Jiti Gao

Monash University - Department of Econometrics & Business Statistics

Professor Jiti Gao

900 Dandenong Road

Caulfield East, Victoria 3145

Australia

http://www.jitigao.com

  • Monash University - Department of Econometrics & Business Statistics

    • Email
    • Tel: 61399031675
    • Fax: 61399032007
SCHOLARLY PAPERS

122

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270

Scholarly Papers (122)

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1.

A Computational Implementation of GMM

Number of pages: 75 Posted: 01 Oct 2014 Last Revised: 03 May 2015
Jiti Gao and Han Hong
Monash University - Department of Econometrics & Business Statistics and Stanford University - Department of Economics
Downloads 374 (170,785)
Citation 3

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M-estimators, Monte Carlo Markov Chain methods, Nonparametric Regressions

2.

Non- and Semi-Parametric Panel Data Models: A Selective Review

Number of pages: 18 Posted: 22 Aug 2013
Jia Chen, Degui Li and Jiti Gao
University of Macau, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 239 (273,529)

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Deterministic trends, local linear fitting, panel data, semiparametric estimation, single-index models

3.

Functional Coefficient Nonstationary Regression

Downloads 237 (275,802)
Citation 15

Functional Coefficient Nonstationary Regression

Cowles Foundation Discussion Paper No. 1911
Number of pages: 56 Posted: 19 Sep 2013
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and University of Auckland Business School
Downloads 152 (413,640)
Citation 7

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Aggregate consumption, Asymptotic theory, Cointegration, Density, Local time, Nonlinear functional, Nonparametric estimation, Semiparametric, Time series, Varying coefficient model

Functional Coefficient Nonstationary Regression

Number of pages: 55 Posted: 03 Aug 2013 Last Revised: 05 Aug 2013
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and University of Auckland Business School
Downloads 85 (641,053)
Citation 8

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Aggregate consumption, Asymptotic theory, cointegration, density, local time, nonlinear functional, nonparametric estimation, semiparametric, time series, varying coefficient model

4.

Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD

Number of pages: 66 Posted: 30 Oct 2018 Last Revised: 05 Jun 2020
Isabel Casas, Jiti Gao, Bin Peng and Shangyu Xie
University of Deusto, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 234 (279,291)
Citation 5

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Cross-Sectional Dependence, Health Expenditure, Income Elasticity, Nonparametric Kernel Smoothing, Non-Stationarity, Super-Consistency

5.

Estimating Smooth Structural Change in Cointegration Models

Downloads 210 (309,822)
Citation 12

Estimating Smooth Structural Change in Cointegration Models

Number of pages: 42 Posted: 19 Sep 2013
Peter C. B. Phillips, Degui Li and Jiti Gao
University of Auckland Business School, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 144 (432,553)
Citation 3

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Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients

Estimating Smooth Structural Change in Cointegration Models

Cowles Foundation Discussion Paper No. 1910
Number of pages: 43 Posted: 19 Sep 2013
Peter C. B. Phillips, Degui Li and Jiti Gao
University of Auckland Business School, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 66 (742,148)
Citation 9

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Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients

6.

Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects

The University of Adelaide School of Economics Research Paper No. 103
Number of pages: 28 Posted: 18 Sep 2010
Jia Chen, Degui Li and Jiti Gao
University of Adelaide - School of Economics, University of Adelaide - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 209 (311,229)
Citation 11

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Fixed effects, local linear estimation, nonstationarity, panel data, specification testing, time-varying coefficient function

7.

Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects

Number of pages: 35 Posted: 20 Nov 2019
Xuan Liang, Jiti Gao and Xiaodong Gong
Australian National University (ANU), Research School of Finance, Actuarial Studies and Statistics, Monash University - Department of Econometrics & Business Statistics and University of Canberra
Downloads 206 (315,527)
Citation 3

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concentrated quasi-maximum likelihood estimation, local linear estimation, time-varying coefficient

8.

Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects

Number of pages: 67 Posted: 07 Dec 2020 Last Revised: 17 Nov 2021
Jiti Gao, Fei Liu, Bin Peng and Yayi Yan
Monash University - Department of Econometrics & Business Statistics, Nankai University - School of Finance, Monash University - Department of Econometrics and Business Statistics and Shanghai University of Finance and Economics
Downloads 202 (321,363)
Citation 4

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Binary Response, Heterogeneous Panel, Interactive Fixed Effects, Portfolio Analysis

9.

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 194 (333,594)
Citation 1

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10.

A Quantile Regression Approach to Panel Data Analysis of Health Care Expenditure in OECD Countries

Number of pages: 26 Posted: 07 Nov 2016
Fengping Tian, Jiti Gao and Ke Yang
Sun Yat-sen University (SYSU) - School of Business, Monash University - Department of Econometrics & Business Statistics and South China Normal University - College of Economics & Management
Downloads 191 (340,078)
Citation 4

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Health care expenditure, quantile regression, OECD countries, unbalanced growth

11.

A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to U.S. Commercial Banks

Number of pages: 59 Posted: 19 Apr 2015
Guohua Feng, Jiti Gao, Bin Peng and Xiaohui Zhang
University of North Texas, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and University of Exeter Business School - Department of Economics
Downloads 185 (348,542)
Citation 3

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Categorical variable; estimation theory; nonlinear panel data model; returns to scale.

12.

Testing for a Structural Break in Dynamic Panel Data Models with Common Factors

Number of pages: 31 Posted: 25 Sep 2015
Huanjun Zhu, Vasilis Sarafidis, Mervyn J Silvapulle and Jiti Gao
Monash University - Department of Econometrics & Business Statistics, BI Norwegian Business School, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 181 (355,492)

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Break-point detection; Fixed T asymptotics; Method of moments; Unobserved heterpgeneity

13.

Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices

Number of pages: 40 Posted: 17 Dec 2019
Bo Zhang, Jiti Gao, Guangming Pan and Yanrong Yang
Monash University, Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU) and The Australian National University
Downloads 177 (362,541)

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Factor Model; High-Dimensional Data; Principal Component Analysis; Spiked Empirical Eigenvalue

14.

