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

90

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CITATIONS
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Top 8,144

in Total Papers Citations

98

Scholarly Papers (90)

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 230 (131,980)
Citation 1

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 171 (173,823)
Citation 2

Abstract:

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

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 109 (249,588)
Citation 2

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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
Yale University - Cowles Foundation, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 35 (452,593)
Citation 2

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

4.

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 130 (218,014)

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

5.

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 127 (221,906)

Abstract:

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

6.

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 Bath - Department of Economics and University of Exeter Business School - Department of Economics
Downloads 124 (226,014)

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

7.

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 93 (276,263)

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

8.
Downloads 91 (280,049)
Citation 2

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 52 (385,602)
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

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 39 (434,979)
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

9.

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 90 (282,008)
Citation 1

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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 89 (284,005)

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

11.

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 88 (286,024)

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Semiparametric ACD model, Conditional durations, Simulations

12.

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 87 (288,118)
Citation 2

Abstract:

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Asymptotic normality, nonlinear time series, nonparametric model, nonstationarity

13.

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 72 (322,201)

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

14.

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 72 (322,201)

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Health care expenditure, Nonlinear trending function, Nonstationary time series

15.

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
Southwestern University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and University of Bath - Department of Economics
Downloads 72 (322,201)
Citation 2

Abstract:

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

16.

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 Bath - Department of Economics, Southwestern University of Finance and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 72 (322,201)

Abstract:

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

17.

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 69 (329,890)

Abstract:

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

18.

Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review

Number of pages: 39 Posted: 25 Nov 2012 Last Revised: 02 Feb 2014
Patrick Saart, Jiti Gao and Nam Hyun Kim
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of Konstanz
Downloads 68 (332,525)

Abstract:

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Semiparametrics, Time Series, Curse of Dimensionality

19.

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 64 (343,229)

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

20.

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 61 (351,654)

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hyperparameter estimation; likelihood score; localized bandwidth

21.

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 57 (363,552)
Citation 4

Abstract:

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

22.

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 56 (366,666)

Abstract:

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

23.

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 56 (366,666)
Citation 1

Abstract:

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

24.

Econometric Time Series Specification Testing in a Class of Multiplicative Error Models

Number of pages: 43 Posted: 14 Jan 2014 Last Revised: 02 Feb 2014
Patrick Saart, Jiti Gao and Nam Hyun Kim
University of Canterbury, Monash University - Department of Econometrics & Business Statistics and University of Konstanz
Downloads 54 (372,997)

Abstract:

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

25.

An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models

Number of pages: 41 Posted: 16 Aug 2012
Patrick Saart and Jiti Gao
University of Canterbury and Monash University - Department of Econometrics & Business Statistics
Downloads 53 (376,140)
Citation 2

Abstract:

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

26.

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 52 (379,356)
Citation 3

Abstract:

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

27.

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
Southwestern University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and University of Bergen - Faculty of Mathematics and Natural Sciences
Downloads 52 (379,356)
Citation 2

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.

28.

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 52 (379,356)

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

29.

Semiparametric Single-Index Predictive Regression

Number of pages: 37 Posted: 04 Aug 2018
Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and University of Melbourne - Department of Economics
Downloads 51 (382,653)

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

30.

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 50 (385,960)

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

31.

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 50 (385,960)
Citation 1

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

32.

Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Number of pages: 85 Posted: 19 Feb 2014 Last Revised: 19 Jul 2016
Southwestern University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics, University of Bergen - Faculty of Mathematics and Natural Sciences and University of Adelaide
Downloads 50 (385,960)

Abstract:

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

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Number of pages: 60 Posted: 25 Jul 2017 Last Revised: 24 Aug 2017
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 26 (499,083)

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Cointegration; FM-kernel Estimation; Generalized Wald Test; Global Rotation; Kernel Degeneracy; Local Rotation; Super-Consistency; Time-Varying Coefficients

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: 16 Mar 2018
University of York, Yale University - Cowles Foundation and Monash University - Department of Econometrics & Business Statistics
Downloads 22 (523,826)

Abstract:

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

34.

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) - Sun Yat-sen Business School, Monash University - Department of Econometrics & Business Statistics and South China Normal University - College of Economics & Management
Downloads 48 (392,851)

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

35.

Specification Testing in Structural Nonparametric Cointegration

Number of pages: 65 Posted: 16 Jan 2014
Chaohua Dong and Jiti Gao
Southwestern University of Finance and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 48 (392,851)
Citation 3

Abstract:

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

36.

Nonparametric Time--Varying Panel Data Models with Heterogeneity

Number of pages: 46 Posted: 04 Aug 2018
Fei Liu, Jiti Gao and Yanrong Yang
Monash Business School, Monash University - Department of Econometrics & Business Statistics and Research School of Actuarial Studies, Finance and Statistics
Downloads 46 (399,781)

Abstract:

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

37.

