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Monash Econometrics and Business Statistics Working Papers

From Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
Contact information at EDIRC.

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40/20: On GMM Inference: Partial Identification, Identification Strength, and Non-Standard Downloads
Donald Poskitt
39/20: A Class of Time-Varying Vector Moving Average (infinity) Models Downloads
Yayi Yan, Jiti Gao and Bin Peng
38/20: Time of Day, Cognitive Tasks and Efficiency Gains Downloads
Alessio Gaggero and Denni Tommasi
37/20: Forecasting for Social Good Downloads
Bahman Rostami-Tabar, Mohammad Ali, Tao Hong, Rob Hyndman, Michael Porter and Aris Syntetos
36/20: Burning Sage: Reversing the Curse of Dimensionality in the Visualization of High-Dimensional Data Downloads
Ursula Laa, Dianne Cook and Stuart Lee
34/20: Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects Downloads
Lina Zhang, David Frazier, Donald Poskitt and Xueyan Zhao
33/20: Optimal probabilistic forecasts: When do they work? Downloads
Ruben Loaiza-Maya, Gael Martin, David Frazier, Worapree Maneesoonthorn and Andres Hassan
32/20: A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels Downloads
Arturas Juodis, Yiannis Karavias and Vasilis Sarafidis
31/20: Forecasting the Old-Age Dependency Ratio to Determine a Sustainable Pension Age Downloads
Rob Hyndman, Yijun Zeng and Han Shang
30/20: Indirect Inference for Locally Stationary Models Downloads
David Frazier and Bonsoo Koo
29/20: Distributed ARIMA Models for Ultra-long Time Series Downloads
Xiaoqian Wang, Yanfei Kang, Rob Hyndman and Feng Li
28/20: On Income and Price Elasticities for Energy Demand: A Panel Data Study Downloads
Jiti Gao, Bin Peng and Russell Smyth
27/20: Updating Variational Bayes: Fast Sequential Posterior Inference Downloads
Nathaniel Tomasetti, Catherine Forbes and Anastasios Panagiotelis
26/20: Probabilistic Forecast Reconciliation: Properties, Evaluation and Score Optimisation Downloads
Anastasios Panagiotelis, Puwasala Gamakumara, George Athanasopoulos and Rob Hyndman
25/20: Scalable Bayesian Estimation in the Multinomial Probit Model Downloads
Ruben Loaiza-Maya and Didier Nibbering
24/20: Bounding Program Benefits When Participation is Misreported Downloads
Denni Tommasi and Lina Zhang
23/20: Forecast Reconciliation: A geometric View with New Insights on Bias Correction Downloads
Anastasios Panagiotelis, Puwasala Gamakumara, George Athanasopoulos and Rob Hyndman
22/20: On Time Trend of COVID-19: A Panel Data Study Downloads
Chaohua Dong, Jiti Gao, Oliver Linton and Bin Peng
21/20: Novel Utility-based Life Cycle Models to Optimise Income in Retirement in the Presence of Heterogeneous Preferences Downloads
Bonsoo Koo, Athanasios Pantelous and Yunxiao Wang
20/20: Sectoral Employment Dynamics in Australia Downloads
Heather Anderson, Giovanni Caggiano, Farshid Vahid and Benjamin Wong
19/20: Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors Downloads
Sium Hannadige, Jiti Gao, Mervyn Silvapulle and Param Silvapulle
18/20: Statistical Modelling and Forecast Evaluation of the Impact of Extreme Temperatures on Wheat Crops in North Western Victoria Downloads
Natalia Bailey, Zvi Hochman, Yufeng Mao, Mervyn Silvapulle and Param Silvapulle
17/20: Hole or grain? A Section Pursuit Index for Finding Hidden Structure in Multiple Dimensions Downloads
Ursula Laa, Dianne Cook, Andreas Buja and German Valencia
16/20: Bagging Weak Predictors Downloads
Eric Hillebrand, Manuel Lukas and Wei Wei
15/20: Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index Downloads
Svetlana Litvinova and Mervyn Silvapulle
14/20: Computing Bayes: Bayesian Computation from 1763 to the 21st Century Downloads
Gael Martin, David Frazier and Christian Robert
13/20: Most Powerful Test against High Dimensional Free Alternatives Downloads
Yi He, Sombut Jaidee and Jiti Gao
12/20: Estimation and Testing for High-Dimensional Near Unit Root Time Series Downloads
Bo Zhang, Jiti Gao and Guangming Pan
11/20: IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Downloads
Guowei Cui, Vasilis Sarafidis and Takashi Yamagata
10/20: Identifying Risk Factors and Their Premia: A Study on Electricity Prices Downloads
Wei Wei and Asger Lunde
9/20: Investor-herding and risk-profiles: A State-Space Model-based Assessment Downloads
Harminder Nath and Robert Brooks
8/20: Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem Downloads
David Harris, Hsein Kew Hsein Kew and Robert Taylor
7/20: Measurement of Factor Strength: Theory and Practice Downloads
Natalia Bailey, George Kapetanios and M Pesaran
6/20: Celebrating 40 Years of Panel Data Analysis: Past, Present and Future Downloads
Vasilis Sarafidis and Tom Wansbeek
5/20: A Linear Estimator for FactorAugmented Fixed-T Panels with Endogenous Regressors Downloads
Arturas Juodis and Vasilis Sarafidis
4/20: Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information Downloads
Bonsoo Koo, Davide La Vecchia and Oliver Linton
3/20: High-Frequency Jump Tests: Which Test Should We Use? Downloads
Worapree Maneesoonthorn, Gael Martin and Catherine Forbes
2/20: On the Evaluation of Hierarchical Forecasts Downloads
George Athanasopoulos and Nikolaos Kourentzes
1/20: Focused Bayesian Prediction Downloads
Ruben Loaiza-Maya, Gael Martin and David Frazier
33/19: Identification and Estimation of Differentiated Products Models Downloads
David Byrne, Susumu Imai, Neelam Jain, Vasilis Sarafidis and Masayuki Hirukawa
32/19: Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure Downloads
Milda Norkute, Vasilis Sarafidis, Takashi Yamagata and Guowei Cui
31/19: Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices Downloads
Bo Zhang, Jiti Gao, Guangming Pan and Yanrong Yang
30/19: Hypothesis Testing Based on a Vector of Statistics Downloads
Maxwell King, Xibin Zhang and Muhammad Akram
29/19: Fast Forecast Reconciliation Using Linear Models Downloads
Mahsa Ashouri, Rob Hyndman and Galit Shmueli
28/19: Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone Downloads
Isabel Casas, Jiti Gao, Bin Peng and Shangyu Xie
27/19: Elucidate Structure in Intermittent Demand Series Downloads
Nikolaos Kourentzes and George Athanasopoulos
26/19: Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects Downloads
Xuan Liang, Jiti Gao and Xiaodong Gong
25/19: Semiparametric Single-index Predictive Regression Downloads
Weilun Zhou, Jiti Gao, David Harris and Hsein Kew
24/19: Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness Downloads
Fei Liu, Jiti Gao and Yanrong Yang
23/19: Global Temperatures and Greenhouse Gases: A Common Features Approach Downloads
Li Chen, Jiti Gao and Farshid Vahid
Page updated 2020-11-24
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