Jiti Gao

Monash University - Department of Econometrics & Business Statistics

Professor Jiti Gao

900 Dandenong Road

Caulfield East, Victoria 3145

Australia

http://www.jitigao.com

SCHOLARLY PAPERS

110

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95

CROSSREF CITATIONS

74

Scholarly Papers (110)

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 259 (167,905)
Citation 3

Abstract:

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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 York - Department of Economics and Related Studies, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 196 (218,383)
Citation 4

Abstract:

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

3.

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 162 (257,160)
Citation 3

Abstract:

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

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
University of Southern Denmark, 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 159 (262,507)
Citation 2

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

Estimating Smooth Structural Change in Cointegration Models

Number of pages: 42 Posted: 19 Sep 2013
University of Auckland Business School, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 118 (330,050)
Citation 3

Abstract:

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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
University of Auckland Business School, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 40 (593,628)
Citation 9

Abstract:

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

6.

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, BI Norwegian Business School, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 154 (267,914)

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

7.

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, Monash University - Department of Econometrics and Business Statistics and University of Exeter Business School - Department of Economics
Downloads 141 (287,483)
Citation 3

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

8.

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 131 (304,315)
Citation 3

Abstract:

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Health care expenditure, Nonlinear trending function, Nonstationary time series

9.

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 128 (309,661)
Citation 3

Abstract:

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

10.

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 115 (334,493)
Citation 2

Abstract:

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

11.

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 113 (338,613)
Citation 3

Abstract:

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Asymptotic normality, nonlinear time series, nonparametric model, nonstationarity

12.

Nonparametric Estimation in Panel Data Models with Heterogeneity and Time-Varyingness

Number of pages: 65 Posted: 04 Aug 2018 Last Revised: 05 Sep 2019
Fei Liu, Jiti Gao and Yanrong Yang
Nankai University - School of Finance, Monash University - Department of Econometrics & Business Statistics and The Australian National University
Downloads 112 (340,718)

Abstract:

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Time-varying panel data; heterogeneity in coefficients; cross-sectional dependence

13.
Downloads 111 (342,817)
Citation 7

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 61 (493,493)
Citation 7

Abstract:

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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 50 (541,718)
Citation 1

Abstract:

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

14.

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 106 (353,738)
Citation 7

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

15.

Semiparametric Single-Index Predictive Regression

Number of pages: 60 Posted: 04 Aug 2018 Last Revised: 04 Sep 2019
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 105 (355,922)

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

16.

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 School of Mathematics and Statistics, The University of Sydney
Downloads 95 (379,664)

Abstract:

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17.

Nonparametric Time-Varying Vector Moving Average (infinity) Models

Number of pages: 59 Posted: 23 Jan 2021
Yayi Yan, Jiti Gao and Bin Peng
Department of Econometrics and Business Statistics, Monash University, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 93 (384,762)

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

18.

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 93 (384,762)

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

19.

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 93 (384,762)
Citation 8

Abstract:

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

20.

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 School of Mathematics and Statistics, The University of Sydney
Downloads 93 (384,762)

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Semiparametric ACD model, Conditional durations, Simulations

21.

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 91 (390,027)
Citation 3

Abstract:

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

22.

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 89 (395,463)

Abstract:

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

23.

Spiked Eigenvalues of High-Dimensional Separable Sample Covariance Matrices

Number of pages: 40 Posted: 17 Dec 2019
Monash University, Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU) and The Australian National University
Downloads 89 (395,463)

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

24.

High Dimensional Semiparametric Moment Restriction Models

Number of pages: 74 Posted: 02 Oct 2017 Last Revised: 24 Nov 2018
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and University of Cambridge
Downloads 89 (395,463)

Abstract:

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high dimensional models, overidentification, sieve method

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 88 (398,228)

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

26.

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 Department of Econometrics and Business Statistics, Monash University
Downloads 87 (400,974)

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

27.

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 83 (412,342)

Abstract:

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

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
Monash University - Department of Econometrics and Business Statistics, Zhongnan University of Economics and Law and Monash University - Department of Econometrics & Business Statistics
Downloads 83 (412,342)
Citation 9

Abstract:

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

29.

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 77 (430,674)
Citation 1

Abstract:

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

30.

