Patrick Saart

University of Canterbury

Lecturer

Ilam Road

Christchurch 1

New Zealand

SCHOLARLY PAPERS

7

DOWNLOADS

367

CITATIONS
Rank 36,283

SSRN RANKINGS

Top 36,283

in Total Papers Citations

5

Scholarly Papers (7)

1.

Semiparametric Autoregressive Conditional Duration Model: Theory and Practice

Number of pages: 50 Posted: 17 Jul 2012 Last Revised: 26 Sep 2012
Patrick Saart, Jiti Gao and David E. Allen
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and School of Mathematics and Statistics, The University of Sydney
Downloads 74 (254,009)
Citation 2

Abstract:

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2.

Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review

Number of pages: 39 Posted: 25 Nov 2012 Last Revised: 02 Feb 2014
Patrick Saart, Jiti Gao and Nam Hyun Kim
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of Konstanz
Downloads 56 (300,514)

Abstract:

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Semiparametrics, Time Series, Curse of Dimensionality

3.

An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models

Number of pages: 41 Posted: 16 Aug 2012
Patrick Saart and Jiti Gao
University of Canterbury and Monash University - Department of Econometrics & Business Statistics
Downloads 46 (335,450)
Citation 1

Abstract:

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autoregressive conditional duration model, dependent point process, financial time series, hazard rate, high frequency data, semiparametric regression

4.

Semiparametric Autoregressive Conditional Duration Model: Theory and Practice

Number of pages: 50 Posted: 05 Sep 2012 Last Revised: 06 Sep 2012
Patrick Saart, Jiti Gao and David E. Allen
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and School of Mathematics and Statistics, The University of Sydney
Downloads 41 (344,389)
Citation 2

Abstract:

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Dependent point process, duration, hazard rate and random measure, irregularly

5.

Econometric Time Series Specification Testing in a Class of Multiplicative Error Models

Number of pages: 43 Posted: 14 Jan 2014 Last Revised: 02 Feb 2014
Patrick Saart, Jiti Gao and Nam Hyun Kim
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of Konstanz
Downloads 38 (344,389)

Abstract:

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Financial duration process; Nonnegative time series; Nonparametric kernel estimation; Semiparametric mixture model

6.

Estimation in Semiparametric Partially Linear Models with Parametric and/or Nonparametric Endogeneity

Number of pages: 42 Posted: 07 Feb 2013 Last Revised: 02 Feb 2014
Nam Hyun Kim and Patrick Saart
University of Konstanz and University of Canterbury
Downloads 25 (377,157)

Abstract:

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semiparametric models with endogeneity

7.

Semi-Parametric Analysis of Shape-Invariant Engel Curves with Control Function Approach

Number of pages: 53 Posted: 07 Feb 2013 Last Revised: 02 Feb 2014
Nam Hyun Kim, Patrick Saart and Jiti Gao
University of Konstanz, University of Canterbury and Monash University - Department of Econometrics & Business Statistics
Downloads 16 (430,685)

Abstract:

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endogeneity, generalized partially linear single index model, CF approach, generated regressor