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Content
2020
- 20/20 Sectoral Employment Dynamics in Australia
by Heather Anderson & Giovanni Caggiano & Farshid Vahid & Benjamin Wong - 19/20 Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors
by Sium Bodha Hannadige & Jiti Gao & Mervyn J. Silvapulle & Param Silvapulle - 18/20 Statistical Modelling and Forecast Evaluation of the Impact of Extreme Temperatures on Wheat Crops in North Western Victoria
by Natalia Bailey & Zvi Hochman & Yufeng Mao & Mervyn J. Silvapulle & Param Silvapulle - 17/20 Hole or grain? A Section Pursuit Index for Finding Hidden Structure in Multiple Dimensions
by Ursula Laa & Dianne Cook & Andreas Buja & German Valencia - 16/20 Bagging Weak Predictors
by Eric Hillebrand & Manuel Lukas & Wei Wei - 15/20 Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index
by Svetlana Litvinova & Mervyn J. Silvapulle - 14/20 Computing Bayes: Bayesian Computation from 1763 to the 21st Century
by Gael M. Martin & David T. Frazier & Christian P. Robert - 13/20 Most Powerful Test against High Dimensional Free Alternatives
by Yi He & Sombut Jaidee & Jiti Gao - 12/20 Estimation and Testing for High-Dimensional Near Unit Root Time Series
by Bo Zhang & Jiti Gao & Guangming Pan - 11/20 IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude
by Guowei Cui & Vasilis Sarafidis & Takashi Yamagata - 10/20 Identifying Risk Factors and Their Premia: A Study on Electricity Prices
by Wei Wei & Asger Lunde - 9/20 Investor-herding and risk-profiles: A State-Space Model-based Assessment
by Harminder B. Nath & Robert D. Brooks - 8/20 Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem
by David Harris & Hsein Kew & A. M. Robert Taylor - 7/20 Measurement of Factor Strength: Theory and Practice
by Natalia Bailey & George Kapetanios & M. Hashem Pesaran - 6/20 Celebrating 40 Years of Panel Data Analysis: Past, Present and Future
by Vasilis Sarafidis & Tom Wansbeek - 5/20 A Linear Estimator for FactorAugmented Fixed-T Panels with Endogenous Regressors
by Arturas Juodis & Vasilis Sarafidis - 4/20 Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information
by Bonsoo Koo & Davide La Vecchia & Oliver Linton - 3/20 High-Frequency Jump Tests: Which Test Should We Use?
by Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes - 2/20 On the Evaluation of Hierarchical Forecasts
by George Athanasopoulos & Nikolaos Kourentzes - 1/20 Focused Bayesian Prediction
by Ruben Loaiza-Maya & Gael M Martin & David T. Frazier
2019
- 33/19 Identification and Estimation of Differentiated Products Models
by David P. Byrne & Susumu Imai & Neelam Jain & Vasilis Sarafidis & Masayuki Hirukawa - 32/19 Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure
by Milda Norkute & Vasilis Sarafidis & Takashi Yamagata & Guowei Cui - 31/19 Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices
by Bo Zhang & Jiti Gao & Guangming Pan & Yanrong Yang - 30/19 Hypothesis Testing Based on a Vector of Statistics
by Maxwell King & Xibin Zhang & Muhammad Akram - 29/19 Fast Forecast Reconciliation Using Linear Models
by Mahsa Ashouri & Rob J Hyndman & Galit Shmueli - 28/19 Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone
by Isabel Casas & Jiti Gao & Bin Peng & Shangyu Xie - 27/19 Elucidate Structure in Intermittent Demand Series
by Nikolaos Kourentzes & George Athanasopoulos - 26/19 Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects
by Xuan Liang & Jiti Gao & Xiaodong Gong - 25/19 Semiparametric Single-index Predictive Regression
by Weilun Zhou & Jiti Gao & David Harris & Hsein Kew - 24/19 Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness
by Fei Liu & Jiti Gao & Yanrong Yang - 23/19 Global Temperatures and Greenhouse Gases: A Common Features Approach
by Li Chen & Jiti Gao & Farshid Vahid - 22/19 Forecasting Observables with Particle Filters: Any Filter Will Do!
by Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe - 21/19 Feature-based Forecast-Model Performance Prediction
by Thiyanga S. Talagala & Feng Li & Yanfei Kang - 20/19 Anomaly Detection in High Dimensional Data
by Priyanga Dilini Talagala & Rob J Hyndman & Kate Smith-Miles - 19/19 A High-dimensional Multinomial Choice Model
by Didier Nibbering - 18/19 Forecast Reconciliation: A geometric View with New Insights on Bias Correction
by Anastasios Panagiotelis & Puwasala Gamakumara & George Athanasopoulos & Rob J Hyndman - 17/19 Dimension Reduction For Outlier Detection Using DOBIN
by Sevvandi Kandanaarachchi & Rob J Hyndman - 16/19 Seasonal Functional Autoregressive Models
by Atefeh Zamani & Hossein Haghbin & Maryam Hashemi & Rob J Hyndman - 15/19 Optimal Non-negative Forecast Reconciliation
by Shanika L Wickramasuriya & Berwin A Turlach & Rob J Hyndman - 14/19 Forecasting Swiss Exports Using Bayesian Forecast Reconciliation
by Florian Eckert & Rob J Hyndman & Anastasios Panagiotelis - 13/19 Updating Variational Bayes: Fast Sequential Posterior Inference
by Nathaniel Tomasetti & Catherine Forbes & Anastasios Panagiotelis - 12/19 A New Tidy Data Structure to Support Exploration and Modeling of Temporal Data
by Earo Wang & Dianne Cook & Rob J Hyndman - 11/19 Calendar-based Graphics for Visualizing People's Daily Schedules
by Earo Wang & Dianne Cook & Rob J Hyndman - 10/19 A Near Unit Root Test for High-Dimensional Nonstationary Time Series
by Bo Zhang & Jiti Gao & Guangming Pan - 9/19 An Integrated Panel Data Approach to Modelling Economic Growth
by Jiti Gao & Guangming Pan & Yanrong Yang & Bo Zhang - 8/19 Spatial modelling of the two-party preferred vote in Australian federal elections: 2001-2016
by Jeremy Forbes & Dianne Cook & Rob J Hyndman - 7/19 Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach
by Kanchana Nadarajah & Gael M Martin & Donald S Poskitt - 6/19 An Integrated Panel Data Approach to Modelling Economic Growth
by Guohua Feng & Jiti Gao & Bin Peng - 5/19 Binary Outcomes, OLS, 2SLS and IV Probit
by Chuhui Li & Donald S Poskitt & Frank Windmeijer & Xueyan Zhao - 4/19 Nonparametric Predictive Regressions for Stock Return Prediction
by Tingting Cheng & Jiti Gao & Oliver Linton - 3/19 A Brief History of Forecasting Competitions
by Rob J Hyndman - 2/19 Hierarchical Forecasting
by George Athanasopoulos & Puwasala Gamakumara & Anastasios Panagiotelis & Rob J Hyndman & Mohamed Affan - 1/19 A Feature-Based Framework for Detecting Technical Outliers in Water-Quality Data from In Situ Sensors
by Priyanga Dilini Talagala & Rob J Hyndman & Catherine Leigh & Kerrie Mengersen & Kate Smith-Miles
2018
- 24/18 Cross-temporal coherent forecasts for Australian tourism
by Nikolaos Kourentzes & George Athanasopoulos - 23/18 High dimensional semiparametric moment restriction models
by Chaohua Dong & Jiti Gao & Oliver Linton - 22/18 Modelling time-varying income elasticities of health care expenditure for the OECD
by Isabel Casas & Jiti Gao & Shangyu Xie - 21/18 Regime switching panel data models with interative fixed effects
by Tingting Cheng & Jiti Gao & Yayi Yan - 20/18 Inter-regional spillover and intra-regional agglomeration effects among local labour markets in China
by Xiaodong Gong & Jiti Gao & Xuan Liang & Xin Meng - 19/18 FFORMA: Feature-based forecast model averaging
by Pablo Montero-Manso & George Athanasopoulos & Rob J Hyndman & Thiyanga S Talagala - 18/18 Issues in the estimation of mis-specified models of fractionally integrated processes
by Gael M Martin & K. Nadarajah & Donald S Poskitt - 17/18 Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference
by Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes - 16/18 On normalization and algorithm selection for unsupervised outlier detection
by Sevvandi Kandanaarachchi & Mario A Munoz & Rob J Hyndman & Kate Smith-Miles - 15/18 Efficient generation of time series with diverse and controllable characteristics
by Yanfei Kang & Rob J Hyndman & Feng Li - 14/18 Expanding tidy data principles to facilitate missing data exploration, visualization and assessment of imputations
by Nicholas Tierney & Dianne Cook - 13/18 Exponent of cross-sectional dependence for residuals