The Third Generation ACD Model: A Semiparametric Approach

Number of pages: 39 Posted: 23 Jul 2008
Pipat Wongsaart, Jiti Gao and David E. Allen
University of Western Australia, Monash University - Department of Econometrics & Business Statistics and School of Mathematics and Statistics, The University of Sydney
Downloads 176 (364,344)

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Semiparametric ACD model, Conditional durations, Simulations

15.

Heterogeneous Panel Data Models with Cross-Sectional Dependence

Number of pages: 79 Posted: 11 Sep 2017 Last Revised: 07 Aug 2018
Jiti Gao, Kai Xia and Huanjun Zhu
Monash University - Department of Econometrics & Business Statistics, Xiamen University and Monash University - Department of Econometrics & Business Statistics
Downloads 168 (379,607)
Citation 3

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Health care expenditure, Nonlinear trending function, Nonstationary time series

16.

Nonparametric Specification Testing in Nonlinear and Nonstationary Time Series Models: Theory and Practice

Number of pages: 49 Posted: 19 Mar 2013
Jia Chen, Jiti Gao, Degui Li and Zhengyan Lin
University of Queensland, Monash University - Department of Econometrics & Business Statistics, University of York and Zhejiang University
Downloads 157 (402,348)
Citation 4

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asymptotic distribution, Edgeworth expansion, nonlinear time series, power function, quadratic form, size function, unit root

17.

An Alternative Semiparametric Regression Approach to Nonlinear Duration Modeling: Theory and Practice

Number of pages: 60 Posted: 18 Sep 2010
Jiti Gao, Pipat Wongsaart and David E. Allen
Monash University - Department of Econometrics & Business Statistics, University of Western Australia and School of Mathematics and Statistics, The University of Sydney
Downloads 153 (411,215)

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Dependent point process, duration, hazard rate and random measure, irregularly spaced high frequency data, semiparametric time series

18.

Estimation and Inference for Three-Dimensional Panel Data Models

Number of pages: 80 Posted: 27 Aug 2023 Last Revised: 11 Sep 2024
Guohua Feng, Jiti Gao, Fei Liu and Bin Peng
University of North Texas, Monash University - Department of Econometrics & Business Statistics, Nankai University - School of Finance and Monash University - Department of Econometrics and Business Statistics
Downloads 152 (413,415)

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Asymptotic Theory, Bias Correction, Dependent Wild Bootstrap, Hierarchical Model

19.

Regime Switching Panel Data Models with Interactive Fixed Effects

Number of pages: 12 Posted: 12 Nov 2018
Tingting Cheng, Jiti Gao and Yayi Yan
Monash University, Monash University - Department of Econometrics & Business Statistics and Shanghai University of Finance and Economics
Downloads 150 (417,910)
Citation 2

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ECM algorithm; interactive effect; maximum likelihood estimation; panel data model; regime switching

20.

Semiparametric Single-Index Predictive Regression

Number of pages: 60 Posted: 04 Aug 2018 Last Revised: 04 Sep 2019
Weilun Zhou, Jiti Gao, David Harris and Hsein Kew
Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of Melbourne - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 149 (420,147)

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Predictive Regression; Single-Index Model; Hermite Orthogonal Estimation; Dual Super-Consistency Rates; Co-Moving Predictors

21.

A New Diagnostic Test for Cross-Section Uncorrelatedness in Nonparametric Panel Data Models

Number of pages: 42 Posted: 18 Sep 2010
Jiti Gao, Jia Chen and Degui Li
Monash University - Department of Econometrics & Business Statistics, University of Adelaide - School of Economics and University of Adelaide - School of Economics
Downloads 149 (422,431)
Citation 10

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22.

Recursive Estimation in Large Panel Data Models: Theory and Practice

Number of pages: 41 Posted: 13 Feb 2017
Bin Jiang, Yanrong Yang, Jiti Gao and Cheng Hsiao
Monash University, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and University of Southern California - Department of Economics
Downloads 148 (422,431)
Citation 16

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Cross-sectional dependence, factor model, large panel data model, recursive estimation

23.

Estimation in Semiparametric Quantile Factor Models

Number of pages: 48 Posted: 06 May 2017
Shujie Ma, Oliver B. Linton and Jiti Gao
University of California, Riverside (UCR), University of Cambridge and Monash University - Department of Econometrics & Business Statistics
Downloads 146 (427,096)
Citation 11

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Cross-Sectional Dependence; Fama-French Model; Inference; Sieve Estimation

24.

Estimation in Threshold Autoregressive Models with a Stationary and a Unit Root Regime

Number of pages: 29 Posted: 17 Sep 2010
Jiti Gao, Dag Tjøstheim and Jiying Yin
Monash University - Department of Econometrics & Business Statistics, University of Bergen - Department of Mathematics and University of Adelaide
Downloads 146 (427,096)
Citation 3

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Asymptotic normality, nonlinear time series, nonparametric model, nonstationarity

25.

Global Temperatures and Greenhouse Gases: A Common Features Approach

Number of pages: 37 Posted: 10 Oct 2019 Last Revised: 13 Oct 2019
Li Chen, Jiti Gao and Farshid Vahid
WISE and School of Economics, Xiamen University, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 140 (441,787)
Citation 10

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global warming; complex trends; endogeneity; instrumental variables; testing for common trends

26.

On Income and Price Elasticities for Energy Demand: A Panel Data Study

Number of pages: 37 Posted: 30 Sep 2020
Jiti Gao, Bin Peng and Russell Smyth
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and Monash University - Department of Economics
Downloads 139 (444,333)
Citation 1

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Elasticity, Energy policy, Panel data analysis

27.

Most Powerful Test Against a Sequence of High Dimensional Local Alternatives

Number of pages: 86 Posted: 26 Feb 2021 Last Revised: 04 Aug 2021
Yi He, Sombut Jaidee and Jiti Gao
University of Amsterdam - Amsterdam School of Economics (ASE), Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 135 (454,809)

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High-dimensional linear model, hypothesis testing, uniformly powerful test, nuisance parameter, random matrix

28.

Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Number of pages: 55 Posted: 04 Sep 2013
Xiangjin Bruce Chen, Jiti Gao, Degui Li and Param Silvapulle
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 135 (454,809)
Citation 11

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Bootstrap Method, Heterogeneous Autoregressive Model, Locally Stationary Process, Nonparametric Method

29.

