1975 …2019
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Research Output 1975 2019

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Article
2019

Construction and visualization of confidence sets for frequentist distributional forecasts

Harris, D., Martin, G. M., Perera, I. & Poskitt, D. S., 2019, In : Journal of Computational and Graphical Statistics. 28, 1, p. 92-104 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Issues in the estimation of mis-specified models of fractionally integrated processes

Martin, G. M., Nadarajah, K. & Poskitt, D. S., 2019, (Accepted/In press) In : Journal of Econometrics. 15 p.

Research output: Contribution to journalArticleResearchpeer-review

On singular spectrum analysis and stepwise time series reconstruction

Poskitt, D. S., 2019, (Accepted/In press) In : Journal of Time Series Analysis. 28 p.

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)

The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification

Li, C., Poskitt, D. S. & Zhao, X., Mar 2019, In : Journal of Econometrics. 209, 1, p. 91-113 20 p.

Research output: Contribution to journalArticleResearchpeer-review

2017

Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap

Poskitt, D. S., Martin, G. M. & Grose, S. D., Jun 2017, In : Econometric Theory. 33, 3, p. 578-609 32 p.

Research output: Contribution to journalArticleResearchpeer-review

8 Citations (Scopus)

Forecasting stochastic processes using singular spectrum analysis: aspects of the theory and application

Khan, M. A. R. & Poskitt, D. S., Jan 2017, In : International Journal of Forecasting. 33, 1, p. 199-213 15 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Vector autoregressions and macroeconometric modeling: an error taxonomy

Poskitt, D. S. & Yao, W., 3 Jul 2017, In : Journal of Business & Economic Statistics. 35, 3, p. 407-419 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2016
1 Citation (Scopus)

Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

Athanasopoulos, G., Poskitt, D. S., Vahid, F. & Yao, W., 1 Sep 2016, In : Journal of Applied Econometrics. 31, 6, p. 1100-1119 20 p.

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)

Signal identication in singular spectrum analysis

Khan, A. R. & Poskitt, D. S., Mar 2016, In : Australian and New Zealand Journal of Statistics. 58, 1, p. 71-98 28 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Vector autoregressive moving average identification for macroeconomic modeling: A new methodology

Poskitt, D. S., 2016, In : Journal of Econometrics. 192, 2, p. 468 - 484 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2015

Bias correction of persistence measures in fractionally integrated models

Grose, S. D., Martin, G. M. & Poskitt, D. S., 2015, In : Journal of Time Series Analysis. 36, 5, p. 721 - 740 20 p.

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

Higher-order improvements of the sieve bootstrap for fractionally integrated processes

Poskitt, D. S., Grose, S. D. & Martin, G. M., 2015, In : Journal of Econometrics. 188, 1, p. 94 - 110 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2013
22 Citations (Scopus)

A note on window length selection in singular spectrum analysis

Khan, MD. A. R. & Poskitt, D. S., 2013, In : Australian and New Zealand Journal of Statistics. 55, 2, p. 87 - 108 22 p.

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)

Description length and dimensionality reduction in functional data analysis

Poskitt, D. S. & Arivalzahan, S., 2013, In : Computational Statistics and Data Analysis. 58, p. 98 - 113 16 p.

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)

Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes

Khan, MD. A. R. & Poskitt, D. S., 2013, In : Journal of Time Series Analysis. 34, 2, p. 141 - 155 15 p.

Research output: Contribution to journalArticleResearchpeer-review

2012
17 Citations (Scopus)

Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions

Hu, S., Poskitt, D. S. & Zhang, X., 2012, In : Computational Statistics and Data Analysis. 56, 3, p. 732 - 740 9 p.

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)

Inference in the presence of weak instruments: A selected survey

Poskitt, D. S. & Skeels, C. L., 2012, In : Foundations and Trends in Econometrics. 6, 1, p. 1 - 102 102 p.

Research output: Contribution to journalArticleResearchpeer-review

8 Citations (Scopus)

Two canonical VARMA forms: Scalar component models vis-a-vis the Echelon form

Athanasopoulos, G., Poskitt, D. S. & Vahid-Araghi, F., 2012, In : Econometric Reviews. 31, 1, p. 60 - 83 24 p.

