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  • Search: isPartOf:"Monash Econometrics and Business Statistics Working Papers"
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Year of publication
Subject
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ECONOMETRICS 21 ECONOMIC MODELS 19 exponential smoothing 18 forecasting 15 Exponential smoothing 12 EVALUATION 11 STATISTICS 11 time series 11 Forecasting 10 TIME SERIES 10 state space models 10 econometrics 9 REGRESSION ANALYSIS 8 panel data 8 Identification 7 Markov Chain Monte Carlo 7 Markov chain Monte Carlo 7 Bayes factors 6 COINTEGRATION 5 Cointegration 5 Long memory 5 TESTS 5 value-at-risk 5 Asymptotic distribution 4 Asymptotic theory 4 Bootstrapping 4 Exponential Smoothing 4 Hypothesis tests 4 Reduced rank models 4 VARMA models 4 endogeneity 4 prediction intervals 4 semiparametric estimation 4 sieve bootstrap 4 single-index models 4 ARFIMA 3 ARIMA models 3 Australia 3 Autocorrelation 3 Autoregression 3
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Online availability
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Free 335
Type of publication
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Book / Working Paper 417
Language
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English 242 Undetermined 174 German 1
Author
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Gao, Jiti 44 Zhang, Xibin 26 Hyndman, Rob J 22 Hyndman, Rob J. 22 Martin, Gael M. 21 Athanasopoulos, George 19 King, Maxwell L. 18 Poskitt, D.S. 18 Snyder, Ralph D. 15 King, M.L. 14 Snyder, R.D. 14 Vahid, Farshid 14 Li, Degui 12 McLaren, Keith R. 12 Anderson, Heather M. 11 Dong, Chaohua 10 Forbes, C.S. 10 Forbes, Catherine S. 10 Hyndman, R.J. 10 Martin, G.M. 10 Harris, Mark N. 9 Shang, Han Lin 9 Inder, B. 8 Koehler, Anne B. 8 Matyas, L. 8 Ord, J. Keith 8 Poskitt, D. S. 8 Silvapulle, Param 8 Vahid, F. 8 Zhao, Xueyan 8 Galagedera, Don U.A. 7 Grose, Simone D. 7 Kofman, P. 7 Harris, M.N. 6 Koehler, A.B. 6 Beaumont, Adrian 5 Chen, Jia 5 Dumrongrittikul, Taya 5 Fry, T.R.L. 5 Green, Kesten C. 5
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Institution
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Department of Econometrics and Business Statistics, Monash Business School 417
Published in...
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Monash Econometrics and Business Statistics Working Papers 417
Source
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RePEc 417
Showing 201 - 210 of 417
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Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
Poskitt, D. S. - Department of Econometrics and Business Statistics, … - 2006
In this paper we will investigate the consequences of applying the sieve bootstrap under regularity conditions that are sufficiently general to encompass both fractionally integrated and non-invertible processes. The sieve bootstrap is obtained by approximating the data generating process by an...
Persistent link: https://www.econbiz.de/10005149091
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Is systematic downside beta risk really priced? Evidence in emerging market data
Galagedera, Don U.A.; Brooks, Robert D. - Department of Econometrics and Business Statistics, … - 2005
Several studies advocating safety first as a major concern to investors propose downside beta risk as an alternative to the traditional systematic risk-beta. Downside measures are concerned with a subset of the data and therefore the results in the studies that consider the downside beta only...
Persistent link: https://www.econbiz.de/10005427612
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25 Years of IIF Time Series Forecasting: A Selective Review
Gooijer, Jan G. De; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2005
We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...
Persistent link: https://www.econbiz.de/10005427625
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Time Series Forecasting: The Case for the Single Source of Error State Space
Ord, J Keith; Snyder, Ralph D; Koehler, Anne B; … - Department of Econometrics and Business Statistics, … - 2005
The state space approach to modelling univariate time series is now widely used both in theory and in applications. However, the very richness of the framework means that quite different model formulations are possible, even when they purport to describe the same phenomena. In this paper, we...
Persistent link: https://www.econbiz.de/10005427626
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Determinants of Sovereign Ratings: A Comparison of Case-Based Reasoning and Ordered Probit Approaches
Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Yip, … - Department of Econometrics and Business Statistics, … - 2005
The paper compares two alternative techniques for the modelling of the determinants of sovereign ratings, specifically, ordered probit and case-based reasoning. Despite the differences in approach the two alternative modelling approaches produce similar results in terms of which variables are...
Persistent link: https://www.econbiz.de/10005427628
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Another Look at Measures of Forecast Accuracy
Hyndman, Rob J.; Koehler, Anne B. - Department of Econometrics and Business Statistics, … - 2005
We discuss and compare measures of accuracy of univariate time series forecasts. The methods used in the M-competition and the M3-competition, and many of the measures recommended by previous authors on this topic, are found to be inadequate, and many of them are degenerate in commonly occurring...
Persistent link: https://www.econbiz.de/10005427631
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On the Bimodality of the Exact Distribution of the TSLS Estimator
Forchini, Giovanni - Department of Econometrics and Business Statistics, … - 2005
Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions...
Persistent link: https://www.econbiz.de/10005427636
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Small Concentration Asymptotics and Instrumental Variables Inference
Poskitt, D. S.; Skeels, C. L. - Department of Econometrics and Business Statistics, … - 2005
Poskitt and Skeels (2003) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. A basic purpose of this paper is to provide...
Persistent link: https://www.econbiz.de/10005427639
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Parameter Estimation in Semi-Linear Models Using a Maximal Invariant Likelihood Function
Bhowmik, Jahar L.; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2005
In this paper, we consider the problem of estimation of semi-linear regression models. Using invariance arguments, Bhowmik and King (2001) have derived the probability density functions of the maximal invariant statistic for the nonlinear component of these models. Using these density functions...
Persistent link: https://www.econbiz.de/10005087596
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Autoregressive Approximation in Nonstandard Situations: The Non-Invertible and Fractionally Integrated Cases.
Poskitt, D. S. - Department of Econometrics and Business Statistics, … - 2005
Autoregressive models are commonly employed to analyze empirical time series. In practice, however, any autoregressive model will only be an approximation to reality and in order to achieve a reasonable approximation and allow for full generality the order of the autoregression, h say, must be...
Persistent link: https://www.econbiz.de/10005087597
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