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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7/13: Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models

Tingting Cheng, Jiti Gao and Xibin Zhang

6/13: Domestic and outbound tourism demand in Australia: a System-of-Equations Approach

George Athanasopoulos, Minfeng Deng, Gang Li and Haiyan Song

5/13: From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence and Visit Behavior

Anastasios Panagiotelis, Michael Smith and Peter Danaher

4/13: Canadian Monetary Policy Analysis using a Structural VARMA Model

Mala Raghavan, George Athanasopoulos and Param Silvapulle

3/13: Orthogonal Expansion of Levy Process Functionals: Theory and Practice

Chaohua Dong and Jiti Gao

2/13: Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors

Kunpeng Li, Degui Li, Zhongwen Lian and Cheng Hsiao

1/13: Common non-linearities in multiple series of stock market volatility

Heather Anderson and Farshid Vahid

21/12: Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review

Patrick Saart and Jiti Gao

20/12: Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models

Chaohua Dong and Jiti Gao

19/12: Recursive and direct multi-step forecasting: the best of both worlds

Souhaib Ben Taieb and Rob Hyndman

18/12: Model Specification between Parametric and Nonparametric Cointegration

Jiti Gao, Dag Tjøstheim and Jiying Yin

17/12: A Flexible Semiparametric Model for Time Series

Degui Li, Oliver Linton and Zudi Lu

16/12: An Improved Nonparametric Unit-Root Test

Jiti Gao and Maxwell King

15/12: Intermittent demand forecasting for inventory control: A multi-series approach

Ralph Snyder, Adrian Beaumont and John Ord

14/12: Nonlinear Regression with Harris Recurrent Markov Chains

Degui Li, Dag Tjøstheim and Jiti Gao

13/12: Using Engel Curves to Measure CPI Bias for Indonesia

Susan Olivia and John Gibson

12/12: Extending Unobserved Heterogeneity - A Strategy for Accounting for Respondent Perceptions in the Absence of Suitable Data

Timothy A. Weterings, Mark Harris and Bruce Hollingsworth

11/12: VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors

Donald Poskitt and Wenying Yao

10/12: Point and interval forecasts of age-specific fertility rates: a comparison of functional principal component methods

Han Lin Shang

9/12: Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Donald Poskitt, Simone D. Grose and Gael Martin

8/12: Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Donald Poskitt, Gael Martin and Simone D. Grose

7/12: Solving Replication Problems in Complete Market by Orthogonal Series Expansion

Chaohua Dong and Jiti Gao

6/12: Identification, Estimation and Specification in a Class of Semiparametic Time Series Models

Jiti Gao

5/12: Parameter estimation for a discrete-response model with double rules of sample selection: A Bayesian approach

Rong Zhang, Brett Inder and Xibin Zhang

4/12: Measuring Poverty and Inequality from Highly Aggregated Small Area Data: The Changing Fortunes of Latrobe Valley Households

Jill Wright, Maria Rebecca Valenzuela and Duangkamon Chotikapanich

3/12: Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval

Song Li, Mervyn J. Silvapulle, Param Silvapulle and Xibin Zhang

2/12: Expansion of Lévy Process Functionals and Its Application in Statistical Estimation

Chaohua Dong and Jiti Gao

1/12: Independence Test for High Dimensional Random Vectors

G. Pan, J. Gao, Y. Yang and M. Guo

25/11: Do Policy-Related Shocks Affect Real Exchange Rates? An Empirical Analysis Using Sign Restrictions and a Penalty-Function Approach

Taya Dumrongrittikul

24/11: Bayesian semiparametric GARCH models

Xibin Zhang and Maxwell King

23/11: Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis

Atikur Khan and Donald Poskitt

22/11: Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes

Atikur Khan and Donald Poskitt

21/11: Estimation in threshold autoregressive models with a stationary and a unit root regime

Jiti Gao, Dag Tjøstheim and Jiying Yin

20/11: A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors

Jiti Gao and Maxwell King

19/11: Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation

Chaohua Dong and Jiti Gao

18/11: Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model

Pipat Wongsaart and Jiti Gao

17/11: Semiparametric Estimation in Multivariate Nonstationary Time Series Models

Jiti Gao and Peter Phillips

16/11: Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates

Degui Li, Zudi Lu and Oliver Linton

15/11: Semiparametric Trending Panel Data Models with Cross-Sectional Dependence

Jia Chen, Jiti Gao and Degui Li

14/11: Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects

Jia Chen, Jiti Gao and Degui Li

13/11: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

Jiti Gao, Degui Li and Dag Tjøstheim

12/11: Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

Jia Chen, Jiti Gao and Degui Li

11/11: Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models

Jason Ng, Catherine Forbes, Gael Martin and Brendan McCabe

10/11: Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density

Xibin Zhang, Maxwell King and Han Lin Shang

9/11: Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices

Yin Liao and Heather Anderson

8/11: Forecasting Under Strucural Break Uncertainty

Jing Tian and Heather Anderson

7/11: A New Procedure For Multiple Testing Of Econometric Models

Maxwell King, Xibin Zhang and Muhammad Akram

6/11: A survey of functional principal component analysis

Han Lin Shang

5/11: Real Exchange Rate Movements in Developed and Developing Economies: an Interpretation of the Balassa-Samuelson's Framework

Taya Dumrongrittikul

4/11: Global Temperature Trends

Trevor Breusch and Farshid Vahid