by Natalia Bailey & George Kapetanios & M. Hashem Pesaran - 12/18 Bootstrapping tail statistics: Tail quantile process, Hill estimator, and confidence intervals for highquantiles of heavy tailed distributions
by Svetlana Litvinova & Mervyn J Silvapulle - 11/18 Probabilisitic forecasts in hierarchical time series
by Puwasala Gamakumara & Anastasios Panagiotelis & George Athanasopoulos & Rob J Hyndman - 10/18 The behaviour of betting and currency markets on the night of the EU referendum
by Tom Auld & Oliver Linton - 9/18 Regime switching in the presence of endogeneity
by Tingting Cheng & Jiti Gao & Yayi Yan - 8/18 On endogeneity and shape invariance in extended partially linear single index models
by Jiti Gao & Namhyun Kim & Patrick W. Saart - 7/18 The determinants of bank loan recovery rates in good times and bad -- new evidence
by Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz - 6/18 Meta-learning how to forecast time series
by Thiyanga S Talagala & Rob J Hyndman & George Athanasopoulos - 5/18 Series estimation for single-index models under constraints
by Chaohua Dong & Jiti Gao & Bin Peng - 4/18 Anomaly detection in streaming nonstationary temporal data
by Priyanga Dilini Talagala & Rob J Hyndman & Kate Smith-Miles & Sevvandi Kandanaarachchi & Mario A Munoz - 3/18 Testing for common breaks in a multiple equations system
by Tatsushi Oka & Pierre Perron - 2/18 Approximate Bayesian forecasting
by David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe - 1/18 Varying-coefficient panel data models with partially observed factor structure
by Chaohua Dong & Jiti Gao & Bin Peng
2017
- 22/17 Optimal forecast reconciliation for hierarchical and grouped time series through trace minimization
by Shanika L. Wickramasuriya & George Athanasopoulos & Rob J. Hyndman - 21/17 Robust Bayesian exponentially tilted empirical likelihood method
by Zhichao Liu & Catherine Forbes & Heather Anderson - 20/17 A panel data analysis of hospital variations in length of stay for hip replacements: Private versus public
by Yan Meng & Xueyan Zhao & Xibin Zhang & Jiti Gao - 19/17 Local logit regression for recovery rate
by Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao - 18/17 A simple nonlinear predictive model for stock returns
by Biqing Cai & Jiti Gao - 17/17 High dimensional semiparametric moment restriction models
by Chaohua Dong & Jiti Gao & Oliver Linton - 16/17 Heterogeneous panel data models with cross-sectional dependence
by Jiti Gao & Kai Xia - 15/17 Bayesian assessment of Lorenz and stochastic dominance
by David Lander & David Gunawan & William Griffiths & Duangkamon Chotikapanich - 14/17 Dynamic asset price jumps and the performance of high frequency tests and measures
by Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes - 13/17 Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
by Tingting Cheng & Jiti Gao & Oliver Linton - 12/17 Asymptotic properties of approximate Bayesian computation
by David T. Frazier & Gael M. Martin & Christian P. Robert & Judith Rousseau - 11/17 Kernel-based inference in time-varying coefficient models with multiple integrated regressors
by Degui Li & Peter CB Phillips & Jiti Gao - 10/17 Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends
by Jiti Gao & Oliver Linton & Bin Peng - 9/17 Construction and visualization of optimal confidence sets for frequentist distributional forecasts
by David Harris & Gael M. Martin & Indeewara Perera & Don S. Poskitt - 8/17 Estimation and inference in semiparametric quantile factor models
by Shujie Ma & Oliver Linton & Jiti Gao - 7/17 Nonparametric kernel estimation of the impact of tax policy on the demand for private health insurance in Australia
by Xiaodong Gong & Jiti Gao - 6/17 Bayesian Inference for a 1-Factor Copula Model
by Ban Kheng Tan & Anastasios Panagiotelis & George Athanasopoulos - 5/17 Recursive estimation in large panel data models: Theory and practice
by Bing Jiang & Yanrong Yang & Jiti Gao & Cheng Hsiao - 4/17 Bayesian estimation based on summary statistics: Double asymptotics and practice
by Tingting Cheng & Jiti Gao & Peter CB Phillips - 3/17 Coherent Probabilistic Forecasts for Hierarchical Time Series
by Souhaib Ben Taieb & James W. Taylor & Rob J. Hyndman - 2/17 Macroeconomic forecasting for Australia using a large number of predictors
