Monash Econometrics and Business Statistics Working Papers

From Monash University, Department of Econometrics and Business Statistics
PO Box 11E, Monash University, Victoria 3800, Australia.
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8/22: Time-Varying Multivariate Causal Processes

Jiti Gao, Bin Peng, Wei Wu and Yayi Yan

7/22: A Simple Bootstrap Method for Panel Data Inferences

Jiti Gao, Bin Peng and Yayi Yan

6/22: The Impact of Sampling Variability on Estimated Combinations of Distributional Forecasts

Ryan Zischke, Gael Martin, David Frazier and Donald Poskitt

5/22: Risk-Sharing Tests with Network Transaction Costs

Christian Cox, Akanksha Negi and Digvijay Negi

4/22: Multi-Level Panel Data Models: Estimation and Empirical Analysis

Guohua Feng, Jiti Gao and Bin Peng

3/22: Nonparametric Estimation and Testing for Time-Varying VAR Models

Jiti Gao, Bin Peng and Yayi Yan

2/22: Familial Inference

Ryan Thompson, Catherine Forbes, Steven MacEachern and Mario Peruggia

1/22: Variational Bayes in State Space Models: Inferential and Predictive Accuracy

David Frazier, Gael Martin and Ruben Loaiza-Maya

24/21: Approximating Bayes in the 21st Century

Gael Martin, David Frazier and Christian Robert

23/21: Interactive Effects Panel Data Models with General Factors and Regressors

Bin Peng, Liangjun Su, Joakim Westerlund and Yanrong Yang

22/21: Asymptotics for Time-Varying Vector MA(∞) Processes

Yayi Yan, Jiti Gao and Bin Peng

21/21: Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects

Lina Zhang, David Frazier, Donald Poskitt and Xueyan Zhao

20/21: Detecting Distributional Differences between Temporal Granularities for Exploratory Time Series Analysis

Sayani Gupta, Rob Hyndman and Dianne Cook

19/21: Real Options Valuation of Wind Energy Based on the Empirical Production Uncertainty

Didier Nibbering, Coos van Buuren and Wei Wei

18/21: Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice

Chaohua Dong, Jiti Gao, Bin Peng and Yundong Tu

17/21: On Time-Varying VAR models: Estimation, Testing and Impulse Response Analysis

Yayi Yan, Jiti Gao and Bin Peng

16/21: Productivity Convergence in Manufacturing: A Hierarchical Panel Data Approach

Guohua Feng, Jiti Gao and Bin Peng

15/21: Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics

Armin Pourkhanali, Jonathan Keith and Xibin Zhang

14/21: A Note on Inequality Measures for Mixtures of Double Pareto-Lognormal Distributions

William Griffiths, Duangkamon Chotikapanich and Gholamreza Hajargasht

13/21: Inequality in Education: A Comparison of Australian Indigenous and Nonindigenous Populations

David Gunawan, William Griffiths and Duangkamon Chotikapanich

12/21: Comparisons of Australian Mental Health Distributions

David Gunawan, William Griffiths and Duangkamon Chotikapanich

11/21: Parameter Stability Testing for Multivariate Dynamic Time-Varying Models

Jiti Gao, Bin Peng and Yayi Yan

10/21: On the Evaluation of Hierarchical Forecasts

George Athanasopoulos and Nikolaos Kourentzes

9/21: Inexpensive Heating Reduces Winter Mortality

Janjala Chirakijja, Seema Jayachandran and Pinchuan Ong

8/21: Loss-Based Variational Bayes Prediction

David Frazier, Ruben Loaiza-Maya, Gael Martin and Bonsoo Koo Bonsoo Koo

7/21: Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model

Yufeng Mao, Bin Peng, Mervyn Silvapulle, Param Silvapulle and Yanrong Yang

6/21: Time Series Forecasting Using a Mixture of Stationary and Nonstationary Predictors

Sium Hannadige, Jiti Gao, Mervyn Silvapulle and Param Silvapulle

5/21: Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients

Xuan Liang, Jiti Gao and Xiaodong Gong

4/21: A Unified Approach for Jointly Estimating the Business and Financial Cycle, and the Role of Financial Factors

Tino Berger, Julia Richter and Benjamin Wong

3/21: Manifold Learning with Approximate Nearest Neighbors

Fan Cheng, Rob Hyndman and Anastasios Panagiotelis

2/21: Leave-one-out Kernel Density Estimates for Outlier Detection

Sevvandi Kandanaarachchi and Rob Hyndman

1/21: The Road to Recovery from COVID-19 for Australian Tourism

George Athanasopoulos, Rob Hyndman and Mitchell O'Hara-Wild

46/20: The More the Poorer? Resource Sharing and Scale Economies in Large Families

Rossella Calvi, Jacob Penglase, Denni Tommasi and Alexander Wolf

45/20: Principles and Algorithms for Forecasting Groups of Time Series: Locality and Globality

Pablo Montero-Manso and Rob Hyndman

44/20: Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects

Jiti Gao, Fei Liu and Bin Peng

43/20: brolgar: An R package to BRowse Over Longitudinal Data Graphically and Analytically in R

Nicholas Tierney, Dianne Cook and Tania Prvan

42/20: Time-Varying Panel Data Models with an Additive Factor Structure

Fei Liu, Jiti Gao and Yanrong Yang

41/20: Nonlinear Mixed Effects Models for Time Series Forecasting of Smart Meter Demand

Cameron Roach, Rob Hyndman and Souhaib Ben Taieb

40/20: On GMM Inference: Partial Identification, Identification Strength, and Non-Standard

Donald Poskitt

39/20: A Class of Time-Varying Vector Moving Average (infinity) Models

Yayi Yan, Jiti Gao and Bin Peng

38/20: Time of Day, Cognitive Tasks and Efficiency Gains

Alessio Gaggero and Denni Tommasi

37/20: Forecasting for Social Good

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

Ursula Laa, Dianne Cook and Stuart Lee

35/20: Visualizing Probability Distributions across Bivariate Cyclic Temporal Granularities

Sayani Gupta, Rob Hyndman, Dianne Cook and Antony Unwin

34/20: Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects

Lina Zhang, David Frazier, Donald Poskitt and Xueyan Zhao

33/20: Optimal probabilistic forecasts: When do they work?

Ruben Loaiza-Maya, Gael Martin, David Frazier, Worapree Maneesoonthorn and Andrés Ramírez Hassan

32/20: A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels

Arturas Juodis, Yiannis Karavias and Vasilis Sarafidis

31/20: Forecasting the Old-Age Dependency Ratio to Determine a Sustainable Pension Age

Rob Hyndman, Yijun Zeng and Han Lin Shang

30/20: Indirect Inference for Locally Stationary Models

David Frazier and Bonsoo Koo

29/20: Distributed ARIMA Models for Ultra-long Time Series

Xiaoqian Wang, Yanfei Kang, Rob Hyndman and Feng Li