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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28/20: On Income and Price Elasticities for Energy Demand: A Panel Data Study

Jiti Gao, Bin Peng and Russell Smyth

27/20: Updating Variational Bayes: Fast Sequential Posterior Inference

Nathaniel Tomasetti, Catherine Forbes and Anastasios Panagiotelis

26/20: Probabilistic Forecast Reconciliation: Properties, Evaluation and Score Optimisation

Anastasios Panagiotelis, Puwasala Gamakumara, George Athanasopoulos and Rob Hyndman

25/20: Scalable Bayesian Estimation in the Multinomial Probit Model

Ruben Loaiza-Maya and Didier Nibbering

24/20: Bounding Program Benefits When Participation is Misreported

Denni Tommasi and Lina Zhang

23/20: Forecast Reconciliation: A geometric View with New Insights on Bias Correction

Anastasios Panagiotelis, Puwasala Gamakumara, George Athanasopoulos and Rob Hyndman

22/20: On Time Trend of COVID-19: A Panel Data Study

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

Bonsoo Koo, Athanasios Pantelous and Yunxiao Wang

20/20: Sectoral Employment Dynamics in Australia

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

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

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

Ursula Laa, Dianne Cook, Andreas Buja and German Valencia

16/20: Bagging Weak Predictors

Eric Hillebrand, Manuel Lukas and Wei Wei

15/20: Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index

Svetlana Litvinova and Mervyn Silvapulle

14/20: Computing Bayes: Bayesian Computation from 1763 to the 21st Century

Gael Martin, David Frazier and Christian Robert

13/20: Most Powerful Test against High Dimensional Free Alternatives

Yi He, Sombut Jaidee and Jiti Gao

12/20: Estimation and Testing for High-Dimensional Near Unit Root Time Series

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

Guowei Cui, Vasilis Sarafidis and Takashi Yamagata

10/20: Identifying Risk Factors and Their Premia: A Study on Electricity Prices

Wei Wei and Asger Lunde

9/20: Investor-herding and risk-profiles: A State-Space Model-based Assessment

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

David Harris, Hsein Kew Hsein Kew and Robert Taylor

7/20: Measurement of Factor Strength: Theory and Practice

Natalia Bailey, George Kapetanios and Mohammad Pesaran

6/20: Celebrating 40 Years of Panel Data Analysis: Past, Present and Future

Vasilis Sarafidis and Tom Wansbeek

5/20: A Linear Estimator for FactorAugmented Fixed-T Panels with Endogenous Regressors

Arturas Juodis and Vasilis Sarafidis

4/20: Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information

Bonsoo Koo, Davide La Vecchia and Oliver Linton

3/20: High-Frequency Jump Tests: Which Test Should We Use?

Worapree Maneesoonthorn, Gael Martin and Catherine Forbes

2/20: On the Evaluation of Hierarchical Forecasts

George Athanasopoulos and Nikolaos Kourentzes

1/20: Focused Bayesian Prediction

Ruben Loaiza-Maya, Gael Martin and David Frazier

33/19: Identification and Estimation of Differentiated Products Models

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

Milda Norkute, Vasilis Sarafidis, Takashi Yamagata and Guowei Cui

31/19: Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices

Bo Zhang, Jiti Gao, Guangming Pan and Yanrong Yang

30/19: Hypothesis Testing Based on a Vector of Statistics

Maxwell King, Xibin Zhang and Muhammad Akram

29/19: Fast Forecast Reconciliation Using Linear Models

Mahsa Ashouri, Rob Hyndman and Galit Shmueli

28/19: Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone

Isabel Casas, Jiti Gao, Bin Peng and Shangyu Xie

27/19: Elucidate Structure in Intermittent Demand Series

Nikolaos Kourentzes and George Athanasopoulos

26/19: Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects

Xuan Liang, Jiti Gao and Xiaodong Gong

25/19: Semiparametric Single-index Predictive Regression

Weilun Zhou, Jiti Gao, David Harris and Hsein Kew

24/19: Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness

Fei Liu, Jiti Gao and Yanrong Yang

23/19: Global Temperatures and Greenhouse Gases: A Common Features Approach

Li Chen, Jiti Gao and Farshid Vahid

22/19: Forecasting Observables with Particle Filters: Any Filter Will Do!

Patrick Leung, Catherine Forbes, Gael Martin and Brendan McCabe

21/19: Feature-based Forecast-Model Performance Prediction

Thiyanga Talagala, Feng Li and Yanfei Kang

20/19: Anomaly Detection in High Dimensional Data

Priyanga Talagala, Rob Hyndman and Kate Smith-Miles

19/19: A High-dimensional Multinomial Choice Model

Didier Nibbering

18/19: Forecast Reconciliation: A geometric View with New Insights on Bias Correction

Anastasios Panagiotelis, Puwasala Gamakumara, George Athanasopoulos and Rob Hyndman

17/19: Dimension Reduction For Outlier Detection Using DOBIN

Sevvandi Kandanaarachchi and Rob Hyndman

16/19: Seasonal Functional Autoregressive Models

Atefeh Zamani, Hossein Haghbin, Maryam Hashemi and Rob Hyndman

15/19: Optimal Non-negative Forecast Reconciliation

Shanika Wickramasuriya, Berwin Turlach and Rob Hyndman

14/19: Forecasting Swiss Exports Using Bayesian Forecast Reconciliation

Florian Eckert, Rob Hyndman and Anastasios Panagiotelis

13/19: Updating Variational Bayes: Fast Sequential Posterior Inference

Nathaniel Tomasetti, Catherine Forbes and Anastasios Panagiotelis

12/19: A New Tidy Data Structure to Support Exploration and Modeling of Temporal Data

Earo Wang, Dianne Cook and Rob Hyndman