900 Dandenong Road
Caulfield East, Victoria 3145
Monash University - Department of Econometrics & Business Statistics
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M-estimators, Monte Carlo Markov Chain methods, Nonparametric Regressions
Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients
Deterministic trends, local linear fitting, panel data, semiparametric estimation, single-index models
Fixed effects, local linear estimation, nonstationarity, panel data, specification testing, time-varying coefficient function
Semiparametric ACD model, Conditional durations, Simulations
Aggregate consumption, Asymptotic theory, Cointegration, Density, Local time, Nonlinear functional, Nonparametric estimation, Semiparametric, Time series, Varying coefficient model
Aggregate consumption, Asymptotic theory, cointegration, density, local time, nonlinear functional, nonparametric estimation, semiparametric, time series, varying coefficient model
Semiparametrics, Time Series, Curse of Dimensionality
Asymptotic distribution, Edgeworth expansion, estimation, nonlinear time series, power function, quadratic form, random walk, size function
Asymptotic normality, nonlinear time series, nonparametric model, nonstationarity
autoregressive conditional duration model, dependent point process, financial time series, hazard rate, high frequency data, semiparametric regression
Dependent point process, duration, hazard rate and random measure, irregularly
hyperparameter estimation; likelihood score; localized bandwidth
Dependent point process, duration, hazard rate and random measure, irregularly spaced high frequency data, semiparametric time series
Financial duration process; Nonnegative time series; Nonparametric kernel estimation; Semiparametric mixture model
Endogeneity, exogeneity, Nonstationarity, Partially linear model, Simultaneous equation, Stochastic detrending, Vector semiparametric regression
Bootstrap Method, Heterogeneous Autoregressive Model, Locally Stationary Process, Nonparametric Method
cross-sectional dependence, fixed effects, large panel, local linear fitting, penalty function, profile likelihood, semiparametric regression
Asymptotic distribution, local linear smoother, minimum average variance estimation, panel data, semiparametric estimation, single-index models
Cointegration, nonparametric kernel estimation, nonstationary time series, parametric model specification
Central limit theorem, Covariance stationary time series, Empirical spectral distribution, Independence test, Large dimensional sample covariance matrix, Linear spectral statistics
Independence test, cross--sectional dependence, empirical spectral distribution, characteristic function, Marcenko-Pastur Law
Asymptotic consistency, deterministic trend, model identifiability, time series
Categorical variable; estimation theory; nonlinear panel data model; returns to scale.
Asymptotic theory, departure function, kernel method, nonlinearity, nonstationarity, semiparametric model, stationarity, time series
Bootstrap, empirical likelihood, goodness-of-fit test, kernel estimation, least squares empirical likelihood, rate-optimal test
Closed-form estimate, cross-sectional dependence, nonlinear panel data model, semiparametric model
Cointegration, Hermite Functions, Return Predictability, Series Estimator, Unit Root
Asymptotic theory, Econometric estimation, Levy process, Nonstationary time series, Orthogonal series expansion.
autoregression, nonparametric unit-root test, nonstationary time series, specification testing
Null recurrent Markov chain, nonparametric estimation, rate of convergence, uniform consistency
fractional time series, fi
xed design non-parametric regression, non-stationary time series, unit root tests
Approximation theory, Black-Scholes theory, complete market, stochastic process, time series
Cointegration, endogeneity, nonparametric kernel estimation, parametric model specification, time series
Bayes factors, bandwidth, marginal likelihood, local linear estimator, random-walk Metropolis algorithm
Consumption-income model; Endogeneity; Integrated time series; Linear process; Orthogonal series estimation; Parametric specification
Beta-null recurrent; Cointegration; Markov chain; Threshold VAR model
Nonstationarity, orthogonal series expansion, single-index models, partially linear single-index models, dual convergence rates, a trio of convergence rates.
Cross-sectional dependence, nonlinear time trend, panel data, profile likelihood, semiparametric regression
Asymptotic normality, beta-null recurrent Markov chain, consistency, kernel estimator, partially linear model
asymptotic distribution, Edgeworth expansion, nonlinear time series, power function, quadratic form, size function, unit root
endogeneity, generalized partially linear single index model, CF approach, generated regressor
Cointegration; Functional coefficients; Kernel degeneracy; Nonparametric kernel smoothing; Random coordinate rotation; Super-consistency; Uniform convergence rates; Time varying coefficients
De-convolution kernel estimator; Regression discontinuity; Error-in-variables; Demand for private health insurance
expansions, Lévy Process, Orthogonal Series, Statistical Estimation
Central limit theorem, Gaussian process, linear process, long-range dependence, parametric time series regression, specification testing
Asymptotic theory; closed-form estimate; orthogonal series method; partially linear panel data model.
Central limit theorem; equivalence test; high dimensional correlation matrix; independence test; linear spectral statistics
consumption-income model, integrated time series, local-time process, orthogonal series estimation, parametric specification
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Cointegration; FM-kernel Estimation; Generalized Wald Test; Global Rotation; Kernel Degeneracy; Local Rotation; Super-Consistency; Time-Varying Coefficients
Cointegration, FM-kernel estimation, Generalized Wald test, Global rotation, Kernel degeneracy, Local rotation, Super-consistency, Time-varying coefficients
Characteristic function, cross--sectional independence, empirical spectral distribution, linear panel data models, Marcenko-Pastur Law.
File name: jtsa.
Break-point detection; Fixed T asymptotics; Method of moments; Unobserved heterpgeneity
Cointegration, endogeneity, Hermite functions, series estimator, unit root
de-convolution kernel estimator, regression discontinuity, error-in-variables, demand for private health insurance
File name: j-423X.
Fixed effects, Local linear estimation, Non‐stationarity, Panel data, Time‐varying coefficient function
Health care expenditure, Nonlinear trending function, Nonstationary time series
Global Mean Sea Level; Nonparametric Kernel Estimation; Nonstationarity
Cross-Sectional Dependence; Fama-French Model; Inference; Sieve Estimation
Deconvolution kernel estimator; Regression discontinuity; Error-in-variables; Demand for private health insurance
Cross-sectional dependence, factor model, large panel data model, recursive estimation
Health care expenditure, quantile regression, OECD countries, unbalanced growth
Asymptotic theory, closed-form estimate, cross-sectional model, Hermite orthogonal expansion, series method
Loss given default, Credit risk, Borrower characteristics, Nonlinear models, Local constant method
Clustering, Demand for private health insurance, Kernel smoothing, Local regression, Measurement errors; Price elasticity
Cross-sectional averages; dynamic factor model; joint estimation; marginal estimation; strong factor loading
Asymptotic normality, Largest eigenvalue, Linear process, Unit root test
Semiparametric Time-varying Coefficient Model; Technical Change and Productivity
Body Mass Index; Obesity; Varying-Coefficient; Variable Selection
File name: ECTJ.
Asymptotic distribution, Edgeworth expansion, Local power function, Nonlinear time series, Quadratic form, Size function, Specification testing, Unit root
diffusion process, drift function, kernel density estimation, stochastic volatility
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