Details about Alan T.K. Wan

Access statistics for papers by Alan T.K. Wan.

Last updated 2011-10-29. Update your information in the RePEc Author Service.

Short-id: pwa24

Working Papers

2009

1. A High-Low Model of Daily Stock Price Ranges
   Working Papers, Hong Kong Institute for Monetary Research View citations (17)
   Also in CESifo Working Paper Series, CESifo (2008)
   See also Journal Article A high-low model of daily stock price ranges, Journal of Forecasting, John Wiley & Sons, Ltd. (2009) View citations (17) (2009)

1995

2. Baynesian Estimation of the Linear Regression Model with an Uncertain Interval Constraint on Coefficient
   Working Papers, New South Wales - School of Economics
3. The Exact Density and Distribution Functions of the Inequality Constrained and Pre-test Estimators
   Working Papers, New South Wales - School of Economics

1993

4. Risk Comparison of the Inequality Constrained Least Squares and Other Related Estimators Under Balanced Loss
   Working Papers, New South Wales - School of Economics
   See also Journal Article Risk comparison of the inequality constrained least squares and other related estimators under balanced loss, Economics Letters, Elsevier (1994) View citations (5) (1994)
5. The Non-Optimality of Interval Restricted and Pre-Test Estimators Under Squared Error Loss
   Working Papers, New South Wales - School of Economics

Journal Articles

2011

1. Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
   Computational Statistics & Data Analysis, 2011, 55, (3), 1331-1341 View citations (37)

2010

2. A trading strategy based on Callable Bull/Bear Contracts
   Pacific-Basin Finance Journal, 2010, 18, (2), 186-198 View citations (13)
3. An empirical model of daily highs and lows of West Texas Intermediate crude oil prices
   Energy Economics, 2010, 32, (6), 1499-1506 View citations (29)
4. Frequentist Model Averaging with missing observations
   Computational Statistics & Data Analysis, 2010, 54, (12), 3336-3347 View citations (15)
5. Least squares model averaging by Mallows criterion
   Journal of Econometrics, 2010, 156, (2), 277-283 View citations (111)
6. Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
   Journal of Econometrics, 2010, 159, (1), 183-201 View citations (5)

2009

7. A high-low model of daily stock price ranges
   Journal of Forecasting, 2009, 28, (2), 103-119 View citations (17)
   See also Working Paper A High-Low Model of Daily Stock Price Ranges, Working Papers (2009) View citations (17) (2009)
8. Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted
   Statistical Papers, 2009, 50, (1), 151-160 View citations (1)
9. On the sensitivity of the one-sided t test to covariance misspecification
   Journal of Multivariate Analysis, 2009, 100, (8), 1593-1609 View citations (1)
10. Predicting daily highs and lows of exchange rates: a cointegration analysis
    Journal of Applied Statistics, 2009, 36, (11), 1191-1204 View citations (14)
11. Robustness of Stein-type estimators under a non-scalar error covariance structure
    Journal of Multivariate Analysis, 2009, 100, (10), 2376-2388

2008

12. Estimating Equations Inference With Missing Data
    Journal of the American Statistical Association, 2008, 103, (483), 1187-1199 View citations (24)

2007

13. Estimation of regression coefficients of interest when other regression coefficients are of no interest: The case of non-normal errors
    Statistics & Probability Letters, 2007, 77, (8), 803-810 View citations (7)
14. Improved Estimators of Hedonic Housing Price Models
    Journal of Real Estate Research, 2007, 29, (3), 267-302 View citations (5)
15. On the sensitivity of the restricted least squares estimators to covariance misspecification
    Econometrics Journal, 2007, 10, (3), 471-487 View citations (3)
16. The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
    Economics Letters, 2007, 94, (2), 213-219

2006

17. Further results on optimal critical values of pre-test when estimating the regression error variance
    Econometrics Journal, 2006, 9, (1), 159-176 View citations (3)

2004

18. ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS
    Econometric Theory, 2004, 20, (4), 690-700 View citations (2)
19. On the Use of Spline Smoothing in Estimating Hedonic Housing Price Models: Empirical Evidence Using Hong Kong Data
    Real Estate Economics, 2004, 32, (3), 487-507 View citations (28)

2003

20. Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure
    Journal of Econometrics, 2003, 114, (1), 165-196 View citations (7)
21. Unbiased estimation of the MSE matrices of improved estimators in linear regression
    Journal of Applied Statistics, 2003, 30, (2), 173-189 View citations (5)

2002

22. Improved Multivariate Prediction in a General Linear Model with an Unknown Error Covariance Matrix
    Journal of Multivariate Analysis, 2002, 83, (1), 166-182 View citations (6)
23. ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION
    Econometric Reviews, 2002, 21, (1), 121-134 View citations (2)
24. Testing for covariance stationarity of stock returns in the presence of structural breaks: an intervention analysis
    Applied Economics Letters, 2002, 9, (7), 441-447 View citations (13)

2001

25. Double k-Class Estimators in Regression Models with Non-spherical Disturbances
    Journal of Multivariate Analysis, 2001, 79, (2), 226-250 View citations (5)

2000

26. Minimax and [Gamma]-minimax estimation for the Poisson distribution under LINEX loss when the parameter space is restricted
    Statistics & Probability Letters, 2000, 50, (1), 23-32
27. Operational Variants of the Minimum Mean Squared Error Estimator in Linear Regression Models with Non-Spherical Disturbances
    Annals of the Institute of Statistical Mathematics, 2000, 52, (2), 332-342 View citations (3)
28. Simultaneous Estimation of Several Stratum Means under Error-in-Variables Superpopulation Models
    Annals of the Institute of Statistical Mathematics, 2000, 52, (2), 380-396

1999

29. An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss
    Statistics & Probability Letters, 1999, 45, (3), 253-259 View citations (4)

1994

30. Risk comparison of the inequality constrained least squares and other related estimators under balanced loss
    Economics Letters, 1994, 46, (3), 203-210 View citations (5)
    See also Working Paper Risk Comparison of the Inequality Constrained Least Squares and Other Related Estimators Under Balanced Loss, Working Papers (1993) (1993)