Research output: Contribution to journalArticleResearchpeer-review

2009
2 Citations (Scopus)

Assessing the magnitude of the concentration parameter in a simultaneous equations model

Poskitt, D. & Skeels, C. L., 2009, In : Econometrics Journal. 12, 1, p. 26 - 44 19 p.

Research output: Contribution to journalArticleResearchpeer-review

2008
3 Citations (Scopus)

Conceptual frameworks and experimental design in simultaneous equations

Poskitt, D. & Skeels, C. L., 2008, In : Economics Letters. 100, 1, p. 138 - 142 5 p.

Research output: Contribution to journalArticleResearchpeer-review

On the selection of irregular, misspecified regression models: A comment on folklore

Poskitt, D., 2008, In : Journal of the Japan Statistical Society. 38, 1, p. 75 - 86 12 p.

Research output: Contribution to journalArticleResearchpeer-review

Optimal semiparametric inference for the tail index based on ratios of the largest extremes

Gay, R. & Poskitt, D., 2008, In : Australian and New Zealand Journal of Statistics. 50, 4, p. 361 - 380 20 p.

Research output: Contribution to journalArticleResearchpeer-review

38 Citations (Scopus)

Properties of the sieve bootstrap for fractionally integrated and non-invertible processes

Poskitt, D., 2008, In : Journal of Time Series Analysis. 29, 2, p. 224 - 250 27 p.

Research output: Contribution to journalArticleResearchpeer-review

2007
4 Citations (Scopus)

Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small

Poskitt, D. & Skeels, C. L., 2007, In : Journal of Econometrics. 139, 1, p. 217 - 236 20 p.

Research output: Contribution to journalArticleResearchpeer-review

32 Citations (Scopus)

Autoregressive approximation in nonstandard situations: The fractionally integrated and non-invertible cases

Poskitt, D., 2007, In : Annals of the Institute of Statistical Mathematics. 59, 4, p. 697 - 725 29 p.

Research output: Contribution to journalArticleResearchpeer-review

2006
4 Citations (Scopus)

On the identification and estimation of nonstationary and cointegrated ARMAX systems

Poskitt, D. S., 2006, In : Econometric Theory. 22, 6, p. 1138 - 1175 38 p.

Research output: Contribution to journalArticleResearchpeer-review

2005
3 Citations (Scopus)

A note on the specification and estimation of ARMAX systems

Poskitt, D. S., 2005, In : Journal of Time Series Analysis. 26, 2, p. 157 - 183 27 p.

Research output: Contribution to journalArticleResearchpeer-review

8 Citations (Scopus)

Estimating components in finite mixtures and hidden Markov models

Poskitt, D. S. & Zhang, J., 2005, In : Australian and New Zealand Journal of Statistics. 47, 3, p. 269 - 286 18 p.

Research output: Contribution to journalArticleResearchpeer-review

2004

Determination of cointegrating rank in partially non-stationary processes via a generalised von-Neumann criterion

Harris, D. C. & Poskitt, D. S., 2004, In : Econometrics Journal. 7, 1, p. 191 - 217 27 p.

Research output: Contribution to journalArticleResearchpeer-review

2003
9 Citations (Scopus)

On the specification of cointegrated autoregressive moving-average forecasting systems

Poskitt, D., 2003, In : International Journal of Forecasting. 19, 3, p. 503 - 519 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2001
103 Citations (Scopus)

A functional data-analytic approach to signal discrimination

Hall, P., Poskitt, D. & Presnell, B., 2001, In : Technometrics. 43, 1, p. 1 - 9 9 p.

Research output: Contribution to journalArticleResearchpeer-review

2000
22 Citations (Scopus)

Strongly consistent determination of cointegrating rank via canonical correlations

Poskitt, D., 2000, In : Journal of Business & Economic Statistics. 18, 1, p. 77 - 90 14 p.

Research output: Contribution to journalArticleResearchpeer-review

1999

A new analytical method of studying post-synaptic currents

Poskitt, D. S., Doǧançay, K. & Chung, S. H., 1 Nov 1999, In : Mathematical Biosciences. 161, 1-2, p. 15-41 27 p.

Research output: Contribution to journalArticleResearchpeer-review

6 Citations (Scopus)

Double-blind deconvolution: The analysis of post-synaptic currents in nerve cells

Poskitt, D. S., Doǧançay, K. & Chung, S. H., 1 Jan 1999, In : Journal of the Royal Statistical Society. Series B: Statistical Methodology. 61, 1, p. 191-212 22 p.