A Simple Nonlinear Predictive Model for Stock Returns

Number of pages: 28 Posted: 11 Oct 2017 Last Revised: 14 Oct 2017
Biqing Cai and Jiti Gao
University of Bergen and Monash University - Department of Econometrics & Business Statistics
Downloads 133 (460,471)

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Hermite Functions, Out-of-Sample Forecast, Return Predictability, Series Estimator, Unit Root

30.

Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity

Number of pages: 51 Posted: 27 Mar 2015
Chaohua Dong, Jiti Gao and Bin Peng
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 133 (460,471)
Citation 3

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Asymptotic theory; closed-form estimate; orthogonal series method; partially linear panel data model.

31.

Nonparametric Time-Varying Vector Moving Average (infinity) Models

Number of pages: 59 Posted: 23 Jan 2021
Yayi Yan, Jiti Gao and Bin Peng
Shanghai University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 132 (463,245)

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Multivariate Time Series; Nonparametric Kernel Estimation; Nonstationary Time Series; Time-Varying Beveridge-Nelson Decomposition

32.

Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence

Number of pages: 38 Posted: 26 Feb 2014
Bin Peng, Chaohua Dong and Jiti Gao
Monash University - Department of Econometrics and Business Statistics, Zhongnan University of Economics and Law and Monash University - Department of Econometrics & Business Statistics
Downloads 127 (477,639)
Citation 9

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Closed-form estimate, cross-sectional dependence, nonlinear panel data model, semiparametric model

33.

Quantile Random-Coefficient Regression with Interactive Fixed Effects: Heterogeneous Group-Level Policy Evaluation

Number of pages: 102 Posted: 10 Aug 2022 Last Revised: 17 Nov 2024
Ruofan Xu, Jiti Gao, Tatsushi Oka and Yoon-Jae Whang
The Chinese University of Hong Kong (CUHK), Monash University - Department of Econometrics & Business Statistics, Keio University and Seoul National University - School of Economics
Downloads 126 (480,605)

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Heterogenous policy effects, Hierarchical regression, Random coefficient model

34.

Varying-Coefficient Panel Data Models with Partially Observed Factor Structure

Number of pages: 39 Posted: 23 Jan 2018
Chaohua Dong, Jiti Gao and Bin Peng
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 123 (489,819)
Citation 4

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Asymptotic theory; Orthogonal series method; Translog cost function; Return to scale

35.

Semiparametric Model Selection in Panel Data Models with Deterministic Trending and Cross-Sectional Dependence

Number of pages: 35 Posted: 10 May 2014
Jia Chen and Jiti Gao
University of Macau and Monash University - Department of Econometrics & Business Statistics
Downloads 118 (505,537)

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cross-sectional dependence, fixed effects, large panel, local linear fitting, penalty function, profile likelihood, semiparametric regression

36.

Local Logit Regression for Recovery Rate

Number of pages: 42 Posted: 16 Oct 2017 Last Revised: 17 Oct 2017
Nithi Sopitpongstorn, Param Silvapulle and Jiti Gao
Monash Business School, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 116 (512,122)

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loss given default, credit risk, nonlinearity, kernel estimation, defaulted debt, simulation

37.

Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models

Number of pages: 34 Posted: 14 Feb 2013
Tingting Cheng, Jiti Gao and Xibin Zhang
Monash University, Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 116 (512,122)

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Bayes factors, bandwidth, marginal likelihood, local linear estimator, random-walk Metropolis algorithm

38.

Does Climate Sensitivity Differ Across Regions ? A Varying-Coefficient Approach

Number of pages: 48 Posted: 14 May 2023
Heather M. Anderson, Jiti Gao, Farshid Vahid, Wei Wei and Yang Yang
Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics, Monash Business School and Monash University
Downloads 115 (515,506)

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Climate sensitivity; Cointegration; Dynamic panel; Varying-coefficient model.

39.

High Dimensional Semiparametric Moment Restriction Models

Number of pages: 74 Posted: 02 Oct 2017 Last Revised: 24 Nov 2018
Chaohua Dong, Jiti Gao and Oliver B. Linton
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and University of Cambridge
Downloads 115 (515,506)

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high dimensional models, overidentification, sieve method

40.

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 115 (515,506)

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Semiparametrics, Time Series, Curse of Dimensionality

41.

Nonparametric Estimation and Specification Testing in Nonstationary Time Series Models

Number of pages: 37 Posted: 18 Sep 2010
Jiti Gao, Jia Chen, Degui Li and Zhengyan Lin
Monash University - Department of Econometrics & Business Statistics, University of Adelaide - School of Economics, University of Adelaide - School of Economics and Zhejiang University
Downloads 115 (515,506)

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Asymptotic distribution, Edgeworth expansion, estimation, nonlinear time series, power function, quadratic form, random walk, size function

42.

Model Specification between Parametric and Nonparametric Cointegration

Number of pages: 37 Posted: 06 Sep 2012
Jiti Gao
Monash University - Department of Econometrics & Business Statistics
Downloads 112 (525,945)
Citation 7

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Cointegration, nonparametric kernel estimation, nonstationary time series, parametric model specification

43.

Semiparametric Trending Panel Data Models with Cross-Sectional Dependence

Number of pages: 30 Posted: 18 Sep 2010
Jiti Gao, Jia Chen and Degui Li
Monash University - Department of Econometrics & Business Statistics, University of Adelaide - School of Economics and University of Adelaide - School of Economics
Downloads 111 (529,501)
Citation 20

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Cross-sectional dependence, nonlinear time trend, panel data, profile likelihood, semiparametric regression

44.

Semiparametric Single-Index Estimation for Average Treatment Effects

Monash Econometrics and Business Statistics Working Paper Series 10/22, Econometric Reviews, Forthcoming
Number of pages: 65 Posted: 28 Jun 2022 Last Revised: 15 Jan 2025
Difang Huang, Jiti Gao and Tatsushi Oka
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Monash University - Department of Econometrics & Business Statistics and Keio University
Downloads 109 (536,529)
Citation 1

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Average Treatment Effects, Causal Inference, Hermite Series Expansion, Propensity Score

45.

