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.
Bibliographic data for series maintained by Professor Xibin Zhang ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

1/25: Model Averaging for Time-Varying Vector Autoregressions

Yuying Sun, Feng Chen and Jiti Gao

21/24: Late to the Party or Insider Trading? Exploring Channels for the Rise of Volatility Before News

Klaus Ackermann, Ashley Andrews, Bonsoo Koo and  Wei  Wei

20/24: Online Conformal Inference for Multi-Step Time Series Forecasting

Xiaoqian Wang and Rob Hyndman

19/24: The Checkerboard Copula and Dependence Concepts

Liyuan Lin, Ruodu Wang, Ruixun Zhang and Chaoyi Zhao

18/24: Risk Sharing, Measuring Variability, and Distortion Riskmetrics

Jean-Gabriel  Lauzier, Liyuan Lin Lin and Ruodu Wang

17/24: Invariant Correlation under Marginal Transforms

Takaaki Koike, Liyuan Lin and Ruodu Wang

16/24: Sparse Multiple Index Modelsfor High-dimensional Nonparametric Forecasting

Nuwani Palihawadana, Rob Hyndman and Xiaoqian Wang

15/24: Improving the Computational Efficiency of Adaptive Audits of IRV Elections

Alexander Ek, Michelle  Blom, Philip Stark, Peter Stuckey and Damjan Vukcevic

14/24: Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy

Jiti Gao, Fei Liu, Bin Peng and Yanrong Yang

13/24: Forecast Linear AugmentedProjection (FLAP): A Free Lunch to Reduce Forecast Error Variance

Yangzhuoran Yang, Rob Hyndman, George Athanasopoulos and Anastasios Panagiotelis

12/24: Testing for Restricted Stochastic Dominance under Survey Nonresponse with Panel Data: Theory and an Evaluation of Poverty in Australia

Matthew Rlias and Rami Tabri

11/24: Efficient Weighting Schemes for Auditing Instant-Runoff Voting Elections?

Alexander Ek, Philip Stark, Peter Stuckey and Damjan Vukcevic

10/24: A Robust Residual-Based Test for Structural Changes in Factor Models

Bin Peng, Liangjun Su and Yayi Yan

9/24: Robust Inference for High Dimensional Panel Data Models

Jiti Gao, Bin Peng and Yayi Yan

8/24: Estimation and Inference for Three-Dimensional Panel Data Models

Guohua Feng Feng, Jiti Gao, Fei Liu and Bin Peng

7/24: Estimation and Inference for a Class of Generalized Hierarchical Models

Chaohua Dong, Jiti Gao, Bin Peng and Yayi Yan

6/24: Estimation of Grouped Time-Varying Network Vector Autoregression Models

Degui Li, Bin Peng, Songqiao Tang and Weibiao Wu

5/24: Optimal Forecast Reconciliation with Time Series Selection

Xiaoqian Wang, Rob Hyndman and Shanika Wickramasuriya

4/24: Efficient Weighting Schemes for Auditing Instant-Runoff Voting Elections

Alexander Ek, Philip Stark, Peter Stuckey and Damjan Vukcevic

3/24: RLAs for 2-Seat STV Elections: Revisited

Michelle Blom, Peter Stuckey, Vanessa Teague and Damjan Vukcevic

2/24: The Information Projection in Moment Inequality Models: Existence, Dual Representation, and Approximation

Rami Tabri

1/24: Statistical Models for Repeated Categorical Ratings: The R Package Rater

Jeffrey Pullin, Lyle Gurrin and Damjan Vukcevic

22/23: Eigen-Analysis for High-Dimensional Time Series Clustering

Bo Zhang, Jiti Gao, Guangming Pan and Yanrong Yang

21/23: Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks

Chaohua Dong, Jiti Gao, Bin Peng and Yayi Yan

20/23: Estimation and Inference for Three-Dimensional Panel Data Models

Guohua Feng, Jiti Gao, Fei Liu and Bin Peng

19/23: A High-dimensional Multinomial Logit Model

Didier Nibbering

18/23: Solving the Forecast Combination Puzzle

David Frazier, Ryan Covey, Gael Martin and Donald Poskitt

17/23: Improving out-of-sample Forecasts of Stock Price Indexes with Forecast Reconciliation and Clustering

