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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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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 J Hyndman and C22, C53, C63, Jose M Benitez
10/14: Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap Downloads
D.S. Poskitt, Gael M. 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 Robert McLaren and Ou Yang
5/14: Econometric Modelling of Price Response by Alcohol Types to Inform Alcohol Tax Policies Downloads
Preety Srivastava, Keith Robert McLaren, Michael Wohlgenant and Xueyan Zhao
4/14: Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis Downloads
H. Youn Kim, Keith Robert 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 Stephen Poskitt
2/14: Specification Testing in Structural Nonparametric Cointegration Downloads
Chaohua Dong and Jiti GAO
1/14: Econometric Time Series Specification Testing in a Class of Multiplicative Error Models Downloads
Patrick W Saart, Jiti GAO and Nam Hyun Kim
29/13: Bias Correction of Persistence Measures in Fractionally Integrated Models Downloads
Simone D. Grose, Gael M. Martin and Donald Stephen Poskitt
28/13: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine Scipione Forbes and Gael M. Martin
27/13: Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression Downloads
Degui Li, Peter C. B. Phillips and Jiti GAO
26/13: Two-dimensional smoothing of mortality rates Downloads
Alexander Dokumentov and Rob J Hyndman
25/13: Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes Downloads
Donald Stephen Poskitt, Simone D. Grose and Gael M. Martin
24/13: Bayesian estimation of a discrete response model with double rules of sample selection Downloads
Rong Zhang, Brett A. Inder and Xibin Zhang
23/13: Non-parametric Estimation of Operational Risk and Expected Shortfall Downloads
Ainura Tursunalieva and Param Silvapulle
22/13: Estimating Smooth Structural Change in Cointegration Models Downloads
Peter C. B. Phillips, Degui Li and Jiti GAO
21/13: Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models Downloads
Xiangjin B. Chen, Jiti GAO, Degui Li and Param Silvapulle
20/13: A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density Downloads
Xibin Zhang, Maxwell Leslie King and Han Lin Shang
19/13: Gaussian kernel GARCH models Downloads
Xibin Zhang and Maxwell Leslie King
18/13: Non- and Semi-Parametric Panel Data Models: A Selective Review Downloads
Jia Chen, Degui Li and Jiti GAO
17/13: Hermite Series Estimation in Nonlinear Cointegrating Models Downloads
Biqing Cai and Jiti GAO
16/13: Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration Downloads
Jiti GAO and Peter C. B. Phillips
15/13: Inference on Nonstationary Time Series with Moving Mean Downloads
Jiti GAO and Peter M. Robinson
14/13: A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Downloads
Xiangjin B. Chen, Param Silvapulle and Mervyn Silvapulle
13/13: Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors Downloads
Xibin Zhang, Maxwell Leslie King and Han Lin Shang
12/13: Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries? Downloads
Taya Dumrongrittikul and Heather M. Anderson
11/13: Structural-break models under mis-specification: implications for forecasting Downloads
Boonsoo Koo and Myung Hwan Seo
10/13: Semi-parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach Downloads
Nam H Kim, Patrick W Saart and Jiti GAO
9/13: Testing Independence for a Large Number of High Dimensional Random Vectors Downloads
Guangming Pan, Jiti GAO and Yanrong Yang
8/13: Structural-break models under mis-specification: implications for forecasting Downloads
Boonsoo Koo and Myung Hwan Seo
7/13: Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models Downloads
Tingting Cheng, Jiti GAO and Xibin Zhang
6/13: Domestic and outbound tourism demand in Australia: a System-of-Equations Approach Downloads
George Athanasopoulos, Minfeng Deng, Gang Li and Haiyan Song
5/13: From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence and Visit Behavior Downloads
Anastasios Panagiotelis, Michael Stanley Smith and Peter J Danaher
4/13: Canadian Monetary Policy Analysis using a Structural VARMA Model Downloads
Mala Raghavan, George Athanasopoulos and Param Silvapulle
3/13: Orthogonal Expansion of Levy Process Functionals: Theory and Practice Downloads
Chaohua Dong and Jiti GAO
2/13: Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors Downloads
kunpeng Li, Degui Li, Zhongwen Lian and Cheng Hsiao
1/13: Common non-linearities in multiple series of stock market volatility Downloads
Heather M. Anderson and Farshid Vahid
21/12: Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review Downloads
Patrick Saart and Jiti GAO
20/12: Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models Downloads
Chaohua Dong and Jiti GAO
19/12: Recursive and direct multi-step forecasting: the best of both worlds Downloads
Souhaib Ben Taieb and Rob J Hyndman
18/12: Model Specification between Parametric and Nonparametric Cointegration Downloads
Jiti GAO, Dag Tjøstheim and Jiying Yin
17/12: A Flexible Semiparametric Model for Time Series Downloads
Degui Li, Oliver Bruce Linton and Zudi Lu
16/12: An Improved Nonparametric Unit-Root Test Downloads
Jiti GAO and Maxwell Leslie King
15/12: Intermittent demand forecasting for inventory control: A multi-series approach Downloads
Ralph David Snyder, Adrian Beaumont and Keith Ord
14/12: Nonlinear Regression with Harris Recurrent Markov Chains Downloads
Degui Li, Dag Tjøstheim and Jiti GAO
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