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.

11/11: 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

3/11: The value of feedback in forecasting competitions

George Athanasopoulos and Rob Hyndman

2/11: Worker time and the cost of stability

Susan Tregeagle, Elizabeth Cox, Catherine Forbes, Cathy Humphreys and Cas O'Neill

1/11: Coherent mortality forecasting: the product-ratio method with functional time series models

Rob Hyndman, Heather Booth and Farah Yasmeen

22/10: Probabilistic Forecasts of Volatility and its Risk Premia

Worapree Maneesoonthorn, Gael Martin, Catherine Forbes and Simone Grose

21/10: Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions

Shuowen Hu, Donald Poskitt and Xibin Zhang

20/10: Forecasting Compositional Time Series with Exponential Smoothing Methods

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

19/10: Nonparametric modeling and forecasting electricity demand: an empirical study

Han Lin Shang

18/10: A Bayesian approach to parameter estimation for kernel density estimation via transformations

Qing Liu, David Pitt, Xibin Zhang and Xueyuan Wu

17/10: Short-term load forecasting based on a semi-parametric additive model

Shu Fan and Rob Hyndman

16/10: The price elasticity of electricity demand in South Australia

Shu Fan and Rob Hyndman

15/10: Dual P-Values, Evidential Tension and Balanced Tests

Donald Poskitt and Arivalzahan Sengarapillai

14/10: VARs, Cointegration and Common Cycle Restrictions

Heather Anderson and Farshid Vahid

13/10: Description Length Based Signal Detection in singular Spectrum Analysis

Atikur Khan and Donald Poskitt

12/10: Forecasting the Intermittent Demand for Slow-Moving Items

John Ord, Ralph Snyder and Adrian Beaumont

11/10: Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps

Yin Liao, Heather Anderson and Farshid Vahid

10/10: Automatic forecasting with a modified exponential smoothing state space framework

Alysha M De Livera

9/10: Forecasting age-related changes in breast cancer mortality among white and black US women: A functional approach

Farah Yasmeen, Rob Hyndman and Bircan Erbas

8/10: A comparison of ten principal component methods for forecasting mortality rates

Han Lin Shang, Rob Hyndman and Heather Booth

7/10: A Primal Divisia Technical Change Index Based on the Output Distance Function

Guohua Feng and Apostolos Serletis

6/10: Health mobility: implications for efficiency and equity in priority setting

Katharina Hauck and Aki Tsuchiya

5/10: Adverse events in surgical inpatients: A comparative analysis of public hospitals in Victoria

Katharina Hauck, Xueyan Zhao and Terri Jackson

4/10: A structural equation model of adverse events and length of stay in hospitals

Katharina Hauck and Xueyan Zhao

3/10: A Stochastic Frontier Model for Discrete Ordinal Outcomes: A Health Production Function

William Griffiths, Xiaohui Zhang and Xueyan Zhao

2/10: A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data

Brendan McCabe, Gael Martin and Keith Freeland

1/10: What Do the Bingers Drink? Microeconometric Evidence on Negative Externatilities of Alcohol Consumption by Beverage Types

Preety Pratima Srivastava and Xueyan Zhao

15/09: Forecasting time series with complex seasonal patterns using exponential smoothing

Alysha M De Livera and Rob Hyndman

14/09: An analytical derivation of the relation between idiosyncratic volatility and expected stock return

Don Galagedera

13/09: Description Length and Dimensionality Reduction in Functional Data Analysis

Donald Poskitt and Arivalzahan Sengarapillai

12/09: Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory

Donald Poskitt

11/09: Multivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand

George Athanasopoulos and Ashton de Silva

10/09: Modelling Australian Domestic and International Inbound Travel: a Spatial-Temporal Approach

Minfeng Deng and George Athanasopoulos

9/09: Forecasting Intraday Time Series with Multiple Seasonal Cycles Using Parsimonious Seasonal Exponential Smoothing

James W. Taylor and Ralph Snyder

8/09: Nonparametric time series forecasting with dynamic updating

Han Lin Shang and Rob Hyndman

7/09: Optimal Probabilistic Forecasts for Counts

Brendan McCabe, Gael Martin and David Harris

6/09: VARMA models for Malaysian Monetary Policy Analysis

Mala Raghavan, George Athanasopoulos and Param Silvapulle

5/09: Efficiency, Technical Change, and Returns to Scale in Large U.S. Banks: Panel Data Evidence from an Output Distance Function Satisfying Theoretical Regularity

Guohua Feng and Apostolos Serletis

4/09: Exponential Smoothing and the Akaike Information Criterion

Ralph Snyder and John Ord

3/09: The Econometric Specification of Input Demand Systems Implied by Cost Function Representations

Keith McLaren and Xueyan Zhao

2/09: Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

George Athanasopoulos, Osmani Guillén, João Issler and Farshid Vahid

1/09: A New Example of a Closed Form Mean-Variance Representation

Keith McLaren

11/08: Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals

Jae Kim, Haiyang Song, Kevin Wong, George Athanasopoulos and Shen Liu

10/08: The tourism forecasting competition

George Athanasopoulos, Rob Hyndman, Haiyan Song and Doris C Wu