On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis

Number of pages: 48 Posted: 18 Nov 2021
Yayi Yan, Jiti Gao and Bin Peng
Shanghai University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 107 (544,056)

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Multivariate Dynamic Time Series; Time-Varying Impulse Response; Testing for Parameter Stability

46.

High Dimensional Correlation Matrices: CLT and Its Applications

Number of pages: 55 Posted: 10 Nov 2014
Jiti Gao, Xiao Han, Guangming Pan and Yanrong Yang
Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU), Nanyang Technological University (NTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 107 (544,056)
Citation 1

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Central limit theorem; equivalence test; high dimensional correlation matrix; independence test; linear spectral statistics

47.

Inter-City Spillover and Intra-City Agglomeration Effects Among Local Labour Markets in China

IZA Discussion Paper No. 12329
Number of pages: 36 Posted: 21 May 2019
Xiaodong Gong, Jiti Gao and Xuan Liang
Australian National University (ANU) - School of Economics, Monash University - Department of Econometrics & Business Statistics and Australian National University (ANU), Research School of Finance, Actuarial Studies and Statistics
Downloads 103 (559,583)

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agglomeration economy, spill-over, spatial econometrics, fixed-effects

48.

Higher-order Expansions and Inference for Panel Data Models

Number of pages: 73 Posted: 05 May 2022 Last Revised: 08 Jun 2023
Jiti Gao, Bin Peng and Yayi Yan
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and Shanghai University of Finance and Economics
Downloads 102 (563,513)
Citation 4

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Dependent Wild Bootstrap, Edgeworth Expansion, Fund Performance Evaluation

49.

An Integrated Panel Data Approach to Modelling Economic Growth

Number of pages: 82 Posted: 14 Apr 2019 Last Revised: 16 Apr 2020
Guohua Feng, Jiti Gao and Bin Peng
University of North Texas, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 102 (563,513)
Citation 3

Abstract:

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Growth Regressions, Variable Selection, Parameter Heterogeneity, Cross-Sectional Dependence

50.

GMM Estimation for High–Dimensional Panel Data Models

Number of pages: 58 Posted: 13 May 2022 Last Revised: 07 Jul 2022
Tingting Cheng, Chaohua Dong, Jiti Gao and Oliver B. Linton
Nankai University, Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and University of Cambridge
Downloads 101 (567,524)

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Generalized method of moments, High dimensional moment model, Interactive effect, Over-identification issue, Panel data, Sieve method

51.

Estimation for Single-Index and Partially Linear Single-Index Nonstationary Time Series Models

Number of pages: 76 Posted: 19 Feb 2014
Chaohua Dong, Jiti Gao and Dag Tjostheim
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and University of Bergen - Faculty of Mathematics and Natural Sciences
Downloads 101 (567,524)
Citation 14

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Nonstationarity, orthogonal series expansion, single-index models, partially linear single-index models, dual convergence rates, a trio of convergence rates.

52.

A Panel Data Analysis of Hospital Variations in Length of Stay for Hip Replacements: Private Versus Public

Number of pages: 44 Posted: 30 Nov 2017
Yan Meng, Xueyan Zhao, Xibin Zhang and Jiti Gao
Monash University - Department of Economics, Monash University, Monash University and Monash University - Department of Econometrics & Business Statistics
Downloads 100 (571,472)

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Gibbs sampler, hierarchical random coefficients, length of stay, hospital ranking

53.

Semiparametric Localized Bandwidth Selection in Kernel Density Estimation

Number of pages: 45 Posted: 12 May 2014
Tingting Cheng, Jiti Gao and Xibin Zhang
Monash University, Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 100 (571,472)
Citation 1

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hyperparameter estimation; likelihood score; localized bandwidth

54.

Independence Test for High Dimensional Random Vectors

Number of pages: 41 Posted: 22 Mar 2012
Jiti Gao, G. Pan and M. Guo
Monash University - Department of Econometrics & Business Statistics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 97 (583,001)
Citation 1

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Independence test, cross--sectional dependence, empirical spectral distribution, characteristic function, Marcenko-Pastur Law

55.

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Cowles Foundation Discussion Paper No. 2109
Number of pages: 60 Posted: 15 Sep 2017 Last Revised: 04 Jun 2021
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, University of Auckland Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 95 (590,991)
Citation 2

Abstract:

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Cointegration, FM-kernel estimation, Generalized Wald test, Global rotation, Kernel degeneracy, Local rotation, Super-consistency, Time-varying coefficients

56.

Non- and Semi-Parametric Quantile Models for Recovery Rate

29th Australasian Finance and Banking Conference 2016
Number of pages: 42 Posted: 22 Aug 2016 Last Revised: 24 Aug 2016
Nithi Sopitpongstorn, Jiti Gao, Param Silvapulle and Xibin Zhang
Monash Business School, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 95 (590,991)

Abstract:

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Loss given default, Credit risk, Borrower characteristics, Nonlinear models, Local constant method

57.

Hermite Series Estimation in Nonlinear Cointegrating Models

Number of pages: 50 Posted: 05 Aug 2013
Biqing Cai and Jiti Gao
Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 95 (590,991)
Citation 3

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Cointegration, Hermite Functions, Return Predictability, Series Estimator, Unit Root

58.

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 94 (595,080)
Citation 1

Abstract:

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

59.

An Improved Nonparametric Unit-Root Test

Number of pages: 25 Posted: 23 Aug 2012 Last Revised: 05 Sep 2012
Jiti Gao and Maxwell King
Monash University - Department of Econometrics & Business Statistics and affiliation not provided to SSRN
Downloads 93 (603,025)
Citation 2

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autoregression, nonparametric unit-root test, nonstationary time series, specification testing

60.

Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends

Number of pages: 55 Posted: 20 Jul 2017
Jiti Gao, Oliver B. Linton and Bin Peng
Monash University - Department of Econometrics & Business Statistics, University of Cambridge and Monash University - Department of Econometrics and Business Statistics
Downloads 89 (615,516)
Citation 1

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Global Mean Sea Level; Nonparametric Kernel Estimation; Nonstationarity

61.

