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Robert J. Kohn

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Personal Details

First Name: Robert
Middle Name: J.
Last Name: Kohn
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RePEc Short-ID: pko171

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Affiliation

School of Economics
UNSW Business School
UNSW (Australia)
Location: Sydney, Australia
Homepage: http://www.economics.unsw.edu.au/
Email:
Phone: (+61)-2-9385-3380
Fax: +61)-2- 9313- 6337
Postal: Australian School of Business Building, Sydney 2052
Handle: RePEc:edi:senswau (more details at EDIRC)

Works

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Working papers

  1. Gareth W. Peters & Alice X. D. Dong & Robert Kohn, 2012. "A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving," Papers 1210.3849, arXiv.org, revised Dec 2012.
  2. Strid, Ingvar & Giordani, Paolo & Kohn, Robert, 2010. "Adaptive hybrid Metropolis-Hastings samplers for DSGE models," Working Paper Series in Economics and Finance 724, Stockholm School of Economics.
  3. Li, Feng & Villani, Mattias & Kohn, Robert, 2010. "Modeling Conditional Densities Using Finite Smooth Mixtures," Working Paper Series 245, Sveriges Riksbank (Central Bank of Sweden).
  4. Li, Feng & Villani, Mattias & Kohn, Robert, 2009. "Flexible Modeling of Conditional Distributions Using Smooth Mixtures of Asymmetric Student T Densities," Working Paper Series 233, Sveriges Riksbank (Central Bank of Sweden).
  5. Helen Armstrong & Christopher K. Carter & Kevin K. F. Wong & Robert Kohn, 2007. "Bayesian Covariance Matrix Estimation using a Mixture of Decomposable Graphical Models," Discussion Papers 2007-13, School of Economics, The University of New South Wales.
  6. Robert Kohn & Rachida Ouysse, 2007. "Bayesian Variable Selection of Risk Factors in the APT Model," Discussion Papers 2007-32, School of Economics, The University of New South Wales.
  7. Villani, Mattias & Kohn, Robert & Giordani, Paolo, 2007. "Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures," Working Paper Series 211, Sveriges Riksbank (Central Bank of Sweden).
  8. Giordani, Paolo & Kohn, Robert, 2006. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Working Paper Series 196, Sveriges Riksbank (Central Bank of Sweden).
  9. Smith, M. & Yau, P. & Shively, T. & Kohn, R., 1998. "Estimating Long-Term Trends in Tropospheric Ozone Levels," Monash Econometrics and Business Statistics Working Papers 2/98, Monash University, Department of Econometrics and Business Statistics.
  10. Smith, M. & Kohn, R., 1998. "Nonparametric Seemingly Unrelated Regression," Monash Econometrics and Business Statistics Working Papers 7/98, Monash University, Department of Econometrics and Business Statistics.
  11. Smith, M. & Mathur, S.K. & Kohn, R., 1997. "Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data," Monash Econometrics and Business Statistics Working Papers 13/97, Monash University, Department of Econometrics and Business Statistics.
  12. Smith, M. & Wong, C.M. & Kohn, R., 1996. "Additive Nonparametric Regression with Autocorrelated Errors," Monash Econometrics and Business Statistics Working Papers 19/96, Monash University, Department of Econometrics and Business Statistics.
  13. Barnett, G. & Kohn, R. & Sheather, S., . "Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo," Statistics Working Paper _001, Australian Graduate School of Management.
  14. Barnett, G. & Kohn, R. & Sheather, S., . "Robust Bayesian estimation of autoregressive-moving range models," Statistics Working Paper _002, Australian Graduate School of Management.
  15. Carter, C.K. & Kohn, R., . "Robust Bayesian nonparametric regression," Statistics Working Paper _004, Australian Graduate School of Management.
  16. Smith, M. & Chi-Ming Wong & Kohn, R., . "Additive Nonparametric Regression for Time Series," Statistics Working Paper _008, Australian Graduate School of Management.
  17. Smith, M. & Sheather S. & Kohn, R., . "Finite sample performance of robust Bayesian regression," Statistics Working Paper _011, Australian Graduate School of Management.
  18. Smith, M. & Kohn, R., . "Nonparametric Regression using Bayesian Variable Selection," Statistics Working Paper _009, Australian Graduate School of Management.
  19. Carter, C.K. & Kohn, R., . "Semiparametric Bayesian inference for time series with mixed spectra," Statistics Working Paper _005, Australian Graduate School of Management.
  20. Carter, C.K. & Kohn, R., . "Markov Chain Monte Carlo in Conditionally Gaussian State Space Models," Statistics Working Paper _003, Australian Graduate School of Management.

