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.

11/19: Calendar-based Graphics for Visualizing People's Daily Schedules

Earo Wang, Dianne Cook and Rob Hyndman

10/19: A Near Unit Root Test for High-Dimensional Nonstationary Time Series

Bo Zhang, Jiti Gao and Guangming Pan

9/19: An Integrated Panel Data Approach to Modelling Economic Growth

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

Jeremy Forbes, Dianne Cook and Rob Hyndman

7/19: Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach

Kanchana Nadarajah, Gael Martin and Donald Poskitt

6/19: An Integrated Panel Data Approach to Modelling Economic Growth

Guohua Feng, Jiti Gao and Bin Peng

5/19: Binary Outcomes, OLS, 2SLS and IV Probit

Chuhui Li, Donald Poskitt, Frank Windmeijer and Xueyan Zhao

4/19: Nonparametric Predictive Regressions for Stock Return Prediction

Tingting Cheng, Jiti Gao and Oliver Linton

3/19: A Brief History of Forecasting Competitions

Rob Hyndman

2/19: Hierarchical Forecasting

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

Priyanga Talagala, Rob Hyndman, Catherine Leigh, Kerrie Mengersen and Kate Smith-Miles

24/18: Cross-temporal coherent forecasts for Australian tourism

Nikolaos Kourentzes and George Athanasopoulos

23/18: High dimensional semiparametric moment restriction models

Chaohua Dong, Jiti Gao and Oliver Linton

22/18: Modelling time-varying income elasticities of health care expenditure for the OECD

Isabel Casas, Jiti Gao and Shangyu Xie

21/18: Regime switching panel data models with interative fixed effects

Tingting Cheng, Jiti Gao and Yayi Yan

20/18: Inter-regional spillover and intra-regional agglomeration effects among local labour markets in China

Xiaodong Gong, Jiti Gao, Xuan Liang and Xin Meng

19/18: FFORMA: Feature-based forecast model averaging

Pablo Montero-Manso, George Athanasopoulos, Rob Hyndman and Thiyanga Talagala

18/18: Issues in the estimation of mis-specified models of fractionally integrated processes

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

Worapree Maneesoonthorn, Gael Martin and Catherine Forbes

16/18: On normalization and algorithm selection for unsupervised outlier detection

Sevvandi Kandanaarachchi, Mario Munoz, Rob Hyndman and Kate Smith-Miles

15/18: Efficient generation of time series with diverse and controllable characteristics

Yanfei Kang, Rob Hyndman and Feng Li

14/18: Expanding tidy data principles to facilitate missing data exploration, visualization and assessment of imputations

Nicholas Tierney and Dianne Cook

13/18: Exponent of cross-sectional dependence for residuals

Natalia Bailey, George Kapetanios and Mohammad Pesaran

12/18: Bootstrapping tail statistics: Tail quantile process, Hill estimator, and confidence intervals for highquantiles of heavy tailed distributions

Svetlana Litvinova and Mervyn Silvapulle

11/18: Probabilisitic forecasts in hierarchical time series

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

Tom Auld and Oliver Linton

9/18: Regime switching in the presence of endogeneity

Tingting Cheng, Jiti Gao and Yayi Yan

8/18: On endogeneity and shape invariance in extended partially linear single index models

Jiti Gao, Namhyun Kim and Patrick Saart

7/18: The determinants of bank loan recovery rates in good times and bad -- new evidence

Hong Wang, Catherine Forbes, Jean-Pierre Fenech and John Vaz

6/18: Meta-learning how to forecast time series

Thiyanga Talagala, Rob Hyndman and George Athanasopoulos

5/18: Series estimation for single-index models under constraints

Chaohua Dong, Jiti Gao and Bin Peng

4/18: Anomaly detection in streaming nonstationary temporal data

Priyanga Talagala, Rob Hyndman, Kate Smith-Miles, Sevvandi Kandanaarachchi and Mario Munoz

3/18: Testing for common breaks in a multiple equations system

Tatsushi Oka and Pierre Perron

2/18: Approximate Bayesian forecasting

David Frazier, Worapree Maneesoonthorn, Gael Martin and Brendan McCabe

1/18: Varying-coefficient panel data models with partially observed factor structure

Chaohua Dong, Jiti Gao and Bin Peng

22/17: Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization

Shanika Wickramasuriya, George Athanasopoulos and Rob Hyndman

21/17: Robust Bayesian exponentially tilted empirical likelihood method

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

Yan Meng, Xueyan Zhao, Xibin Zhang and Jiti Gao

19/17: Local logit regression for recovery rate

Nithi Sopitpongstorn, Param Silvapulle and Jiti Gao

18/17: A simple nonlinear predictive model for stock returns

Biqing Cai and Jiti Gao

17/17: High dimensional semiparametric moment restriction models

Chaohua Dong, Jiti Gao and Oliver Linton

16/17: Heterogeneous panel data models with cross-sectional dependence

Jiti Gao and Oliver Linton

15/17: Bayesian assessment of Lorenz and stochastic dominance

David Lander, David Gunawan, William Griffiths and Duangkamon Chotikapanich

14/17: Dynamic asset price jumps and the performance of high frequency tests and measures

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

Tingting Cheng, Jiti Gao and Oliver Linton

12/17: Asymptotic properties of approximate Bayesian computation

David Frazier, Gael Martin, Christian Robert and Judith Rousseau

11/17: Kernel-based inference in time-varying coefficient models with multiple integrated regressors

Degui Li, Peter Phillips and Jiti Gao

10/17: Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends

Jiti Gao, Oliver Linton and Bin Peng

9/17: Construction and visualization of optimal confidence sets for frequentist distributional forecasts

David Harris, Gael Martin, Indeewara Perera and Donald Poskitt

8/17: Estimation and inference in semiparametric quantile factor models

Shujie Ma, Oliver Linton and Jiti Gao