by Bin Jiang & George Athanasopoulos & Rob J Hyndman & Anastasios Panagiotelis & Farshid Vahid - 1/17 The Australian Macro Database: An online resource for macroeconomic research in Australia
by Timur Behlul & Anastasios Panagiotelis & George Athanasopoulos & Rob J Hyndman & Farshid Vahid
2016
- 20/16 A Quantile Regression Approach to Panel Data Analysis of Health Care Expenditure in OECD Countries
by Fengping Tian & Jiti Gao & Ke Yang - 19/16 Another Look at Single-Index Models Based on Series Estimation
by Chaohua Dong & Jiti Gao & Bin Peng - 18/16 Asymptotic Properties of Approximate Bayesian Computation
by D.T. Frazier & G.M. Martin & C.P. Robert & J. Rousseau - 17/16 Data-driven particle Filters for particle Markov Chain Monte Carlo
by Patrick Leung & Catherine S. Forbes & Gael M. Martin & Brendan McCabe - 16/16 The Bivariate Probit Model, Maximum Likelihood Estimation, Pseudo True Parameters and Partial Identification
by Chuhui Li & Donald S. Poskitt & Xueyan Zhao - 15/16 Singular Spectrum Analysis of Grenander Processes and Sequential Time Series Reconstruction
by D.S. Poskitt - 14/16 Specification Testing for Nonlinear Multivariate Cointegrating Regressions
by Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin - 13/16 Error-in-Variables Jump Regression Using Local Clustering
by Yicheng Kang & Xiaodong Gong & Jiti Gao & Peihua Qiu - 12/16 CEstimation of Structural Breaks in Large Panels with Cross-Sectional Dependence
by Jiti Gao & Guangming Pan & Yanrong Yang - 11/16 CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series
by Bo Zhang & Guangming Pan & Jiti Gao - 10/16 Visualising forecasting Algorithm Performance using Time Series Instance Spaces
by Yanfei Kang & Rob J. Hyndman & Kate Smith-Miles - 09/16 Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
by Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert - 8/16 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
by Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin - 7/16 Nonparametric Localized Bandwidth Selection for Kernel Density Estimation
by Tingting Cheng & Jiti Gao & Xibin Zhang - 6/16 Bayesian Rank Selection in Multivariate Regression
by Bin Jiang & Anastasios Panagiotelis & George Athanasopoulos & Rob Hyndman & Farshid Vahid - 5/16 A Frequency Approach to Bayesian Asymptotics
by Tingting Cheng & Jiti Gao & Peter CB Phillips - 4/16 Grouped functional time series forecasting: An application to age-specific mortality rates
by Han Lin Shang & Rob J Hyndman - 3/16 Long-term forecasts of age-specific participation rates with functional data models
by Thomas Url & Rob J Hyndman & Alexander Dokumentov - 2/16 Estimation of Technical Change and Price Elasticities: A Categorical Time-varying Coefficient Approach
by Guohua Feng & Jiti Gao & Xiaohui Zhang - 1/16 Bayesian Indirect Inference and the ABC of GMM
by Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen
2015
- 21/15 Variable Selection for a Categorical Varying-Coefficient Model with Identifications for Determinants of Body Mass Index
by Jiti Gao & Bin Peng & Zhao Ren & Xiaohui Zhang - 20/15 Testing for a Structural Break in Dynamic Panel Data Models with Common Factors
by Huanjun Zhu & Vasilis Sarafidis & Mervyn Silvapulle & Jiti Gao - 19/15 On Consistency of Approximate Bayesian Computation
by David T. Frazier & Gael M. Martin & Christian P. Robert - 18/15 Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity
by Biqing Cai & Chaohua Dong & Jiti Gao - 17/15 Cross-sectional Independence Test for a Class of Parametric Panel Data Models
by Guangming Pan & Jiti Gao & Yanrong Yang & Meihui Guo - 16/15 Forecasting with Temporal Hierarchies
by George Athanasopoulos & Rob J Hyndman & Nikolaos Kourentzes & Fotios Petropoulos - 15/15 Forecasting hierarchical and grouped time series through trace minimization
by Shanika L Wickramasuriya & George Athanasopoulos & Rob J Hyndman - 14/15 Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity
by G. Forchini & Bin Jiang & Bin Peng - 13/15 STR: A Seasonal-Trend Decomposition Procedure Based on Regression
by Alexander Dokumentov & Rob J. Hyndman - 12/15 Probabilistic time series forecasting with boosted additive models: an application to smart meter data
by Souhaib Ben Taieb & Raphael Huser & Rob J. Hyndman & Marc G. Genton - 11/15 Forecasting Compositional Time Series: A State Space Approach
