Details about Maxwell Leslie King
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Short-id: pki342
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Working Papers
2019
- Hypothesis Testing Based on a Vector of Statistics
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
See also Journal Article Hypothesis testing based on a vector of statistics, Journal of Econometrics, Elsevier (2020) View citations (1) (2020)
2015
- A new approach to forecasting based on exponential smoothing with independent regressors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Point Optimal Testing: A Survey of the Post 1987 Literature
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
2014
- A Model Validation Procedure
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Applications of Information Measures to Assess Convergence in the Central Limit Theorem
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2013
- A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
See also Journal Article A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density, Computational Statistics & Data Analysis, Elsevier (2014) View citations (4) (2014)
- Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
See also Journal Article Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors, Econometrics, MDPI (2016) View citations (1) (2016)
- Gaussian kernel GARCH models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (7)
2012
- An Improved Nonparametric Unit-Root Test
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
2011
- A New Procedure For Multiple Testing Of Econometric Models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
- A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
- Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
- Bayesian semiparametric GARCH models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (7)
2009
- Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity
School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (30)
See also Journal Article NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY, Econometric Theory, Cambridge University Press (2009) View citations (36) (2009)
2007
- A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
See also Journal Article A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation, Journal of Econometrics, Elsevier (2009) View citations (24) (2009)
2006
- Estimation and model specification testing in nonparametric and semiparametric econometric models
MPRA Paper, University Library of Munich, Germany View citations (1)
2005
- Deriving Tests of the Semi-Linear Regression Model Using the Density Function of a Maximal Invariant
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Exponential Smoothing Model Selection for Forecasting
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
See also Journal Article Exponential smoothing model selection for forecasting, International Journal of Forecasting, Elsevier (2006) View citations (42) (2006)
- Parameter Estimation in Semi-Linear Models Using a Maximal Invariant Likelihood Function
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2004
- Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations (3)
- Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
See also Journal Article Box-Cox stochastic volatility models with heavy-tails and correlated errors, Journal of Empirical Finance, Elsevier (2008) View citations (13) (2008)
- Maximal Invariant Likelihood Based Testing of Semi-Linear Models
Econometric Society 2004 Australasian Meetings, Econometric Society
See also Journal Article Maximal invariant likelihood based testing of semi-linear models, Statistical Papers, Springer (2007) (2007)
- Model Specification Testing in Nonparametric and Semiparametric Time Series Econometric Models
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (4)
2003
- Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2002
- Influence Diagnostics in GARCH Processes
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Local Linear Forecasts Using Cubic Smoothing Splines
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
1999
- Selecting the Order of an ARCH Model
School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy
See also Journal Article Selecting the order of an ARCH model, Economics Letters, Elsevier (2004) View citations (2) (2004)
1998
- Comparisons of Estimators and Tests Based on Modified Likelihood And Message Length Functions
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (1998)
- Model Selection when a Key Parameter Is Constrained to Be in an Interval
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Modified Likelihood and Related Methods for Handling Nuisance Parameters in the Linear Regression Model
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
1996
- A Comparison of the Accuracy of Asymptotic Approximations in the Dynamic Regression Model Using Kullback-Leibler Information
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Estimation of Regression Disturbances Based on Minimum Message Length
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Improved Small Sample Midel selection Procedures
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
1995
- A Small Sample Variable Selection Procedure
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
- Marginal Likelihood Based Tests of a Subvector of the Parameter Vector of Linear Regression Disturbances
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
