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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7/17: Nonparametric kernel estimation of the impact of tax policy on the demand for private health insurance in Australia

Xiaodong Gong and Jiti Gao

6/17: Bayesian Inference for a 1-Factor Copula Model

Ban Tan, Anastasios Panagiotelis and George Athanasopoulos

5/17: Recursive estimation in large panel data models: Theory and practice

Bin Jiang, Yanrong Yang, Jiti Gao and Cheng Hsiao

4/17: Bayesian estimation based on summary statistics: Double asymptotics and practice

Tingting Cheng, Jiti Gao and Peter Phillips

3/17: Coherent Probabilistic Forecasts for Hierarchical Time Series

Souhaib Ben Taieb, James Taylor and Rob Hyndman

2/17: Macroeconomic forecasting for Australia using a large number of predictors

Bin Jiang, George Athanasopoulos, Rob Hyndman, Anastasios Panagiotelis and Farshid Vahid

1/17: The Australian Macro Database: An online resource for macroeconomic research in Australia

Timur Behlul, Anastasios Panagiotelis, George Athanasopoulos, Rob Hyndman and Farshid Vahid

20/16: A Quantile Regression Approach to Panel Data Analysis of Health Care Expenditure in OECD Countries

Fengping Tian, Jiti Gao and Ke Yang

19/16: Another Look at Single-Index Models Based on Series Estimation

Chaohua Dong, Jiti Gao and Bin Peng

18/16: Asymptotic Properties of Approximate Bayesian Computation

David Frazier, Gael Martin, Christian Robert and J. Rousseau

17/16: Data-driven particle Filters for particle Markov Chain Monte Carlo

Patrick Leung, Catherine Forbes, Gael Martin and Brendan McCabe

16/16: The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification

Chuhui Li, Donald Poskitt and Xueyan Zhao

15/16: Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction

Donald Poskitt

14/16: Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Chaohua Dong, Jiti Gao, Dag Tjostheim and Jiying Yin

13/16: Error-in-Variables Jump Regression Using Local Clustering

Yicheng Kang, Xiaodong Gong, Jiti Gao and Peihua Qiu

12/16: CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence

Jiti Gao, Guangming Pan and Yanrong Yang

11/16: CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series

Bo Zhang, Guangming Pan and Jiti Gao

10/16: Visualising forecasting Algorithm Performance using Time Series Instance Spaces

Yanfei Kang, Rob Hyndman and Kate Smith-Miles

09/16: Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models

Gael Martin, Brendan McCabe, David Frazier, Worapree Maneesoonthorn and Christian P. Robert

8/16: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures

Worapree Maneesoonthorn, Catherine Forbes and Gael Martin

7/16: Nonparametric Localized Bandwidth Selection for Kernel Density Estimation

Tingting Cheng, Jiti Gao and Xibin Zhang

6/16: Bayesian Rank Selection in Multivariate Regression

Bin Jiang, Anastasios Panagiotelis, George Athanasopoulos, Rob Hyndman and Farshid Vahid

5/16: A Frequency Approach to Bayesian Asymptotics

Tingting Cheng, Jiti Gao and Peter Phillips

4/16: Grouped functional time series forecasting: An application to age-specific mortality rates

Han Lin Shang and Rob Hyndman

3/16: Long-term forecasts of age-specific participation rates with functional data models

Thomas Url, Rob Hyndman and Alexander Dokumentov

2/16: Estimation of Technical Change and Price Elasticities: A Categorical Time-varying Coefficient Approach

Guohua Feng, Jiti Gao and Xiaohui Zhang

1/16: Bayesian Indirect Inference and the ABC of GMM

Michael Creel, Jiti Gao, Han Hong and Dennis Kristensen

21/15: Variable Selection for a Categorical Varying-Coefficient Model with Identifications for Determinants of Body Mass Index

Jiti Gao, Bin Peng, Zhao Ren and Xiaohui Zhang

20/15: Testing for a Structural Break in Dynamic Panel Data Models with Common Factors

Huanjun Zhu, Vasilis Sarafidis, Mervyn Silvapulle and Jiti Gao

19/15: On Consistency of Approximate Bayesian Computation

David Frazier, Gael Martin and Christian Robert

18/15: Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity

Biqing Cai, Chaohua Dong and Jiti Gao

17/15: Cross-sectional Independence Test for a Class of Parametric Panel Data Models

Guangming Pan, Jiti Gao, Yanrong Yang and Meihui Guo

16/15: Forecasting with Temporal Hierarchies

George Athanasopoulos, Rob Hyndman, Nikolaos Kourentzes and Fotios Petropoulos

15/15: Forecasting hierarchical and grouped time series through trace minimization

Shanika L Wickramasuriya, George Athanasopoulos and Rob Hyndman

14/15: Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity

Giovanni Forchini, Bin Jiang and Bin Peng

13/15: STR: A Seasonal-Trend Decomposition Procedure Based on Regression

Alexander Dokumentov and Rob Hyndman

12/15: Probabilistic time series forecasting with boosted additive models: an application to smart meter data

Souhaib Ben Taieb, Raphael Huser, Rob Hyndman and Marc G. Genton

11/15: Forecasting Compositional Time Series: A State Space Approach

Ralph Snyder, John Ord, Anne B. Koehler, Keith McLaren and Adrian Beaumont

10/15: A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction

Christoph Bergmeir, Rob Hyndman and Bonsoo Koo

9/15: A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks

Guohua Feng, Jiti Gao, Bin Peng and Xiaohui Zhang

8/15: Common Shocks in panels with Endogenous Regressors

Giovanni Forchini, Bin Jiang and Bin Peng

7/15: Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity

Chaohua Dong, Jiti Gao and Bin Peng

6/15: Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia

Xiaodong Gong and Jiti Gao

5/15: Point Optimal Testing: A Survey of the Post 1987 Literature

Maxwell King and Sivagowry Sriananthakumar

4/15: How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries

Taya Dumrongrittikul and Heather Anderson

3/15: Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models

Tingting Cheng, Jiti Gao and Xibin Zhang

2/15: A new approach to forecasting based on exponential smoothing with independent regressors

Ahmad Osman and Maxwell King

1/15: A New Class of Bivariate Threshold Cointegration Models

Biqing Cai, Jiti Gao and Dag Tjostheim

30/14: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures

Worapree Maneesoonthorn, Catherine Forbes and Gael Martin

29/14: Applications of Information Measures to Assess Convergence in the Central Limit Theorem

Ranjani Atukorala, Maxwell King and Sivagowry Sriananthakumar