Details about Jiti GAO

Homepage:	http://users.monash.edu/~jgao
Phone:	61399031675
Postal address:	Department of Econometrics and Business Statistics Monash University at Caulfield 900 Dandenong Road Caulfield East, Victoria 3145 Australia
Workplace:	Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Jiti GAO.

Last updated 2024-05-19. Update your information in the RePEc Author Service.

Short-id: pga362

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Working Papers

2024

1. Estimation and Inference for Three-Dimensional Panel Data Models
   Papers, arXiv.org
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2023)
2. Estimation and Inference for a Class of Generalized Hierarchical Models
   Papers, arXiv.org
3. Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy
   Papers, arXiv.org
4. Robust Inference for High-Dimensional Panel Data Models
   Papers, arXiv.org
5. Semiparametric Single-Index Estimation for Average Treatment Effects
   Papers, arXiv.org

2023

6. Does Climate Sensitivity Differ Across Regions?
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
7. Eigen-Analysis for High-Dimensional Time Series Clustering
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
8. Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects
   Papers, arXiv.org
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2022)
9. Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
10. Higher-order Expansions and Inference for Panel Data Models
    Papers, arXiv.org View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2023)
11. Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in Papers, arXiv.org (2023)
12. Smoothing the Nonsmoothness
    Papers, arXiv.org
13. Time-Varying Vector Error-Correction Models: Estimation and Inference
    Papers, arXiv.org
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2023)

2022

14. A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
15. Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach, Energy Economics, Elsevier (2023) View citations (2) (2023)
16. GMM Estimation for High-Dimensional Panel Data Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
17. Multi-Level Panel Data Models: Estimation and Empirical Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
18. Nonparametric Estimation and Testing for Time-Varying VAR Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
19. Time-Varying Multivariate Causal Processes
    Papers, arXiv.org
    See also Journal Article Time-varying multivariate causal processes, Journal of Econometrics, Elsevier (2024) (2024)

2021

20. Asymptotics for Time-Varying Vector MA(∞) Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
21. Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects
    Papers, arXiv.org
    See also Journal Article Binary response models for heterogeneous panel data with interactive fixed effects, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
22. Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice
    Papers, arXiv.org
23. On Time-Varying VAR models: Estimation, Testing and Impulse Response Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
24. Parameter Stability Testing for Multivariate Dynamic Time-Varying Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
25. Productivity Convergence in Manufacturing: A Hierarchical Panel Data Approach
    Papers, arXiv.org
26. Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
    MPRA Paper, University Library of Munich, Germany
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2021)
    See also Journal Article Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (1) (2022)
27. Time Series Forecasting Using a Mixture of Stationary and Nonstationary Predictors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in MPRA Paper, University Library of Munich, Germany (2021)

2020

28. A Class of Time-Varying Vector Moving Average (infinity) Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
29. A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application
    Papers, arXiv.org
30. Estimation and Testing for High-Dimensional Near Unit Root Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
31. Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
32. Most Powerful Test against High Dimensional Free Alternatives
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
33. On Income and Price Elasticities for Energy Demand: A Panel Data Study
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    See also Journal Article On income and price elasticities for energy demand: A panel data study, Energy Economics, Elsevier (2021) View citations (9) (2021)
34. On Time Trend of COVID-19: A Panel Data Study
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
35. Time-Varying Panel Data Models with an Additive Factor Structure
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2019

36. A Near Unit Root Test for High-Dimensional Nonstationary Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
37. An Integrated Panel Data Approach to Modelling Economic Growth
    Papers, arXiv.org
    See also Journal Article An integrated panel data approach to modelling economic growth, Journal of Econometrics, Elsevier (2022) View citations (5) (2022)
38. Estimation of Cross-Sectional Dependence in Large Panels
    Papers, arXiv.org
39. Global Temperatures and Greenhouse Gases: A Common Features Approach
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2019)
    See also Journal Article Global temperatures and greenhouse gases: A common features approach, Journal of Econometrics, Elsevier (2022) View citations (8) (2022)
40. Inter-City Spillover and Intra-City Agglomeration Effects among Local Labour Markets in China
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (1)
41. Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
42. Nonparametric Predictive Regressions for Stock Return Prediction
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
43. Semiparametric Single-index Predictive Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
44. Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
45. Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
46. Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (11) (2021)

