Details about Donald Stephen Poskitt

Workplace:

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

Access statistics for papers by Donald Stephen Poskitt.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: ppo408

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Working Papers

2024

1. Partial Identification of Distributional Treatment Effects in Panel Data using Copula Equality Assumptions
   Papers, arXiv.org
2. Partially Identified Heterogeneous Treatment Effect with Selection: An Application to Gender Gaps
   Papers, arXiv.org

2023

3. Bootstrap Hausdorff Confidence Regions for Average Treatment Effect Identified Sets
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
4. Solving the Forecast Combination Puzzle
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
   Also in Papers, arXiv.org (2023) View citations (1)

2022

5. Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects
   Papers, arXiv.org
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020)
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2021)
6. The Impact of Sampling Variability on Estimated Combinations of Distributional Forecasts
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
   Also in Papers, arXiv.org (2022) View citations (1)

2020

7. On GMM Inference: Partial Identification, Identification Strength, and Non-Standard
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2019

8. Binary Outcomes, OLS, 2SLS and IV Probit
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
   See also Journal Article Binary outcomes, OLS, 2SLS and IV probit, Econometric Reviews, Taylor & Francis Journals (2022) View citations (4) (2022)
9. Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2018

10. Issues in the estimation of mis-specified models of fractionally integrated processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2014)
    See also Journal Article Issues in the estimation of mis-specified models of fractionally integrated processes, Journal of Econometrics, Elsevier (2020) (2020)

2017

11. Construction and visualization of optimal confidence sets for frequentist distributional forecasts
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2016

12. Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
13. The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (7)
    See also Journal Article The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification, Journal of Econometrics, Elsevier (2019) View citations (30) (2019)

2014

14. Bias Correction of Persistence Measures in Fractionally Integrated Models
    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 (2013)
    See also Journal Article Bias Correction of Persistence Measures in Fractionally Integrated Models, Journal of Time Series Analysis, Wiley Blackwell (2015) (2015)
15. Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2012) View citations (3)
16. Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (2) (2016)
17. Forecasting with EC-VARMA models
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics
18. On The Theory and Practice of Singular Spectrum Analysis Forecasting
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2013

19. Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2012) View citations (3)
    See also Journal Article Higher-order improvements of the sieve bootstrap for fractionally integrated processes, Journal of Econometrics, Elsevier (2015) View citations (4) (2015)

2012

20. VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)

2011

21. Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes, Journal of Time Series Analysis, Wiley Blackwell (2013) View citations (3) (2013)
22. Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)

2010

23. Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions, Computational Statistics & Data Analysis, Elsevier (2012) View citations (5) (2012)
24. Description Length Based Signal Detection in singular Spectrum Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
25. Dual P-Values, Evidential Tension and Balanced Tests
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2009

26. Description Length and Dimensionality Reduction in Functional Data Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article Description length and dimensionality reduction in functional data analysis, Computational Statistics & Data Analysis, Elsevier (2013) View citations (5) (2013)
27. Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
    See also Journal Article Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form, Econometric Reviews, Taylor & Francis Journals (2012) View citations (6) (2012)
28. Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2006

29. Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (9)
    See also Journal Article Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (27) (2008)
30. The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

2005

31. Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (8)
32. Small Concentration Asymptotics and Instrumental Variables Inference
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
    Also in Department of Economics - Working Papers Series, The University of Melbourne (2005) View citations (3)

2004

33. Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
34. Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
    See also Journal Article Assessing the magnitude of the concentration parameter in a simultaneous equations model, Econometrics Journal, Royal Economic Society (2009) View citations (4) (2009)
35. Estimating Components in Finite Mixtures and Hidden Markov Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
36. On The Identification and Estimation of Partially Nonstationary ARMAX Systems
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
37. Some Results on the Identification and Estimation of Vector ARMAX Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2002

38. Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory
    Department of Economics - Working Papers Series, The University of Melbourne View citations (10)

1996

39. Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (9)
40. The Analysis of Cointegrated Autoregressive Moving-Average Systems
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

1995

41. Consistent Specification of Cointegrated Autoregressive Moving-Average Systems
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (8)

Undated

42. Specification of echelon form VARMA models
    Working Papers, Humboldt University, Statistic und Oekonometrie View citations (14)
    See also Journal Article Specification of Echelon-Form VARMA Models, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (42) (1996)

Journal Articles

2022

1. Binary outcomes, OLS, 2SLS and IV probit
   Econometric Reviews, 2022, 41, (8), 859-876 View citations (4)
   See also Working Paper Binary Outcomes, OLS, 2SLS and IV Probit, Monash Econometrics and Business Statistics Working Papers (2019) View citations (1) (2019)

2021

2. Bayesian estimation for a semiparametric nonlinear volatility model
   Economic Modelling, 2021, 98, (C), 361-370 View citations (3)

2020

3. Issues in the estimation of mis-specified models of fractionally integrated processes
   Journal of Econometrics, 2020, 215, (2), 559-573
   See also Working Paper Issues in the estimation of mis-specified models of fractionally integrated processes, Monash Econometrics and Business Statistics Working Papers (2018) View citations (1) (2018)
4. On Singular Spectrum Analysis And Stepwise Time Series Reconstruction
   Journal of Time Series Analysis, 2020, 41, (1), 67-94

2019

5. The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification
   Journal of Econometrics, 2019, 209, (1), 94-113 View citations (30)
   See also Working Paper The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification, Monash Econometrics and Business Statistics Working Papers (2016) View citations (7) (2016)

2017

6. BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP
   Econometric Theory, 2017, 33, (3), 578-609 View citations (3)
7. Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application
   International Journal of Forecasting, 2017, 33, (1), 199-213 View citations (7)
8. Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
   Journal of Business & Economic Statistics, 2017, 35, (3), 407-419 View citations (10)