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 89 (615,516)

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

62.

Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

The University of Adelaide School of Economics Research Paper No. 104
Number of pages: 32 Posted: 18 Sep 2010
Jiti Gao, Jia Chen and Degui Li
Monash University - Department of Econometrics & Business Statistics, University of Adelaide - School of Economics and University of Adelaide - School of Economics
Downloads 89 (615,516)

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Asymptotic distribution, local linear smoother, minimum average variance estimation, panel data, semiparametric estimation, single-index models

63.

Semiparametric Estimation in Time Series of Simultaneous Equations

Cowles Foundation Discussion Paper No. 1769
Number of pages: 51 Posted: 14 Sep 2010
Jiti Gao and Peter C. B. Phillips
Monash University - Department of Econometrics & Business Statistics and University of Auckland Business School
Downloads 89 (615,516)
Citation 1

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Endogeneity, exogeneity, Nonstationarity, Partially linear model, Simultaneous equation, Stochastic detrending, Vector semiparametric regression

64.

Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Number of pages: 85 Posted: 19 Feb 2014 Last Revised: 19 Jul 2016
Chaohua Dong, Jiti Gao, Dag Tjostheim and Jiying Yin
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics, University of Bergen - Faculty of Mathematics and Natural Sciences and University of Adelaide
Downloads 87 (624,312)
Citation 1

Abstract:

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Cointegration, endogeneity, nonparametric kernel estimation, parametric model specification, time series

65.

Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy

Number of pages: 81 Posted: 25 Jul 2024
Jiti Gao, Fei Liu, Bin Peng and Yanrong Yang
Monash University - Department of Econometrics & Business Statistics, Nankai University - School of Finance, Monash University - Department of Econometrics and Business Statistics and The Australian National University
Downloads 85 (633,161)

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Dependent Wild Bootstrap, Group-LASSO, Semiparametric Model, Treatment Effects JEL classification: C14, C22, C45

66.

A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation

Number of pages: 58 Posted: 29 Jun 2022
Jiti Gao, Oliver B. Linton and Bin Peng
Monash University - Department of Econometrics & Business Statistics, University of Cambridge and Monash University - Department of Econometrics and Business Statistics
Downloads 85 (633,161)

Abstract:

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Bootstrap method; Interactive fixed-effect; Panel rainfall data; Time trend

67.

Asymptotics for Time–Varying Vector Ma(∞) Process

Number of pages: 56 Posted: 11 Mar 2022
Yayi Yan, Jiti Gao and Bin Peng
Shanghai University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 85 (633,161)
Citation 5

Abstract:

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Multivariate Time Series, Nonparametric Kernel Estimation, Time–Varying Beveridge–Nelson Decomposition

68.

Cross-Sectional Independence Test for a Class of Parametric Panel Data Models

Number of pages: 44 Posted: 25 Sep 2015
Guangming Pan, Jiti Gao, Yanrong Yang and MH Guo
Nanyang Technological University (NTU), Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and National Sun Yat-sen University
Downloads 85 (633,161)
Citation 1

Abstract:

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Characteristic function, cross--sectional independence, empirical spectral distribution, linear panel data models, Marcenko-Pastur Law.

69.

Estimation in Semiparametric Time Series Models

Number of pages: 17 Posted: 18 Sep 2010
Jiti Gao, Jia Chen and Degui Li
Monash University - Department of Econometrics & Business Statistics, University of Adelaide - School of Economics and University of Adelaide - School of Economics
Downloads 85 (633,161)

Abstract:

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Asymptotic consistency, deterministic trend, model identifiability, time series

70.

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 83 (642,187)
Citation 3

Abstract:

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

71.

Regime Switching in the Presence of Endogeneity

Number of pages: 29 Posted: 07 May 2018
Tingting Cheng, Jiti Gao and Yayi Yan
Monash University, Monash University - Department of Econometrics & Business Statistics and Shanghai University of Finance and Economics
Downloads 82 (646,773)

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Latent Factor, Maximum Likelihood Estimation, Markov Chain, Regime Switching Models, State-Varying Endogeneity

72.

Testing Independence for a Large Number of High-Dimensional Random Vectors

Number of pages: 46 Posted: 15 Mar 2013
Guangming Pan, Jiti Gao and Yanrong Yang
Nanyang Technological University (NTU), Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 82 (646,773)
Citation 4

Abstract:

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Central limit theorem, Covariance stationary time series, Empirical spectral distribution, Independence test, Large dimensional sample covariance matrix, Linear spectral statistics

73.

Estimation and Testing for High-dimensional Near Unit Root Time Series

Number of pages: 40 Posted: 13 May 2020
Bo Zhang, Jiti Gao and Guangming Pan
Monash University, Monash University - Department of Econometrics & Business Statistics and Nanyang Technological University (NTU)
Downloads 81 (651,434)
Citation 2

Abstract:

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Asymptotic normality, largest eigenvalue, linear process, near unit root test.

74.

A New Class of Bivariate Threshold Cointegration Models

Number of pages: 34 Posted: 29 Jan 2015
Biqing Cai, Jiti Gao and Dag Tjostheim
University of Bergen, Monash University - Department of Econometrics & Business Statistics and University of Bergen - Faculty of Mathematics and Natural Sciences
Downloads 81 (651,434)
Citation 1

Abstract:

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Beta-null recurrent; Cointegration; Markov chain; Threshold VAR model

75.

Estimation of Structural Breaks in Large Panels with Cross-Sectional Dependence

Number of pages: 45 Posted: 20 Jul 2016
Jiti Gao, Guangming Pan and Yanrong Yang
Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 80 (656,142)

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Cross-sectional averages; dynamic factor model; joint estimation; marginal estimation; strong factor loading

76.

Variable Selection for a Categorical Varying-Coefficient Model with Identifications for Determinants of Body Mass Index

Number of pages: 43 Posted: 11 Oct 2015
Jiti Gao, Bin Peng, Zhao Ren and Xiaohui Zhang
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics, University of Pittsburgh - Department of Statistics and University of Exeter Business School - Department of Economics
Downloads 80 (656,142)

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Body Mass Index; Obesity; Varying-Coefficient; Variable Selection

77.

