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Donald Stephen Poskitt

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Personal Details

First Name: Donald
Middle Name: Stephen
Last Name: Poskitt
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RePEc Short-ID: ppo408

Email: [This author has chosen not to make the email address public]
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Affiliation

Department of Econometrics and Business Statistics
Monash Business School
Monash University
Location: Melbourne, Australia
Homepage: http://www.buseco.monash.edu.au/ebs/
Email:
Phone: 03 990 52372
Fax: 03 990 55474
Postal: Room 674, Menzies Building, Wellington Road, Clayton, Victoria, 3168
Handle: RePEc:edi:dxmonau (more details at EDIRC)

Works

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Working papers

  1. M. Atikur Rahman Khan & D.S. Poskitt, 2014. "On The Theory and Practice of Singular Spectrum Analysis Forecasting," Monash Econometrics and Business Statistics Working Papers 3/14, Monash University, Department of Econometrics and Business Statistics.
  2. Simone D. Grose & Gael M. Martin & Donald S. Poskitt, 2013. "Bias Correction of Persistence Measures in Fractionally Integrated Models," Monash Econometrics and Business Statistics Working Papers 29/13, Monash University, Department of Econometrics and Business Statistics.
  3. D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012. "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 9/12, Monash University, Department of Econometrics and Business Statistics.
  4. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 8/12, Monash University, Department of Econometrics and Business Statistics.
  5. D.S. Poskitt & Wenying Yao, 2012. "VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors," Monash Econometrics and Business Statistics Working Papers 11/12, Monash University, Department of Econometrics and Business Statistics.
  6. Md Atikur Rahman Khan & D.S. Poskitt, 2011. "Moment Tests for Window Length Selection in Singular Spectrum Analysis of Short- and Long-Memory Processes," Monash Econometrics and Business Statistics Working Papers 22/11, Monash University, Department of Econometrics and Business Statistics.
  7. Md Atikur Rahman Khan & D.S. Poskitt, 2011. "Window Length Selection and Signal-Noise Separation and Reconstruction in Singular Spectrum Analysis," Monash Econometrics and Business Statistics Working Papers 23/11, Monash University, Department of Econometrics and Business Statistics.
  8. Md Atikur Rahman Khan & D.S. Poskitt, 2010. "Description Length Based Signal Detection in singular Spectrum Analysis," Monash Econometrics and Business Statistics Working Papers 13/10, Monash University, Department of Econometrics and Business Statistics.
  9. Shuowen Hu & D.S. Poskitt & Xibin Zhang, 2010. "Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions," Monash Econometrics and Business Statistics Working Papers 21/10, Monash University, Department of Econometrics and Business Statistics.
  10. D.S. Poskitt & Arivalzahan Sengarapillai, 2010. "Dual P-Values, Evidential Tension and Balanced Tests," Monash Econometrics and Business Statistics Working Papers 15/10, Monash University, Department of Econometrics and Business Statistics.
  11. D.S. Poskitt, 2009. "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers 12/09, Monash University, Department of Econometrics and Business Statistics.
  12. D. S. Poskitt & Arivalzahan Sengarapillai, 2009. "Description Length and Dimensionality Reduction in Functional Data Analysis," Monash Econometrics and Business Statistics Working Papers 13/09, Monash University, Department of Econometrics and Business Statistics.
  13. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers 10/07, Monash University, Department of Econometrics and Business Statistics, revised May 2009.
  14. D. S. Poskitt, 2006. "Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 12/06, Monash University, Department of Econometrics and Business Statistics.
  15. S. D. Grose & D. S. Poskitt, 2006. "The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes," Monash Econometrics and Business Statistics Working Papers 15/06, Monash University, Department of Econometrics and Business Statistics.
  16. D. S. Poskitt, 2005. "Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases," Monash Econometrics and Business Statistics Working Papers 16/05, Monash University, Department of Econometrics and Business Statistics.
  17. D. S. Poskitt & C. L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Monash Econometrics and Business Statistics Working Papers 4/05, Monash University, Department of Econometrics and Business Statistics.
  18. D.S. Poskitt & Jing Zhang, 2004. "Estimating Components in Finite Mixtures and Hidden Markov Models," Monash Econometrics and Business Statistics Working Papers 10/04, Monash University, Department of Econometrics and Business Statistics.
  19. D. S. Poskitt & C. L. Skeels, 2004. "Assessing the Magnitude of the Concentration Parameter in a Simultaneous Equations Model," Monash Econometrics and Business Statistics Working Papers 29/04, Monash University, Department of Econometrics and Business Statistics.
  20. D. S. Poskitt, 2004. "On The Identification and Estimation of Partially Nonstationary ARMAX Systems," Monash Econometrics and Business Statistics Working Papers 20/04, Monash University, Department of Econometrics and Business Statistics.
  21. D.S. Poskitt, 2004. "Some Results on the Identification and Estimation of Vector ARMAX Processes," Monash Econometrics and Business Statistics Working Papers 12/04, Monash University, Department of Econometrics and Business Statistics.
  22. D. S. Poskitt & C. L. Skeels, 2004. "Approximating the Distribution of the Instrumental Variables Estimator when the Concentration Parameter is Small," Monash Econometrics and Business Statistics Working Papers 19/04, Monash University, Department of Econometrics and Business Statistics.
  23. D.S. Poskitt & C.L. Skeels, 2002. "Assessing Instrumental Variable Relevance:An Alternative Measure and Some Exact Finite Sample Theory," Department of Economics - Working Papers Series 862, The University of Melbourne.
  24. D. Poskitt, 1996. "The Analysis of Cointegrated Autoregressive Moving-Average Systems," SFB 373 Discussion Papers 1996,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  25. H. Lütkepohl & D. S. Poskitt, 1996. "Consistent Estimation of the Number of Cointegration Relations in a Vector Autoregressive Model," SFB 373 Discussion Papers 1996,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  26. D. Poskitt & H. Lütkepohl, 1995. "Consistent Specification of Cointegrated Autoregressive Moving-Average Systems," SFB 373 Discussion Papers 1995,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  27. D.S. Poskitt, . "Specification of echelon form VARMA models," Statistic und Oekonometrie 9305, Humboldt Universitaet Berlin.