Articles

  1. Villani, Mattias & Kohn, Robert & Nott, David J., 2012. "Generalized smooth finite mixtures," Journal of Econometrics, Elsevier, vol. 171(2), pages 121-133.
  2. Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
  3. Michael S. Smith & Quan Gan & Robert J. Kohn, 2012. "Modelling dependence using skew t copulas: Bayesian inference and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(3), pages 500-522, 04.
  4. Carter, Christopher K. & Wong, Frederick & Kohn, Robert, 2011. "Constructing priors based on model size for nondecomposable Gaussian graphical models: A simulation based approach," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 871-883, May.
  5. Ouysse, Rachida & Kohn, Robert, 2010. "Bayesian variable selection and model averaging in the arbitrage pricing theory model," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3249-3268, December.
  6. Edward Cripps & Denzil Fiebig & Robert Kohn, 2010. "Parsimonious Estimation of the Covariance Matrix in Multinomial Probit Models," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 146-157.
  7. Yuanyuan Gu & Denzil G. Fiebig & Edward Cripps & Robert Kohn, 2009. "Bayesian estimation of a random effects heteroscedastic probit model," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 324-339, 07.
  8. Villani, Mattias & Kohn, Robert & Giordani, Paolo, 2009. "Regression density estimation using smooth adaptive Gaussian mixtures," Journal of Econometrics, Elsevier, vol. 153(2), pages 155-173, December.
  9. Young, Gary & Valdez, Emiliano A. & Kohn, Robert, 2009. "Multivariate probit models for conditional claim-types," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 214-228, April.
  10. Giordani, Paolo & Kohn, Robert, 2008. "Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 66-77, January.
  11. Cottet, Remy & Kohn, Robert J. & Nott, David J., 2008. "Variable Selection and Model Averaging in Semiparametric Overdispersed Generalized Linear Models," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 661-671, June.
  12. Giordani, Paolo & Kohn, Robert & van Dijk, Dick, 2007. "A unified approach to nonlinearity, structural change, and outliers," Journal of Econometrics, Elsevier, vol. 137(1), pages 112-133, March.
  13. Michael Pitt & David Chan & Robert Kohn, 2006. "Efficient Bayesian inference for Gaussian copula regression models," Biometrika, Biometrika Trust, vol. 93(3), pages 537-554, September.
  14. David Chan & Robert Kohn & Chris Kirby, 2006. "Multivariate Stochastic Volatility Models with Correlated Errors," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 245-274.
  15. David J. Nott & Robert Kohn, 2005. "Adaptive sampling for Bayesian variable selection," Biometrika, Biometrika Trust, vol. 92(4), pages 747-763, December.
  16. Smith M. & Kohn R., 2002. "Parsimonious Covariance Matrix Estimation for Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1141-1153, December.
  17. Sally Wood & Robert Kohn & Tom Shively & Wenxin Jiang, 2002. "Model selection in spline nonparametric regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(1), pages 119-139.
  18. Nott D. J. & Dunsmuir W. T. M. & Kohn R. & Woodcock F., 2001. "Statistical Correction of a Deterministic Numerical Weather Prediction Model," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 794-804, September.
  19. Thomas S. Shively & Greg M. Allenby & Robert Kohn, 2000. "A Nonparametric Approach to Identifying Latent Relationships in Hierarchical Models," Marketing Science, INFORMS, vol. 19(2), pages 149-162, November.