2018

47. Estimation in semiparametric quantile factor models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
48. High Dimensional Semiparametric Moment Restriction Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (3)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) View citations (3)
    See also Journal Article High dimensional semiparametric moment restriction models, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
49. Inference on a semiparametric model with global power law and local nonparametric trends
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017)
    See also Journal Article INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS, Econometric Theory, Cambridge University Press (2020) View citations (5) (2020)
50. Inter-regional spillover and intra-regional agglomeration effects among local labour markets in China
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
51. Modelling time-varying income elasticities of health care expenditure for the OECD
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
52. Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017)
53. On endogeneity and shape invariance in extended partially linear single index models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article On endogeneity and shape invariance in extended partially linear single index models, Econometric Reviews, Taylor & Francis Journals (2020) (2020)
54. Regime switching in the presence of endogeneity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
55. Regime switching panel data models with interative fixed effects
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    See also Journal Article Regime switching panel data models with interactive fixed effects, Economics Letters, Elsevier (2019) View citations (2) (2019)
56. Series estimation for single-index models under constraints
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
57. Varying-coefficient panel data models with partially observed factor structure
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

2017

58. A panel data analysis of hospital variations in length of stay for hip replacements: Private versus public
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
59. A simple nonlinear predictive model for stock returns
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
60. Bayesian estimation based on summary statistics: Double asymptotics and practice
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
61. Estimation and inference in semiparametric quantile factor models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
    See also Journal Article Estimation and inference in semiparametric quantile factor models, Journal of Econometrics, Elsevier (2021) View citations (11) (2021)
62. Heterogeneous panel data models with cross-sectional dependence
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
63. Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression, Journal of Econometrics, Elsevier (2020) View citations (5) (2020)
64. Kernel-based inference in time-varying coefficient models with multiple integrated regressors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
65. Local logit regression for recovery rate
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
66. Nonparametric kernel estimation of the impact of tax policy on the demand for private health insurance in Australia
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2015)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2015)
67. Recursive estimation in large panel data models: Theory and practice
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (8)
    See also Journal Article Recursive estimation in large panel data models: Theory and practice, Journal of Econometrics, Elsevier (2021) View citations (14) (2021)

2016

68. A Frequency Approach to Bayesian Asymptotics
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
69. A Quantile Regression Approach to Panel Data Analysis of Health Care Expenditure in OECD Countries
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
70. Another Look at Single-Index Models Based on Series Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
71. Bayesian Indirect Inference and the ABC of GMM
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
72. CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
73. CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
74. Error-in-Variables Jump Regression Using Local Clustering
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
75. Estimation of Technical Change and Price Elasticities: A Categorical Time-varying Coefficient Approach
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article Estimation of technical change and price elasticities: a categorical time–varying coefficient approach, Journal of Productivity Analysis, Springer (2018) (2018)
76. Nonparametric Localized Bandwidth Selection for Kernel Density Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article Nonparametric localized bandwidth selection for Kernel density estimation, Econometric Reviews, Taylor & Francis Journals (2019) (2019)
77. Specification Testing for Nonlinear Multivariate Cointegrating Regressions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2014) View citations (1)
    See also Journal Article Specification testing for nonlinear multivariate cointegrating regressions, Journal of Econometrics, Elsevier (2017) View citations (10) (2017)

2015

78. A New Class of Bivariate Threshold Cointegration Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    See also Journal Article A New Class of Bivariate Threshold Cointegration Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (4) (2017)
79. A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
    See also Journal Article A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks, Journal of Econometrics, Elsevier (2017) View citations (23) (2017)
80. Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) (2019)
81. Cross-sectional Independence Test for a Class of Parametric Panel Data Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
82. Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
83. Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
84. Testing for a Structural Break in Dynamic Panel Data Models with Common Factors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
85. Variable Selection for a Categorical Varying-Coefficient Model with Identifications for Determinants of Body Mass Index
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2014

