← All authors D. S. Poskitt Monash University (from arXiv:2410.01159, 2024) · OpenAlex
66 papers in scope · 64 published · 3 on the econ.EM arXiv · 1,765 citations · h-index 24 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Otávio Bartalotti Vítor Possebom Yingying Dong Désiré Kédagni Sungwon Lee Phillip Heiler Aico van Vuuren Brantly Callaway Francis Vella Xueyan Zhao Xiaolin Sun Sukjin Han Francesca Molinari Gayani Ishara Rathnayake Flavio Riva Iván Fernández-Val Akanksha Negi Santiago Acerenza Javier Viviens Asbjørn Kaufmann Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 66)
published 2025 · Econometric Reviews · 1 citations · first circulated 2020
working paper 2024 · arXiv
working paper 2024 · arXiv
Bootstrapping non‐stationary and irregular time series using singular spectral analysis
published 2024 · Journal of Time Series Analysis
Bayesian estimation for a semiparametric nonlinear volatility model
published 2020 · Economic Modelling · 7 citations
with Shuowen Hu, Xibin Zhang
Optimal bias correction of the log-periodogram estimator of the fractional parameter: A jackknife approach
published 2020 · Journal of Statistical Planning and Inference · 6 citations · first circulated 2019
Issues in the estimation of mis-specified models of fractionally integrated processes
published 2019 · Journal of Econometrics · 1 citations · first circulated 2014
The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification
published 2018 · Journal of Econometrics · 72 citations
Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
published 2018 · Journal of Computational and Graphical Statistics · 3 citations · first circulated 2017
Forecasting stochastic processes using singular spectrum analysis: Aspects of the theory and application
published 2016 · International Journal of Forecasting · 31 citations
with Atikur R. Khan
BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP
published 2016 · Econometric Theory · 1 citations
Signal Identification in Singular Spectrum Analysis
published 2016 · Australian & New Zealand Journal of Statistics · 8 citations
with Atikur R. Khan
Vector autoregressive moving average identification for macroeconomic modeling: A new methodology
published 2016 · Journal of Econometrics · 15 citations
Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
published 2015 · Journal of Business and Economic Statistics · 10 citations
Higher-order improvements of the sieve bootstrap for fractionally integrated processes
published 2015 · Journal of Econometrics · 13 citations · first circulated 2013
Inference in the Presence of Weak Instruments: A Selected Survey
published 2013 · Foundations and Trends® in Econometrics · 7 citations
with C. L. Skeels
A Note on Window Length Selection in Singular Spectrum Analysis
published 2013 · Australian & New Zealand Journal of Statistics · 58 citations
with Atikur R. Khan
Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form
published 2011 · Econometric Reviews · 38 citations
Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions
published 2011 · Computational Statistics & Data Analysis · 30 citations
Description length and dimensionality reduction in functional data analysis
published 2011 · Computational Statistics & Data Analysis · 21 citations
Assessing the magnitude of the concentration parameter in a simultaneous equations model
published 2009 · Econometrics Journal · 10 citations
OPTIMAL SEMIPARAMETRIC INFERENCE FOR THE TAIL INDEX BASED ON RATIOS OF THE LARGEST EXTREMES
published 2008 · Australian & New Zealand Journal of Statistics
with Roger Gay
Conceptual frameworks and experimental design in simultaneous equations
published 2008 · Economics Letters · 7 citations
with Christopher L. Skeels
On the Selection of Irregular, Misspecified Regression Models: a Comment on Folklore
published 2008 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 1 citations
Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes
published 2007 · Journal of Time Series Analysis · 74 citations · first circulated 2005
ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
published 2006 · Econometric Theory · 10 citations
Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
published 2006 · Annals of the Institute of Statistical Mathematics · 64 citations
Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small
published 2006 · Journal of Econometrics · 4 citations
with Christopher L. Skeels
ESTIMATING COMPONENTS IN FINITE MIXTURES AND HIDDEN MARKOV MODELS
published 2005 · Australian & New Zealand Journal of Statistics · 11 citations
Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion
published 2004 · Econometrics Journal · 10 citations
with David Harris
On the specification of cointegrated autoregressive moving-average forecasting systems
published 2003 · International Journal of Forecasting · 24 citations
A Functional Data—Analytic Approach to Signal Discrimination
