Monash Econometrics and Business Statistics Working Papers

from Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
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13/13: Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors

Xibin Zhang, Maxwell L. King and Han Lin Shang

12/13: Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries?

Taya Dumrongrittikul and Heather Anderson

11/13: Structural-break models under mis-specification: implications for forecasting

Boonsoo Koo and Myung Hwan Seo

10/13: Semi-parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach

Nam H Kim, Patrick W Saart and Jiti GAO

9/13: Testing Independence for a Large Number of High Dimensional Random Vectors

Guangming Pan, Jiti GAO and Yanrong Yang

8/13: Structural-break models under mis-specification: implications for forecasting

Boonsoo Koo and Myung Hwan Seo

7/13: Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models

Tingting Cheng, Jiti GAO and Xibin Zhang

6/13: Domestic and outbound tourism demand in Australia: a System-of-Equations Approach

George Athanasopoulos, Minfeng Deng, Gang Li and Haiyan Song

5/13: From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence and Visit Behavior

Anastasios Panagiotelis, Michael Stanley Smith and Peter J Danaher

4/13: Canadian Monetary Policy Analysis using a Structural VARMA Model

Mala Raghavan, George Athanasopoulos and Param Silvapulle

3/13: Orthogonal Expansion of Levy Process Functionals: Theory and Practice

Chaohua Dong and Jiti GAO

2/13: Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors

kunpeng Li, Degui Li, Zhongwen Lian and Cheng Hsiao

1/13: Common non-linearities in multiple series of stock market volatility

Heather M. Anderson and Farshid Vahid

21/12: Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review

Patrick Saart and Jiti GAO

20/12: Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models

Chaohua Dong and Jiti GAO

19/12: Recursive and direct multi-step forecasting: the best of both worlds

Souhaib Ben Taieb and Rob J Hyndman

18/12: Model Specification between Parametric and Nonparametric Cointegration

Jiti GAO, Dag Tjøstheim and Jiying Yin

17/12: A Flexible Semiparametric Model for Time Series

Degui Li, Oliver Bruce Linton and Zudi Lu

16/12: An Improved Nonparametric Unit-Root Test

Jiti GAO and Maxwell Leslie King

15/12: Intermittent demand forecasting for inventory control: A multi-series approach

Ralph David Snyder, Adrian Beaumont and Keith Ord

14/12: Nonlinear Regression with Harris Recurrent Markov Chains

Degui Li, Dag Tjøstheim and Jiti GAO

13/12: Using Engel Curves to Measure CPI Bias for Indonesia

Susan Olivia and John Gibson

12/12: Extending Unobserved Heterogeneity - A Strategy for Accounting for Respondent Perceptions in the Absence of Suitable Data

Timothy A. Weterings, Mark N. Harris and Bruce Hollingsworth

11/12: VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors

Donald Stephen Poskitt and Wenying Yao

10/12: Point and interval forecasts of age-specific fertility rates: a comparison of functional principal component methods

Han Lin Shang

9/12: Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Donald Stephen Poskitt, Simone D. Grose and Gael Margaret Martin

8/12: Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Donald Stephen Poskitt, Gael Margaret Martin and Simone D. Grose

7/12: Solving Replication Problems in Complete Market by Orthogonal Series Expansion

Chaohua Dong and Jiti GAO

6/12: Identification, Estimation and Specification in a Class of Semiparametic Time Series Models

Jiti GAO

5/12: Parameter estimation for a discrete-response model with double rules of sample selection: A Bayesian approach

Rong Zhang, Brett Inder and Xibin Zhang

4/12: Measuring Poverty and Inequality from Highly Aggregated Small Area Data: The Changing Fortunes of Latrobe Valley Households

Jill Wright, Maria Rebecca Valenzuela and Duangkamon Chotikapanich

3/12: Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval

Song Li, Mervyn J. Silvapulle, Param Silvapulle and Xibin Zhang

2/12: Expansion of Lévy Process Functionals and Its Application in Statistical Estimation

Chaohua Dong and Jiti GAO

1/12: Independence Test for High Dimensional Random Vectors

G. Pan, J. Gao, Y. Yang and M. Guo

25/11: Do Policy-Related Shocks Affect Real Exchange Rates? An Empirical Analysis Using Sign Restrictions and a Penalty-Function Approach

Taya Dumrongrittikul

24/11: Bayesian semiparametric GARCH models

Xibin Zhang and Maxwell Leslie King

23/11: Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis

Md Atikur Rahman Khan and Donald Stephen Poskitt

22/11: Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes

Md Atikur Rahman Khan and Donald Stephen Poskitt

21/11: Estimation in threshold autoregressive models with a stationary and a unit root regime

Jiti GAO, Dag Tjøstheim and Jiying Yin

20/11: A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors

Jiti GAO and Maxwell Leslie King

19/11: Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation

Chaohua Dong and Jiti GAO

18/11: Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model

Pipat Wongsaart and Jiti GAO

17/11: Semiparametric Estimation in Multivariate Nonstationary Time Series Models

Jiti GAO and Peter C. B. Phillips

16/11: Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates

Degui Li, Zudi Lu and Oliver Bruce Linton

15/11: Semiparametric Trending Panel Data Models with Cross-Sectional Dependence

Jia Chen, Jiti GAO and Degui Li

14/11: Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects

Jia Chen, Jiti GAO and Degui Li

13/11: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

Jiti GAO, Degui Li and Dag Tjøstheim

12/11: Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

Jia Chen, Jiti GAO and Degui Li

11/11: Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models

Jason Ng, Catherine Scipione Forbes, Gael Margaret Martin and Brendan McCabe

10/11: Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density

Xibin Zhang, Maxwell Leslie King and Han Lin Shang