86. A Computational Implementation of GMM
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
87. Econometric Time Series Specification Testing in a Class of Multiplicative Error Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
88. Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
89. High Dimensional Correlation Matrices: CLT and Its Applications
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
90. Nonparametric Regression Approach to Bayesian Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
91. Semiparametric Localized Bandwidth Selection for Kernel Density Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
92. Semiparametric Localized Bandwidth Selection in Kernel Density Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
93. Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
94. Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article Semiparametric single-index panel data models with cross-sectional dependence, Journal of Econometrics, Elsevier (2015) View citations (25) (2015)
95. Specification Testing in Nonstationary Time Series Models
    Discussion Papers, Department of Economics, University of York
    See also Journal Article Specification testing in nonstationary time series models, Econometrics Journal, Royal Economic Society (2015) View citations (5) (2015)
96. Specification Testing in Structural Nonparametric Cointegration
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)

2013

97. Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
98. Estimating Smooth Structural Change in Cointegration Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (4)
    See also Journal Article Estimating smooth structural change in cointegration models, Journal of Econometrics, Elsevier (2017) View citations (41) (2017)
99. Functional Coefficient Nonstationary Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
100. Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (9)
101. Hermite Series Estimation in Nonlinear Cointegrating Models
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
102. Inference on Nonstationary Time Series with Moving Mean
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
     See also Journal Article INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN, Econometric Theory, Cambridge University Press (2016) View citations (2) (2016)
103. Non- and Semi-Parametric Panel Data Models: A Selective Review
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
104. Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
105. Orthogonal Expansion of Levy Process Functionals: Theory and Practice
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
106. Semi-parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
107. Testing Independence for a Large Number of High Dimensional Random Vectors
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
108. Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
     CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
     Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2011) View citations (1)
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2009) View citations (2)
     See also Journal Article UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES, Econometric Theory, Cambridge University Press (2015) View citations (10) (2015)
109. Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013)
     See also Journal Article UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION, Econometric Theory, Cambridge University Press (2016) View citations (7) (2016)

2012

110. An Improved Nonparametric Unit-Root Test
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
111. Expansion of Lévy Process Functionals and Its Application in Statistical Estimation
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
112. Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models
     MPRA Paper, University Library of Munich, Germany View citations (2)
113. Identification, Estimation and Specification in a Class of Semiparametic Time Series Models
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
114. Independence Test for High Dimensional Random Vectors
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
115. Model Specification between Parametric and Nonparametric Cointegration
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
116. Nonlinear Regression with Harris Recurrent Markov Chains
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
117. Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
     See also Journal Article Semiparametric methods in nonlinear time series analysis: a selective review, Journal of Nonparametric Statistics, Taylor & Francis Journals (2014) (2014)
118. Solving Replication Problems in Complete Market by Orthogonal Series Expansion
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
     See also Journal Article Solving replication problems in a complete market by orthogonal series expansion, The North American Journal of Economics and Finance, Elsevier (2013) View citations (5) (2013)
119. Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

2011

120. A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
121. Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
     See also Journal Article Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (29) (2013)
122. Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
     Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2010) View citations (4)
     See also Journal Article Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions, Econometric Reviews, Taylor & Francis Journals (2013) View citations (11) (2013)
123. Estimation in threshold autoregressive models with a stationary and a unit root regime
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (6)
     See also Journal Article Estimation in threshold autoregressive models with a stationary and a unit root regime, Journal of Econometrics, Elsevier (2013) View citations (13) (2013)
124. Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
125. Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
126. Semiparametric Estimation in Multivariate Nonstationary Time Series Models
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
127. Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
     Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2010) View citations (8)
     See also Journal Article Semiparametric trending panel data models with cross-sectional dependence, Journal of Econometrics, Elsevier (2012) View citations (59) (2012)

2010

128. Estimation in Semiparametric Time Series Regression
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (6)
129. Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (8)
     See also Journal Article Non‐parametric time‐varying coefficient panel data models with fixed effects, Econometrics Journal, Royal Economic Society (2011) View citations (78) (2011)
130. Semiparametric Estimation in Simultaneous Equations of Time Series Models
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (2)
131. Semiparametric Estimation in Time Series of Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
132. Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy

2009

133. A New Diagnostic Test for Cross-Section Independence in Nonparametric Panel Data Model
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (9)
134. Bandwidth Selection in Nonparametric Kernel Testing
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (10)
     See also Journal Article Bandwidth Selection in Nonparametric Kernel Testing, Journal of the American Statistical Association, American Statistical Association (2008) View citations (56) (2008)
135. Estimation in Threshold Autoregressive Models with Nonstationarity
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy
136. Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (29)
     See also Journal Article NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY, Econometric Theory, Cambridge University Press (2009) View citations (35) (2009)
137. Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (5)
138. Specification Testing in Nonlinear Time Series with Long-Range Dependence
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (5)
     See also Journal Article SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE, Econometric Theory, Cambridge University Press (2011) View citations (4) (2011)

2007

139. A test for model specification of diffusion processes
     MPRA Paper, University Library of Munich, Germany View citations (17)
140. Bandwidth selection for nonparametric kernel testing
     MPRA Paper, University Library of Munich, Germany
141. Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing
     MPRA Paper, University Library of Munich, Germany View citations (2)
142. Econometric estimation in long-range dependent volatility models: Theory and practice
     MPRA Paper, University Library of Munich, Germany View citations (1)
     See also Journal Article Econometric estimation in long-range dependent volatility models: Theory and practice, Journal of Econometrics, Elsevier (2008) View citations (16) (2008)
143. Econometric modelling in finance and risk management: An overview
     MPRA Paper, University Library of Munich, Germany View citations (1)
     See also Journal Article Econometric modelling in finance and risk management: An overview, Journal of Econometrics, Elsevier (2008) (2008)
144. Nonlinear time series: semiparametric and nonparametric methods
     MPRA Paper, University Library of Munich, Germany View citations (116)
145. Specification testing in discretized diffusion models: Theory and practice
     MPRA Paper, University Library of Munich, Germany View citations (1)
     See also Journal Article Specification testing in discretized diffusion models: Theory and practice, Journal of Econometrics, Elsevier (2008) View citations (7) (2008)

2006

146. Estimation and model specification testing in nonparametric and semiparametric econometric models
     MPRA Paper, University Library of Munich, Germany View citations (1)
147. Semiparametric penalty function method in partially linear model selection
     MPRA Paper, University Library of Munich, Germany View citations (1)
148. Semiparametric spatial regression: theory and practice
     MPRA Paper, University Library of Munich, Germany View citations (12)

2005

149. Empirical comparisons in short-term interest rate models using nonparametric methods
     MPRA Paper, University Library of Munich, Germany View citations (2)
     See also Journal Article Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods, Journal of Financial Econometrics, Oxford University Press (2006) View citations (31) (2006)
150. Estimation in semiparametric spatial regression
     MPRA Paper, University Library of Munich, Germany
     Also in MPRA Paper, University Library of Munich, Germany (2003) View citations (6)

2004

151. Model Specification Testing in Nonparametric and Semiparametric Time Series Econometric Models
     Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (4)
152. Nonparametric and semiparametric regression model selection
     MPRA Paper, University Library of Munich, Germany View citations (2)

2003

153. Modeling long-range dependent Gaussian processes with application in continuous-time financial models
     MPRA Paper, University Library of Munich, Germany

2001

154. Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency
     MPRA Paper, University Library of Munich, Germany
     See also Journal Article Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency, Stochastic Processes and their Applications, Elsevier (2002) View citations (6) (2002)

2000

155. Partially linear models
     MPRA Paper, University Library of Munich, Germany View citations (179)

1994

156. Asymptotic theory for partly linear models
     MPRA Paper, University Library of Munich, Germany View citations (8)

Journal Articles

2024

1. Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
   Journal of Business & Economic Statistics, 2024, 42, (1), 310-321
2. Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
   Journal of Business & Economic Statistics, 2024, 42, (1), 122-134
3. Semi-parametric single-index predictive regression models with cointegrated regressors
   Journal of Econometrics, 2024, 238, (1)
4. Time-varying multivariate causal processes
   Journal of Econometrics, 2024, 240, (1)
   See also Working Paper Time-Varying Multivariate Causal Processes, Papers (2022) (2022)

