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Details about Jiti GAO

E-mail:
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 2019-10-21. Update your information in the RePEc Author Service.

Short-id: pga362


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Working Papers

2019

  1. 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 Downloads
  2. An Integrated Panel Data Approach to Modelling Economic Growth
    Papers, arXiv.org Downloads
  3. Estimation of Cross-Sectional Dependence in Large Panels
    Papers, arXiv.org Downloads
  4. Global temperatures and greenhouse gases - a common features approach
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
  5. Heterogeneous Panel Data Models with Cross-Sectional Dependence
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) Downloads
  6. Inter-City Spillover and Intra-City Agglomeration Effects among Local Labour Markets in China
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads
  7. Nonparametric Predictive Regressions for Stock Return Prediction
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)

2018

  1. Estimation in semiparametric quantile factor models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  2. High Dimensional Semiparametric Moment Restriction Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) Downloads
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) Downloads
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) Downloads View citations (1)
  3. 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 Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) Downloads
  4. 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 Downloads
  5. 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 Downloads
  6. 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 Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) Downloads
  7. 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 Downloads
  8. Regime switching in the presence of endogeneity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  9. Regime switching panel data models with interative fixed effects
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Economics Letters (2019)
  10. Series estimation for single-index models under constraints
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  11. 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 Downloads View citations (1)

2017

  1. 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 Downloads
  2. A simple nonlinear predictive model for stock returns
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  3. 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 Downloads View citations (2)
  4. Estimation and inference in semiparametric quantile factor models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  5. Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  6. 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 Downloads
  7. Local logit regression for recovery rate
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  8. 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 Downloads
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2015) Downloads
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2015) Downloads
  9. 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 Downloads

2016

  1. A Frequency Approach to Bayesian Asymptotics
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. 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 Downloads
  3. 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 Downloads
  4. Bayesian Indirect Inference and the ABC of GMM
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  5. 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 Downloads
  6. 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 Downloads
  7. Error-in-Variables Jump Regression Using Local Clustering
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  8. 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 Downloads
    See also Journal Article in Journal of Productivity Analysis (2018)
  9. Nonparametric Localized Bandwidth Selection for Kernel Density Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Econometric Reviews (2019)
  10. Specification Testing for Nonlinear Multivariate Cointegrating Regressions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2014) Downloads

    See also Journal Article in Journal of Econometrics (2017)

2015

  1. A New Class of Bivariate Threshold Cointegration Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2017)
  2. 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 Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2017)
  3. Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2019)
  4. 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 Downloads
  5. Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  6. 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 Downloads View citations (3)
  7. 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 Downloads
  8. 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 Downloads

2014

  1. A Computational Implementation of GMM
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
  2. 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 Downloads
  3. 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 Downloads View citations (1)
  4. High Dimensional Correlation Matrices: CLT and Its Applications
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  5. Nonparametric Regression Approach to Bayesian Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  6. Semiparametric Localized Bandwidth Selection for Kernel Density Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  7. Semiparametric Localized Bandwidth Selection in Kernel Density Estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  8. 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 Downloads
  9. 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 Downloads
    See also Journal Article in Journal of Econometrics (2015)
  10. Specification Testing in Nonstationary Time Series Models
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article in Econometrics Journal (2015)
  11. Specification Testing in Structural Nonparametric Cointegration
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)

2013

  1. Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Estimating Smooth Structural Change in Cointegration Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2017)
  3. Functional Coefficient Nonstationary Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  4. 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 Downloads View citations (4)
  5. Hermite Series Estimation in Nonlinear Cointegrating Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  6. Inference on Nonstationary Time Series with Moving Mean
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Econometric Theory (2016)
  7. 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 Downloads View citations (2)
  8. 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 Downloads View citations (1)
  9. Orthogonal Expansion of Levy Process Functionals: Theory and Practice
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  10. 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 Downloads View citations (1)
  11. 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 Downloads
  12. Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2011) Downloads
    School of Economics Working Papers, University of Adelaide, School of Economics (2009) Downloads View citations (2)

    See also Journal Article in Econometric Theory (2015)
  13. Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads

