EconPapers    
Economics at your fingertips  
 

Details about Maxwell Leslie King

Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Maxwell Leslie King.

Last updated 2021-12-21. Update your information in the RePEc Author Service.

Short-id: pki342


Jump to Journal Articles Chapters

Working Papers

2019

  1. Hypothesis Testing Based on a Vector of Statistics
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Journal of Econometrics (2020)

2015

  1. A new approach to forecasting based on exponential smoothing with independent regressors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Point Optimal Testing: A Survey of the Post 1987 Literature
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)

2014

  1. A Model Validation Procedure
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Applications of Information Measures to Assess Convergence in the Central Limit Theorem
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2013

  1. A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2014)
  2. Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
    See also Journal Article in Econometrics (2016)
  3. Gaussian kernel GARCH models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (6)

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)

2011

  1. A New Procedure For Multiple Testing Of Econometric Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
  2. 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)
  3. Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
  4. Bayesian semiparametric GARCH models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (6)

2009

  1. Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads View citations (19)
    See also Journal Article in Econometric Theory (2009)

2007

  1. A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2009)

2006

  1. Estimation and model specification testing in nonparametric and semiparametric econometric models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2005

  1. Deriving Tests of the Semi-Linear Regression Model Using the Density Function of a Maximal Invariant
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Exponential Smoothing Model Selection for Forecasting
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article in International Journal of Forecasting (2006)
  3. Parameter Estimation in Semi-Linear Models Using a Maximal Invariant Likelihood Function
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2004

  1. Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) Downloads View citations (2)
  2. Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors
    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 Empirical Finance (2008)
  3. Maximal Invariant Likelihood Based Testing of Semi-Linear Models
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads
    See also Journal Article in Statistical Papers (2007)
  4. Model Specification Testing in Nonparametric and Semiparametric Time Series Econometric Models
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (4)

2003

  1. Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2002

  1. Influence Diagnostics in GARCH Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Local Linear Forecasts Using Cubic Smoothing Splines
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)

1999

  1. Selecting the Order of an ARCH Model
    School of Economics Working Papers, University of Adelaide, School of Economics Downloads
    See also Journal Article in Economics Letters (2004)

1998

  1. Comparisons of Estimators and Tests Based on Modified Likelihood And Message Length Functions
    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 (1998)
  2. Model Selection when a Key Parameter Is Constrained to Be in an Interval
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
  3. Modified Likelihood and Related Methods for Handling Nuisance Parameters in the Linear Regression Model
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)

1996

  1. A Comparison of the Accuracy of Asymptotic Approximations in the Dynamic Regression Model Using Kullback-Leibler Information
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
  2. Estimation of Regression Disturbances Based on Minimum Message Length
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
  3. Improved Small Sample Midel selection Procedures
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

1995

  1. A Small Sample Variable Selection Procedure
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
  2. Marginal Likelihood Based Tests of a Subvector of the Parameter Vector of Linear Regression Disturbances
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
  3. Small-Sample Power of Tests for Inequality Restrictions: The Case of Quarter Independant Errors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
  4. The Applications of the Durbin-Watson Test to the Dynamic Regression Model Under Normal and Non-Normal Errors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)

1994

  1. A Comparison of Marginal Likelihood Based and Approximate Point Optimal Tests for Random Regression Coefficient in the Presence of Autocorrelation
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
  2. Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
  3. One Sided Hypothesis Testing in Econometrics: A Survey
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)

1989

  1. OPTIMAL INVARIANT TESTS FOR THE AUTOCORRELATION COEFFICIENT IN LINEAR REGRESSIONS WITH STATIONARY AND NONSTATIONARY AR(1) ERRORS
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1989)

1975

  1. INFLATIONARY EXPECTATIONS IN NEW ZEALAND, A PRELIMINARY STUDY
    Working Papers, University of Sydney, School of Economics Downloads

Journal Articles

2020

  1. Hypothesis testing based on a vector of statistics
    Journal of Econometrics, 2020, 219, (2), 425-455 Downloads
    See also Working Paper (2019)

2016

  1. Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors
    Econometrics, 2016, 4, (2), 1-27 Downloads View citations (1)
    See also Working Paper (2013)
  2. On solving bias-corrected non-linear estimation equations with an application to the dynamic linear model
    Statistica Neerlandica, 2016, 70, (4), 332-355 Downloads

2014

  1. A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
    Computational Statistics & Data Analysis, 2014, 78, (C), 218-234 Downloads View citations (3)
    See also Working Paper (2013)