2023

5. Binary response models for heterogeneous panel data with interactive fixed effects
   Journal of Econometrics, 2023, 235, (2), 1654-1679 View citations (1)
   See also Working Paper Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects, Papers (2021) (2021)
6. Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach
   Energy Economics, 2023, 125, (C) View citations (2)
   See also Working Paper Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach, Monash Econometrics and Business Statistics Working Papers (2022) (2022)
7. High dimensional semiparametric moment restriction models
   Journal of Econometrics, 2023, 232, (2), 320-345 View citations (1)
   See also Working Paper High Dimensional Semiparametric Moment Restriction Models, Cambridge Working Papers in Economics (2018) View citations (3) (2018)
8. Most powerful test against a sequence of high dimensional local alternatives
   Journal of Econometrics, 2023, 234, (1), 151-177

2022

9. An integrated panel data approach to modelling economic growth
   Journal of Econometrics, 2022, 228, (2), 379-397 View citations (5)
   See also Working Paper An Integrated Panel Data Approach to Modelling Economic Growth, Papers (2019) (2019)
10. Chaohua Dong, Jiti Gao and Oliver Linton’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes
    Journal of the Royal Statistical Society Series B, 2022, 84, (3), 707-708
11. Global temperatures and greenhouse gases: A common features approach
    Journal of Econometrics, 2022, 230, (2), 240-254 View citations (8)
    See also Working Paper Global Temperatures and Greenhouse Gases: A Common Features Approach, Monash Econometrics and Business Statistics Working Papers (2019) (2019)
12. Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
    Journal of Business & Economic Statistics, 2022, 40, (4), 1784-1802 View citations (1)
    See also Working Paper Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients, MPRA Paper (2021) (2021)

2021

13. A panel data model of length of stay in hospitals for hip replacements
    Econometric Reviews, 2021, 40, (7), 688-707 View citations (1)
14. Estimation and inference in semiparametric quantile factor models
    Journal of Econometrics, 2021, 222, (1), 295-323 View citations (11)
    See also Working Paper Estimation and inference in semiparametric quantile factor models, Monash Econometrics and Business Statistics Working Papers (2017) View citations (4) (2017)
15. Local logit regression for loan recovery rate
    Journal of Banking & Finance, 2021, 126, (C) View citations (4)
16. On income and price elasticities for energy demand: A panel data study
    Energy Economics, 2021, 96, (C) View citations (9)
    See also Working Paper On Income and Price Elasticities for Energy Demand: A Panel Data Study, Monash Econometrics and Business Statistics Working Papers (2020) View citations (1) (2020)
17. Recursive estimation in large panel data models: Theory and practice
    Journal of Econometrics, 2021, 224, (2), 439-465 View citations (14)
    See also Working Paper Recursive estimation in large panel data models: Theory and practice, Monash Econometrics and Business Statistics Working Papers (2017) View citations (8) (2017)
18. Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone
    Journal of Applied Econometrics, 2021, 36, (3), 328-345 View citations (11)
    See also Working Paper Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone, Monash Econometrics and Business Statistics Working Papers (2019) View citations (2) (2019)
19. Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
    Journal of Business & Economic Statistics, 2021, 39, (3), 700-711 View citations (11)

2020

20. INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS
    Econometric Theory, 2020, 36, (2), 223-249 View citations (5)
    See also Working Paper Inference on a semiparametric model with global power law and local nonparametric trends, CeMMAP working papers (2018) (2018)
21. Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
    Journal of Econometrics, 2020, 215, (2), 607-632 View citations (5)
    See also Working Paper Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Cowles Foundation Discussion Papers (2017) (2017)
22. On endogeneity and shape invariance in extended partially linear single index models
    Econometric Reviews, 2020, 39, (4), 415-435
    See also Working Paper On endogeneity and shape invariance in extended partially linear single index models, Monash Econometrics and Business Statistics Working Papers (2018) (2018)