    See also Journal Article in Econometric Theory (2016)

2012

  1. An Improved Nonparametric Unit-Root Test
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
  2. 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 Downloads View citations (1)
  3. Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  4. 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 Downloads
  5. Independence Test for High Dimensional Random Vectors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  6. Model Specification between Parametric and Nonparametric Cointegration
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  7. Nonlinear Regression with Harris Recurrent Markov Chains
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  8. 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 Downloads
    See also Journal Article in Journal of Nonparametric Statistics (2014)
  9. 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 Downloads View citations (5)
    See also Journal Article in The North American Journal of Economics and Finance (2013)
  10. 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 Downloads View citations (2)

2011

  1. 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 Downloads View citations (2)
  2. 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 Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2013)
  3. 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 Downloads View citations (5)
    Also in School of Economics Working Papers, University of Adelaide, School of Economics (2010) Downloads View citations (3)

    See also Journal Article in Econometric Reviews (2013)
  4. 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 Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2013)
  5. 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 Downloads
  6. Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  7. Semiparametric Estimation in Multivariate Nonstationary Time Series Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
  8. Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    Also in School of Economics Working Papers, University of Adelaide, School of Economics (2010) Downloads View citations (8)

    See also Journal Article in Journal of Econometrics (2012)

2010

  1. Estimation in Semiparametric Time Series Regression
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (4)
  2. Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (7)
    See also Journal Article in Econometrics Journal (2011)
  3. Semiparametric Estimation in Simultaneous Equations of Time Series Models
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (1)
  4. Semiparametric Estimation in Time Series of Simultaneous Equations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  5. Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads

2009

  1. A New Diagnostic Test for Cross-Section Independence in Nonparametric Panel Data Model
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (9)
  2. Bandwidth Selection in Nonparametric Kernel Testing
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (10)
    See also Journal Article in Journal of the American Statistical Association (2008)
  3. Estimation in Threshold Autoregressive Models with Nonstationarity
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads
  4. Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (17)
    See also Journal Article in Econometric Theory (2009)
  5. Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (5)
  6. Specification Testing in Nonlinear Time Series with Long-Range Dependence
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (2)
    See also Journal Article in Econometric Theory (2011)

2007

  1. A test for model specification of diffusion processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (17)
  2. Bandwidth selection for nonparametric kernel testing
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  4. Econometric estimation in long-range dependent volatility models: Theory and practice
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2008)
  5. Econometric modelling in finance and risk management: An overview
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2008)
  6. Nonlinear time series: semiparametric and nonparametric methods
    MPRA Paper, University Library of Munich, Germany Downloads View citations (81)
  7. Specification testing in discretized diffusion models: Theory and practice
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2008)

2006

  1. Estimation and model specification testing in nonparametric and semiparametric econometric models
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Semiparametric penalty function method in partially linear model selection
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  3. Semiparametric spatial regression: theory and practice
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2005

  1. Empirical comparisons in short-term interest rate models using nonparametric methods
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Journal of Financial Econometrics (2006)
  2. Estimation in semiparametric spatial regression
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2003) Downloads View citations (6)

2004

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

2003

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

2001

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

2000

  1. Partially linear models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (138)

1994

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

Journal Articles

2019

  1. Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models
    Journal of Business & Economic Statistics, 2019, 37, (1), 1-12 Downloads
    See also Working Paper (2015)
  2. Estimation in a semiparametric panel data model with nonstationarity
    Econometric Reviews, 2019, 38, (8), 961-977 Downloads
  3. Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
    Econometric Reviews, 2019, 38, (2), 125-150 Downloads
  4. Nonparametric localized bandwidth selection for Kernel density estimation
    Econometric Reviews, 2019, 38, (7), 733-762 Downloads
    See also Working Paper (2016)
  5. Regime switching panel data models with interactive fixed effects
    Economics Letters, 2019, 177, (C), 47-51 Downloads
    See also Working Paper (2018)
  6. THE ET INTERVIEW: PROFESSOR MAX KING
    Econometric Theory, 2019, 35, (01), 1-36 Downloads