by Ralph D. Snyder & J. Keith Ord & Anne B. Koehler & Keith R. McLaren & Adrian Beaumont - 10/15 A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction
by Christoph Bergmeir & Rob J Hyndman & Bonsoo Koo - 9/15 A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks
by Guohua Feng & Jiti Gao & Bin Peng & Xiaohui Zhang - 8/15 Common Shocks in panels with Endogenous Regressors
by G. Forchini & Bin Jiang & Bin Peng - 7/15 Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity
by Chaohua Dong & Jiti Gao & Bin Peng - 6/15 Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia
by Xiaodong Gong & Jiti Gao - 5/15 Point Optimal Testing: A Survey of the Post 1987 Literature
by Maxwell L. King & Sivagowry Sriananthakumar - 4/15 How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries
by Taya Dumrongrittikul & Heather M. Anderson - 3/15 Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models
by Tingting Cheng & Jiti Gao & Xibin Zhang - 2/15 A new approach to forecasting based on exponential smoothing with independent regressors
by Ahmad Farid Osman & Maxwell L. King - 1/15 A New Class of Bivariate Threshold Cointegration Models
by Biqing Cai & Jiti Gao & Dag Tjostheim
2014
- 30/14 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
by Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin - 29/14 Applications of Information Measures to Assess Convergence in the Central Limit Theorem
by Ranjani Atukorala & Maxwell L. King & Sivagowry Sriananthakumar - 28/14 Bayesian Estimation for Partially Linear Models with an Application to Household Gasoline Consumption
by Haotian Chen & Xibin Zhang - 27/14 Semiparametric Localized Bandwidth Selection for Kernel Density Estimation
by Tingting Cheng & Jiti Gao & Xibin Zhang - 26/14 High Dimensional Correlation Matrices: CLT and Its Applications
by Jiti Gao & Xiao Han & Guangming Pan & Yanrong Yang - 25/14 Nonparametric Regression Approach to Bayesian Estimation
by Jiti Gao & Han Hong - 24/14 A Computational Implementation of GMM
by Jiti Gao & Han Hong - 23/14 The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective
by Taya Dumrongrittikul & Heather Anderson & Farshid Vahid - 22/14 Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
by George Athanasopoulos & D.S. Poskitt & Farshid Vahid & Wenying Yao - 21/14 A Model Validation Procedure
by Julia Polak & Maxwell L. King & Xibin Zhang - 20/14 Approximate Bayesian Computation in State Space Models
by Gael M. Martin & Brendan P.M. McCabe & Worapree Maneesoonthorn & Christian P. Robert - 19/14 Bias Correction of Persistence Measures in Fractionally Integrated Models
by Simone D. Grose & Gael M. Martin & D.S. Poskitt - 18/14 Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes
by K. Nadarajah & Gael M. Martin & D.S. Poskitt - 17/14 Fast computation of reconciled forecasts for hierarchical and grouped time series
by Rob J Hyndman & Alan Lee & Earo Wang - 16/14 Low-dimensional decomposition, smoothing and forecasting of sparse functional data
by Alexander Dokumentov & Rob J Hyndman - 15/14 Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence
by Jia Chen & Jiti Gao - 14/14 Semiparametric Localized Bandwidth Selection in Kernel Density Estimation
by Tingting Cheng & Jiti Gao & Xibin Zhang - 13/14 Boosting multi-step autoregressive forecasts
by Souhaib Ben Taieb & Rob J Hyndman - 12/14 Efficient Identification of the Pareto Optimal Set
by Ingrida Steponavice & Rob J Hyndman & Kate Smith-Miles & Laura Villanova - 11/14 Bagging Exponential Smoothing Methods using STL Decomposition and Box-Cox Transformation
by Christoph Bergmeir & Rob J Hyndman & Jose M Benitez - 10/14 Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
by D.S. Poskitt & Gael M. Martin & Simone D. Grose - 9/14 Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence
by Bin Peng & Chaohua Dong & Jiti Gao - 8/14 Specification Testing for Nonlinear Multivariate Cointegrating Regressions
by Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin - 7/14 Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models
by Chaohua Dong & Jiti Gao & Dag Tjostheim - 6/14 A Class of Demand Systems Satisfying Global Regularity and Having Complete Rank Flexibility