2019

23. Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models
    Journal of Business & Economic Statistics, 2019, 37, (1), 1-12
    See also Working Paper Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models, Monash Econometrics and Business Statistics Working Papers (2015) View citations (2) (2015)
24. Estimation in a semiparametric panel data model with nonstationarity
    Econometric Reviews, 2019, 38, (8), 961-977 View citations (2)
25. Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
    Econometric Reviews, 2019, 38, (2), 125-150 View citations (3)
26. Nonparametric localized bandwidth selection for Kernel density estimation
    Econometric Reviews, 2019, 38, (7), 733-762
    See also Working Paper Nonparametric Localized Bandwidth Selection for Kernel Density Estimation, Monash Econometrics and Business Statistics Working Papers (2016) (2016)
27. Regime switching panel data models with interactive fixed effects
    Economics Letters, 2019, 177, (C), 47-51 View citations (2)
    See also Working Paper Regime switching panel data models with interative fixed effects, Monash Econometrics and Business Statistics Working Papers (2018) View citations (1) (2018)

2018

28. A frequentist approach to Bayesian asymptotics
    Journal of Econometrics, 2018, 206, (2), 359-378 View citations (1)
29. A quantile regression approach to panel data analysis of health‐care expenditure in Organisation for Economic Co‐operation and Development countries
    Health Economics, 2018, 27, (12), 1921-1944 View citations (3)
30. Estimation of technical change and price elasticities: a categorical time–varying coefficient approach
    Journal of Productivity Analysis, 2018, 50, (3), 117-138
    See also Working Paper Estimation of Technical Change and Price Elasticities: A Categorical Time-varying Coefficient Approach, Monash Econometrics and Business Statistics Working Papers (2016) (2016)
31. Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
    Journal of Business & Economic Statistics, 2018, 36, (1), 88-100 View citations (20)
32. SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY
    Econometric Theory, 2018, 34, (4), 754-789 View citations (9)

2017

33. A New Class of Bivariate Threshold Cointegration Models
    Journal of Business & Economic Statistics, 2017, 35, (2), 288-305 View citations (4)
    See also Working Paper A New Class of Bivariate Threshold Cointegration Models, Monash Econometrics and Business Statistics Working Papers (2015) View citations (1) (2015)
34. A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks
    Journal of Econometrics, 2017, 196, (1), 68-82 View citations (23)
    See also Working Paper A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks, Monash Econometrics and Business Statistics Working Papers (2015) View citations (5) (2015)
35. Estimating smooth structural change in cointegration models
    Journal of Econometrics, 2017, 196, (1), 180-195 View citations (41)
    See also Working Paper Estimating Smooth Structural Change in Cointegration Models, Monash Econometrics and Business Statistics Working Papers (2013) View citations (4) (2013)
36. High dimensional correlation matrices: the central limit theorem and its applications
    Journal of the Royal Statistical Society Series B, 2017, 79, (3), 677-693 View citations (6)
37. Specification testing for nonlinear multivariate cointegrating regressions
    Journal of Econometrics, 2017, 200, (1), 104-117 View citations (10)
    See also Working Paper Specification Testing for Nonlinear Multivariate Cointegrating Regressions, Monash Econometrics and Business Statistics Working Papers (2016) (2016)

2016

38. INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN
    Econometric Theory, 2016, 32, (2), 431-457 View citations (2)
    See also Working Paper Inference on Nonstationary Time Series with Moving Mean, Monash Econometrics and Business Statistics Working Papers (2013) (2013)
39. UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
    Econometric Theory, 2016, 32, (3), 655-685 View citations (7)
    See also Working Paper Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression, Cowles Foundation Discussion Papers (2013) (2013)

2015

40. A misspecification test for multiplicative error models of non-negative time series processes
    Journal of Econometrics, 2015, 189, (2), 346-359 View citations (9)
41. Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
    Econometric Reviews, 2015, 34, (6-10), 849-881 View citations (4)
42. Semiparametric single-index panel data models with cross-sectional dependence
    Journal of Econometrics, 2015, 188, (1), 301-312 View citations (25)
    See also Working Paper Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence, Monash Econometrics and Business Statistics Working Papers (2014) (2014)
43. Specification testing in nonstationary time series models
    Econometrics Journal, 2015, 18, (1), 117-136 View citations (5)
    See also Working Paper Specification Testing in Nonstationary Time Series Models, Discussion Papers (2014) (2014)
44. UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
    Econometric Theory, 2015, 31, (5), 911-952 View citations (10)
    See also Working Paper Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series, CREATES Research Papers (2013) View citations (6) (2013)

