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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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21/19: Feature-based Forecast-Model Performance Prediction Downloads
Thiyanga Talagala, Feng Li and Yanfei Kang
20/19: Anomaly Detection in High Dimensional Data Downloads
Priyanga Talagala, Rob Hyndman and Kate Smith-Miles
19/19: A High-dimensional Multinomial Choice Model Downloads
Didier Nibbering
18/19: Forecast Reconciliation: A geometric View with New Insights on Bias Correction Downloads
Anastasios Panagiotelis, Puwasala Gamakumara, George Athanasopoulos and Rob Hyndman
17/19: Dimension Reduction For Outlier Detection Using DOBIN Downloads
Sevvandi Kandanaarachchi and Rob Hyndman
16/19: Seasonal Functional Autoregressive Models Downloads
Atefeh Zamani, Hossein Haghbin, Maryam Hashemi and Rob Hyndman
15/19: Optimal Non-negative Forecast Reconciliation Downloads
Shanika Wickramasuriya, Berwin Turlach and Rob Hyndman
14/19: Forecasting Swiss Exports Using Bayesian Forecast Reconciliation Downloads
Florian Eckert, Rob Hyndman and Anastasios Panagiotelis
13/19: Updating Variational Bayes: Fast Sequential Posterior Inference Downloads
Nathaniel Tomasetti, Catherine Forbes and Anastasios Panagiotelis
12/19: A New Tidy Data Structure to Support Exploration and Modeling of Temporal Data Downloads
Earo Wang, Dianne Cook and Rob Hyndman
11/19: Calendar-based Graphics for Visualizing People's Daily Schedules Downloads
Earo Wang, Dianne Cook and Rob Hyndman
10/19: A Near Unit Root Test for High-Dimensional Nonstationary Time Series Downloads
Bo Zhang, Jiti Gao and Guangming Pan
9/19: An Integrated Panel Data Approach to Modelling Economic Growth Downloads
Jiti Gao, Guangming Pan, Yanrong Yang and Bo Zhang
8/19: Spatial modelling of the two-party preferred vote in Australian federal elections: 2001-2016 Downloads
Jeremy Forbes, Dianne Cook and Rob Hyndman
7/19: Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach Downloads
Kanchana Nadarajah, Gael Martin and Donald Poskitt
6/19: An Integrated Panel Data Approach to Modelling Economic Growth Downloads
Guohua Feng, Jiti Gao and Bin Peng
4/19: Nonparametric Predictive Regressions for Stock Return Prediction Downloads
Tingting Cheng, Jiti Gao and Oliver Linton
3/19: A Brief History of Forecasting Competitions Downloads
Rob Hyndman
2/19: Hierarchical Forecasting Downloads
George Athanasopoulos, Puwasala Gamakumara, Anastasios Panagiotelis, Rob Hyndman and Mohamed Affan
1/19: A Feature-Based Framework for Detecting Technical Outliers in Water-Quality Data from In Situ Sensors Downloads
Priyanga Talagala, Rob Hyndman, Catherine Leigh, Kerrie Mengersen and Kate Smith-Miles
24/18: Cross-temporal coherent forecasts for Australian tourism Downloads
Nikolaos Kourentzes and George Athanasopoulos
23/18: High dimensional semiparametric moment restriction models Downloads
Chaohua Dong, Jiti Gao and Oliver Linton
22/18: Modelling time-varying income elasticities of health care expenditure for the OECD Downloads
Isabel Casas, Jiti Gao and Shangyu Xie
21/18: Regime switching panel data models with interative fixed effects Downloads
Tingting Cheng, Jiti Gao and Yayi Yan
20/18: Inter-regional spillover and intra-regional agglomeration effects among local labour markets in China Downloads
Xiaodong Gong, Jiti Gao, Xuan Liang and Xin Meng
19/18: FFORMA: Feature-based forecast model averaging Downloads
Pablo Montero-Manso, George Athanasopoulos, Rob Hyndman and Thiyanga Talagala
18/18: Issues in the estimation of mis-specified models of fractionally integrated processes Downloads
Gael Martin, K. Nadarajah and Donald Poskitt
17/18: Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference Downloads
Worapree Maneesoonthorn, Gael Martin and Catherine Forbes
16/18: On normalization and algorithm selection for unsupervised outlier detection Downloads
Sevvandi Kandanaarachchi, Mario Munoz, Rob Hyndman and Kate Smith-Miles
15/18: Efficient generation of time series with diverse and controllable characteristics Downloads
Yanfei Kang, Rob Hyndman and Feng Li
14/18: Expanding tidy data principles to facilitate missing data exploration, visualization and assessment of imputations Downloads
Nicholas Tierney and Dianne Cook
13/18: Exponent of cross-sectional dependence for residuals Downloads
Natalia Bailey, George Kapetanios and M Pesaran
12/18: Bootstrapping tail statistics: Tail quantile process, Hill estimator, and confidence intervals for highquantiles of heavy tailed distributions Downloads
Svetlana Litvinova and Mervyn Silvapulle
11/18: Probabilisitic forecasts in hierarchical time series Downloads
Puwasala Gamakumara, Anastasios Panagiotelis, George Athanasopoulos and Rob Hyndman
10/18: The behaviour of betting and currency markets on the night of the EU referendum Downloads
Tom Auld and Oliver Linton
9/18: Regime switching in the presence of endogeneity Downloads
Tingting Cheng, Jiti Gao and Yayi Yan
8/18: On endogeneity and shape invariance in extended partially linear single index models Downloads
Jiti Gao, Namhyun Kim and Patrick Saart
7/18: The determinants of bank loan recovery rates in good times and bad -- new evidence Downloads
Hong Wang, Catherine Forbes, Jean-Pierre Fenech and John Vaz
6/18: Meta-learning how to forecast time series Downloads
Thiyanga Talagala, Rob Hyndman and George Athanasopoulos
5/18: Series estimation for single-index models under constraints Downloads
Chaohua Dong, Jiti Gao and Bin Peng
4/18: Anomaly detection in streaming nonstationary temporal data Downloads
Priyanga Talagala, Rob Hyndman, Kate Smith-Miles, Sevvandi Kandanaarachchi and Mario Munoz
3/18: Testing for common breaks in a multiple equations system Downloads
Tatsushi Oka and Pierre Perron
2/18: Approximate Bayesian forecasting Downloads
David Frazier, Worapree Maneesoonthorn, Gael Martin and Brendan McCabe
1/18: Varying-coefficient panel data models with partially observed factor structure Downloads
Chaohua Dong, Jiti Gao and Bin Peng
22/17: Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization Downloads
Shanika Wickramasuriya, George Athanasopoulos and Rob Hyndman
21/17: Robust Bayesian exponentially tilted empirical likelihood method Downloads
Zhichao Liu, Catherine Forbes and Heather Anderson
20/17: A panel data analysis of hospital variations in length of stay for hip replacements: Private versus public Downloads
Yan Meng, Xueyan Zhao, Xibin Zhang and Jiti Gao
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
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