Local Logit Regression for Recovery Rate

Number of pages: 42 Posted: 16 Oct 2017 Last Revised: 17 Oct 2017
Monash Business School, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 76 (433,760)

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

31.

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) - Business School, Monash University - Department of Econometrics & Business Statistics and South China Normal University - College of Economics & Management
Downloads 74 (440,117)
Citation 1

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

32.

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 73 (443,370)

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

33.

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 72 (446,671)
Citation 1

Abstract:

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

34.

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 72 (446,671)

Abstract:

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Semiparametrics, Time Series, Curse of Dimensionality

35.

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 72 (446,671)
Citation 7

Abstract:

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

36.

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 71 (450,013)
Citation 1

Abstract:

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hyperparameter estimation; likelihood score; localized bandwidth

37.

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 71 (450,013)

Abstract:

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

38.

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 68 (460,343)
Citation 8

Abstract:

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

39.

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
University of York, University of Auckland Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 66 (467,498)
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

40.

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
Department of Econometrics and Business Statistics, Monash University, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 65 (471,136)

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

41.

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
Monash Business School, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University
Downloads 65 (471,136)

Abstract:

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

42.

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 62 (482,460)
Citation 1

Abstract:

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Elasticity, Energy policy, Panel data analysis

43.

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 School of Mathematics and Statistics, The University of Sydney
Downloads 62 (482,460)
Citation 1

Abstract:

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

44.

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 60 (490,195)

Abstract:

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

45.

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 57 (502,014)
Citation 2

Abstract:

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

46.

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 57 (502,014)
Citation 3

Abstract:

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

47.

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 57 (502,014)
Citation 7

Abstract:

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

48.

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
Monash University - Department of Economics, Monash University, Monash University and Monash University - Department of Econometrics & Business Statistics
Downloads 56 (506,119)

Abstract:

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

49.

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 56 (506,119)
Citation 2

Abstract:

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

50.

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 55 (510,274)
Citation 1

Abstract:

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

51.

Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Number of pages: 85 Posted: 19 Feb 2014 Last Revised: 19 Jul 2016
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 55 (510,274)
Citation 1

Abstract:

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

52.

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 55 (510,274)
Citation 1

Abstract:

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

53.

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 54 (514,500)
Citation 6

Abstract:

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

54.

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 53 (518,884)

Abstract:

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

55.

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 52 (523,248)
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

56.

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 School of Mathematics and Statistics, The University of Sydney
Downloads 52 (523,248)

Abstract:

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

57.

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 51 (527,623)

Abstract:

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Global Mean Sea Level; Nonparametric Kernel Estimation; Nonstationarity

58.

A Simple Bootstrap Method for Panel Data Inferences

Number of pages: 67 Posted: 05 May 2022 Last Revised: 10 Jun 2022
Jiti Gao, Bin Peng and Yayi Yan
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics and Business Statistics and Department of Econometrics and Business Statistics, Monash University
Downloads 50 (532,175)

Abstract:

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Cross-Sectional Dependence, Edgeworth Expansion, Panel Data Bootstrap, Time Series Autocorrelation

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 50 (532,175)
Citation 2

Abstract:

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

60.

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 49 (536,648)
Citation 1

Abstract:

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

61.

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 49 (536,648)

Abstract:

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Asymptotic consistency, deterministic trend, model identifiability, time series

62.

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 48 (541,233)
Citation 5

Abstract:

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63.

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, Monash University - Department of Econometrics and Business Statistics, University of Pittsburgh - Department of Statistics and University of Exeter Business School - Department of Economics
Downloads 46 (550,722)

Abstract:

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

64.

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 46 (550,722)
Citation 1

Abstract:

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

65.

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 45 (555,577)
Citation 1

Abstract:

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

66.

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 Department of Econometrics and Business Statistics, Monash University
Downloads 43 (565,528)

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

67.

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 42 (570,677)

Abstract:

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

68.

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 41 (575,867)

Abstract:

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

69.

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 41 (575,867)
Citation 1

Abstract:

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

70.

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 41 (575,867)

Abstract:

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

71.

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 40 (581,041)
Citation 3

Abstract:

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

72.

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 39 (586,349)
Citation 1

Abstract:

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

73.

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 39 (586,349)
Citation 1

Abstract:

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

74.

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 38 (591,698)

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Semiparametric Time-varying Coefficient Model; Technical Change and Productivity

75.

