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Details about Robert J. Kohn

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Workplace:School of Economics, UNSW Business School, UNSW (Australia), (more information at EDIRC)

Access statistics for papers by Robert J. Kohn.

Last updated 2012-12-12. Update your information in the RePEc Author Service.

Short-id: pko171


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Working Papers

2012

  1. A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving
    Papers, arXiv.org Downloads View citations (2)

2010

  1. Adaptive hybrid Metropolis-Hastings samplers for DSGE models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (6)
  2. Modeling Conditional Densities Using Finite Smooth Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads

2009

  1. Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads

2007

  1. Bayesian Covariance Matrix Estimation using a Mixture of Decomposable Graphical Models
    Discussion Papers, School of Economics, The University of New South Wales Downloads
  2. Bayesian Variable Selection of Risk Factors in the APT Model
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (1)
  3. Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (2)

2006

  1. Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (23)
    See also Journal Article in Journal of Business & Economic Statistics (2008)

1998

  1. Estimating Long-Term Trends in Tropospheric Ozone Levels
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
  2. Nonparametric Seemingly Unrelated Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article in Journal of Econometrics (2000)

1997

  1. Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in Statistics Working Paper, Australian Graduate School of Management View citations (1)

    See also Journal Article in Journal of Business Research (2000)

1996

  1. Additive Nonparametric Regression with Autocorrelated Errors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

Undated

  1. Additive Nonparametric Regression for Time Series
    Statistics Working Paper, Australian Graduate School of Management
  2. Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo
    Statistics Working Paper, Australian Graduate School of Management
    See also Journal Article in Journal of Econometrics (1996)
  3. Finite sample performance of robust Bayesian regression
    Statistics Working Paper, Australian Graduate School of Management View citations (1)
  4. Markov Chain Monte Carlo in Conditionally Gaussian State Space Models
    Statistics Working Paper, Australian Graduate School of Management View citations (12)
  5. Nonparametric Regression using Bayesian Variable Selection
    Statistics Working Paper, Australian Graduate School of Management
    See also Journal Article in Journal of Econometrics (1996)
  6. Robust Bayesian estimation of autoregressive-moving range models
    Statistics Working Paper, Australian Graduate School of Management
  7. Robust Bayesian nonparametric regression
    Statistics Working Paper, Australian Graduate School of Management View citations (2)
  8. Semiparametric Bayesian inference for time series with mixed spectra
    Statistics Working Paper, Australian Graduate School of Management View citations (4)

Journal Articles

2012

  1. Generalized smooth finite mixtures
    Journal of Econometrics, 2012, 171, (2), 121-133 Downloads View citations (4)
  2. Modelling dependence using skew t copulas: Bayesian inference and applications
    Journal of Applied Econometrics, 2012, 27, (3), 500-522 View citations (14)
  3. On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
    Journal of Econometrics, 2012, 171, (2), 134-151 Downloads View citations (23)

2011

  1. Constructing priors based on model size for nondecomposable Gaussian graphical models: A simulation based approach
    Journal of Multivariate Analysis, 2011, 102, (5), 871-883 Downloads

2010

  1. Bayesian variable selection and model averaging in the arbitrage pricing theory model
    Computational Statistics & Data Analysis, 2010, 54, (12), 3249-3268 Downloads View citations (9)
  2. Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models
    Econometric Reviews, 2010, 29, (2), 146-157 Downloads

2009

  1. Bayesian estimation of a random effects heteroscedastic probit model
    Econometrics Journal, 2009, 12, (2), 324-339 Downloads View citations (2)
  2. Multivariate probit models for conditional claim-types
    Insurance: Mathematics and Economics, 2009, 44, (2), 214-228 Downloads View citations (3)
  3. Regression density estimation using smooth adaptive Gaussian mixtures
    Journal of Econometrics, 2009, 153, (2), 155-173 Downloads View citations (9)

