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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 . Series data maintained by Simone Grose ().
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2008-5: Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown
Kulan Ranasinghe and Mervyn J. Silvapulle
2008-4: Monitoring Processes with Changing Variances
J. Keith Ord , Rob J. Hyndman , Anne B. Koehler and Ralph David Snyder
2008-3: Testing Conditional Asset Pricing Models: An Emerging Market Perspective
Javed Iqbal , Robert Brooks and Don (Tissa) U. A. Galagedera
2008-2: Multivariate tests of asset pricing: Simulation evidence from an emerging market
Javed Iqbal , Robert Brooks and Don (Tissa) U. A. Galagedera
2008-1: Semiparametric estimation of duration models when the parameters are subject to inequality constraints and the error distribution is unknown
Kulan Ranasinghe and Mervyn J. Silvapulle
2007-15: A Comparison of Methods for Forecasting Demand for Slow Moving Car Parts
Ralph David Snyder and Adrian Beaumont
2007-14: Non-linear exponential smoothing and positive data
Muhammad Akram , Rob Hyndman and J. Keith Ord
2007-13: Long-Run Effects of BSE on Meat Consumption
Adam Bialowas , Lisa Farrell , Mark Harris and Cain Polidano
2007-12: Hierarchical forecasts for Australian domestic tourism
George Athanasopoulos , Roman A. Ahmed and Rob Hyndman
2007-11: A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
Xibin Zhang , Robert D. Brooks and Maxwell L. King
2007-10: Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form
George Athanasopoulos , D.S. Poskitt and Farshid Vahid
2007-9: Optimal combination forecasts for hierarchical time series
Rob Hyndman , Roman A Ahmed and George Athanasopoulos
2007-8: Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models
Gunky Kim , Mervyn J. Silvapulle and Paramsothy Silvapulle (Param Silvapulle )
2007-7: A state space model for exponential smoothing with group seasonality
Pim Ouwehand , Rob Hyndman , Ton G. de Kok and Karel H. van Donselaar
2007-6: Automatic time series forecasting: the forecast package for R
Rob Hyndman and Yeasmin Khandakar
2007-5: Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?
Gael Margaret Martin , Andrew Reidy and Jill Wright
2007-4: An Assessment of Alternative State Space Models for Count Time Series
Ralph David Snyder , Gael Margaret Martin , Phillip Gould and Paul D. Feigin
2007-3: The vector innovation structural time series framework: a simple approach to multivariate forecasting
Ashton de Silva , Rob Hyndman and Ralph David Snyder
2007-2: Effective global regularity and empirical modeling of direct, inverse and mixed demand systems
Keith Robert McLaren and K.K. Gary Wong
2007-1: Semiparametric estimation of the dependence parameter of the error terms in multivariate regression
Gunky Kim , Mervyn J. Silvapulle and Paramsothy Silvapulle (Param Silvapulle )
2006-22: Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models
Chris M Strickland , Gael Margaret Martin and Catherine S Forbes
2006-21: Impact of Structural Change in Education, Industry and Infrastructure on Income Distribution in Sri Lanka
Ramani Gunatilaka , Duangkamon Chotikapanich and Brett Inder
2006-20: Tests for Over-identifying Restrictions in Partially Identified Linear Structural Equations
Giovanni Forchini
2006-19: Modelling and forecasting Australian domestic tourism
George Athanasopoulos and Rob Hyndman
2006-18: Measuring the cost of leaving care in Victoria
Catherine Forbes , Brett Inder and Sunitha Raman
2006-17: Beveridge-Nelson Decomposition with Markov Switching
Chin Nam Low , Heather M. Anderson and Ralph David Snyder
2006-16: Incorporating a Tracking Signal into State Space Models for Exponential Smoothing
Ralph David Snyder and Anne B. Koehler
2006-15: The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes
S. D. Grose and D. S. Poskitt
2006-14: Stochastic population forecasts using functional data models for mortality, fertility and migration
Rob Hyndman and Heather Booth
2006-13: Lee-Carter mortality forecasting: a multi-country comparison of variants and extensions
Heather Booth , Rob Hyndman , Leonie Tickle and Piet de Jong
2006-12: Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
D. S. Poskitt
2006-11: Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach
Jae Hoon Kim , Param Silvapulle and Rob Hyndman
2006-10: Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility
Gael Margaret Martin , Andrew Reidy and Jill Wright
2006-9: Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures
Param Silvapulle and Xibin Zhang
2006-8: Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity
Azhong Ye , Rob Hyndman and Zinai Li
2006-7: An Anisotropic Model For Spatial Processes
Minfeng Deng
2006-6: Inequality Trends and Determinants in Sri Lanka 1980-2002: A Shapley Approach to Decomposition
Ramani Gunatilaka and Duangkamon Chotikapanich
2006-5: Language and Labour in South Africa: A new approach for a new South Africa
Katy Cornwell
2006-4: VARMA versus VAR for Macroeconomic Forecasting
George Athanasopoulos and Farshid Vahid
2006-3: Some Nonlinear Exponential Smoothing Models are Unstable
Rob Hyndman and Muhammad Akram
2006-2: A Complete VARMA Modelling Methodology Based on Scalar Components
George Athanasopoulos and Farshid Vahid
2006-1: The Asymptotic distribution of the LIML Estimator in a Partially Identified Structural Equation
Giovanni Forchini
2005-24: Demand Forecasting: Evidence-based Methods
J. Scott Armstrong and Kesten Charles Green
2005-23: Real Interest Rate Linkages in the Pacific Basin Region
Philip Inyeob Ji and Jae Hoon Kim
2005-22: Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects
Jae Hoon Kim and Chris Doucouliagos
2005-21: Some Properties of Tests for Possibly Unidentified Parameters
Giovanni Forchini
2005-20: Weighted Average Power Similar Tests for Structural Change for the Gaussian Linear Regression Model
Giovanni Forchini
2005-19: Deriving Tests of the Semi-Linear Regression Model Using the Density Function of a Maximal Invariant
Jahar L. Bhowmik and Maxwell L. King
2005-18: Parameter Estimation in Semi-Linear Models Using a Maximal Invariant Likelihood Function
Jahar L. Bhowmik and Maxwell L. King
2005-17: Competitor-oriented Objectives: The Myth of Market Share
Kesten Charles Green and J. Scott Armstrong