2016

9. Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
   Journal of Applied Econometrics, 2016, 31, (6), 1100-1119 View citations (2)
   See also Working Paper Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations, Monash Econometrics and Business Statistics Working Papers (2014) (2014)
10. Vector autoregressive moving average identification for macroeconomic modeling: A new methodology
    Journal of Econometrics, 2016, 192, (2), 468-484 View citations (8)

2015

11. Bias Correction of Persistence Measures in Fractionally Integrated Models
    Journal of Time Series Analysis, 2015, 36, (5), 721-740
    See also Working Paper Bias Correction of Persistence Measures in Fractionally Integrated Models, Monash Econometrics and Business Statistics Working Papers (2014) (2014)
12. Higher-order improvements of the sieve bootstrap for fractionally integrated processes
    Journal of Econometrics, 2015, 188, (1), 94-110 View citations (4)
    See also Working Paper Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes, Monash Econometrics and Business Statistics Working Papers (2013) View citations (4) (2013)

2013

13. Description length and dimensionality reduction in functional data analysis
    Computational Statistics & Data Analysis, 2013, 58, (C), 98-113 View citations (5)
    See also Working Paper Description Length and Dimensionality Reduction in Functional Data Analysis, Monash Econometrics and Business Statistics Working Papers (2009) View citations (2) (2009)
14. Inference in the Presence of Weak Instruments: A Selected Survey
    Foundations and Trends(R) in Econometrics, 2013, 6, (1), 1-99 View citations (4)
15. Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes
    Journal of Time Series Analysis, 2013, 34, (2), 141-155 View citations (3)
    See also Working Paper Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes, Monash Econometrics and Business Statistics Working Papers (2011) (2011)

2012

16. Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions
    Computational Statistics & Data Analysis, 2012, 56, (3), 732-740 View citations (5)
    See also Working Paper Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions, Monash Econometrics and Business Statistics Working Papers (2010) View citations (2) (2010)
17. Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
    Econometric Reviews, 2012, 31, (1), 60-83 View citations (6)
    See also Working Paper Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form, Monash Econometrics and Business Statistics Working Papers (2009) View citations (5) (2009)

2009

18. Assessing the magnitude of the concentration parameter in a simultaneous equations model
    Econometrics Journal, 2009, 12, (1), 26-44 View citations (4)
    See also Working Paper Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model, Monash Econometrics and Business Statistics Working Papers (2004) View citations (3) (2004)

2008

19. Conceptual frameworks and experimental design in simultaneous equations
    Economics Letters, 2008, 100, (1), 138-142 View citations (3)
20. Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes
    Journal of Time Series Analysis, 2008, 29, (2), 224-250 View citations (27)
    See also Working Paper Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes, Monash Econometrics and Business Statistics Working Papers (2006) View citations (9) (2006)

2007

21. Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
    Journal of Econometrics, 2007, 139, (1), 217-236 View citations (3)
22. Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
    Annals of the Institute of Statistical Mathematics, 2007, 59, (4), 697-725 View citations (33)

2006

23. ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
    Econometric Theory, 2006, 22, (6), 1138-1175 View citations (7)

2005

24. A Note on the Specification and Estimation of ARMAX Systems
    Journal of Time Series Analysis, 2005, 26, (2), 157-183 View citations (4)

2004

25. Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion
    Econometrics Journal, 2004, 7, (1), 191-217 View citations (5)

2003

26. On the specification of cointegrated autoregressive moving-average forecasting systems
    International Journal of Forecasting, 2003, 19, (3), 503-519 View citations (11)

2000

27. Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations
    Journal of Business & Economic Statistics, 2000, 18, (1), 77-90 View citations (26)

1999

28. Double‐blind deconvolution: the analysis of post‐synaptic currents in nerve cells
    Journal of the Royal Statistical Society Series B, 1999, 61, (1), 191-212

1996

29. Specification of Echelon-Form VARMA Models
    Journal of Business & Economic Statistics, 1996, 14, (1), 69-79 View citations (42)
    See also Working Paper Specification of echelon form VARMA models, Working Papers View citations (14)
30. Testing for Causation Using Infinite Order Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (1), 61-87 View citations (42)

1995

31. ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
    Journal of Time Series Analysis, 1995, 16, (6), 617-645 View citations (9)

1994

32. A Note on Autoregressive Modeling
    Econometric Theory, 1994, 10, (5), 884-899 View citations (12)
33. On the Asymptotic Relative Efficiency of Gaussian and Least Squares Estimators for Vector ARMA Models
    Journal of Multivariate Analysis, 1994, 51, (2), 294-317 View citations (4)

1991

34. Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
    Econometric Theory, 1991, 7, (4), 487-496 View citations (35)

1990

35. Estimation and structure determination of multivariate input output systems
    Journal of Multivariate Analysis, 1990, 33, (2), 157-182
36. SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA
    Journal of Time Series Analysis, 1990, 11, (4), 325-337 View citations (2)

1986

37. SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
    Journal of Time Series Analysis, 1986, 7, (3), 217-233 View citations (4)
38. The selection and use of linear and bilinear time series models
    International Journal of Forecasting, 1986, 2, (1), 101-114 View citations (9)

1981

39. A TIME SERIES APPLICATION OF THE USE OF MONTE CARLO METHODS TO COMPARE STATISTICAL TESTS
    Journal of Time Series Analysis, 1981, 2, (4), 263-277 View citations (1)

1978

40. Approximating the Exact Finite Sample Distribution of a Spectral Estimator
    Econometrica, 1978, 46, (1), 21-32