2009

  1. A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
    Journal of Econometrics, 2009, 153, (1), 21-32 Downloads View citations (24)
    See also Working Paper (2007)
  2. NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
    Econometric Theory, 2009, 25, (6), 1869-1892 Downloads View citations (26)
    See also Working Paper (2009)

2008

  1. Box-Cox stochastic volatility models with heavy-tails and correlated errors
    Journal of Empirical Finance, 2008, 15, (3), 549-566 Downloads View citations (13)
    See also Working Paper (2004)

2007

  1. Maximal invariant likelihood based testing of semi-linear models
    Statistical Papers, 2007, 48, (3), 357-383 Downloads
    See also Working Paper (2004)

2006

  1. A Bayesian approach to bandwidth selection for multivariate kernel density estimation
    Computational Statistics & Data Analysis, 2006, 50, (11), 3009-3031 Downloads View citations (44)
  2. A new approximate point optimal test of a composite null hypothesis
    Journal of Econometrics, 2006, 130, (1), 101-122 Downloads View citations (7)
  3. Exponential smoothing model selection for forecasting
    International Journal of Forecasting, 2006, 22, (2), 239-247 Downloads View citations (27)
    See also Working Paper (2005)

2005

  1. Influence Diagnostics in Generalized Autoregressive Conditional Heteroscedasticity Processes
    Journal of Business & Economic Statistics, 2005, 23, 118-129 Downloads View citations (15)
  2. Most mean powerful test of a composite null against a composite alternative
    Computational Statistics & Data Analysis, 2005, 49, (4), 1079-1104 Downloads View citations (2)

2004

  1. A Wald-type test of quadratic parametric restrictions
    Economics Letters, 2004, 83, (3), 359-364 Downloads View citations (1)
  2. ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
    Econometric Theory, 2004, 20, (5), 844-882 Downloads View citations (27)
  3. Selecting the order of an ARCH model
    Economics Letters, 2004, 83, (2), 269-275 Downloads View citations (2)
    See also Working Paper (1999)

2002

  1. IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES
    Econometric Reviews, 2002, 21, (2), 149-165 Downloads View citations (6)

1999

  1. A Correction for Local Biasedness of the Wald and Null Wald Tests
    Oxford Bulletin of Economics and Statistics, 1999, 61, (3), 435-450 Downloads View citations (1)

1997

  1. Forecasting international quarterly tourist flows using error-correction and time-series models
    International Journal of Forecasting, 1997, 13, (3), 319-327 Downloads View citations (38)
  2. Locally optimal one-sided tests for multiparameter hypotheses
    Econometric Reviews, 1997, 16, (2), 131-156 Downloads View citations (30)
  3. Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
    Journal of Econometrics, 1997, 82, (1), 81-106 Downloads View citations (14)
  4. Modified Wald test for regression disturbances
    Economics Letters, 1997, 56, (1), 5-11 Downloads View citations (5)

1996

  1. Editors' introduction: Fractional differencing and long memory processes
    Journal of Econometrics, 1996, 73, (1), 1-3 Downloads View citations (9)
  2. Modified Wald tests for non-linear restrictions: A cautionary tale
    Economics Letters, 1996, 53, (2), 133-138 Downloads View citations (1)
  3. Small-sample power of tests for inequality restrictions: The case of quarter-dependent regression errors
    Economics Letters, 1996, 52, (2), 121-127 Downloads View citations (1)

1995

  1. Comments on testing economic theories and the use of model selection criteria
    Journal of Econometrics, 1995, 67, (1), 173-187 Downloads View citations (76)

1994

  1. Correction [A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances]
    Journal of Business & Economic Statistics, 1994, 12, (1), 139 View citations (1)

1993

  1. A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances
    Journal of Business & Economic Statistics, 1993, 11, (1), 17-27 View citations (30)
  2. Locally Optimal Testing When a Nuisance Parameter Is Present Only under the Alternative
    The Review of Economics and Statistics, 1993, 75, (1), 1-7 Downloads View citations (12)
  3. Nonnested testing for autocorrelation in the linear regression model
    Journal of Econometrics, 1993, 58, (3), 295-314 Downloads View citations (2)
  4. Testing for ARMA (1, 1) Disturbances in the Linear Regression Model
    Australian Economic Papers, 1993, 32, (61), 284-98 View citations (1)

