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 2023-06-12. Update your information in the RePEc Author Service.

Short-id: pga362

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Working Papers

2023

1. A Localized Neural Network with Dependent Data: Estimation and Inference
   Papers, arXiv.org
2. 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)
3. Higher-order Expansions and Inference for Panel Data Models
   Papers, arXiv.org View citations (1)
4. Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models
   Papers, arXiv.org
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2023)
5. Time-Varying Vector Error-Correction Models: Estimation and Inference
   Papers, arXiv.org

2022

6. A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
7. 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
8. GMM Estimation for High-Dimensional Panel Data Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
9. Multi-Level Panel Data Models: Estimation and Empirical Analysis
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
10. Nonparametric Estimation and Testing for Time-Varying VAR Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
11. Semiparametric Single-Index Estimation for Average Treatment Effects
    Papers, arXiv.org
12. Time-Varying Multivariate Causal Processes
    Papers, arXiv.org

2021

13. Asymptotics for Time-Varying Vector MA(∞) Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
14. Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects
    Papers, arXiv.org
15. Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice
    Papers, arXiv.org
16. 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
17. Parameter Stability Testing for Multivariate Dynamic Time-Varying Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
18. Productivity Convergence in Manufacturing: A Hierarchical Panel Data Approach
    Papers, arXiv.org
19. 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 in Journal of Business & Economic Statistics (2022)
20. 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

21. 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)
22. A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application
    Papers, arXiv.org
23. 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)
24. 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
25. Most Powerful Test against High Dimensional Free Alternatives
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
26. 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 in Energy Economics (2021)
27. 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)
28. 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

29. 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)
30. An Integrated Panel Data Approach to Modelling Economic Growth
    Papers, arXiv.org
    See also Journal Article in Journal of Econometrics (2022)
31. Estimation of Cross-Sectional Dependence in Large Panels
    Papers, arXiv.org
32. 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 in Journal of Econometrics (2022)
33. 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)
34. 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)
35. Nonparametric Predictive Regressions for Stock Return Prediction
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
36. Semiparametric Single-index Predictive Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
37. Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
38. 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
39. 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 in Journal of Applied Econometrics (2021)

2018

40. Estimation in semiparametric quantile factor models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
41. 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 (2018) View citations (3)
    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 (2017) View citations (1)
    See also Journal Article in Journal of Econometrics (2023)
42. 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 in Econometric Theory (2020)
43. 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
44. 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
45. 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)
46. 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 in Econometric Reviews (2020)
47. Regime switching in the presence of endogeneity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
48. 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 in Economics Letters (2019)
49. Series estimation for single-index models under constraints
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
50. 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

51. 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
52. A simple nonlinear predictive model for stock returns
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
53. 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)
54. 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 in Journal of Econometrics (2021)
55. 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)
56. 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 in Journal of Econometrics (2020)
57. 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)
58. Local logit regression for recovery rate
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
59. 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 Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2015)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2015)
60. 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 in Journal of Econometrics (2021)

2016

61. A Frequency Approach to Bayesian Asymptotics
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
62. 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)
63. 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)
64. 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)
65. 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
66. 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
67. Error-in-Variables Jump Regression Using Local Clustering
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
68. 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 in Journal of Productivity Analysis (2018)
69. 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 in Econometric Reviews (2019)
70. 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 in Journal of Econometrics (2017)

2015

71. 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 in Journal of Business & Economic Statistics (2017)
72. 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 in Journal of Econometrics (2017)
73. 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 in Journal of Business & Economic Statistics (2019)
74. 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)
75. 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)
76. 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)
77. 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
78. 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

79. A Computational Implementation of GMM
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
80. 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
81. 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)
82. 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)
83. Nonparametric Regression Approach to Bayesian Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
84. 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)
85. 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)
86. 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
87. 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 in Journal of Econometrics (2015)
88. Specification Testing in Nonstationary Time Series Models
    Discussion Papers, Department of Economics, University of York
    See also Journal Article in Econometrics Journal (2015)
89. 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

90. Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
91. 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 in Journal of Econometrics (2017)
92. Functional Coefficient Nonstationary Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)
93. 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)
94. 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)
95. 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 in Econometric Theory (2016)
96. 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)
97. 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)
98. Orthogonal Expansion of Levy Process Functionals: Theory and Practice
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
99. 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)
100. 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
101. 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 School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2009) View citations (2)
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2011) View citations (1)
     See also Journal Article in Econometric Theory (2015)
102. 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 in Econometric Theory (2016)

2012

103. An Improved Nonparametric Unit-Root Test
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
104. 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)
105. Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models
     MPRA Paper, University Library of Munich, Germany View citations (2)
106. 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)
107. 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)
108. 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)
109. Nonlinear Regression with Harris Recurrent Markov Chains
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
110. 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 in Journal of Nonparametric Statistics (2014)
111. 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 (4)
     See also Journal Article in The North American Journal of Economics and Finance (2013)
112. 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

