Jiti Gao

Monash University - Department of Econometrics & Business Statistics

Professor Jiti Gao

900 Dandenong Road

Caulfield East, Victoria 3145

Australia

http://www.jitigao.com

View CV
SCHOLARLY PAPERS

68

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CITATIONS
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68

Scholarly Papers (68)

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 126 (125,102)

Abstract:

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

Estimating Smooth Structural Change in Cointegration Models

Number of pages: 42 Posted: 19 Sep 2013
Yale University - Cowles Foundation, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 88 (232,002)
Citation 1

Abstract:

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
Yale University - Cowles Foundation, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 30 (391,963)
Citation 1

Abstract:

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

3.

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 York - Department of Economics and Related Studies, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 85 (192,717)

Abstract:

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

4.

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 85 (199,188)
Citation 2

Abstract:

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

5.

The Third Generation ACD Model: A Semiparametric Approach

Number of pages: 39 Posted: 23 Jul 2008
University of Western Australia, Monash University - Department of Econometrics & Business Statistics and University of South Australia
Downloads 82 (238,717)

Abstract:

Semiparametric ACD model, Conditional durations, Simulations

6.

Semiparametric Autoregressive Conditional Duration Model: Theory and Practice

Number of pages: 50 Posted: 17 Jul 2012 Last Revised: 26 Sep 2012
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of South Australia
Downloads 74 (233,525)
Citation 2

Abstract:

7.
Downloads 61 (286,271)
Citation 1

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 Yale University - Cowles Foundation
Downloads 43 (342,011)
Citation 1

Abstract:

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 Yale University - Cowles Foundation
Downloads 18 (450,577)
Citation 1

Abstract:

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

8.

Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review

Number of pages: 39 Posted: 25 Nov 2012 Last Revised: 02 Feb 2014
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of Konstanz
Downloads 56 (279,213)

Abstract:

Semiparametrics, Time Series, Curse of Dimensionality

9.

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 56 (288,609)

Abstract:

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

10.

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 55 (272,421)
Citation 1

Abstract:

Asymptotic normality, nonlinear time series, nonparametric model, nonstationarity

11.

An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models

Number of pages: 41 Posted: 16 Aug 2012
Patrick W. Saart and Jiti Gao
University of Canterbury and Monash University - Department of Econometrics & Business Statistics
Downloads 46 (309,222)
Citation 1

Abstract:

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

12.

Semiparametric Autoregressive Conditional Duration Model: Theory and Practice

Number of pages: 50 Posted: 05 Sep 2012 Last Revised: 06 Sep 2012
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of South Australia
Downloads 41 (314,808)
Citation 2

Abstract:

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

13.

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 39 (314,808)

Abstract:

hyperparameter estimation; likelihood score; localized bandwidth

14.

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

Number of pages: 60 Posted: 18 Sep 2010
Monash University - Department of Econometrics & Business Statistics, University of Western Australia and University of South Australia
Downloads 39 (335,621)

Abstract:

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

15.

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
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of Konstanz
Downloads 38 (314,808)

Abstract:

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

16.

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 Yale University - Cowles Foundation
Downloads 38 (338,751)

Abstract:

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

17.

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

Number of pages: 55 Posted: 04 Sep 2013
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 37 (265,985)

Abstract:

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

18.

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 York - Department of Economics and Related Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 36 (309,222)

Abstract:

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

19.

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 36 (341,949)
Citation 1

Abstract:

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

20.

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 32 (345,156)
Citation 2

Abstract:

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

21.

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 31 (345,156)

Abstract:

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

22.

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 29 (348,491)

Abstract:

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

23.

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 29 (358,909)
Citation 25

Abstract:

Asymptotic consistency, deterministic trend, model identifiability, time series

24.

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 29 (369,961)

Abstract:

25.

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
University of North Texas, Monash University - Department of Econometrics & Business Statistics, University of Technology, Sydney and Murdoch University
Downloads 28 (226,999)

Abstract:

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

26.

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 27 (373,747)
Citation 1

Abstract:

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

27.

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 27 (373,747)

Abstract:

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

28.

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
University of Technology, Sydney, Monash University - Department of Econometrics and Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 26 (306,483)

Abstract:

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

29.

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 26 (373,747)

Abstract:

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

30.

Orthogonal Expansion of Levy Process Functionals: Theory and Practice

Number of pages: 92 Posted: 02 Feb 2013
Chaohua Dong and Jiti Gao
Monash University - Department of Econometrics and Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 24 (366,235)

Abstract:

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

31.

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 24 (369,961)
Citation 1

Abstract:

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

32.

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 23 (399,909)
Citation 4

Abstract:

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

33.

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 22 (386,168)

Abstract:

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

34.

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 Monash University - Department of Econometrics and Business Statistics
Downloads 22 (395,313)

Abstract:

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

35.

Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Number of pages: 85 Posted: 19 Feb 2014 Last Revised: 19 Jul 2016
Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of Bergen - Faculty of Mathematics and Natural Sciences and University of Adelaide
Downloads 21 (366,235)

Abstract:

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

36.

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 21 (362,499)
Citation 2

Abstract:

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

37.

Specification Testing in Structural Nonparametric Cointegration

Number of pages: 65 Posted: 16 Jan 2014
Chaohua Dong and Jiti Gao
Monash University - Department of Econometrics and Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 20 (358,909)

Abstract:

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

38.

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 19 (358,909)

Abstract:

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

39.

