A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

In this paper, a semiparametric single-index model is investigated. The link function is allowed to be unbounded and has unbounded support that answers a pending issue in the literature. Meanwhile, the link function is treated as a point in an infinitely many dimensional function space which...

Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood and quasi-maximum likelihood estimators may be compromised. We derive considerably weaker conditions that can be used...

In this paper, we consider some identification, estimation and specification problems in a class of semi-linear time series models. Existing studies for the stationary time series case have been reviewed and discussed. We also establish some new studies for the integrated nonstationary time...

Since conventional cross-validation bandwidth selection methods don't work for the case where the data considered are dependent time series, alternative bandwidth selection methods are needed. In recent years, Bayesian based global bandwidth selection methods have been proposed. Our experience...

In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The modelling framework under investigation can accommodate both nonlinear deterministic trends and cross-sectional dependence. And we consider the so-called "large panels" where both the...

Robust M–estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber’s loss, to construct its objective function, in order to for example eschew the impact of outliers, whereas the difficulty in analysing the resultant estimators rests on the nonsmoothness...

Inequality between private and public patients in Australia has been an ongoing concern due to its two tiered insurance system. This paper investigates the variations in hospital length of stay for hip replacements using Victorian Admitted Episodes Dataset from 2003/2004 to 2014/2015, employing...