1991

  1. Editors' introduction: 40 years of diagnostic testing
    Journal of Econometrics, 1991, 47, (1), 1-4 Downloads
  2. Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
    Journal of Econometrics, 1991, 47, (1), 115-143 Downloads View citations (64)
  3. Small-disturbance asymptotics and the Durbin-Watson and related tests in the dynamic regression model
    Journal of Econometrics, 1991, 47, (1), 145-152 Downloads View citations (9)
  4. Testing Moving Average against Autoregressive Disturbances in the Linear-Regression Model
    Journal of Business & Economic Statistics, 1991, 9, (3), 329-35 View citations (9)
  5. The locally unbiased two-sided Durbin--Watson test
    Economics Letters, 1991, 35, (4), 401-407 Downloads

1989

  1. Testing for fourth-order autocorrelation in regression disturbances when first-order autocorrrelation is present
    Journal of Econometrics, 1989, 41, (3), 285-301 Downloads View citations (3)
  2. Transformations for an Exact Goodness-of-Fit Test of Structural Change in the Linear Regression Model
    Empirical Economics, 1989, 14, (2), 113-21 View citations (1)

1988

  1. A further class of tests for heteroscedasticity
    Journal of Econometrics, 1988, 37, (2), 265-276 Downloads View citations (5)
  2. Locally Optimal Properties of the Durbin-Watson Test
    Econometric Theory, 1988, 4, (3), 509-516 Downloads View citations (7)

1987

  1. An Alternative Test for Regression Coefficient Stability [Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative]
    The Review of Economics and Statistics, 1987, 69, (2), 379-81 Downloads
  2. Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
    Review of Economic Studies, 1987, 54, (4), 649-663 Downloads View citations (10)

1986

  1. Joint one-sided tests of linear regression coefficients
    Journal of Econometrics, 1986, 32, (3), 367-383 Downloads View citations (4)

1985

  1. A Point Optimal Test for Moving Average Regression Disturbances
    Econometric Theory, 1985, 1, (2), 211-222 Downloads View citations (2)
  2. A point optimal test for autoregressive disturbances
    Journal of Econometrics, 1985, 27, (1), 21-37 Downloads View citations (22)
  3. A point optimal test for heteroscedastic disturbances
    Journal of Econometrics, 1985, 27, (2), 163-178 Downloads View citations (4)
  4. The Durbin-Watson test and cross-sectional data
    Economics Letters, 1985, 18, (1), 31-34 Downloads

1984

  1. A joint test for serial correlation and heteroscedasticity
    Economics Letters, 1984, 16, (3-4), 297-302 Downloads View citations (1)
  2. A new test for fourth-order autoregressive disturbances
    Journal of Econometrics, 1984, 24, (3), 269-277 Downloads View citations (4)
  3. Autocorrelation pre-testing in the linear model: Estimation, testing and prediction
    Journal of Econometrics, 1984, 25, (1-2), 35-48 Downloads View citations (12)

1983

  1. Testing for autoregressive against moving average errors in the linear regression model
    Journal of Econometrics, 1983, 21, (1), 35-51 Downloads View citations (11)
  2. The Durbin-Watson test for serial correlation: Bounds for regressions using monthly data
    Journal of Econometrics, 1983, 21, (3), 357-366 Downloads

1982

  1. Testing for a Serially Correlated Component in Regression Disturbances
    International Economic Review, 1982, 23, (3), 577-82 Downloads View citations (1)

1981

  1. A Note on Szroeter's Bounds Test
    Oxford Bulletin of Economics and Statistics, 1981, 43, (3), 315-21 View citations (1)
  2. The Durbin-Watson Bounds Test and Regressions without an Intercept
    Australian Economic Papers, 1981, 20, (36), 161-70
  3. The Durbin-Watson Test for Serial Correlation: Bounds for Regressions with Trend and/or Seasonal Dummy Variables
    Econometrica, 1981, 49, (6), 1571-81 Downloads View citations (3)
  4. The alternative Durbin-Watson test: An assessment of Durbin and Watson's choice of test statistic
    Journal of Econometrics, 1981, 17, (1), 51-66 Downloads View citations (9)

1978

  1. A Comparison of Some Tests for Fourth-Order Autocorrelation
    Australian Economic Papers, 1978, 17, (31), 323-33
  2. Fourth-order autocorrelation: Further significance points for the Wallis test
    Journal of Econometrics, 1978, 8, (2), 255-259 Downloads View citations (2)

1977

  1. A Note on Wallis' Bounds Test and Negative Autocorrelation
    Econometrica, 1977, 45, (4), 1023-26 Downloads View citations (1)

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
 
Page updated 2022-05-24