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 38 (591,698)
Citation 4

Abstract:

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

76.

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 38 (591,698)
Citation 7

Abstract:

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

77.

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 37 (597,314)
Citation 2

Abstract:

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

78.

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 37 (597,314)
Citation 1

Abstract:

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

79.

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 36 (602,988)

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

80.

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 36 (602,988)
Citation 1

Abstract:

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

81.

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 35 (608,711)
Citation 3

Abstract:

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

82.

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 Department of Econometrics and Business Statistics, Monash University
Downloads 34 (614,577)

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

83.

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 34 (614,577)

Abstract:

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

84.

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 Department of Econometrics and Business Statistics, Monash University
Downloads 34 (614,577)
Citation 1

Abstract:

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

85.

GMM Estimation for High–Dimensional Panel Data Models

Number of pages: 58 Posted: 13 May 2022 Last Revised: 07 Jul 2022
Nankai University, Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and University of Cambridge
Downloads 33 (620,564)

Abstract:

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

86.

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 33 (620,564)

Abstract:

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

87.

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, University of Auckland Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 33 (620,564)
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

88.

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 33 (620,564)

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

89.

Asymptotics for Time–Varying Vector Ma(∞) Process

Number of pages: 56 Posted: 11 Mar 2022
Yayi Yan, Jiti Gao and Bin Peng
Department of Econometrics and Business Statistics, Monash University, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics and Business Statistics
Downloads 30 (639,496)

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

90.

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

Number of pages: 33 Posted: 03 Jun 2020
Monash University, Monash University - Department of Econometrics & Business Statistics, Monash University and Monash University - Department of Econometrics & Business Statistics
Downloads 29 (645,996)

Abstract:

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Bootstrap; generated factors; panel data; prediction interval

91.

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 28 (652,710)

Abstract:

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

92.

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 28 (652,710)
Citation 2

Abstract:

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

93.

Extent Pursuit for Cross-Sectional Dependence in Large Panels

Number of pages: 47 Posted: 13 May 2019
Monash University - Department of Econometrics & Business Statistics, Nanyang Technological University (NTU), The Australian National University and Monash University
Downloads 27 (659,772)

Abstract:

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

94.

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 27 (659,772)

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

95.

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 27 (659,772)
Citation 1

Abstract:

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expansions, Lévy Process, Orthogonal Series, Statistical Estimation

96.

Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects

Number of pages: 47 Posted: 10 Aug 2022
Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, CyberAgent AI Lab and Seoul National University - School of Economics
Downloads 26 (667,041)

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Heterogenous policy effects, quantile regression, interactive fixed effects

97.

Time-Varying Panel Data Models with an Additive Factor Structure

Number of pages: 50 Posted: 07 Dec 2020 Last Revised: 03 Jan 2022
Fei Liu, Jiti Gao and Yanrong Yang
Nankai University - School of Finance, Monash University - Department of Econometrics & Business Statistics and The Australian National University
Downloads 25 (674,452)

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Additive factor model; nonparametric kernel estimation; profile marginal integration

98.

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 23 (689,727)
Citation 1

Abstract:

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

99.

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

Number of pages: 40 Posted: 08 Nov 2021
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 22 (697,652)

Abstract:

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

100.

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

Number of pages: 68 Posted: 19 Apr 2021
Monash University, Monash University - Department of Econometrics & Business Statistics, Monash University and Monash University - Department of Econometrics & Business Statistics
Downloads 21 (705,360)

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

101.

Semiparametric Single-Index Estimation for Average Treatment Effects

Number of pages: 67 Posted: 28 Jun 2022 Last Revised: 03 Jul 2022
Difang Huang, Jiti Gao and Tatsushi Oka
Monash University, Monash University - Department of Econometrics & Business Statistics and CyberAgent AI Lab
Downloads 20 (713,418)

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

102.

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 20 (713,418)

Abstract:

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

103.

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 19 (721,605)

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

104.

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 16 (746,975)
Citation 1

Abstract:

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

105.

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

Number of pages: 32 Posted: 25 Jul 2022
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 14 (765,256)

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

106.

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 11 (794,097)

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

107.

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 9 (814,313)
Citation 1

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

108.

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 8 (824,871)

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109.

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

Posted: 07 Nov 2020
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

110.

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

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