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 ().

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28/14: Bayesian Estimation for Partially Linear Models with an Application to Household Gasoline Consumption

Haotian Chen and Xibin Zhang

27/14: Semiparametric Localized Bandwidth Selection for Kernel Density Estimation

Tingting Cheng, Jiti Gao and Xibin Zhang

26/14: High Dimensional Correlation Matrices: CLT and Its Applications

Jiti Gao, Xiao Han, Guangming Pan and Yanrong Yang

25/14: Nonparametric Regression Approach to Bayesian Estimation

Jiti Gao and Han Hong

24/14: A Computational Implementation of GMM

Jiti Gao and Han Hong

23/14: The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective

Taya Dumrongrittikul, Heather Anderson and Farshid Vahid

22/14: Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

George Athanasopoulos, Donald Poskitt, Farshid Vahid and Wenying Yao

21/14: A Model Validation Procedure

Julia Polak, Maxwell King and Xibin Zhang

20/14: Approximate Bayesian Computation in State Space Models

Gael Martin, Brendan McCabe, Worapree Maneesoonthorn and Christian Robert

19/14: Bias Correction of Persistence Measures in Fractionally Integrated Models

Simone D. Grose, Gael Martin and Donald Poskitt

18/14: Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes

K. Nadarajah, Gael Martin and Donald Poskitt

17/14: Fast computation of reconciled forecasts for hierarchical and grouped time series

Rob Hyndman, Alan Lee and Earo Wang

16/14: Low-dimensional decomposition, smoothing and forecasting of sparse functional data

Alexander Dokumentov and Rob Hyndman

15/14: Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence

Jia Chen and Jiti Gao

14/14: Semiparametric Localized Bandwidth Selection in Kernel Density Estimation

Tingting Cheng, Jiti Gao and Xibin Zhang

13/14: Boosting multi-step autoregressive forecasts

Souhaib Ben Taieb and Rob Hyndman

12/14: Efficient Identification of the Pareto Optimal Set

Ingrida Steponavice, Rob Hyndman, Kate Smith-Miles and Laura Villanova

11/14: Bagging Exponential Smoothing Methods using STL Decomposition and Box-Cox Transformation

Christoph Bergmeir, Rob Hyndman and Jose M Benitez C22, C53, C63

10/14: Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Donald Poskitt, Gael Martin and Simone D. Grose

9/14: Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence

Bin Peng, Chaohua Dong and Jiti Gao

8/14: Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Chaohua Dong, Jiti Gao, Dag Tjøstheim and Jiying Yin

7/14: Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models

Chaohua Dong, Jiti Gao and Dag Tjostheim

6/14: A Class of Demand Systems Satisfying Global Regularity and Having Complete Rank Flexibility

Keith McLaren and Ou Yang

5/14: Econometric Modelling of Price Response by Alcohol Types to Inform Alcohol Tax Policies

Preety Pratima Srivastava, Keith McLaren, Michael Wohlgenant and Xueyan Zhao

4/14: Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis

H. Youn Kim, Keith McLaren and K.K. Gary Wong

3/14: On The Theory and Practice of Singular Spectrum Analysis Forecasting

Atikur Khan and Donald Poskitt

2/14: Specification Testing in Structural Nonparametric Cointegration

Chaohua Dong and Jiti Gao

1/14: Econometric Time Series Specification Testing in a Class of Multiplicative Error Models

Patrick W Saart, Jiti Gao and Nam Hyun Kim

29/13: Bias Correction of Persistence Measures in Fractionally Integrated Models

Simone D. Grose, Gael Martin and Donald Poskitt

28/13: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures

Worapree Maneesoonthorn, Catherine Forbes and Gael Martin

27/13: Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Degui Li, Peter Phillips and Jiti Gao

26/13: Two-dimensional smoothing of mortality rates

Alexander Dokumentov and Rob Hyndman

25/13: Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Donald Poskitt, Simone D. Grose and Gael Martin

24/13: Bayesian estimation of a discrete response model with double rules of sample selection

Rong Zhang, Brett A. Inder and Xibin Zhang

23/13: Non-parametric Estimation of Operational Risk and Expected Shortfall

Ainura Tursunalieva and Param Silvapulle

22/13: Estimating Smooth Structural Change in Cointegration Models

Peter Phillips, Degui Li and Jiti Gao

21/13: Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Xiangjin B. Chen, Jiti Gao, Degui Li and Param Silvapulle

20/13: A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density

Xibin Zhang, Maxwell King and Han Lin Shang

19/13: Gaussian kernel GARCH models

Xibin Zhang and Maxwell King

18/13: Non- and Semi-Parametric Panel Data Models: A Selective Review

Jia Chen, Degui Li and Jiti Gao

17/13: Hermite Series Estimation in Nonlinear Cointegrating Models

Biqing Cai and Jiti Gao

16/13: Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration

Jiti Gao and Peter Phillips

15/13: Inference on Nonstationary Time Series with Moving Mean

Jiti Gao and Peter M. Robinson

14/13: A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios

Xiangjin B. Chen, Param Silvapulle and Mervyn Silvapulle

13/13: Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors

Xibin Zhang, Maxwell King and Han Lin Shang

12/13: Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries?

Taya Dumrongrittikul and Heather Anderson

11/13: Structural-break models under mis-specification: implications for forecasting

Boonsoo Koo and Myung Hwan Seo

10/13: Semi-parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach

Nam H Kim, Patrick W Saart and Jiti Gao

9/13: Testing Independence for a Large Number of High Dimensional Random Vectors

Guangming Pan, Jiti Gao and Yanrong Yang

8/13: Structural-break models under mis-specification: implications for forecasting

Boonsoo Koo and Myung Hwan Seo