Chair of Management (Econometrics)
Michael Smith has held the Chair of Management in Econometrics at MBS since 2007. He is a leading researcher in Bayesian statistics and business analytics.
Michael completed his PhD at the Australian Graduate School of Management at the University of New South Wales. Prior to joining MBS, he held positions at Monash University and the University of Sydney. He has also held visiting positions at Ludwig Maximilians University in Munich, the Wharton School at the University of Pennsylvania, McCombs School of Business at the University of Texas and London Business School.
Past major awards include an Alexander von Humboldt fellowship and an Australian Research Council Future Fellowship.
Michael’s research focuses on developing methods for the analysis of large and complex datasets that arise in business, economics and elsewhere. On the methodological side, he has worked on Bayesian algorithms, spatial and time series analysis and multivariate modelling. On the applied side, he has worked on marketing models for advertising effectiveness and consumer response, neuroimaging, and macroeconomic and business forecasting. He has a long-standing interest in the electricity markets, including the modelling and forecasting of demand and spot prices.
Michael’s research has been published widely in the leading academic journals in statistics, econometrics, marketing and forecasting. He is regularly invited to speak at international conferences and workshops, and is involved with a number of prominent international academic societies.
Michael has taught courses in econometrics, statistics, decision sciences and business analytics at all levels – from undergraduate to PhD level. At MBS he currently teaches Data Analysis on the part-time MBA and Financial Analytics in the Master of Business Analytics.
Michael is the current director of the Business Administration and Analytics stream of the MBS doctoral program. Much of his research is joint with PhD students and post-doctoral fellows from a wide range of backgrounds. Working with enthusiastic young international researchers is one of the most rewarding aspects of his job.
Most Notable Research
Loaiza-Maya, R. and M.S. Smith. (2018). ‘Real Time Macroeconomic Forecasting with a Heteroskedastic Inversion Copula Model’, Journal of Business and Economic Statistics, forthcoming
Ong, V.M.-H., D.J. Nott and M.S. Smith, (2018). ‘Gaussian variation approximation with a factor covariance structure’, Journal of Computational and Graphical Statistics, 27, 465-478.
Danaher, P.J., M.S. Smith, K. Ranasinghe, and T.S. Danaher, (2015). ‘Where, When, and How Long: Factors That Influence the Redemption of Mobile Phone Coupons’, Journal of Marketing Research, 52, 710-725.
Smith, M.S. and Khaled, M.A. (2012). ‘Estimation of Copula Models with Discrete Margins via Bayesian Data Augmentation’, Journal of the American Statistical Association, 107, 290-303.
Smith, M.S., Gan, Q. and Kohn, R., (2012). ‘Modeling dependence using skew t copulas: Bayesian inference and applications’, Journal of Applied Econometrics, 27, 500-522
Danaher, P. and Smith, M., (2011), ‘Modeling Multivariate Distributions using Copulas: Applications in Marketing’ (with discussion), Marketing Science, 30, 4-21.
Smith, M., Min, A., Almeida, C., and Czado, C. (2010), ‘Modeling Longitudinal Data using a Pair-Copula Decomposition of Serial Dependence’, Journal of the American Statistical Association, 105, 1467-1479
Smith, M. and Fahrmeir, L., (2007), ‘Spatial Bayesian variable selection with application to functional magnetic resonance imaging’, Journal of the American Statistical Association, 102, 417-431.
Cottet, R., and Smith, M., (2003), ‘Bayesian modelling and forecasting of intra-day electricity load’, Journal of the American Statistical Association, 98, 839-849.
Smith, M and Kohn, R., (2002), 'Parsimonious Covariance Matrix Estimation for Longitudinal Data', Journal of the American Statistical Association, 97, 460, 1141-1153.
Smith, M., Wong, C. and Kohn, R., (1998), ‘Additive nonparametric regression with autocorrelated errors,’ Journal of the Royal Statistical Society B, 60, 311-331
Smith, M. and Kohn, R., (1996), ‘Nonparametric regression using Bayesian variable selection,’ Journal of Econometrics, 75, 317-344