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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 2020-08-06. Update your information in the RePEc Author Service.

Short-id: ppo408


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Working Papers

2019

  1. Binary Outcomes, OLS, 2SLS and IV Probit
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. 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 Downloads

2018

  1. 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 Downloads View citations (1)
    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 (2020)

2017

  1. 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 Downloads

2016

  1. 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 Downloads
  2. 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 Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2019)

2014

  1. Bias Correction of Persistence Measures in Fractionally Integrated Models
    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 (2013) Downloads

    See also Journal Article in Journal of Time Series Analysis (2015)
  2. 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 Downloads View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2012) Downloads View citations (3)
  3. 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 Downloads
    See also Journal Article in Journal of Applied Econometrics (2016)
  4. Forecasting with EC-VARMA models
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads
  5. 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 Downloads

2013

  1. 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 Downloads View citations (4)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2012) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2015)

2012

  1. 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 Downloads View citations (4)

2011

  1. 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 Downloads
    See also Journal Article in Journal of Time Series Analysis (2013)
  2. 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 Downloads View citations (2)

2010

  1. 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 Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  2. Description Length Based Signal Detection in singular Spectrum Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  3. Dual P-Values, Evidential Tension and Balanced Tests
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2009

  1. Description Length and Dimensionality Reduction in Functional Data Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2013)
  2. 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 Downloads View citations (3)
    See also Journal Article in Econometric Reviews (2012)
  3. 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 Downloads View citations (1)

2006

  1. 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 Downloads View citations (8)
    See also Journal Article in Journal of Time Series Analysis (2008)
  2. 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 Downloads View citations (3)

2005

  1. 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 Downloads View citations (7)
  2. Small Concentration Asymptotics and Instrumental Variables Inference
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
    Also in Department of Economics - Working Papers Series, The University of Melbourne (2005) Downloads View citations (3)

2004

  1. 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 Downloads View citations (5)
  2. 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 Downloads View citations (2)
    See also Journal Article in Econometrics Journal (2009)
  3. Estimating Components in Finite Mixtures and Hidden Markov Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  4. 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 Downloads
  5. 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 Downloads

2002

  1. Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory
    Department of Economics - Working Papers Series, The University of Melbourne Downloads View citations (11)

1996

  1. 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 (6)
  2. 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

  1. 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

  1. Specification of echelon form VARMA models
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (14)
    See also Journal Article in Journal of Business & Economic Statistics (1996)

Journal Articles

2020

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

2019

  1. The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification
    Journal of Econometrics, 2019, 209, (1), 94-113 Downloads View citations (1)
    See also Working Paper (2016)

2017

  1. BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP
    Econometric Theory, 2017, 33, (3), 578-609 Downloads
  2. Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application
    International Journal of Forecasting, 2017, 33, (1), 199-213 Downloads View citations (4)
  3. Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
    Journal of Business & Economic Statistics, 2017, 35, (3), 407-419 Downloads View citations (5)

2016

  1. Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations
    Journal of Applied Econometrics, 2016, 31, (6), 1100-1119 Downloads View citations (2)
    See also Working Paper (2014)
  2. Vector autoregressive moving average identification for macroeconomic modeling: A new methodology
    Journal of Econometrics, 2016, 192, (2), 468-484 Downloads View citations (2)

2015

  1. Bias Correction of Persistence Measures in Fractionally Integrated Models
    Journal of Time Series Analysis, 2015, 36, (5), 721-740 Downloads
    See also Working Paper (2014)
  2. Higher-order improvements of the sieve bootstrap for fractionally integrated processes
    Journal of Econometrics, 2015, 188, (1), 94-110 Downloads View citations (1)
    See also Working Paper (2013)

2013

  1. Description length and dimensionality reduction in functional data analysis
    Computational Statistics & Data Analysis, 2013, 58, (C), 98-113 Downloads View citations (3)
    See also Working Paper (2009)
  2. Inference in the Presence of Weak Instruments: A Selected Survey
    Foundations and Trends(R) in Econometrics, 2013, 6, (1), 1-99 Downloads View citations (3)
  3. 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 Downloads View citations (2)
    See also Working Paper (2011)

2012

  1. Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions
    Computational Statistics & Data Analysis, 2012, 56, (3), 732-740 Downloads View citations (4)
    See also Working Paper (2010)
  2. Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
    Econometric Reviews, 2012, 31, (1), 60-83 Downloads
    See also Working Paper (2009)

2009

  1. Assessing the magnitude of the concentration parameter in a simultaneous equations model
    Econometrics Journal, 2009, 12, (1), 26-44 Downloads View citations (3)
    See also Working Paper (2004)

2008

  1. Conceptual frameworks and experimental design in simultaneous equations
    Economics Letters, 2008, 100, (1), 138-142 Downloads View citations (2)
  2. Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes
    Journal of Time Series Analysis, 2008, 29, (2), 224-250 Downloads View citations (21)
    See also Working Paper (2006)

2007

  1. Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
    Journal of Econometrics, 2007, 139, (1), 217-236 Downloads
  2. Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
    Annals of the Institute of Statistical Mathematics, 2007, 59, (4), 697-725 Downloads View citations (24)

2006

  1. ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
    Econometric Theory, 2006, 22, (6), 1138-1175 Downloads View citations (3)

2005

  1. A Note on the Specification and Estimation of ARMAX Systems
    Journal of Time Series Analysis, 2005, 26, (2), 157-183 Downloads View citations (3)

2004

  1. Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion
    Econometrics Journal, 2004, 7, (1), 191-217 Downloads View citations (4)

2003

  1. On the specification of cointegrated autoregressive moving-average forecasting systems
    International Journal of Forecasting, 2003, 19, (3), 503-519 Downloads View citations (9)

2000

  1. Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations
    Journal of Business & Economic Statistics, 2000, 18, (1), 77-90 View citations (20)

1999

  1. 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 Downloads

1996

  1. Specification of Echelon-Form VARMA Models
    Journal of Business & Economic Statistics, 1996, 14, (1), 69-79 View citations (32)
    See also Working Paper
  2. Testing for Causation Using Infinite Order Vector Autoregressive Processes
    Econometric Theory, 1996, 12, (1), 61-87 Downloads View citations (38)

1994

  1. A Note on Autoregressive Modeling
    Econometric Theory, 1994, 10, (5), 884-899 Downloads View citations (10)
  2. On the Asymptotic Relative Efficiency of Gaussian and Least Squares Estimators for Vector ARMA Models
    Journal of Multivariate Analysis, 1994, 51, (2), 294-317 Downloads View citations (1)

1991

  1. Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
    Econometric Theory, 1991, 7, (4), 487-496 Downloads View citations (29)

1990

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

1986

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

1981

  1. 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 Downloads

1978

  1. Approximating the Exact Finite Sample Distribution of a Spectral Estimator
    Econometrica, 1978, 46, (1), 21-32 Downloads
 
Page updated 2020-08-13