Details about Robert J. Kohn

Access statistics for papers by Robert J. Kohn.

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

Short-id: pko171

Working Papers

2012

1. A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving
   Papers, arXiv.org

2010

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

2009

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

2007

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

2006

8. Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (21)
   See also Journal Article in Journal of Business & Economic Statistics (2008)

2005

9. A unified approach to nonlinearity, structural change and outliers
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations (1)
   See also Journal Article in Journal of Econometrics (2007)

1998

10. 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)
11. 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

12. 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

13. 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

14. Additive Nonparametric Regression for Time Series
    Statistics Working Paper, Australian Graduate School of Management
15. 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)
16. Finite sample performance of robust Bayesian regression
    Statistics Working Paper, Australian Graduate School of Management View citations (1)
17. Markov Chain Monte Carlo in Conditionally Gaussian State Space Models
    Statistics Working Paper, Australian Graduate School of Management View citations (14)
18. Nonparametric Regression using Bayesian Variable Selection
    Statistics Working Paper, Australian Graduate School of Management
    See also Journal Article in Journal of Econometrics (1996)
19. Robust Bayesian estimation of autoregressive-moving range models
    Statistics Working Paper, Australian Graduate School of Management
20. Robust Bayesian nonparametric regression
    Statistics Working Paper, Australian Graduate School of Management View citations (2)
21. 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
2. Modelling dependence using skew t copulas: Bayesian inference and applications
   Journal of Applied Econometrics, 2012, 27, (3), 500-522
3. On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
   Journal of Econometrics, 2012, 171, (2), 134-151 View citations (1)

2011

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

2010

5. Bayesian variable selection and model averaging in the arbitrage pricing theory model
   Computational Statistics & Data Analysis, 2010, 54, (12), 3249-3268 View citations (4)
6. Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models
   Econometric Reviews, 2010, 29, (2), 146-157

2009

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

2008

10. Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
    Journal of Business & Economic Statistics, 2008, 26, 66-77 View citations (15)
    See also Working Paper (2006)
11. Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models
    Journal of the American Statistical Association, 2008, 103, 661-671 View citations (1)

2007

12. A unified approach to nonlinearity, structural change, and outliers
    Journal of Econometrics, 2007, 137, (1), 112-133 View citations (18)
    See also Working Paper (2005)

2006

13. Efficient Bayesian inference for Gaussian copula regression models
    Biometrika, 2006, 93, (3), 537-554 View citations (6)
14. Multivariate Stochastic Volatility Models with Correlated Errors
    Econometric Reviews, 2006, 25, (2-3), 245-274 View citations (3)

2005

15. Adaptive sampling for Bayesian variable selection
    Biometrika, 2005, 92, (4), 747-763 View citations (11)

2002

16. Model selection in spline nonparametric regression
    Journal of the Royal Statistical Society Series B, 2002, 64, (1), 119-139 View citations (1)
17. Parsimonious Covariance Matrix Estimation for Longitudinal Data
    Journal of the American Statistical Association, 2002, 97, 1141-1153 View citations (24)

2001

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

2000

19. A Nonparametric Approach to Identifying Latent Relationships in Hierarchical Models
    Marketing Science, 2000, 19, (2), 149-162 View citations (2)
20. Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data
    Journal of Business Research, 2000, 49, (3), 229-244 View citations (1)
    See also Working Paper (1997)
21. Nonparametric seemingly unrelated regression
    Journal of Econometrics, 2000, 98, (2), 257-281 View citations (15)
    See also Working Paper (1998)

1997

22. 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 (7)

1996

23. A Bayesian approach to additive semiparametric regression
    Journal of Econometrics, 1996, 74, (2), 209-235 View citations (7)
24. Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
    Journal of Econometrics, 1996, 74, (2), 237-254 View citations (6)
    See also Working Paper
25. Nonparametric regression using Bayesian variable selection
    Journal of Econometrics, 1996, 75, (2), 317-343 View citations (52)
    See also Working Paper

1994

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

1992

27. Computing p-values for the generalized Durbin-Watson and other invariant test statistics
    Journal of Econometrics, 1992, 54, (1-3), 277-300 View citations (8)

1983

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

1982

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

1981

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

1980

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

1979

32. Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
    Econometrica, 1979, 47, (4), 1005-30 View citations (9)
33. Identification Results for ARMAX Structures
    Econometrica, 1979, 47, (5), 1295-1304
34. On the Relative Efficiency of Two Methods of Estimating a Dynamic Simultaneous Equations Model
    International Economic Review, 1979, 20, (1), 237-52

1978

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