2008

  1. Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
    Journal of Business & Economic Statistics, 2008, 26, 66-77 Downloads View citations (49)
    See also Working Paper (2006)
  2. Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models
    Journal of the American Statistical Association, 2008, 103, 661-671 Downloads View citations (3)

2007

  1. A unified approach to nonlinearity, structural change, and outliers
    Journal of Econometrics, 2007, 137, (1), 112-133 Downloads View citations (49)

2006

  1. Efficient Bayesian inference for Gaussian copula regression models
    Biometrika, 2006, 93, (3), 537-554 Downloads View citations (22)
  2. Multivariate Stochastic Volatility Models with Correlated Errors
    Econometric Reviews, 2006, 25, (2-3), 245-274 Downloads View citations (24)

2005

  1. Adaptive sampling for Bayesian variable selection
    Biometrika, 2005, 92, (4), 747-763 Downloads View citations (19)

2002

  1. Model selection in spline nonparametric regression
    Journal of the Royal Statistical Society Series B, 2002, 64, (1), 119-139 Downloads View citations (4)
  2. Parsimonious Covariance Matrix Estimation for Longitudinal Data
    Journal of the American Statistical Association, 2002, 97, 1141-1153 Downloads View citations (44)

2001

  1. Statistical Correction of a Deterministic Numerical Weather Prediction Model
    Journal of the American Statistical Association, 2001, 96, 794-804 Downloads

2000

  1. A Nonparametric Approach to Identifying Latent Relationships in Hierarchical Models
    Marketing Science, 2000, 19, (2), 149-162 Downloads View citations (6)
  2. Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data
    Journal of Business Research, 2000, 49, (3), 229-244 Downloads View citations (3)
    See also Working Paper (1997)
  3. Nonparametric seemingly unrelated regression
    Journal of Econometrics, 2000, 98, (2), 257-281 Downloads View citations (20)
    See also Working Paper (1998)

1997

  1. A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
    Journal of Econometrics, 1997, 76, (1-2), 39-52 Downloads View citations (7)

1996

  1. A Bayesian approach to additive semiparametric regression
    Journal of Econometrics, 1996, 74, (2), 209-235 Downloads View citations (13)
  2. Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
    Journal of Econometrics, 1996, 74, (2), 237-254 Downloads View citations (9)
    See also Working Paper
  3. Nonparametric regression using Bayesian variable selection
    Journal of Econometrics, 1996, 75, (2), 317-343 Downloads View citations (82)
    See also Working Paper

1994

  1. Testing for linearity in a semiparametric regression model
    Journal of Econometrics, 1994, 64, (1-2), 77-96 Downloads View citations (2)

1992

  1. Computing p-values for the generalized Durbin-Watson and other invariant test statistics
    Journal of Econometrics, 1992, 54, (1-3), 277-300 Downloads View citations (10)

1983

  1. Consistent Estimation of Minimal Subset Dimension
    Econometrica, 1983, 51, (2), 367-76 Downloads View citations (5)

1982

  1. When is an aggregate of a time series efficiently forecast by its past?
    Journal of Econometrics, 1982, 18, (3), 337-349 Downloads View citations (31)

1981

  1. A note on an alternative derivation of the likelihood of an autoregressive moving average process
    Economics Letters, 1981, 7, (3), 233-236 Downloads View citations (1)

1980

  1. Local identification of ARMAX structures subject to nonlinear constraints
    Metrika: International Journal for Theoretical and Applied Statistics, 1980, 27, (1), 35-41 Downloads View citations (1)

1979

  1. Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
    Econometrica, 1979, 47, (4), 1005-30 Downloads View citations (11)
  2. Identification Results for ARMAX Structures
    Econometrica, 1979, 47, (5), 1295-1304 Downloads View citations (3)
  3. On the Relative Efficiency of Two Methods of Estimating a Dynamic Simultaneous Equations Model
    International Economic Review, 1979, 20, (1), 237-52 Downloads

1978

  1. Local and global identification and strong consistency in time series models
    Journal of Econometrics, 1978, 8, (3), 269-293 Downloads View citations (2)
 
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