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 46 (399,781)

Abstract:

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

38.

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 46 (399,781)

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

39.

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 45 (403,300)

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

40.

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 45 (403,300)

Abstract:

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

41.

High Dimensional Semiparametric Moment Restriction Models

Number of pages: 74 Posted: 02 Oct 2017 Last Revised: 24 Nov 2018
Southwestern University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and University of Cambridge
Downloads 43 (410,581)

Abstract:

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high dimensional models, overidentification, sieve method

42.

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 42 (414,260)
Citation 3

Abstract:

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

43.

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 42 (414,260)

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

44.

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 40 (421,875)

Abstract:

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Asymptotic consistency, deterministic trend, model identifiability, time series

45.

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 University of Bath - Department of Economics
Downloads 39 (425,830)

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Global Mean Sea Level; Nonparametric Kernel Estimation; Nonstationarity

46.

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 38 (429,970)

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

47.

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 Bath - Department of Economics, University of Pittsburgh - Department of Statistics and University of Exeter Business School - Department of Economics
Downloads 38 (429,970)

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

48.

Orthogonal Expansion of Levy Process Functionals: Theory and Practice

Number of pages: 92 Posted: 02 Feb 2013
Chaohua Dong and Jiti Gao
Southwestern University of Finance and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 38 (429,970)
Citation 1

Abstract:

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

49.

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 38 (429,970)
Citation 1

Abstract:

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

50.

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 37 (434,035)
Citation 1

Abstract:

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51.

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
Southwestern University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and University of Bath - Department of Economics
Downloads 36 (438,077)
Citation 2

Abstract:

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

52.

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 36 (438,077)

Abstract:

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

53.

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 36 (438,077)
Citation 1

Abstract:

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

54.

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 35 (442,256)

Abstract:

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

55.

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 35 (442,256)

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Semiparametric Time-varying Coefficient Model; Technical Change and Productivity

56.

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 35 (442,256)
Citation 3

Abstract:

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

57.

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 34 (446,408)

Abstract:

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

58.

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 33 (450,730)

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

59.

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 32 (455,198)

Abstract:

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

60.

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 31 (459,856)

Abstract:

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

61.

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 30 (464,618)
Citation 5

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

62.

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
Southwestern University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and University of Bath - Department of Economics
Downloads 29 (469,379)

Abstract:

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

63.

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 29 (469,379)
Citation 1

Abstract:

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

64.

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 Southwestern University of Finance and Economics
Downloads 29 (469,379)

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

65.

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 28 (474,379)

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

66.

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
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Citation 3

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

67.

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 27 (479,515)

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

68.

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, Southwestern University of Finance and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 26 (484,824)

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

69.

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

70.

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
Southwestern University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and University of Bath - Department of Economics
Downloads 25 (490,292)

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

71.

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 24 (495,861)

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

72.

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 Nankai University
Downloads 21 (512,982)

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

73.

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 Southwestern University of Finance and Economics
Downloads 21 (512,982)

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

74.

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

Number of pages: 46 Posted: 30 Oct 2018 Last Revised: 23 Nov 2018
Isabel Casas, Jiti Gao and Shangyu Xie
University of Southern Denmark, Monash University - Department of Econometrics & Business Statistics and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 20 (518,734)

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

75.

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 Southwestern University of Finance and Economics
Downloads 20 (518,734)

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expansions, Lévy Process, Orthogonal Series, Statistical Estimation

76.

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 19 (524,609)
Citation 1

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

77.

An Integrated Panel Data Approach to Modelling Economic Growth

Number of pages: 70 Posted: 14 Apr 2019
Guohua Feng, Jiti Gao and Bin Peng
University of North Texas, Monash University - Department of Econometrics & Business Statistics and University of Bath - Department of Economics
Downloads 17 (536,240)

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

78.

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 16 (541,988)

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

79.

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 14 (553,952)

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

80.

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 Nankai University
Downloads 14 (553,952)

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

81.

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 13 (559,853)

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

82.

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), Research School of Actuarial Studies, Finance and Statistics and Monash University
Downloads 9 (584,819)

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

83.

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 (591,146)
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84.

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

Number of pages: 44 Posted: 12 May 2018
Jiti Gao, Nam Hyun Kim and Patrick Saart
Monash University - Department of Econometrics & Business Statistics, University of Konstanz and University of Canterbury
Downloads 7 (597,582)

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

85.

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 6 (604,156)

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

86.

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 (625,684)
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87.

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 1 (648,213)

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

88.

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 (648,213)
Citation 2
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Fixed effects, Local linear estimation, Non‐stationarity, Panel data, Time‐varying coefficient function

89.

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

90.

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