society B and the Journal of Computational and Graphical Statistics.

He has consulted widely in the energy industry, with a focus on the modeling and forecasting of both demand and spot prices within deregulated wholesale electricity markets.

Recent publications and working papers

• Bayesian Approaches to Copula Modelling
• Bicycle Commuting in Melbourne During the 2000s Energy Crisis: A Semiparametric Analysis of Intraday Volumes
• A Bayesian approach to additive nonparametric regression
• Forecasting Television Ratings
• Estimation of Copula Models with Discrete Margins via Bayesian Data Augmentation
• Windows Executable for Gaussian copula with NBD margins
• Rejoinder: Estimation Issues for Copulas Applied to Marketing Data
• Modeling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence
• Modeling Dependence using Skew t Copulas: Bayesian Inference and Applications
• Bayesian Inference for a Periodic Stochastic Volatility Model of Intraday Electricity Prices
• Finite sample performance of robust Bayesian regression
• Nonparametric regression using Bayesian variable selection
• A Bayesian approach to bivariate nonparametric regression
• Bayesian Skew Selection for Multivariate Models
• Additive nonparametric regression with autocorrelated errors
• Semiparametric Regression: An Exposition and Application to Print Advertising Data
• Modeling Multivariate Distributions Using Copulas: Applications in Marketing
• Nonparametric seemingly unrelated regression
• Short-term forecasting of New South Wales electricity system load
• Nonparametric regression using linear combinations of basis functions
• View all Michael's working papers & publications