2014

45. Semiparametric methods in nonlinear time series analysis: a selective review
    Journal of Nonparametric Statistics, 2014, 26, (1), 141-169
    See also Working Paper Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review, Monash Econometrics and Business Statistics Working Papers (2012) (2012)
46. Testing Independence Among a Large Number of High-Dimensional Random Vectors
    Journal of the American Statistical Association, 2014, 109, (506), 600-612 View citations (12)

2013

47. Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects
    Journal of Business & Economic Statistics, 2013, 31, (3), 315-330 View citations (29)
    See also Working Paper Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects, Monash Econometrics and Business Statistics Working Papers (2011) View citations (5) (2011)
48. Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
    Econometric Reviews, 2013, 32, (8), 928-955 View citations (11)
    See also Working Paper Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions, Monash Econometrics and Business Statistics Working Papers (2011) View citations (5) (2011)
49. Estimation in threshold autoregressive models with a stationary and a unit root regime
    Journal of Econometrics, 2013, 172, (1), 1-13 View citations (13)
    See also Working Paper Estimation in threshold autoregressive models with a stationary and a unit root regime, Monash Econometrics and Business Statistics Working Papers (2011) View citations (6) (2011)
50. Semiparametric estimation in triangular system equations with nonstationarity
    Journal of Econometrics, 2013, 176, (1), 59-79 View citations (28)
51. Solving replication problems in a complete market by orthogonal series expansion
    The North American Journal of Economics and Finance, 2013, 25, (C), 306-317 View citations (5)
    See also Working Paper Solving Replication Problems in Complete Market by Orthogonal Series Expansion, Monash Econometrics and Business Statistics Working Papers (2012) View citations (5) (2012)

2012

52. A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS
    Econometric Theory, 2012, 28, (5), 1144-1163 View citations (32)
53. Comments on: Some recent theory for autoregressive count time series
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2012, 21, (3), 459-463
54. Semiparametric trending panel data models with cross-sectional dependence
    Journal of Econometrics, 2012, 171, (1), 71-85 View citations (59)
    See also Working Paper Semiparametric Trending Panel Data Models with Cross-Sectional Dependence, Monash Econometrics and Business Statistics Working Papers (2011) View citations (5) (2011)

2011

55. Non‐parametric time‐varying coefficient panel data models with fixed effects
    Econometrics Journal, 2011, 14, (3), 387-408 View citations (78)
    See also Working Paper Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects, School of Economics and Public Policy Working Papers (2010) View citations (8) (2010)
56. SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION
    Econometric Theory, 2011, 27, (4), 792-843 View citations (2)
57. SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE
    Econometric Theory, 2011, 27, (2), 260-284 View citations (4)
    See also Working Paper Specification Testing in Nonlinear Time Series with Long-Range Dependence, School of Economics and Public Policy Working Papers (2009) View citations (5) (2009)

2009

58. Local Linear M‐estimation in non‐parametric spatial regression
    Journal of Time Series Analysis, 2009, 30, (3), 286-314 View citations (6)
59. Modelling and managing financial risk: An overview
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2521-2524 View citations (3)
60. NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
    Econometric Theory, 2009, 25, (6), 1869-1892 View citations (35)
    See also Working Paper Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity, School of Economics and Public Policy Working Papers (2009) View citations (29) (2009)