George Athanasopoulos, Rob Hyndman and Raffaele Mattera

16/23: Familial Inference: Tests for Hypotheses on a Family of Centres

Ryan Thompson, Catherine Forbes, Steven MacEachern and Mario Peruggia

15/23: A Localised Neural network with Dependent Data: Estimation and Inference

Jiti Gao, Bin Peng and Yayi Yan

14/23: Higher-order Expansions and Inference for Panel Data Models

Jiti Gao, Bin Peng and Yayi Yan

13/23: Mean Group Instrumental Variable Estimation of Time-Varying Large Heterogeneous Panels with Endogenous Regressors

Yu Bai, Massimiliano Marcellino and George Kapetanios

12/23: ABC-based Forecasting in State Space Models

Chaya Weerasinghe, Ruben Loaiza-Maya, Gael Martin and David Frazier

11/23: Time-Varying Vector Error-Correction Models: Estimation and Inference

Jiti Gao, Bin Peng and Yayi Yan

10/23: Conditional Normalization in Time Series Analysis

Puwasala Gamakumara, Edgar Santos-Fernandez, Priyanga Talagala, Rob Hyndman, Kerrie Mengersen and Catherine Leigh

9/23: Bootstrap Hausdorff Confidence Regions for Average Treatment Effect Identified Sets

Donald Poskitt and Xueyan Zhao

8/23: Forecast Reconciliation: A Review

George Athanasopoulos, Rob Hyndman, Nikolaos Kourentzes and Anastasios Panagiotelis

7/23: Does Climate Sensitivity Differ Across Regions?

Heather Anderson, Jiti Gao, Farshid Vahid, Wei Wei and Yang Yang

6/23: Cross-temporal Probabilistic Forecast Reconciliation

Daniele Girolimetto, George Athanasopoulos, Tommaso Di Fonzo and Rob Hyndman

5/23: Inference of Grouped Time-Varying Network Vector Autoregression Models

Degui Li, Bin Peng, Songqiao Tang and Weibiao Wu

4/23: The incidence of positive bloodstream and urine cultures in five Australian hospitals during the COVID-19 pandemic

Brett Mitchell, Andrew Stewardson, Lucille Kerr, John Ferguson, Stephanie Curtis, Lucy Busija, Kirsty Graham, Michael Lydeamore, Philip Russo and Christopher Baker

3/23: Modelling the impact of hybrid immunity on future COVID-19 epidemic waves

Thao Le, Isobel Abell, Eamon Conway, Patricia Campbell, Alexandra Hogan, Michael Lydeamore, Jodie McVernon, Ivo Mueller, Camelia Walker and Christopher Baker

2/23: Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models

Chaohua Dong, Jiti Gao, Bin Peng and Yundong Tu

1/23: Bayesian Forecasting in the 21st Century: A Modern Review

Gael Martin, David Frazier, Ruben Loaiza-Maya, Florian Huber, Gary Koop, John Maheu, Didier Nibbering and Anastasios Panagiotelis

14/22: Computing Bayes: From Then `Til Now

Gael Martin, David Frazier and Christian Robert

13/22: Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects

Ruofan Xu, Jiti Gao, Tatsushi Oka and Yoon-Jae Whang

12/22: Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach

Heather Anderson, Jiti Gao, Guido Turnip, Farshid Vahid and Wei Wei

11/22: GMM Estimation for High-Dimensional Panel Data Models

Tingting Cheng, Chaohua Dong, Jiti Gao and Oliver Linton

10/22: Semiparametric Single-Index Estimation for Average Treatment Effects

Difang Huang, Jiti Gao and Tatsushi Oka

9/22: A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation

Jiti Gao, Oliver Linton and Bin Peng