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Details about Alan T.K. Wan

E-mail:
Homepage:http://fbstaff.cityu.edu.hk/msawan
Phone:852-3442-7146
Postal address:Department of Management Sciences, City University of Hong Kong, Tat Chee Ave., Kowloon, Hong Kong
Workplace:City University of Hong Kong

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


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Working Papers

2009

  1. A High-Low Model of Daily Stock Price Ranges
    Working Papers, Hong Kong Institute for Monetary Research Downloads View citations (12)
    See also Journal Article in Journal of Forecasting (2009)

1995

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

1993

  1. 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 in Economics Letters (1994)
  2. 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 Downloads View citations (29)

2010

  1. A trading strategy based on Callable Bull/Bear Contracts
    Pacific-Basin Finance Journal, 2010, 18, (2), 186-198 Downloads View citations (6)
  2. An empirical model of daily highs and lows of West Texas Intermediate crude oil prices
    Energy Economics, 2010, 32, (6), 1499-1506 Downloads View citations (13)
  3. Frequentist Model Averaging with missing observations
    Computational Statistics & Data Analysis, 2010, 54, (12), 3336-3347 Downloads View citations (12)
  4. Least squares model averaging by Mallows criterion
    Journal of Econometrics, 2010, 156, (2), 277-283 Downloads View citations (49)
  5. Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
    Journal of Econometrics, 2010, 159, (1), 183-201 Downloads View citations (4)

2009

  1. A high-low model of daily stock price ranges
    Journal of Forecasting, 2009, 28, (2), 103-119 Downloads View citations (12)
    See also Working Paper (2009)
  2. 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 Downloads View citations (1)
  3. On the sensitivity of the one-sided t test to covariance misspecification
    Journal of Multivariate Analysis, 2009, 100, (8), 1593-1609 Downloads View citations (1)
  4. Predicting daily highs and lows of exchange rates: a cointegration analysis
    Journal of Applied Statistics, 2009, 36, (11), 1191-1204 Downloads View citations (5)
  5. Robustness of Stein-type estimators under a non-scalar error covariance structure
    Journal of Multivariate Analysis, 2009, 100, (10), 2376-2388 Downloads

2008

  1. Estimating Equations Inference With Missing Data
    Journal of the American Statistical Association, 2008, 103, (483), 1187-1199 Downloads View citations (17)

2007

  1. 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 Downloads View citations (6)
  2. Improved Estimators of Hedonic Housing Price Models
    Journal of Real Estate Research, 2007, 29, (3), 267-302 Downloads View citations (5)
  3. On the sensitivity of the restricted least squares estimators to covariance misspecification
    Econometrics Journal, 2007, 10, (3), 471-487 Downloads View citations (3)
  4. The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
    Economics Letters, 2007, 94, (2), 213-219 Downloads

2006

  1. Further results on optimal critical values of pre-test when estimating the regression error variance
    Econometrics Journal, 2006, 9, (1), 159-176 Downloads View citations (2)

2004

  1. ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS
    Econometric Theory, 2004, 20, (4), 690-700 Downloads View citations (2)
  2. 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 Downloads View citations (18)

2003

  1. 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 Downloads View citations (6)
  2. Unbiased estimation of the MSE matrices of improved estimators in linear regression
    Journal of Applied Statistics, 2003, 30, (2), 173-189 Downloads View citations (4)

2002

  1. Improved Multivariate Prediction in a General Linear Model with an Unknown Error Covariance Matrix
    Journal of Multivariate Analysis, 2002, 83, (1), 166-182 Downloads View citations (5)
  2. ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION
    Econometric Reviews, 2002, 21, (1), 121-134 Downloads View citations (2)
  3. Testing for covariance stationarity of stock returns in the presence of structural breaks: an intervention analysis
    Applied Economics Letters, 2002, 9, (7), 441-447 Downloads View citations (7)

2001

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

2000

  1. 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 Downloads
  2. 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 Downloads View citations (3)
  3. Simultaneous Estimation of Several Stratum Means under Error-in-Variables Superpopulation Models
    Annals of the Institute of Statistical Mathematics, 2000, 52, (2), 380-396 Downloads

1999

  1. 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 Downloads View citations (4)

1994

  1. Risk comparison of the inequality constrained least squares and other related estimators under balanced loss
    Economics Letters, 1994, 46, (3), 203-210 Downloads View citations (4)
    See also Working Paper (1993)
 
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