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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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19/17: Local logit regression for recovery rate Downloads
Nithi Sopitpongstorn, Param Silvapulle and Jiti Gao
18/17: A simple nonlinear predictive model for stock returns Downloads
Biqing Cai and Jiti Gao
17/17: High dimensional semiparametric moment restriction models Downloads
Chaohua Dong, Jiti Gao and Oliver Linton
16/17: Heterogeneous panel data models with cross-sectional dependence Downloads
Jiti Gao and Oliver Linton
15/17: Bayesian assessment of Lorenz and stochastic dominance Downloads
David Lander, David Gunawan, William Griffiths and Duangkamon Chotikapanich
14/17: Dynamic asset price jumps and the performance of high frequency tests and measures Downloads
Worapree Maneesoonthorn, Gael Martin and Catherine Forbes
13/17: Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction Downloads
Tingting Cheng, Jiti Gao and Oliver Linton
12/17: Asymptotic properties of approximate Bayesian computation Downloads
David Frazier, Gael Martin, Christian Robert and Judith Rousseau
11/17: Kernel-based inference in time-varying coefficient models with multiple integrated regressors Downloads
Degui Li, Peter Phillips and Jiti Gao
10/17: Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends Downloads
Jiti Gao, Oliver Linton and Bin Peng
9/17: Construction and visualization of optimal confidence sets for frequentist distributional forecasts Downloads
David Harris, Gael Martin, Indeewara Perera and Donald Poskitt
8/17: Estimation and inference in semiparametric quantile factor models Downloads
Shujie Ma, Oliver Linton and Jiti Gao
7/17: Nonparametric kernel estimation of the impact of tax policy on the demand for private health insurance in Australia Downloads
Xiaodong Gong and Jiti Gao
6/17: Bayesian Inference for a 1-Factor Copula Model Downloads
Ban Tan, Anastasios Panagiotelis and George Athanasopoulos
5/17: Recursive estimation in large panel data models: Theory and practice Downloads
Bin Jiang, Yanrong Yang, Jiti Gao and Cheng Hsiao
4/17: Bayesian estimation based on summary statistics: Double asymptotics and practice Downloads
Tingting Cheng, Jiti Gao and Peter Phillips
3/17: Coherent Probabilistic Forecasts for Hierarchical Time Series Downloads
Souhaib Ben Taieb, James Taylor and Rob Hyndman
2/17: Macroeconomic forecasting for Australia using a large number of predictors Downloads
Bin Jiang, George Athanasopoulos, Rob Hyndman, Anastasios Panagiotelis and Farshid Vahid
1/17: The Australian Macro Database: An online resource for macroeconomic research in Australia Downloads
Timur Behlul, Anastasios Panagiotelis, George Athanasopoulos, Rob Hyndman and Farshid Vahid
20/16: A Quantile Regression Approach to Panel Data Analysis of Health Care Expenditure in OECD Countries Downloads
Fengping Tian, Jiti Gao and Ke Yang
19/16: Another Look at Single-Index Models Based on Series Estimation Downloads
Chaohua Dong, Jiti Gao and Bin Peng
18/16: Asymptotic Properties of Approximate Bayesian Computation Downloads
David Frazier, Gael Martin, Christian Robert and J. Rousseau
17/16: Data-driven particle Filters for particle Markov Chain Monte Carlo Downloads
Patrick Leung, Catherine Forbes, Gael Martin and Brendan McCabe
16/16: The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification Downloads
Chuhui Li, Donald Poskitt and Xueyan Zhao
15/16: Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction Downloads
Donald Poskitt
14/16: Specification Testing for Nonlinear Multivariate Cointegrating Regressions Downloads
Chaohua Dong, Jiti Gao, Dag Tjostheim and Jiying Yin
13/16: Error-in-Variables Jump Regression Using Local Clustering Downloads
Yicheng Kang, Xiaodong Gong, Jiti Gao and Peihua Qiu
12/16: CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence Downloads
Jiti Gao, Guangming Pan and Yanrong Yang
11/16: CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series Downloads
Bo Zhang, Guangming Pan and Jiti Gao
10/16: Visualising forecasting Algorithm Performance using Time Series Instance Spaces Downloads
Yanfei Kang, Rob Hyndman and Kate Smith-Miles
09/16: Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models Downloads
Gael Martin, Brendan McCabe, David Frazier, Worapree Maneesoonthorn and Christian P. Robert
8/16: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures Downloads
Worapree Maneesoonthorn, Catherine Forbes and Gael Martin
7/16: Nonparametric Localized Bandwidth Selection for Kernel Density Estimation Downloads
Tingting Cheng, Jiti Gao and Xibin Zhang
6/16: Bayesian Rank Selection in Multivariate Regression Downloads
Bin Jiang, Anastasios Panagiotelis, George Athanasopoulos, Rob Hyndman and Farshid Vahid
5/16: A Frequency Approach to Bayesian Asymptotics Downloads
Tingting Cheng, Jiti Gao and Peter Phillips
4/16: Grouped functional time series forecasting: An application to age-specific mortality rates Downloads
Han Lin Shang and Rob Hyndman
3/16: Long-term forecasts of age-specific participation rates with functional data models Downloads
Thomas Url, Rob Hyndman and Alexander Dokumentov
2/16: Estimation of Technical Change and Price Elasticities: A Categorical Time-varying Coefficient Approach Downloads
Guohua Feng, Jiti Gao and Xiaohui Zhang
1/16: Bayesian Indirect Inference and the ABC of GMM Downloads
Michael Creel, Jiti Gao, Han Hong and Dennis Kristensen
21/15: Variable Selection for a Categorical Varying-Coefficient Model with Identifications for Determinants of Body Mass Index Downloads
Jiti Gao, Bin Peng, Zhao Ren and Xiaohui Zhang
20/15: Testing for a Structural Break in Dynamic Panel Data Models with Common Factors Downloads
Huanjun Zhu, Vasilis Sarafidis, Mervyn Silvapulle and Jiti Gao
19/15: On Consistency of Approximate Bayesian Computation Downloads
David Frazier, Gael Martin and Christian Robert
18/15: Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity Downloads
Biqing Cai, Chaohua Dong and Jiti Gao
17/15: Cross-sectional Independence Test for a Class of Parametric Panel Data Models Downloads
Guangming Pan, Jiti Gao, Yanrong Yang and Meihui Guo
16/15: Forecasting with Temporal Hierarchies Downloads
George Athanasopoulos, Rob Hyndman, Nikolaos Kourentzes and Fotios Petropoulos
15/15: Forecasting hierarchical and grouped time series through trace minimization Downloads
Shanika L Wickramasuriya, George Athanasopoulos and Rob Hyndman
14/15: Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity Downloads
Giovanni Forchini, Bin Jiang and Bin Peng
13/15: STR: A Seasonal-Trend Decomposition Procedure Based on Regression Downloads
Alexander Dokumentov and Rob Hyndman
12/15: Probabilistic time series forecasting with boosted additive models: an application to smart meter data Downloads
Souhaib Ben Taieb, Raphael Huser, Rob Hyndman and Marc G. Genton
11/15: Forecasting Compositional Time Series: A State Space Approach Downloads
Ralph Snyder, Keith Ord, Anne B. Koehler, Keith McLaren and Adrian Beaumont
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