2008

61. Bandwidth Selection in Nonparametric Kernel Testing
    Journal of the American Statistical Association, 2008, 103, (484), 1584-1594 View citations (56)
    See also Working Paper Bandwidth Selection in Nonparametric Kernel Testing, School of Economics and Public Policy Working Papers (2009) View citations (10) (2009)
62. Central limit theorems for generalized -statistics with applications in nonparametric specification
    Journal of Nonparametric Statistics, 2008, 20, (1), 61-76 View citations (4)
63. Econometric estimation in long-range dependent volatility models: Theory and practice
    Journal of Econometrics, 2008, 147, (1), 72-83 View citations (16)
    See also Working Paper Econometric estimation in long-range dependent volatility models: Theory and practice, MPRA Paper (2007) View citations (1) (2007)
64. Econometric modelling in finance and risk management: An overview
    Journal of Econometrics, 2008, 147, (1), 1-4
    See also Working Paper Econometric modelling in finance and risk management: An overview, MPRA Paper (2007) View citations (1) (2007)
65. Moment inequalities for spatial processes
    Statistics & Probability Letters, 2008, 78, (6), 687-697 View citations (3)
66. Nonparametric simultaneous testing for structural breaks
    Journal of Econometrics, 2008, 143, (1), 123-142 View citations (9)
67. Specification testing in discretized diffusion models: Theory and practice
    Journal of Econometrics, 2008, 147, (1), 131-140 View citations (7)
    See also Working Paper Specification testing in discretized diffusion models: Theory and practice, MPRA Paper (2007) View citations (1) (2007)

2007

68. An adaptive empirical likelihood test for parametric time series regression models
    Journal of Econometrics, 2007, 141, (2), 950-972 View citations (19)
69. Nonparametric Methods in Continuous Time Model Specification
    Econometric Reviews, 2007, 26, (1), 91-106

2006

70. Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods
    Journal of Financial Econometrics, 2006, 4, (2), 310-345 View citations (31)
    See also Working Paper Empirical comparisons in short-term interest rate models using nonparametric methods, MPRA Paper (2005) View citations (2) (2005)
71. Semiparametric estimation and testing of the trend of temperature series
    Econometrics Journal, 2006, 9, (2), 332-355 View citations (37)

2005

72. Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information
    Pacific-Basin Finance Journal, 2005, 13, (2), 225-245 View citations (7)

2004

73. ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
    Econometric Theory, 2004, 20, (5), 844-882 View citations (28)
74. Computer-Intensive Time-Varying Model Approach to the Systematic Risk of Australian Industrial Stock Returns
    Australian Journal of Management, 2004, 29, (1), 121-145 View citations (9)
75. Semiparametric non‐linear time series model selection
    Journal of the Royal Statistical Society Series B, 2004, 66, (2), 321-336 View citations (9)

2002

76. Model Specification Tests in Nonparametric Stochastic Regression Models
    Journal of Multivariate Analysis, 2002, 83, (2), 324-359 View citations (20)
77. Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency
    Stochastic Processes and their Applications, 2002, 99, (2), 295-321 View citations (6)
    See also Working Paper Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency, MPRA Paper (2001) (2001)

2001

78. Parameter Estimation of Stochastic Processes with Long‐range Dependence and Intermittency
    Journal of Time Series Analysis, 2001, 22, (5), 517-535 View citations (9)

2000

79. A central limit theorem for a random quadratic form of strictly stationary processes
    Statistics & Probability Letters, 2000, 49, (1), 69-79 View citations (6)

1997

80. Statistical Inference in Single-Index and Partially Nonlinear Models
    Annals of the Institute of Statistical Mathematics, 1997, 49, (3), 493-517 View citations (16)

1995

81. Asymptotic normality of pseudo-LS estimator for partly linear autoregression models
    Statistics & Probability Letters, 1995, 23, (1), 27-34 View citations (1)
82. The laws of the iterated logarithm of some estimates in partly linear models
    Statistics & Probability Letters, 1995, 25, (2), 153-162 View citations (13)

Chapters

2023

1. Non-Stationary Parametric Single-Index Predictive Models: Simulation and Empirical Studies
   A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 349-365

2020

2. The Determinants of Health Care Expenditure and Trends: A Semiparametric Panel Data Analysis of OECD Countries
   A chapter in Essays in Honor of Cheng Hsiao, 2020, vol. 41, pp 191-216

2014

3. Specification Testing in Parametric Trending Models with Unknown Errors
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 151-202 View citations (1)