2018

  1. A frequentist approach to Bayesian asymptotics
    Journal of Econometrics, 2018, 206, (2), 359-378 Downloads
  2. 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 Downloads
  3. Estimation of technical change and price elasticities: a categorical time–varying coefficient approach
    Journal of Productivity Analysis, 2018, 50, (3), 117-138 Downloads
    See also Working Paper (2016)
  4. Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
    Journal of Business & Economic Statistics, 2018, 36, (1), 88-100 Downloads View citations (4)
  5. SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY
    Econometric Theory, 2018, 34, (04), 754-789 Downloads

2017

  1. A New Class of Bivariate Threshold Cointegration Models
    Journal of Business & Economic Statistics, 2017, 35, (2), 288-305 Downloads
    See also Working Paper (2015)
  2. 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 Downloads View citations (4)
    See also Working Paper (2015)
  3. Estimating smooth structural change in cointegration models
    Journal of Econometrics, 2017, 196, (1), 180-195 Downloads View citations (5)
    See also Working Paper (2013)
  4. High dimensional correlation matrices: the central limit theorem and its applications
    Journal of the Royal Statistical Society Series B, 2017, 79, (3), 677-693 Downloads View citations (1)
  5. Specification testing for nonlinear multivariate cointegrating regressions
    Journal of Econometrics, 2017, 200, (1), 104-117 Downloads
    See also Working Paper (2016)

2016

  1. INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN
    Econometric Theory, 2016, 32, (02), 431-457 Downloads View citations (1)
    See also Working Paper (2013)
  2. UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
    Econometric Theory, 2016, 32, (03), 655-685 Downloads View citations (2)
    See also Working Paper (2013)

2015

  1. A misspecification test for multiplicative error models of non-negative time series processes
    Journal of Econometrics, 2015, 189, (2), 346-359 Downloads View citations (6)
  2. Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
    Econometric Reviews, 2015, 34, (6-10), 849-881 Downloads View citations (4)
  3. Semiparametric single-index panel data models with cross-sectional dependence
    Journal of Econometrics, 2015, 188, (1), 301-312 Downloads View citations (7)
    See also Working Paper (2014)
  4. Specification testing in nonstationary time series models
    Econometrics Journal, 2015, 18, (1), 117-136 Downloads View citations (1)
    See also Working Paper (2014)
  5. UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
    Econometric Theory, 2015, 31, (05), 911-952 Downloads View citations (4)
    See also Working Paper (2013)

2014

  1. Semiparametric methods in nonlinear time series analysis: a selective review
    Journal of Nonparametric Statistics, 2014, 26, (1), 141-169 Downloads
    See also Working Paper (2012)
  2. Testing Independence Among a Large Number of High-Dimensional Random Vectors
    Journal of the American Statistical Association, 2014, 109, (506), 600-612 Downloads View citations (4)

2013

  1. Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects
    Journal of Business & Economic Statistics, 2013, 31, (3), 315-330 Downloads View citations (14)
    See also Working Paper (2011)
  2. Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
    Econometric Reviews, 2013, 32, (8), 928-955 Downloads View citations (10)
    See also Working Paper (2011)
  3. Estimation in threshold autoregressive models with a stationary and a unit root regime
    Journal of Econometrics, 2013, 172, (1), 1-13 Downloads View citations (6)
    See also Working Paper (2011)
  4. Semiparametric estimation in triangular system equations with nonstationarity
    Journal of Econometrics, 2013, 176, (1), 59-79 Downloads View citations (16)
  5. Solving replication problems in a complete market by orthogonal series expansion
    The North American Journal of Economics and Finance, 2013, 25, (C), 306-317 Downloads View citations (4)
    See also Working Paper (2012)

2012

  1. A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS
    Econometric Theory, 2012, 28, (05), 1144-1163 Downloads View citations (20)
  2. 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 Downloads
  3. Semiparametric trending panel data models with cross-sectional dependence
    Journal of Econometrics, 2012, 171, (1), 71-85 Downloads View citations (26)
    See also Working Paper (2011)