  20. Smith, Michael & Kohn, Robert, 2000. "Nonparametric seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 98(2), pages 257-281, October.
  21. Smith, Michael & Kohn, Robert & Mathur, Sharat K., 2000. "Bayesian Semiparametric Regression: An Exposition and Application to Print Advertising Data," Journal of Business Research, Elsevier, vol. 49(3), pages 229-244, September.
  22. Shively, Thomas S. & Kohn, Robert, 1997. "A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 39-52.
  23. Barnett, Glen & Kohn, Robert & Sheather, Simon, 1996. "Bayesian estimation of an autoregressive model using Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 74(2), pages 237-254, October.
  24. Smith, Michael & Kohn, Robert, 1996. "Nonparametric regression using Bayesian variable selection," Journal of Econometrics, Elsevier, vol. 75(2), pages 317-343, December.
  25. Wong, Chi-ming & Kohn, Robert, 1996. "A Bayesian approach to additive semiparametric regression," Journal of Econometrics, Elsevier, vol. 74(2), pages 209-235, October.
  26. Shively, Thomas S. & Kohn, Robert & Ansley, Craig F., 1994. "Testing for linearity in a semiparametric regression model," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 77-96.
  27. Ansley, Craig F. & Kohn, Robert & Shively, Thomas S., 1992. "Computing p-values for the generalized Durbin-Watson and other invariant test statistics," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 277-300.
  28. Kohn, Robert, 1983. "Consistent Estimation of Minimal Subset Dimension," Econometrica, Econometric Society, vol. 51(2), pages 367-76, March.
  29. Kohn, Robert, 1982. "When is an aggregate of a time series efficiently forecast by its past?," Journal of Econometrics, Elsevier, vol. 18(3), pages 337-349, April.
  30. Kohn, R., 1981. "A note on an alternative derivation of the likelihood of an autoregressive moving average process," Economics Letters, Elsevier, vol. 7(3), pages 233-236.
  31. R. Kohn, 1980. "Local identification of ARMAX structures subject to nonlinear constraints," Metrika, Springer, vol. 27(1), pages 35-41, December.
  32. Kohn, R, 1979. "On the Relative Efficiency of Two Methods of Estimating a Dynamic Simultaneous Equations Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(1), pages 237-52, February.
  33. Kohn, R, 1979. "Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models," Econometrica, Econometric Society, vol. 47(4), pages 1005-30, July.
  34. Kohn, R, 1979. "Identification Results for ARMAX Structures," Econometrica, Econometric Society, vol. 47(5), pages 1295-1304, September.
  35. Kohn, R., 1978. "Local and global identification and strong consistency in time series models," Journal of Econometrics, Elsevier, vol. 8(3), pages 269-293, December.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2010-02-27
  2. NEP-CMP: Computational Economics (1) 2010-02-27
  3. NEP-DGE: Dynamic General Equilibrium (1) 2010-02-27
  4. NEP-ECM: Econometrics (7) 2006-05-27 2007-11-24 2008-06-13 2009-12-11 2010-02-27 2010-10-30 2012-10-27. Author is listed
  5. NEP-ETS: Econometric Time Series (1) 2006-05-27
  6. NEP-FMK: Financial Markets (1) 2008-02-09
  7. NEP-FOR: Forecasting (2) 2007-11-24 2012-10-27. Author is listed
  8. NEP-IAS: Insurance Economics (1) 2012-10-27
  9. NEP-MAC: Macroeconomics (1) 2007-11-24
  10. NEP-ORE: Operations Research (2) 2008-02-09 2008-06-13. Author is listed
  11. NEP-RMG: Risk Management (1) 2012-10-27

Statistics

This author is among the top 5% authors according to these criteria:
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  5. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
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