by Keith R. McLaren & Ou Yang - 5/14 Econometric Modelling of Price Response by Alcohol Types to Inform Alcohol Tax Policies
by Preety Srivastava & Keith R. McLaren & Michael Wohlgenant & Xueyan Zhao - 4/14 Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis
by H. Youn Kim & Keith R. McLaren & K.K. Gary Wong - 3/14 On The Theory and Practice of Singular Spectrum Analysis Forecasting
by M. Atikur Rahman Khan & D.S. Poskitt - 2/14 Specification Testing in Structural Nonparametric Cointegration
by Chaohua Dong & Jiti Gao - 1/14 Econometric Time Series Specification Testing in a Class of Multiplicative Error Models
by Patrick W Saart & Jiti Gao & Nam Hyun Kim
2013
- 29/13 Bias Correction of Persistence Measures in Fractionally Integrated Models
by Simone D. Grose & Gael M. Martin & Donald S. Poskitt - 28/13 Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
by Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin - 27/13 Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
by Degui Li & Peter C. B. Phillips & Jiti Gao - 26/13 Two-dimensional smoothing of mortality rates
by Alexander Dokumentov & Rob J Hyndman - 25/13 Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes
by D.S. Poskitt & Simone D. Grose & Gael M. Martin - 24/13 Bayesian estimation of a discrete response model with double rules of sample selection
by Rong Zhang & Brett A. Inder & Xibin Zhang - 23/13 Non-parametric Estimation of Operational Risk and Expected Shortfall
by Ainura Tursunalieva & Param Silvapulle - 22/13 Estimating Smooth Structural Change in Cointegration Models
by Peter C. B. Phillips & Degui Li & Jiti Gao - 21/13 Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
by Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle - 20/13 A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
by Xibin Zhang & Maxwell L. King & Han Lin Shang - 19/13 Gaussian kernel GARCH models
by Xibin Zhang & Maxwell L. King - 18/13 Non- and Semi-Parametric Panel Data Models: A Selective Review
by Jia Chen & Degui Li & Jiti Gao - 17/13 Hermite Series Estimation in Nonlinear Cointegrating Models
by Biqing Cai & Jiti Gao - 16/13 Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration
by Jiti Gao & Peter C.B. Phillips - 15/13 Inference on Nonstationary Time Series with Moving Mean
by Jiti Gao & Peter M. Robinson - 14/13 A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios
by Xiangjin B. Chen & Param Silvapulle & Mervyn Silvapulle - 13/13 Bayesian bandwidth selection for a nonparametric regession model with mixed types of regressors
by Xibin Zhang & Maxwell L. King & Han Lin Shang - 12/13 Do Policy-Related Shocks Affect Real Exchange Rates of Asian Developing Countries?
by Taya Dumrongrittikul & Heather M. Anderson - 11/13 Structural-break models under mis-specification: implications for forecasting
by Boonsoo Koo & Myung Hwan Seo - 10/13 Semi-parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach
by Nam H Kim & Patrick W Saart & Jiti Gao - 9/13 Testing Independence for a Large Number of High Dimensional Random Vectors
by Guangming Pan & Jiti Gao & Yanrong Yang - 8/13 Structural-break models under mis-specification: implications for forecasting
by Boonsoo Koo & Myung Hwan Seo - 7/13 Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models
by Tingting Cheng & Jiti Gao & Xibin Zhang - 6/13 Domestic and outbound tourism demand in Australia: a System-of-Equations Approach
by George Athanasopoulos & Minfeng Deng & Gang Li & Haiyan Song - 5/13 From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence and Visit Behavior
by Anastasios Panagiotelis & Michael S. Smith & Peter J Danaher - 4/13 Canadian Monetary Policy Analysis using a Structural VARMA Model
by Mala Raghavan & George Athanasopoulos & Param Silvapulle - 3/13 Orthogonal Expansion of Levy Process Functionals: Theory and Practice
by Chaohua Dong & Jiti Gao - 2/13 Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors
by Kunpeng Li & Degui Li & Zhongwen Lian & Cheng Hsiao - 1/13 Common non-linearities in multiple series of stock market volatility
by Heather M. Anderson & Farshid Vahid
2012
- 21/12 Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review
by Patrick Saart & Jiti Gao - 20/12 Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models
by Chaohua Dong & Jiti Gao