Simultaneous Testing of the Mean and Variance Structures in Nonlinear Time Series Models

University of Adelaide School of Economics Working Paper No. 2010-28
Number of pages: 56 Posted: 12 Dec 2010
Jiti Gao and Songxi Chen
Monash University - Department of Econometrics & Business Statistics and Peking University - Guanghua School of Management
Downloads 80 (660,856)

Abstract:

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Bootstrap, empirical likelihood, goodness-of-fit test, kernel estimation, least squares empirical likelihood, rate-optimal test

78.

Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models

Number of pages: 20 Posted: 22 Mar 2012 Last Revised: 12 Sep 2012
Jiti Gao
Monash University - Department of Econometrics & Business Statistics
Downloads 79 (660,856)
Citation 4

Abstract:

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Asymptotic theory, departure function, kernel method, nonlinearity, nonstationarity, semiparametric model, stationarity, time series

79.

Time-Varying Multivariate Causal Processes

Number of pages: 64 Posted: 07 Jun 2022 Last Revised: 23 Jun 2022
Jiti Gao, Bin Peng, Wei Biao Wu and Yayi Yan
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics, University of Chicago and Shanghai University of Finance and Economics
Downloads 78 (665,658)

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Local Linear Quasi-Maximum Likelihood Estimation, Multivariate Causal Process, Simultaneous Confidence Interval

80.

Specification Testing in Structural Nonparametric Cointegration

Number of pages: 65 Posted: 16 Jan 2014
Chaohua Dong and Jiti Gao
Zhongnan University of Economics and Law and Monash University - Department of Econometrics & Business Statistics
Downloads 78 (665,658)
Citation 6

Abstract:

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Consumption-income model; Endogeneity; Integrated time series; Linear process; Orthogonal series estimation; Parametric specification

81.

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 78 (665,658)
Citation 2

Abstract:

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

82.

Estimation and Inference for a Class of Generalized Hierarchical Models

Number of pages: 62 Posted: 29 Nov 2023 Last Revised: 03 Apr 2024
Chaohua Dong, Jiti Gao, Bin Peng and Yayi Yan
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and Shanghai University of Finance and Economics
Downloads 75 (680,396)

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Estimation Theory; Deep Neural Network; Hierarchical Model; ReLU

83.

Extent Pursuit for Cross-Sectional Dependence in Large Panels

Number of pages: 47 Posted: 13 May 2019
Jiti Gao, Guangming Pan, Yanrong Yang and Bo Zhang
Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU), The Australian National University and Monash University
Downloads 74 (685,458)

Abstract:

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Cross-sectional dependence; factor model; joint estimation; large panel data analysis; marginal estimation

84.

Nonparametric Predictive Regression for Stock Return Prediction 1

Number of pages: 42 Posted: 06 Feb 2025
Tingting Cheng, Jiti Gao, Oliver B. Linton and Yayi Yan
Nankai University, Monash University - Department of Econometrics & Business Statistics, University of Cambridge and Shanghai University of Finance and Economics
Downloads 73 (690,676)

Abstract:

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Kernel estimation, locally stationary process, stock return prediction, time-varying/nonlinear predictability JEL Classification: C14, C22, G17

85.

Another Look at Single-Index Models Based on Series Estimation

Number of pages: 40 Posted: 26 Oct 2016
Chaohua Dong, Jiti Gao and Bin Peng
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 73 (690,676)
Citation 1

Abstract:

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Asymptotic theory, closed-form estimate, cross-sectional model, Hermite orthogonal expansion, series method

86.

Estimating the Effect of an EU-ETS Type Scheme in Australia Using a Synthetic Treatment Approach

Number of pages: 32 Posted: 25 Jul 2022
Heather M. Anderson, Jiti Gao, Guido Turnip, Farshid Vahid and Wei Wei
Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, Monash University, Monash University - Department of Econometrics and Business Statistics and Monash Business School
Downloads 72 (695,984)
Citation 1

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Carbon emissions, Climate change, Common trends, Mitigation policy, Synthetic treatment

87.

Time-Varying Vector Error-Correction Models: Estimation and Inference

Number of pages: 86 Posted: 31 May 2023
Jiti Gao, Bin Peng and Yayi Yan
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and Shanghai University of Finance and Economics
Downloads 71 (701,348)

Abstract:

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Cointegration, Gaussian Approximations, Granger Representation Theorem, Iterated Time-Varying Functions, Term Structure of Interest Rates

88.

Eigen-Analysis for High-Dimensional Time Series

Number of pages: 58 Posted: 30 Nov 2023
Bo Zhang, Jiti Gao, Guangming Pan and Yanrong Yang
Monash University, Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU) and The Australian National University
Downloads 70 (706,758)

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Factor model; non-stationarity; sample covariance matrix; stationarity

89.

A Near Unit Root Test for High-Dimensional Nonstationary Time Series

Number of pages: 36 Posted: 13 May 2019 Last Revised: 15 May 2019
Bo Zhang, Jiti Gao and Guangming Pan
Monash University, Monash University - Department of Econometrics & Business Statistics and Nanyang Technological University (NTU)
Downloads 70 (706,758)
Citation 1

Abstract:

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Asymptotic normality, Largest eigenvalue, Linear process, Unit root test

90.

Solving Replication Problems in Complete Market by Orthogonal Series Expansion

Number of pages: 17 Posted: 22 Mar 2012 Last Revised: 15 Apr 2012
Jiti Gao and Chaohua Dong
Monash University - Department of Econometrics & Business Statistics and Zhongnan University of Economics and Law
Downloads 70 (706,758)
Citation 1

Abstract:

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Approximation theory, Black-Scholes theory, complete market, stochastic process, time series

91.

Model Averaging for Time-Varying Vector Autoregressions *

Number of pages: 33 Posted: 13 Dec 2024
Yuying Sun, Feng Chen and Jiti Gao
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS) and Monash University - Department of Econometrics & Business Statistics
Downloads 69 (717,840)

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Asymptotic optimality, Consistency, Model averaging, Vector autoregressions, Structural changes, Time-varying weights JEL Classification codes: C52, C53

92.

Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurances in Australia

Number of pages: 29 Posted: 27 Mar 2015 Last Revised: 12 Apr 2015
Xiaodong Gong and Jiti Gao
Australian National University (ANU) - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 69 (712,263)

Abstract:

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De-convolution kernel estimator; Regression discontinuity; Error-in-variables; Demand for private health insurance

93.

Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series

Number of pages: 53 Posted: 18 Sep 2010
Jiti Gao, Jia Chen and Degui Li
Monash University - Department of Econometrics & Business Statistics, University of Adelaide - School of Economics and University of Adelaide - School of Economics
Downloads 69 (712,263)
Citation 1

Abstract:

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Asymptotic normality, beta-null recurrent Markov chain, consistency, kernel estimator, partially linear model

94.

Time-Varying Generalized Network Autoregressive Models *

Number of pages: 37 Posted: 10 Feb 2025
Boyao Wu, Jiti Gao and Deshui Yu
University of International Business and Economics - School of Banking and Finance, Monash University - Department of Econometrics & Business Statistics and College of Finance and Statistics, Hunan University
Downloads 68 (717,840)

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Dynamic network autoregression models, MA(∞) representation, cross-sectional dependence, general network structure, nonparametric estimation JEL Code: C14, C31, C33, D85

95.

Series Estimation for Single-Index Models Under Constraints

Number of pages: 35 Posted: 27 Mar 2018 Last Revised: 27 Apr 2018
Chaohua Dong, Jiti Gao and Bin Peng
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 67 (723,517)
Citation 1

Abstract:

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Asymptotic Theory, Closed-Form Estimation, Cross-Sectional Model, Hermite Series Expansion

96.

CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series

Number of pages: 40 Posted: 20 Jul 2016
Bo Zhang, Guangming Pan and Jiti Gao
School of Physical and Mathematical Sciences, Nanyang Technological University (NTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 67 (723,517)
Citation 2

Abstract:

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Asymptotic normality, Largest eigenvalue, Linear process, Unit root test

97.

Orthogonal Expansion of Levy Process Functionals: Theory and Practice

Number of pages: 92 Posted: 02 Feb 2013
Chaohua Dong and Jiti Gao
Zhongnan University of Economics and Law and Monash University - Department of Econometrics & Business Statistics
Downloads 66 (729,465)
Citation 1

Abstract:

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Asymptotic theory, Econometric estimation, Levy process, Nonstationary time series, Orthogonal series expansion.

98.

Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

Number of pages: 22 Posted: 18 Sep 2010
Jiti Gao, Degui Li and Dag Tjøstheim
Monash University - Department of Econometrics & Business Statistics, University of Adelaide - School of Economics and University of Bergen - Department of Mathematics
Downloads 66 (729,465)
Citation 7

Abstract:

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Null recurrent Markov chain, nonparametric estimation, rate of convergence, uniform consistency

99.

Smoothing the Nonsmoothness

Number of pages: 19 Posted: 26 Oct 2023
Chaohua Dong, Jiti Gao, Bin Peng and Yundong Tu
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and Peking University
Downloads 64 (741,131)

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Convergence rate, Generalized functions, Quadratic approximation, Regular function sequence

100.

Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors

Number of pages: 33 Posted: 03 Jun 2020
Sium Hannadige, Jiti Gao, Mervyn Joseph Silvapulle and Param Silvapulle
Monash University, Monash University - Department of Econometrics & Business Statistics, Monash University and Monash University - Department of Econometrics & Business Statistics
Downloads 64 (741,131)
Citation 2

Abstract:

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Bootstrap; generated factors; panel data; prediction interval

101.

Estimation of Technical Change and Price Elasticities: A Categorical Time-Varying Coefficient Approach

Number of pages: 39 Posted: 13 Jan 2016 Last Revised: 12 Feb 2016
Guohua Feng, Jiti Gao and Xiaohui Zhang
University of North Texas, Monash University - Department of Econometrics & Business Statistics and University of Exeter Business School - Department of Economics
Downloads 62 (753,387)

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Semiparametric Time-varying Coefficient Model; Technical Change and Productivity

102.

Inference on Non-Stationary Time Series with Moving Mean

Number of pages: 32 Posted: 30 Jul 2013
Jiti Gao and Peter M. Robinson
Monash University - Department of Econometrics & Business Statistics and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 61 (759,622)

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fractional time series, fi…xed design non-parametric regression, non-stationary time series, unit root tests

103.

Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity

Number of pages: 38 Posted: 25 Sep 2015
Biqing Cai, Chaohua Dong and Jiti Gao
University of Bergen, Zhongnan University of Economics and Law and Monash University - Department of Econometrics & Business Statistics
Downloads 60 (765,997)
Citation 1

Abstract:

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Cointegration, endogeneity, Hermite functions, series estimator, unit root

104.

Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Cowles Foundation Discussion Paper No. 1929
Number of pages: 25 Posted: 26 Nov 2013 Last Revised: 18 Dec 2013
Degui Li, Peter C. B. Phillips and Jiti Gao
University of York, University of Auckland Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 60 (765,997)
Citation 2

Abstract:

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Cointegration; Functional coefficients; Kernel degeneracy; Nonparametric kernel smoothing; Random coordinate rotation; Super-consistency; Uniform convergence rates; Time varying coefficients

105.

Specification Testing Driven by Orthogonal Series in Nonlinear and Nonstationary Time Series Models

Number of pages: 53 Posted: 14 Nov 2012
Jiti Gao and Chaohua Dong
Monash University - Department of Econometrics & Business Statistics and Zhongnan University of Economics and Law
Downloads 59 (772,494)
Citation 2

Abstract:

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consumption-income model, integrated time series, local-time process, orthogonal series estimation, parametric specification

106.

A Localized Neural Network with Dependent Data: Estimation and Inference

Number of pages: 59 Posted: 18 Jun 2023
Jiti Gao, Bin Peng and Yanrong Yang
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and The Australian National University
Downloads 58 (779,097)

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Activation Function; Binary Structure; Deep Learning; Kernel Regression; Time Series

107.

Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models

Number of pages: 53 Posted: 19 Jan 2023
Chaohua Dong, Jiti Gao, Bin Peng and Yundong Tu
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and Peking University
Downloads 58 (779,097)

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Additive single index models; generalized function; nonstationary time series; quadratic approximation; regular function sequence

108.

