Details about Robert J. Kohn

Access statistics for papers by Robert J. Kohn.

Last updated 2009-11-09. Update your information in the RePEc Author Service.

Short-id: pko171

Working Papers

2007

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

2006

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

2005

5. A unified approach to nonlinearity, structural change and outliers
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
   See also Journal Article in Journal of Econometrics (2007)

1998

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

1997

8. 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
   See also Journal Article in Journal of Business Research (2000)

1996

9. Additive Nonparametric Regression with Autocorrelated Errors
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

Undated

10. Additive Nonparametric Regression for Time Series
    Statistics Working Paper, Australian Graduate School of Management
11. 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)
12. Finite sample performance of robust Bayesian regression
    Statistics Working Paper, Australian Graduate School of Management
13. Markov Chain Monte Carlo in Conditionally Gaussian State Space Models
    Statistics Working Paper, Australian Graduate School of Management View citations
14. Nonparametric Regression using Bayesian Variable Selection
    Statistics Working Paper, Australian Graduate School of Management
    See also Journal Article in Journal of Econometrics (1996)
15. Robust Bayesian estimation of autoregressive-moving range models
    Statistics Working Paper, Australian Graduate School of Management
16. Robust Bayesian nonparametric regression
    Statistics Working Paper, Australian Graduate School of Management
17. Semiparametric Bayesian inference for time series with mixed spectra
    Statistics Working Paper, Australian Graduate School of Management View citations

Journal Articles

2009

1. Bayesian estimation of a random effects heteroscedastic probit model
   Econometrics Journal, 2009, 12, (2), 324-339
2. Multivariate probit models for conditional claim-types
   Insurance: Mathematics and Economics, 2009, 44, (2), 214-228

2008

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

2007

5. A unified approach to nonlinearity, structural change, and outliers
   Journal of Econometrics, 2007, 137, (1), 112-133 View citations
   See also Working Paper (2005)

2006

6. Efficient Bayesian inference for Gaussian copula regression models
   Biometrika, 2006, 93, (3), 537-554 View citations

2005

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

2002

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

2001

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

2000

11. Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data
    Journal of Business Research, 2000, 49, (3), 229-244
    See also Working Paper (1997)
12. Nonparametric seemingly unrelated regression
    Journal of Econometrics, 2000, 98, (2), 257-281 View citations
    See also Working Paper (1998)

1997

13. 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 View citations

1996

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

1994

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

1992

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

1983

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

1982

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

1981

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

1980

22. Local identification of ARMAX structures subject to nonlinear constraints
    Metrika, 1980, 27, (1), 35-41

1979

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

1978

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