- Small-Sample Power of Tests for Inequality Restrictions: The Case of Quarter Independant Errors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- The Applications of the Durbin-Watson Test to the Dynamic Regression Model Under Normal and Non-Normal Errors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
1994
- A Comparison of Marginal Likelihood Based and Approximate Point Optimal Tests for Random Regression Coefficient in the Presence of Autocorrelation
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
- Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
- One Sided Hypothesis Testing in Econometrics: A Survey
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
1989
- OPTIMAL INVARIANT TESTS FOR THE AUTOCORRELATION COEFFICIENT IN LINEAR REGRESSIONS WITH STATIONARY AND NONSTATIONARY AR(1) ERRORS
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)
1975
- INFLATIONARY EXPECTATIONS IN NEW ZEALAND, A PRELIMINARY STUDY
Working Papers, University of Sydney, School of Economics
Journal Articles
2020
- Hypothesis testing based on a vector of statistics
Journal of Econometrics, 2020, 219, (2), 425-455 View citations (1)
See also Working Paper Hypothesis Testing Based on a Vector of Statistics, Monash Econometrics and Business Statistics Working Papers (2019) (2019)
2016
- Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors
Econometrics, 2016, 4, (2), 1-27 View citations (1)
See also Working Paper Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors, Monash Econometrics and Business Statistics Working Papers (2013) View citations (1) (2013)
- On solving bias-corrected non-linear estimation equations with an application to the dynamic linear model
Statistica Neerlandica, 2016, 70, (4), 332-355
2014
- A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
Computational Statistics & Data Analysis, 2014, 78, (C), 218-234 View citations (4)
See also Working Paper A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density, Monash Econometrics and Business Statistics Working Papers (2013) View citations (1) (2013)
2009
- A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
Journal of Econometrics, 2009, 153, (1), 21-32 View citations (24)
See also Working Paper A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation, Monash Econometrics and Business Statistics Working Papers (2007) View citations (5) (2007)
- NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
Econometric Theory, 2009, 25, (6), 1869-1892 View citations (36)
See also Working Paper Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity, School of Economics and Public Policy Working Papers (2009) View citations (30) (2009)
2008
- Box-Cox stochastic volatility models with heavy-tails and correlated errors
Journal of Empirical Finance, 2008, 15, (3), 549-566 View citations (13)
See also Working Paper Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors, Monash Econometrics and Business Statistics Working Papers (2004) View citations (4) (2004)
2007
- Maximal invariant likelihood based testing of semi-linear models
Statistical Papers, 2007, 48, (3), 357-383
See also Working Paper Maximal Invariant Likelihood Based Testing of Semi-Linear Models, Econometric Society 2004 Australasian Meetings (2004) (2004)
2006
- A Bayesian approach to bandwidth selection for multivariate kernel density estimation
Computational Statistics & Data Analysis, 2006, 50, (11), 3009-3031 View citations (50)
- A new approximate point optimal test of a composite null hypothesis
Journal of Econometrics, 2006, 130, (1), 101-122 View citations (7)
- Exponential smoothing model selection for forecasting
International Journal of Forecasting, 2006, 22, (2), 239-247 View citations (42)
See also Working Paper Exponential Smoothing Model Selection for Forecasting, Monash Econometrics and Business Statistics Working Papers (2005) View citations (4) (2005)
2005
- Influence Diagnostics in Generalized Autoregressive Conditional Heteroscedasticity Processes
Journal of Business & Economic Statistics, 2005, 23, 118-129 View citations (15)
- Most mean powerful test of a composite null against a composite alternative
Computational Statistics & Data Analysis, 2005, 49, (4), 1079-1104 View citations (2)
2004
- A Wald-type test of quadratic parametric restrictions
Economics Letters, 2004, 83, (3), 359-364 View citations (1)
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
Econometric Theory, 2004, 20, (5), 844-882 View citations (28)
- Selecting the order of an ARCH model
Economics Letters, 2004, 83, (2), 269-275 View citations (2)
See also Working Paper Selecting the Order of an ARCH Model, School of Economics and Public Policy Working Papers (1999) (1999)
2002
- IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES
Econometric Reviews, 2002, 21, (2), 149-165 View citations (7)
1999
- A Correction for Local Biasedness of the Wald and Null Wald Tests
Oxford Bulletin of Economics and Statistics, 1999, 61, (3), 435-450 View citations (1)
1997
- Forecasting international quarterly tourist flows using error-correction and time-series models
International Journal of Forecasting, 1997, 13, (3), 319-327 View citations (57)
- Locally optimal one-sided tests for multiparameter hypotheses
Econometric Reviews, 1997, 16, (2), 131-156 View citations (31)
- Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
Journal of Econometrics, 1997, 82, (1), 81-106 View citations (14)
- Modified Wald test for regression disturbances
Economics Letters, 1997, 56, (1), 5-11 View citations (6)
1996
- Editors' introduction: Fractional differencing and long memory processes