113. 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)
114. 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 in Journal of Business & Economic Statistics (2013)
115. 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 in Econometric Reviews (2013)
116. 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 in Journal of Econometrics (2013)
117. 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
118. Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model
     Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
119. 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)
120. 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 in Journal of Econometrics (2012)

2010

121. 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)
122. 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 (7)
     See also Journal Article in Econometrics Journal (2011)
123. 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)
124. Semiparametric Estimation in Time Series of Simultaneous Equations
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
125. 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

126. 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)
127. 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 in Journal of the American Statistical Association (2008)
128. Estimation in Threshold Autoregressive Models with Nonstationarity
     School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy
129. 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 (28)
     See also Journal Article in Econometric Theory (2009)
130. 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)
131. 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 in Econometric Theory (2011)

2007

132. A test for model specification of diffusion processes
     MPRA Paper, University Library of Munich, Germany View citations (17)
133. Bandwidth selection for nonparametric kernel testing
     MPRA Paper, University Library of Munich, Germany
134. 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)
135. 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 in Journal of Econometrics (2008)
136. Econometric modelling in finance and risk management: An overview
     MPRA Paper, University Library of Munich, Germany View citations (1)
     See also Journal Article in Journal of Econometrics (2008)
137. Nonlinear time series: semiparametric and nonparametric methods
     MPRA Paper, University Library of Munich, Germany View citations (111)
138. Specification testing in discretized diffusion models: Theory and practice
     MPRA Paper, University Library of Munich, Germany View citations (1)
     See also Journal Article in Journal of Econometrics (2008)

2006

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

2005

142. 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 in The Journal of Financial Econometrics (2006)
143. 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

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

2003

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

2001

147. Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency
     MPRA Paper, University Library of Munich, Germany
     See also Journal Article in Stochastic Processes and their Applications (2002)

2000

148. Partially linear models
     MPRA Paper, University Library of Munich, Germany View citations (174)

1994

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

Journal Articles

2023

1. High dimensional semiparametric moment restriction models
   Journal of Econometrics, 2023, 232, (2), 320-345
   See also Working Paper (2018)
2. Most powerful test against a sequence of high dimensional local alternatives
   Journal of Econometrics, 2023, 234, (1), 151-177

2022

3. An integrated panel data approach to modelling economic growth
   Journal of Econometrics, 2022, 228, (2), 379-397 View citations (3)
   See also Working Paper (2019)
4. 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
5. Global temperatures and greenhouse gases: A common features approach
   Journal of Econometrics, 2022, 230, (2), 240-254 View citations (2)
   See also Working Paper (2019)
6. Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
   Journal of Business & Economic Statistics, 2022, 40, (4), 1784-1802
   See also Working Paper (2021)

2021

7. A panel data model of length of stay in hospitals for hip replacements
   Econometric Reviews, 2021, 40, (7), 688-707
8. Estimation and inference in semiparametric quantile factor models
   Journal of Econometrics, 2021, 222, (1), 295-323 View citations (11)
   See also Working Paper (2017)
9. Local logit regression for loan recovery rate
   Journal of Banking & Finance, 2021, 126, (C) View citations (3)
10. On income and price elasticities for energy demand: A panel data study
    Energy Economics, 2021, 96, (C) View citations (6)
    See also Working Paper (2020)
11. Recursive estimation in large panel data models: Theory and practice
    Journal of Econometrics, 2021, 224, (2), 439-465 View citations (10)
    See also Working Paper (2017)
12. Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone
    Journal of Applied Econometrics, 2021, 36, (3), 328-345 View citations (9)
    See also Working Paper (2019)
13. Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
    Journal of Business & Economic Statistics, 2021, 39, (3), 700-711 View citations (9)

2020

14. INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS
    Econometric Theory, 2020, 36, (2), 223-249 View citations (4)
    See also Working Paper (2018)
15. Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
    Journal of Econometrics, 2020, 215, (2), 607-632 View citations (2)
    See also Working Paper (2017)
16. On endogeneity and shape invariance in extended partially linear single index models
    Econometric Reviews, 2020, 39, (4), 415-435
    See also Working Paper (2018)

2019

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

2018

22. A frequentist approach to Bayesian asymptotics
    Journal of Econometrics, 2018, 206, (2), 359-378 View citations (1)
23. 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 (1)
24. 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 (2016)
25. Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
    Journal of Business & Economic Statistics, 2018, 36, (1), 88-100 View citations (16)
26. SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY
    Econometric Theory, 2018, 34, (4), 754-789 View citations (8)

2017

27. 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 (2015)
28. 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 (20)
    See also Working Paper (2015)
29. Estimating smooth structural change in cointegration models
    Journal of Econometrics, 2017, 196, (1), 180-195 View citations (37)
    See also Working Paper (2013)
30. 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 (5)
31. Specification testing for nonlinear multivariate cointegrating regressions
    Journal of Econometrics, 2017, 200, (1), 104-117 View citations (10)
    See also Working Paper (2016)