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
Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics and University of Bergen - Faculty of Mathematics and Natural Sciences
Downloads 19 (348,491)

Abstract:

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

40.

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 19 (404,697)
Citation 3

Abstract:

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

41.

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 17 (414,587)
Citation 3

Abstract:

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

42.

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 16 (414,587)

Abstract:

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

43.

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
University of Konstanz, University of Canterbury and Monash University - Department of Econometrics & Business Statistics
Downloads 16 (419,628)

Abstract:

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

44.

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
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 15 (419,628)

Abstract:

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

45.

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 14 (404,697)

Abstract:

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

46.

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 Monash University - Department of Econometrics and Business Statistics
Downloads 14 (434,901)

Abstract:

expansions, Lévy Process, Orthogonal Series, Statistical Estimation

47.

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 13 (445,047)

Abstract:

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

48.

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
Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics and University of Technology, Sydney
Downloads 12 (326,485)

Abstract:

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

49.

High Dimensional Correlation Matrices: CLT and Its Applications

Number of pages: 55 Posted: 10 Nov 2014
Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU), Nanyang Technological University (NTU) and Monash University - Department of Econometrics & Business Statistics
Downloads 11 (373,747)

Abstract:

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

50.

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 affiliation not provided to SSRN
Downloads 11 (455,272)

Abstract:

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

51.

Semiparametric Estimation and Testing of the Trend of Temperature Series

Econometrics Journal, Vol. 9, No. 2, pp. 332-355, July 2006
Number of pages: 24 Posted: 03 Jul 2006
Jiti Gao and Kim Hawthorne
Monash University - Department of Econometrics & Business Statistics and Government of the Commonwealth of Australia - Australian Bureau of Statistics
Downloads 8 (485,454)
Citation 8

Abstract:

52.

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

Number of pages: 44 Posted: 25 Sep 2015
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 4 (419,628)

Abstract:

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

53.

Local Linear M-Estimation in Non-Parametric Spatial Regression

Journal of Time Series Analysis, Vol. 30, Issue 3, pp. 286-314, May 2009
Number of pages: 29 Posted: 27 Apr 2009
Zhengyan Lin, Degui Li and Jiti Gao
Zhejiang University, University of Adelaide - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 3 (508,133)

Abstract:

54.

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, Monash University - Department of Econometrics and Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 1 (455,272)

Abstract:

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

55.

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

Number of pages: 31 Posted: 25 Sep 2015
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 1 (208,844)

Abstract:

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

56.

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
Xiaodong Gong and Jiti Gao
Australian National University (ANU) - School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 1 (490,168)

Abstract:

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

57.

Non‐Parametric Time‐Varying Coefficient Panel Data Models with Fixed Effects

The Econometrics Journal, Vol. 14, Issue 3, pp. 387-408, 2011
Number of pages: 22 Posted: 26 Oct 2011
Degui Li, Jia Chen and Jiti Gao
University of Adelaide - School of Economics, University of York - Department of Economics and Related Studies and Monash University - Department of Econometrics & Business Statistics
Downloads 1 (521,734)
Citation 4

Abstract:

Fixed effects, Local linear estimation, Non‐stationarity, Panel data, Time‐varying coefficient function

58.

Recursive Estimation in Large Panel Data Models: Theory and Practice

Number of pages: 41 Posted: 13 Feb 2017
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 0 (521,734)

Abstract:

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

59.

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
Zhongshan University - School of Business, Monash University - Department of Econometrics & Business Statistics and South China Normal University - College of Economics & Management
Downloads 0 (450,104)

Abstract:

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

60.

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
Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics and University of Technology, Sydney
Downloads 0 (490,168)

Abstract:

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

61.

Non- and Semi-Parametric Quantile Models for Recovery Rate

Number of pages: 42 Posted: 22 Aug 2016 Last Revised: 24 Aug 2016
Monash Business School, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 0 (434,901)

Abstract:

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

62.

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 0 (485,454)

Abstract:

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

63.

Error-in-Variables Jump Regression Using Local Clustering

Number of pages: 49 Posted: 20 Jul 2016
Department of Biostatistics, Australian National University (ANU) - School of Economics, Monash University - Department of Econometrics & Business Statistics and Department of Biostatistics
Downloads 0 (475,578)

Abstract:

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

64.

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 0 (445,047)

Abstract:

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

65.

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 Murdoch University
Downloads 0 (424,790)

Abstract:

Semiparametric Time-varying Coefficient Model; Technical Change and Productivity

66.

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

Number of pages: 43 Posted: 11 Oct 2015
Monash University - Department of Econometrics & Business Statistics, University of Technology, Sydney, University of Pittsburgh - Department of Statistics and Murdoch University
Downloads 0 (424,790)

Abstract:

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

67.

Specification Testing in Nonstationary Time Series Models

The Econometrics Journal, Vol. 18, Issue 1, pp. 117-136, 2015
Number of pages: 20 Posted: 31 Mar 2015
Jia Chen, Jiti Gao, Degui Li and Zhengyan Lin
University of York - Department of Economics and Related Studies, Monash University - Department of Econometrics & Business Statistics, University of York and Zhejiang University
Downloads 0 (531,768)
Citation 4

Abstract:

Asymptotic distribution, Edgeworth expansion, Local power function, Nonlinear time series, Quadratic form, Size function, Specification testing, Unit root

68.

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
University of Western Australia and Monash University - Department of Econometrics & Business Statistics

Abstract:

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