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Social Sciences and Humanities; Economics and Politics

William J. McCausland

Théories en économie

Professeur agrégé

Faculté des arts et des sciences - Département de sciences économiques

Pavillon Lionel-Groulx, room C6046

514 343-7281

william.j.mccausland@umontreal.ca

Secondary email: william.mccausland@cirano.qc.ca (Travail)

Profile

Research expertise

William McCausland earned his PhD from the University of Minnesota in 2002, and then joined the Department of Economics  at the Université de Montréal. He is currently conducting research into the application of Bayesian econometrics in analyzing time series in economics and finance, demand by consumers and companies, discrete choices in experiments and subjects' behaviour in repeated game experiments.

Projects

Research projects

2020 - 2023

Subvention de déphasage_Centre interuniversitaire de recherche en économie quantitative (CIREQ)

Lead researcher : Benoit Perron
Funding sources: FRQSC/Fonds de recherche du Québec - Société et culture (FQRSC)
Grant programs: PV129894-(RG) Programme Regroupements stratégiques - Subvention de déphasage
2014 - 2021

CENTRE INTERUNIVERSITAIRE DE RECHERCHE EN ECONOMIE QUANTITATIVE (CIREQ)

Lead researcher : Emanuela Cardia , Benoit Perron
Funding sources: FRQSC/Fonds de recherche du Québec - Société et culture (FQRSC)
Grant programs: PV129894-(RG) Programme Regroupements stratégiques
2012 - 2017

BAYESIAN COMPARISON OF RANDOM CHOICE AND RANDOM UTILITY MODELS

Lead researcher : A.A. J Marley
Co-researchers : William J. McCausland
Funding sources: CRSH/Conseil de recherches en sciences humaines du Canada
Grant programs: PVXXXXXX-Subvention Savoir
2008 - 2015

CENTRE INTERUNIVERSITAIRE DE RECHERCHE EN ECONOMIE QUANTITATIVE (CIREQ)

Lead researcher : Emanuela Cardia
Funding sources: FRQSC/Fonds de recherche du Québec - Société et culture (FQRSC)
Grant programs: PV129894-(RG) Programme Regroupements stratégiques

Outreach

Publications and presentations

Publications

  • «The HESSIAN Method for models with leverage-like effects», Journal of Financial Econometrics 13, 2015, 722-755 (avec Barnabé Djegnéné)
  • «Bayesian inference and model comparison for random choice structures», Journal of Mathematical Psychology, 62-63, 2014, 33-46 (avec A.A.J. Marley).
  • «Prior Distributions for Random Choice Structures», Journal of Mathematical Psychology, 57, 2013, 78-93 (avec A.A.J. Marley).
  • «The HESSIAN Method (Highly Efficient State Smoothing, In A Nutshell)», Journal of Econometrics 168, 2012, 189-206.
  • «Simulation Smoothing for State–space Models: A Computational Efficiency Analysis», Computational Statistics & Data Analysis 55, 2011, 199-212 (avec Shirley Miller et Denis Pelletier).
  • «Random Consumer Demand», Economica 76, 2009, 89-107.
  • «On Bayesian Analysis and Computation for Functions with Monotonicity and Curvature Restrictions», Journal of Econometrics 142, 2008, 484-507.
  • «Time Reversibility of Stationary Regular Finite-State Markov Chains», Journal of Econometrics 136, 2007, 303-318.

Disciplines

  • Economy
  • Finance

Areas of expertise

  • Bayesian econometrics
  • Time series
  • State-space models
  • Financial econometrics
  • Decision theory