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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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20/16: A Quantile Regression Approach to Panel Data Analysis of Health Care Expenditure in OECD Countries Downloads
Fengping Tian, Jiti Gao and Ke Yang
19/16: Another Look at Single-Index Models Based on Series Estimation Downloads
Chaohua Dong, Jiti Gao and Bin Peng
18/16: Asymptotic Properties of Approximate Bayesian Computation Downloads
David Frazier, Gael Martin, Christian Robert and J. Rousseau
17/16: Data-driven particle Filters for particle Markov Chain Monte Carlo Downloads
Patrick Leung, Catherine Forbes, Gael Martin and Brendan McCabe
16/16: The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification Downloads
Chuhui Li, Donald Poskitt and Xueyan Zhao
15/16: Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction Downloads
Donald Poskitt
14/16: Specification Testing for Nonlinear Multivariate Cointegrating Regressions Downloads
Chaohua Dong, Jiti Gao, Dag Tjostheim and Jiying Yin
13/16: Error-in-Variables Jump Regression Using Local Clustering Downloads
Yicheng Kang, Xiaodong Gong, Jiti Gao and Peihua Qiu
12/16: CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence Downloads
Jiti Gao, Guangming Pan and Yanrong Yang
11/16: CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series Downloads
Bo Zhang, Guangming Pan and Jiti Gao
10/16: Visualising forecasting Algorithm Performance using Time Series Instance Spaces Downloads
Yanfei Kang, Rob Hyndman and Kate Smith-Miles
09/16: Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models Downloads
Gael Martin, Brendan McCabe, David Frazier, Worapree Maneesoonthorn and Christian P. Robert
8/16: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine Forbes and Gael Martin
7/16: Nonparametric Localized Bandwidth Selection for Kernel Density Estimation Downloads
Tingting Cheng, Jiti Gao and Xibin Zhang
6/16: Bayesian Rank Selection in Multivariate Regression Downloads
Bin Jiang, Anastasios Panagiotelis, George Athanasopoulos, Rob Hyndman and Farshid Vahid
5/16: A Frequency Approach to Bayesian Asymptotics Downloads
Tingting Cheng, Jiti Gao and Peter Phillips
4/16: Grouped functional time series forecasting: An application to age-specific mortality rates Downloads
Han Lin Shang and Rob Hyndman
3/16: Long-term forecasts of age-specific participation rates with functional data models Downloads
Thomas Url, Rob Hyndman and Alexander Dokumentov
2/16: Estimation of Technical Change and Price Elasticities: A Categorical Time-varying Coefficient Approach Downloads
Guohua Feng, Jiti Gao and Xiaohui Zhang
1/16: Bayesian Indirect Inference and the ABC of GMM Downloads
Michael Creel, Jiti Gao, Han Hong and Dennis Kristensen
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 Hyndman
14/15: Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity Downloads
Giovanni 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
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