Articles

  1. Md Atikur Rahman Khan & D. S. Poskitt, 2013. "Moment tests for window length selection in singular spectrum analysis of short– and long–memory processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 141-155, 03.
  2. Poskitt, D. S. & Skeels, C. L., 2013. "Inference in the Presence of Weak Instruments: A Selected Survey," Foundations and Trends(R) in Econometrics, now publishers, vol. 6(1), pages 1-99, August.
  3. Poskitt, D.S. & Sengarapillai, Arivalzahan, 2013. "Description length and dimensionality reduction in functional data analysis," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 98-113.
  4. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2012. "Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 732-740.
  5. D. S. Poskitt & C. L. Skeels, 2009. "Assessing the magnitude of the concentration parameter in a simultaneous equations model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 26-44, 03.
  6. Poskitt, D.S. & Skeels, C.L., 2008. "Conceptual frameworks and experimental design in simultaneous equations," Economics Letters, Elsevier, vol. 100(1), pages 138-142, July.
  7. D. S. Poskitt, 2008. "Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 224-250, 03.
  8. Poskitt, D.S. & Skeels, C.L., 2007. "Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small," Journal of Econometrics, Elsevier, vol. 139(1), pages 217-236, July.
  9. D. Poskitt, 2007. "Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(4), pages 697-725, December.
  10. Poskitt, D.S., 2006. "On The Identification And Estimation Of Nonstationary And Cointegrated Armax Systems," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1138-1175, December.
  11. D. S. Poskitt, 2005. "A Note on the Specification and Estimation of ARMAX Systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 157-183, 03.
  12. D. Harris & D. S. Poskitt, 2004. "Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 191-217, 06.
  13. Poskitt, D. S., 2003. "On the specification of cointegrated autoregressive moving-average forecasting systems," International Journal of Forecasting, Elsevier, vol. 19(3), pages 503-519.
  14. Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 77-90, January.
  15. D. S. Poskitt & K. Dogancay & S.-H. Chung, 1999. "Double-blind deconvolution: the analysis of post-synaptic currents in nerve cells," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 191-212.
  16. Lutkepohl, Helmut & Poskitt, D S, 1996. "Specification of Echelon-Form VARMA Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 69-79, January.
  17. Lütkepohl, Helmut & POSKITT, D.S., 1996. "Testing for Causation Using Infinite Order Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(01), pages 61-87, March.
  18. Poskitt, D.S., 1994. "A Note on Autoregressive Modeling," Econometric Theory, Cambridge University Press, vol. 10(05), pages 884-899, December.
  19. Poskitt, D. S. & Salau, M. O., 1994. "On the Asymptotic Relative Efficiency of Gaussian and Least Squares Estimators for Vector ARMA Models," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 294-317, November.
  20. Lütkepohl, Helmut & Poskitt, D.S., 1991. "Estimating Orthogonal Impulse Responses via Vector Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 7(04), pages 487-496, December.
  21. Poskitt, D. S., 1990. "Estimation and structure determination of multivariate input output systems," Journal of Multivariate Analysis, Elsevier, vol. 33(2), pages 157-182, May.
  22. Poskitt, D. S. & Tremayne, A. R., 1986. "The selection and use of linear and bilinear time series models," International Journal of Forecasting, Elsevier, vol. 2(1), pages 101-114.
  23. Poskitt, D S, 1978. "Approximating the Exact Finite Sample Distribution of a Spectral Estimator," Econometrica, Econometric Society, vol. 46(1), pages 21-32, January.

NEP Fields

22 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (22) 2004-05-02 2004-05-26 2004-11-07 2004-11-07 2005-02-27 2005-06-05 2005-06-19 2006-03-18 2006-07-21 2006-07-21 2007-08-08 2009-12-11 2009-12-11 2010-06-04 2010-07-10 2011-01-03 2011-10-09 2012-05-02 2012-05-02 2012-05-02 2013-12-29 2014-02-21. Author is listed
  2. NEP-ETS: Econometric Time Series (14) 2004-05-02 2005-06-19 2006-07-21 2006-07-21 2007-08-08 2009-12-11 2011-10-09 2012-05-02 2012-05-02 2012-05-02 2013-12-06 2013-12-29 2014-02-21 2014-03-15. Author is listed
  3. NEP-FOR: Forecasting (2) 2007-08-08 2014-02-21

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