Journal of Econometrics, 1996, 73, (1), 1-3 View citations (10)
- Modified Wald tests for non-linear restrictions: A cautionary tale
Economics Letters, 1996, 53, (2), 133-138 View citations (1)
- Small-sample power of tests for inequality restrictions: The case of quarter-dependent regression errors
Economics Letters, 1996, 52, (2), 121-127 View citations (1)
1995
- Comments on testing economic theories and the use of model selection criteria
Journal of Econometrics, 1995, 67, (1), 173-187 View citations (81)
1994
- Correction [A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances]
Journal of Business & Economic Statistics, 1994, 12, (1), 139 View citations (2)
1993
- A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances
Journal of Business & Economic Statistics, 1993, 11, (1), 17-27 View citations (36)
- Locally Optimal Testing When a Nuisance Parameter Is Present Only under the Alternative
The Review of Economics and Statistics, 1993, 75, (1), 1-7 View citations (13)
- Nonnested testing for autocorrelation in the linear regression model
Journal of Econometrics, 1993, 58, (3), 295-314 View citations (3)
- Testing for ARMA (1, 1) Disturbances in the Linear Regression Model
Australian Economic Papers, 1993, 32, (61), 284-98 View citations (1)
1991
- Editors' introduction: 40 years of diagnostic testing
Journal of Econometrics, 1991, 47, (1), 1-4
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
Journal of Econometrics, 1991, 47, (1), 115-143 View citations (76)
- Small-disturbance asymptotics and the Durbin-Watson and related tests in the dynamic regression model
Journal of Econometrics, 1991, 47, (1), 145-152 View citations (10)
- Testing Moving Average against Autoregressive Disturbances in the Linear-Regression Model
Journal of Business & Economic Statistics, 1991, 9, (3), 329-35 View citations (9)
- The locally unbiased two-sided Durbin--Watson test
Economics Letters, 1991, 35, (4), 401-407
1989
- Testing for fourth-order autocorrelation in regression disturbances when first-order autocorrrelation is present
Journal of Econometrics, 1989, 41, (3), 285-301 View citations (3)
- Transformations for an Exact Goodness-of-Fit Test of Structural Change in the Linear Regression Model
Empirical Economics, 1989, 14, (2), 113-21 View citations (1)
1988
- A further class of tests for heteroscedasticity
Journal of Econometrics, 1988, 37, (2), 265-276 View citations (5)
- Locally Optimal Properties of the Durbin-Watson Test
Econometric Theory, 1988, 4, (3), 509-516 View citations (7)
1987
- An Alternative Test for Regression Coefficient Stability [Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative]
The Review of Economics and Statistics, 1987, 69, (2), 379-81
- Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
The Review of Economic Studies, 1987, 54, (4), 649-663 View citations (16)
1986
- Joint one-sided tests of linear regression coefficients
Journal of Econometrics, 1986, 32, (3), 367-383 View citations (5)
1985
- A Point Optimal Test for Moving Average Regression Disturbances
Econometric Theory, 1985, 1, (2), 211-222 View citations (2)
- A point optimal test for autoregressive disturbances
Journal of Econometrics, 1985, 27, (1), 21-37 View citations (22)
- A point optimal test for heteroscedastic disturbances
Journal of Econometrics, 1985, 27, (2), 163-178 View citations (4)
- The Durbin-Watson test and cross-sectional data
Economics Letters, 1985, 18, (1), 31-34 View citations (1)
1984
- A joint test for serial correlation and heteroscedasticity
Economics Letters, 1984, 16, (3-4), 297-302 View citations (1)
- A new test for fourth-order autoregressive disturbances
Journal of Econometrics, 1984, 24, (3), 269-277 View citations (4)
- Autocorrelation pre-testing in the linear model: Estimation, testing and prediction
Journal of Econometrics, 1984, 25, (1-2), 35-48 View citations (12)
1983
- Testing for autoregressive against moving average errors in the linear regression model
Journal of Econometrics, 1983, 21, (1), 35-51 View citations (12)
- The Durbin-Watson test for serial correlation: Bounds for regressions using monthly data
Journal of Econometrics, 1983, 21, (3), 357-366 View citations (1)
1982
- Testing for a Serially Correlated Component in Regression Disturbances
International Economic Review, 1982, 23, (3), 577-82 View citations (1)
1981
- A Note on Szroeter's Bounds Test
Oxford Bulletin of Economics and Statistics, 1981, 43, (3), 315-21 View citations (1)
- The Durbin-Watson Bounds Test and Regressions without an Intercept
Australian Economic Papers, 1981, 20, (36), 161-70
- The Durbin-Watson Test for Serial Correlation: Bounds for Regressions with Trend and/or Seasonal Dummy Variables
Econometrica, 1981, 49, (6), 1571-81 View citations (4)
- The alternative Durbin-Watson test: An assessment of Durbin and Watson's choice of test statistic
Journal of Econometrics, 1981, 17, (1), 51-66 View citations (10)
1978
- A Comparison of Some Tests for Fourth-Order Autocorrelation
Australian Economic Papers, 1978, 17, (31), 323-33
- Fourth-order autocorrelation: Further significance points for the Wallis test
Journal of Econometrics, 1978, 8, (2), 255-259 View citations (2)
1977
- A Note on Wallis' Bounds Test and Negative Autocorrelation
Econometrica, 1977, 45, (4), 1023-26 View citations (1)
Chapters
2014
- Specification Testing in Parametric Trending Models with Unknown Errors
A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 151-202 View citations (1)
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