Patrick Saart

University of Canterbury

Lecturer

Ilam Road

Christchurch 8140

New Zealand

SCHOLARLY PAPERS

8

DOWNLOADS

403

CITATIONS
Rank 36,075

SSRN RANKINGS

Top 36,075

in Total Papers Citations

5

Scholarly Papers (8)

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 90 (279,150)
Citation 1

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 68 (328,926)

Abstract:

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Semiparametrics, Time Series, Curse of Dimensionality

3.

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 56 (362,646)
Citation 3

Abstract:

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

4.

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 54 (368,988)

Abstract:

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

5.

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 53 (372,028)
Citation 1

Abstract:

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

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 47 (391,939)
Citation 1

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 28 (468,952)
Citation 2

Abstract:

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

8.

On Endogeneity and Shape Invariance in Extended Partially Linear Single Index Models

Number of pages: 44 Posted: 12 May 2018
Jiti Gao, Nam Hyun Kim and Patrick Saart
Monash University - Department of Econometrics & Business Statistics, University of Konstanz and University of Canterbury
Downloads 7 (589,789)

Abstract:

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Extended Generalized Partially Linear Single-Index, Control Function Approach, Endogeneity, Semiparametric Regression Models