Error-in-Variables Jump Regression Using Local Clustering

Number of pages: 49 Posted: 20 Jul 2016
Yicheng Kang, Xiaodong Gong, Jiti Gao and Peihua Qiu
Department of Biostatistics, Australian National University (ANU) - School of Economics, Monash University - Department of Econometrics & Business Statistics and Department of Biostatistics
Downloads 58 (779,097)
Citation 2

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Clustering, Demand for private health insurance, Kernel smoothing, Local regression, Measurement errors; Price elasticity

109.

Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Predictors

Number of pages: 68 Posted: 19 Apr 2021
Sium Hannadige, Jiti Gao, Mervyn Joseph Silvapulle and Param Silvapulle
Monash University, Monash University - Department of Econometrics & Business Statistics, Monash University and Monash University - Department of Econometrics & Business Statistics
Downloads 54 (807,008)

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Gross domestic product; generated factors; high dimensional data; industrial production; macroeconomic forecasting; panel data

110.

Productivity Convergence in Manufacturing: A Hierarchical Panel Data Approach

Number of pages: 58 Posted: 02 Nov 2021
Guohua Feng, Jiti Gao and Bin Peng
University of North Texas, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 52 (821,678)

Abstract:

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Growth Regressions, Convergence in Manufacturing, Cross-Sectional Dependence, Hierarchical Model, Asymptotic Theory

111.

Long-Range Dependent Time Series Specification

Number of pages: 37 Posted: 18 Sep 2010
Jiti Gao and Qiying Wang
Monash University - Department of Econometrics & Business Statistics and University of Sydney
Downloads 49 (844,788)
Citation 1

Abstract:

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Central limit theorem, Gaussian process, linear process, long-range dependence, parametric time series regression, specification testing

112.

Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia

Number of pages: 29 Posted: 11 Apr 2017
Xiaodong Gong and Jiti Gao
Australian National University (ANU) - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 47 (861,089)

Abstract:

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Deconvolution kernel estimator; Regression discontinuity; Error-in-variables; Demand for private health insurance

113.

Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia

IZA Discussion Paper No. 9265
Number of pages: 31 Posted: 04 Sep 2015 Last Revised: 18 Nov 2021
Xiaodong Gong and Jiti Gao
Australian National University (ANU) - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 47 (861,089)
Citation 3

Abstract:

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error-in-variables, regression discontinuity, de-convolution kernel estimator, demand for private health insurance

114.

Expansion of Lévy Process Functionals and its Application in Statistical Estimation

Number of pages: 89 Posted: 22 Mar 2012
Jiti Gao and Chaohua Dong
Monash University - Department of Econometrics & Business Statistics and Zhongnan University of Economics and Law
Downloads 47 (861,089)
Citation 1

Abstract:

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expansions, Lévy Process, Orthogonal Series, Statistical Estimation

115.

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 46 (869,401)

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

116.

Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice

Number of pages: 40 Posted: 08 Nov 2021
Chaohua Dong, Jiti Gao, Bin Peng and Yundong Tu
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and Peking University
Downloads 36 (961,504)

Abstract:

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Additive index model, robust estimation; stationary process, time trend, unit root process

117.

Panel Data Estimation and Inference: Homogeneity versus Heterogeneity

Number of pages: 71 Posted: 05 Feb 2025 Last Revised: 09 Mar 2025
Jiti Gao, Fei Liu, Bin Peng and Yayi Yan
Monash University - Department of Econometrics & Business Statistics, Nankai University - School of Finance, Monash University - Department of Econometrics and Business Statistics and Shanghai University of Finance and Economics
Downloads 33 (992,494)

Abstract:

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homogeneity, heterogeneity, weak and strong cross-sectional dependence, Gaussian approximation, (non)stationary panel JEL Classification: C12

118.

Inter-City Spillover and Intra-City Agglomeration Effects Among Local Labour Markets in China

Number of pages: 34 Posted: 29 May 2019
Xiaodong Gong, Jiti Gao and Xuan Liang
University of Canberra, Monash University - Department of Econometrics & Business Statistics and Australian National University (ANU), Research School of Finance, Actuarial Studies and Statistics
Downloads 33 (992,494)
Citation 1

Abstract:

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agglomeration economy, spill-over, spatial econometrics, fixed-effects

119.

Robust Estimation and Inference for High-Dimensional Panel Data Models

Number of pages: 75 Posted: 13 Feb 2025
Jiti Gao, Fei Liu, Bin Peng and Yayi Yan
Monash University - Department of Econometrics & Business Statistics, Nankai University - School of Finance, Monash University - Department of Econometrics and Business Statistics and Shanghai University of Finance and Economics
Downloads 24 (1,095,570)

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Asset Pricing, Concentration Inequality, Heavy-Tailed Distribution, High-Dimensional Long-Run Covariance Matrix JEL Classification: C14

120.

Predicting an Ice-free Arctic using a Nonlinear Endogenous Co-trending Regression Model

Number of pages: 38 Posted: 04 Feb 2025
Li Chen, Jiti Gao and Farshid Vahid
WISE and School of Economics, Xiamen University, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 16 (1,195,520)

Abstract:

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Arctic sea ice, Box-Cox transformation, climate change, icefree Arctic Q54, C22, C53

121.

Semi-Parametric Single-Index Predictive Regression Models with Cointegrated Regressors

Posted: 07 Nov 2020
Weilun Zhou, Jiti Gao, David Harris and Hsein Kew
Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of Melbourne - Department of Economics and Monash University - Department of Econometrics & Business Statistics

Abstract:

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Predictive Regressions; Nonlinearities; Single-Index Models; Hermite Orthogonal Series; Co-Integrated Predictors; Stock Return Predictability

122.

Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods

Journal of Financial Econometrics, Vol. 4, No. 2, pp. 310-345, 2006
Posted: 29 Feb 2008
Manuel Arapis and Jiti Gao
The University of Western Australia and Monash University - Department of Econometrics & Business Statistics

Abstract:

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diffusion process, drift function, kernel density estimation, stochastic volatility