2011

  1. Non‐parametric time‐varying coefficient panel data models with fixed effects
    Econometrics Journal, 2011, 14, (3), 387-408 Downloads View citations (28)
    See also Working Paper (2010)
  2. SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION
    Econometric Theory, 2011, 27, (04), 792-843 Downloads View citations (1)
  3. SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE
    Econometric Theory, 2011, 27, (02), 260-284 Downloads View citations (3)
    See also Working Paper (2009)

2009

  1. Local Linear M‐estimation in non‐parametric spatial regression
    Journal of Time Series Analysis, 2009, 30, (3), 286-314 Downloads View citations (5)
  2. Modelling and managing financial risk: An overview
    Mathematics and Computers in Simulation (MATCOM), 2009, 79, (8), 2521-2524 Downloads View citations (2)
  3. NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
    Econometric Theory, 2009, 25, (06), 1869-1892 Downloads View citations (24)
    See also Working Paper (2009)

2008

  1. Bandwidth Selection in Nonparametric Kernel Testing
    Journal of the American Statistical Association, 2008, 103, (484), 1584-1594 Downloads View citations (46)
    See also Working Paper (2009)
  2. Central limit theorems for generalized -statistics with applications in nonparametric specification
    Journal of Nonparametric Statistics, 2008, 20, (1), 61-76 Downloads View citations (3)
  3. Econometric estimation in long-range dependent volatility models: Theory and practice
    Journal of Econometrics, 2008, 147, (1), 72-83 Downloads View citations (10)
    See also Working Paper (2007)
  4. Econometric modelling in finance and risk management: An overview
    Journal of Econometrics, 2008, 147, (1), 1-4 Downloads
    See also Working Paper (2007)
  5. Moment inequalities for spatial processes
    Statistics & Probability Letters, 2008, 78, (6), 687-697 Downloads View citations (1)
  6. Nonparametric simultaneous testing for structural breaks
    Journal of Econometrics, 2008, 143, (1), 123-142 Downloads View citations (7)
  7. Specification testing in discretized diffusion models: Theory and practice
    Journal of Econometrics, 2008, 147, (1), 131-140 Downloads View citations (4)
    See also Working Paper (2007)

2007

  1. An adaptive empirical likelihood test for parametric time series regression models
    Journal of Econometrics, 2007, 141, (2), 950-972 Downloads View citations (16)
  2. Nonparametric Methods in Continuous Time Model Specification
    Econometric Reviews, 2007, 26, (1), 91-106 Downloads

2006

  1. Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods
    Journal of Financial Econometrics, 2006, 4, (2), 310-345 Downloads View citations (28)
    See also Working Paper (2005)
  2. Semiparametric estimation and testing of the trend of temperature series
    Econometrics Journal, 2006, 9, (2), 332-355 Downloads View citations (19)

2005

  1. Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information
    Pacific-Basin Finance Journal, 2005, 13, (2), 225-245 Downloads View citations (5)

2004

  1. ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
    Econometric Theory, 2004, 20, (05), 844-882 Downloads View citations (27)
  2. Computer-Intensive Time-Varying Model Approach to the Systematic Risk of Australian Industrial Stock Returns
    Australian Journal of Management, 2004, 29, (1), 121-145 Downloads View citations (5)
  3. Semiparametric non‐linear time series model selection
    Journal of the Royal Statistical Society Series B, 2004, 66, (2), 321-336 Downloads View citations (7)

2002

  1. Model Specification Tests in Nonparametric Stochastic Regression Models
    Journal of Multivariate Analysis, 2002, 83, (2), 324-359 Downloads View citations (13)
  2. Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency
    Stochastic Processes and their Applications, 2002, 99, (2), 295-321 Downloads View citations (6)
    See also Working Paper (2001)

2001

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

2000

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

1997

  1. Statistical Inference in Single-Index and Partially Nonlinear Models
    Annals of the Institute of Statistical Mathematics, 1997, 49, (3), 493-517 Downloads View citations (14)

1995

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

Chapters

2014

  1. 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 Downloads
 
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