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Monash Econometrics and Business Statistics Working Papers

From Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
Contact information at EDIRC.

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21/15: Variable Selection for a Categorical Varying-Coefficient Model with Identifications for Determinants of Body Mass Index Downloads
Jiti Gao, Bin Peng, Zhao Ren and Xiaohui Zhang
20/15: Testing for a Structural Break in Dynamic Panel Data Models with Common Factors Downloads
Huanjun Zhu, Vasilis Sarafidis, Mervyn Silvapulle and Jiti Gao
19/15: On Consistency of Approximate Bayesian Computation Downloads
David Frazier, Gael Martin and Christian Robert
18/15: Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity Downloads
Biqing Cai, Chaohua Dong and Jiti Gao
17/15: Cross-sectional Independence Test for a Class of Parametric Panel Data Models Downloads
Guangming Pan, Jiti Gao, Yanrong Yang and Meihui Guo
16/15: Forecasting with Temporal Hierarchies Downloads
George Athanasopoulos, Rob Hyndman, Nikolaos Kourentzes and Fotios Petropoulos
15/15: Forecasting hierarchical and grouped time series through trace minimization Downloads
Shanika L Wickramasuriya, George Athanasopoulos and Rob J Hyndman
14/15: Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity Downloads
G. Forchini, Bin Jiang and Bin Peng
13/15: STR: A Seasonal-Trend Decomposition Procedure Based on Regression Downloads
Alexander Dokumentov and Rob Hyndman
12/15: Probabilistic time series forecasting with boosted additive models: an application to smart meter data Downloads
Souhaib Ben Taieb, Raphael Huser, Rob Hyndman and Marc G. Genton
11/15: Forecasting Compositional Time Series: A State Space Approach Downloads
Ralph D. Snyder, Keith Ord, Anne B. Koehler, Keith McLaren and Adrian Beaumont
10/15: A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction Downloads
Christoph Bergmeir, Rob Hyndman and Bonsoo Koo
9/15: A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks Downloads
Guohua Feng, Jiti Gao, Bin Peng and Xiaohui Zhang
8/15: Common Shocks in panels with Endogenous Regressors Downloads
Giovanni Forchini, Bin Jiang and Bin Peng
7/15: Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity Downloads
Chaohua Dong, Jiti Gao and Bin Peng
6/15: Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia Downloads
Xiaodong Gong and Jiti Gao
5/15: Point Optimal Testing: A Survey of the Post 1987 Literature Downloads
Maxwell King and Sivagowry Sriananthakumar
4/15: How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries Downloads
Taya Dumrongrittikul and Heather Anderson
3/15: Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models Downloads
Tingting Cheng, Jiti Gao and Xibin Zhang
2/15: A new approach to forecasting based on exponential smoothing with independent regressors Downloads
Ahmad Osman and Maxwell King
1/15: A New Class of Bivariate Threshold Cointegration Models Downloads
Biqing Cai, Jiti Gao and Dag Tjostheim
30/14: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine S. Forbes and Gael Martin
29/14: Applications of Information Measures to Assess Convergence in the Central Limit Theorem Downloads
Ranjani Atukorala, Maxwell King and Sivagowry Sriananthakumar
28/14: Bayesian Estimation for Partially Linear Models with an Application to Household Gasoline Consumption Downloads
Haotian Chen and Xibin Zhang
27/14: Semiparametric Localized Bandwidth Selection for Kernel Density Estimation Downloads
Tingting Cheng, Jiti Gao and Xibin Zhang
26/14: High Dimensional Correlation Matrices: CLT and Its Applications Downloads
Jiti Gao, Xiao Han, Guangming Pan and Yanrong Yang
25/14: Nonparametric Regression Approach to Bayesian Estimation Downloads
Jiti Gao and Han Hong
24/14: A Computational Implementation of GMM Downloads
Jiti Gao and Han Hong
23/14: The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective Downloads
Taya Dumrongrittikul, Heather Anderson and Farshid Vahid
22/14: Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations Downloads
George Athanasopoulos, Donald Poskitt, Farshid Vahid and Wenying Yao
21/14: A Model Validation Procedure Downloads
Julia Polak, Maxwell King and Xibin Zhang
20/14: Approximate Bayesian Computation in State Space Models Downloads
Gael Martin, Brendan McCabe, Worapree Maneesoonthorn and Christian Robert
19/14: Bias Correction of Persistence Measures in Fractionally Integrated Models Downloads
Simone D. Grose, Gael Martin and Donald Poskitt
18/14: Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes Downloads
K. Nadarajah, Gael Martin and Donald Poskitt
17/14: Fast computation of reconciled forecasts for hierarchical and grouped time series Downloads
Rob Hyndman, Alan Lee and Earo Wang
16/14: Low-dimensional decomposition, smoothing and forecasting of sparse functional data Downloads
Alexander Dokumentov and Rob Hyndman
15/14: Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence Downloads
Jia Chen and Jiti Gao
14/14: Semiparametric Localized Bandwidth Selection in Kernel Density Estimation Downloads
Tingting Cheng, Jiti Gao and Xibin Zhang
13/14: Boosting multi-step autoregressive forecasts Downloads
Souhaib Ben Taieb and Rob Hyndman
12/14: Efficient Identification of the Pareto Optimal Set Downloads
Ingrida Steponavice, Rob Hyndman, Kate Smith-Miles and Laura Villanova
11/14: Bagging Exponential Smoothing Methods using STL Decomposition and Box-Cox Transformation Downloads
Christoph Bergmeir, Rob Hyndman and Jose M Benitez C22, C53, C63
10/14: Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap Downloads
Donald Poskitt, Gael Martin and Simone D. Grose
9/14: Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence Downloads
Bin Peng, Chaohua Dong and Jiti Gao
8/14: Specification Testing for Nonlinear Multivariate Cointegrating Regressions Downloads
Chaohua Dong, Jiti Gao, Dag Tjøstheim and Jiying Yin
7/14: Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models Downloads
Chaohua Dong, Jiti Gao and Dag Tjostheim
6/14: A Class of Demand Systems Satisfying Global Regularity and Having Complete Rank Flexibility Downloads
Keith McLaren and Ou Yang
5/14: Econometric Modelling of Price Response by Alcohol Types to Inform Alcohol Tax Policies Downloads
Preety Pratima Srivastava, Keith McLaren, Michael Wohlgenant and Xueyan Zhao
4/14: Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis Downloads
H. Youn Kim, Keith McLaren and K.K. Gary Wong
3/14: On The Theory and Practice of Singular Spectrum Analysis Forecasting Downloads
M. Atikur Rahman Khan and Donald Poskitt
2/14: Specification Testing in Structural Nonparametric Cointegration Downloads
Chaohua Dong and Jiti Gao
Page updated 2016-02-09
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