2016

32. INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN
    Econometric Theory, 2016, 32, (2), 431-457 View citations (2)
    See also Working Paper (2013)
33. UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
    Econometric Theory, 2016, 32, (3), 655-685 View citations (6)
    See also Working Paper (2013)

2015

34. A misspecification test for multiplicative error models of non-negative time series processes
    Journal of Econometrics, 2015, 189, (2), 346-359 View citations (8)
35. Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
    Econometric Reviews, 2015, 34, (6-10), 849-881 View citations (4)
36. Semiparametric single-index panel data models with cross-sectional dependence
    Journal of Econometrics, 2015, 188, (1), 301-312 View citations (24)
    See also Working Paper (2014)
37. Specification testing in nonstationary time series models
    Econometrics Journal, 2015, 18, (1), 117-136 View citations (5)
    See also Working Paper (2014)
38. UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
    Econometric Theory, 2015, 31, (5), 911-952 View citations (8)
    See also Working Paper (2013)

2014

39. Semiparametric methods in nonlinear time series analysis: a selective review
    Journal of Nonparametric Statistics, 2014, 26, (1), 141-169
    See also Working Paper (2012)
40. Testing Independence Among a Large Number of High-Dimensional Random Vectors
    Journal of the American Statistical Association, 2014, 109, (506), 600-612 View citations (11)

2013

41. 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 (2011)
42. 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 (2011)
43. 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 (2011)
44. Semiparametric estimation in triangular system equations with nonstationarity
    Journal of Econometrics, 2013, 176, (1), 59-79 View citations (27)
45. 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 (2012)

2012

46. A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS
    Econometric Theory, 2012, 28, (5), 1144-1163 View citations (29)
47. 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
48. Semiparametric trending panel data models with cross-sectional dependence
    Journal of Econometrics, 2012, 171, (1), 71-85 View citations (56)
    See also Working Paper (2011)

2011

49. Non‐parametric time‐varying coefficient panel data models with fixed effects
    Econometrics Journal, 2011, 14, (3), 387-408 View citations (68)
    See also Working Paper (2010)
50. SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION
    Econometric Theory, 2011, 27, (4), 792-843 View citations (1)
51. SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE
    Econometric Theory, 2011, 27, (2), 260-284 View citations (4)
    See also Working Paper (2009)

2009

52. Local Linear M‐estimation in non‐parametric spatial regression
    Journal of Time Series Analysis, 2009, 30, (3), 286-314 View citations (6)
53. Modelling and managing financial risk: An overview
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2521-2524 View citations (3)
54. NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
    Econometric Theory, 2009, 25, (6), 1869-1892 View citations (35)
    See also Working Paper (2009)

2008

55. Bandwidth Selection in Nonparametric Kernel Testing
    Journal of the American Statistical Association, 2008, 103, (484), 1584-1594 View citations (53)
    See also Working Paper (2009)
56. Central limit theorems for generalized -statistics with applications in nonparametric specification
    Journal of Nonparametric Statistics, 2008, 20, (1), 61-76 View citations (4)
57. 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 (2007)
58. Econometric modelling in finance and risk management: An overview
    Journal of Econometrics, 2008, 147, (1), 1-4
    See also Working Paper (2007)
59. Moment inequalities for spatial processes
    Statistics & Probability Letters, 2008, 78, (6), 687-697 View citations (3)
60. Nonparametric simultaneous testing for structural breaks
    Journal of Econometrics, 2008, 143, (1), 123-142 View citations (9)
61. Specification testing in discretized diffusion models: Theory and practice
    Journal of Econometrics, 2008, 147, (1), 131-140 View citations (6)
    See also Working Paper (2007)

2007

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

2006

64. Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods
    The Journal of Financial Econometrics, 2006, 4, (2), 310-345 View citations (31)
    See also Working Paper (2005)
65. Semiparametric estimation and testing of the trend of temperature series
    Econometrics Journal, 2006, 9, (2), 332-355 View citations (34)

2005

66. 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

67. ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
    Econometric Theory, 2004, 20, (5), 844-882 View citations (27)
68. 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)
69. Semiparametric non‐linear time series model selection
    Journal of the Royal Statistical Society Series B, 2004, 66, (2), 321-336 View citations (9)

2002

70. Model Specification Tests in Nonparametric Stochastic Regression Models
    Journal of Multivariate Analysis, 2002, 83, (2), 324-359 View citations (18)
71. 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 (2001)

2001

72. 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

73. 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

74. 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

75. Asymptotic normality of pseudo-LS estimator for partly linear autoregression models
    Statistics & Probability Letters, 1995, 23, (1), 27-34 View citations (1)
76. 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)