published 2001 · Technometrics · 179 citations
with Peter Hall, Brett Presnell
Strongly Consistent Determination of Cointegrating Rank Via Canonical Correlations
published 2000 · Journal of Business and Economic Statistics · 32 citations
Double-blind Deconvolution: The Analysis of Post-synaptic Currents in Nerve Cells
published 1999 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 4 citations
with Kutluyıl Doğançay, Shin-Ho Chung
Markov chain models, time series analysis and extreme value theory
published 1996 · Advances in Applied Probability · 36 citations
with Shin-Ho Chung
Testing for Causation Using Infinite Order Vector Autoregressive Processes
published 1996 · Econometric Theory · 54 citations
Specification of Echelon-Form VARMA Models
published 1996 · Journal of Business and Economic Statistics · 85 citations
ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
published 1995 · Journal of Time Series Analysis · 17 citations
with M. O. Salau
Periodogram-Based Estimators of Fractal Properties
published 1995 · The Annals of Statistics · 67 citations
with Grace Chan, Peter Hall
A Note on Autoregressive Modeling
published 1994 · Econometric Theory · 15 citations
On the Asymptotic Relative Efficiency of Gaussian and Least Squares Estimators for Vector ARMA Models
published 1994 · Journal of Multivariate Analysis · 6 citations
with M. O. Salau
Stable spectral factorization with applications to the estimation of time series models
published 1993 · Communication in Statistics-Theory and Methods · 6 citations
with M. O. Salau
Identification of Echelon Canonical Forms for Vector Linear Processes Using Least Squares
published 1992 · The Annals of Statistics · 47 citations
Estimating Orthogonal Impulse Responses via Vector Autoregressive Models
published 1991 · Econometric Theory · 84 citations
SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA
published 1990 · Journal of Time Series Analysis · 14 citations
with Margaret Mackisack
Estimation and structure determination of multivariate input output systems
published 1990 · Journal of Multivariate Analysis · 2 citations
AMENDMENTS AND CORRECTIONS
published 1990 · Biometrika
A Method for the Estimation and Identification of Transfer Function Models
published 1989 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 18 citations
Recursive Estimation of Autoregressions
published 1989 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 58 citations
with E. J. Hannan, Andrew McDougall
Autoregressive frequency estimation
published 1989 · Biometrika · 17 citations
with Margaret Mackisack
Unit Canonical Correlations between Future and Past
published 1988 · The Annals of Statistics · 57 citations
with E. J. Hannan
Bayes Arma Model Determination: Some Empirical Evidence
published 1987 · Australian Journal of Statistics
Determining a portfolio of linear time series models
published 1987 · Biometrika · 35 citations
with A. R. Tremayne
A modified Hannan—Rissanen strategy for mixed autoregressive-moving average order determination
published 1987 · Biometrika · 22 citations
Precision, Complexity and Bayesian Model Determination
published 1987 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 32 citations
A Bayes Procedure for the Identification of Univariate Time Series Models
published 1986 · The Annals of Statistics · 4 citations
SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
published 1986 · Journal of Time Series Analysis · 6 citations
with A. R. Tremayne
The selection and use of linear and bilinear time series models
published 1986 · International Journal of Forecasting · 44 citations
with A. R. Tremayne
Alternative Approaches to Time Series Analysis.
published 1985 · Journal of the Royal Statistical Society Series A (General) · 12 citations
Prediction and Regulation by Linear Least-Squares Methods.
published 1984 · Journal of the Royal Statistical Society Series A (General) · 157 citations
with Peter Whittle
Time Series Analysis: Theory and Practice 1.
published 1983 · Journal of the Royal Statistical Society Series A (General) · 13 citations
with O. D. Anderson
On the posterior odds of time series models
published 1983 · Biometrika · 30 citations
with A. R. Tremayne
A TIME SERIES APPLICATION OF THE USE OF MONTE CARLO METHODS TO COMPARE STATISTICAL TESTS
published 1981 · Journal of Time Series Analysis · 5 citations
with A. R. Tremayne
Testing the specification of a fitted autoregressive-moving average model
published 1980 · Biometrika · 35 citations
with A. R. Tremayne
An Existence Proof for Equilibrium in a Capital Asset Market
published 1975 · Journal of Business Finance & Accounting
with Michael Jones-Lee
Testing the Restrictions of the Almon Lag Technique
published 1975 · Journal of the American Statistical Association · 35 citations
with L. G. Godfrey
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