Research output: Contribution to journalArticleResearchpeer-review

1996
22 Citations (Scopus)

Markov chain models, time series analysis and extreme value theory

Poskitt, D. S. & Chung, S. H., 1 Jan 1996, In : Advances in Applied Probability. 28, 2, p. 405-425 21 p.

Research output: Contribution to journalArticleResearchpeer-review

47 Citations (Scopus)

Specification of echelon-form VARMA models

Lütkepohl, H. & Poskitt, D. S., 1 Jan 1996, In : Journal of Business and Economic Statistics. 14, 1, p. 69-79 11 p.

Research output: Contribution to journalArticleResearchpeer-review

25 Citations (Scopus)

Testing for causation using infinite order vector autoregressive processes

Lütkepohl, H. & Poskitt, D. S., 1 Dec 1996, In : Econometric Theory. 12, 1, p. 61-87 27 p.

Research output: Contribution to journalArticleResearchpeer-review

1995
11 Citations (Scopus)

ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS

Poskitt, D. S. & Salau, M. O., 1 Jan 1995, In : Journal of Time Series Analysis. 16, 6, p. 617-645 29 p.

Research output: Contribution to journalArticleResearchpeer-review

Periodogram-Based Estimators of Fractal Properties

Chan, G., Hall, P. & Poskitt, D. S., 1995, In : Annals of Statistics. 23, p. 1684-1711 28 p.

Research output: Contribution to journalArticleResearchpeer-review

1994
8 Citations (Scopus)

A note on autoregressive modeling

Poskitt, D. S., 1 Jan 1994, In : Econometric Theory. 10, 5, p. 884-899 16 p.

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

On the asymptotic relative efficiency of gaussian and least squares estimators for vector arma models

Poskitt, D. S. & Salau, M. O., 1 Jan 1994, In : Journal of Multivariate Analysis. 51, 2, p. 294-317 24 p.

Research output: Contribution to journalArticleResearchpeer-review

1993
7 Citations (Scopus)

Stable spectral factorization with applications to the estimation of time series models

Poskitt, D. S. & Salau, M. O., 1 Jan 1993, In : Communications in Statistics - Theory and Methods. 22, 2, p. 347-367 21 p.

Research output: Contribution to journalArticleResearchpeer-review

1992

Identification of Echelon Canonical Forms for Vector Linear Processes Using Least Squares

Poskitt, D. S., 1992, In : Annals of Statistics. 20, p. 195-215 21 p.

Research output: Contribution to journalArticleResearchpeer-review

1991
25 Citations (Scopus)

Estimating orthogonal impulse responses via vector autoregressive models

Lütkepohl, H. & Poskitt, D. S., 1 Jan 1991, In : Econometric Theory. 7, 4, p. 487-496 10 p.

Research output: Contribution to journalArticleResearchpeer-review

1990
1 Citation (Scopus)

Estimation and structure determination of multivariate input output systems

Poskitt, D. S., 1 Jan 1990, In : Journal of Multivariate Analysis. 33, 2, p. 157-182 26 p.

Research output: Contribution to journalArticleResearchpeer-review

10 Citations (Scopus)

SOME PROPERTIES OF AUTOREGRESSIVE ESTIMATES FOR PROCESSES WITH MIXED SPECTRA

Mackisack, M. S. & Poskitt, D. S., 1 Jan 1990, In : Journal of Time Series Analysis. 11, 4, p. 325-337 13 p.

Research output: Contribution to journalArticleResearchpeer-review

1989

A Method for the Estimation and Identification of Transfer Function Models

Poskitt, D. S., 1989, In : Journal of the Royal Statistical Society Series B-Statistical Methodology. 51, p. 29-46 18 p.

Research output: Contribution to journalArticleResearchpeer-review

14 Citations (Scopus)

Autoregressive frequency estimation

Mackisack, M. S. & Poskitt, D. S., 1 Sep 1989, In : Biometrika. 76, 3, p. 565-575 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Recursive Estimation of Autoregressions

Hannan, E., McDougall, A. & Poskitt, D. S., 1989, In : Journal of the Royal Statistical Society Series B-Statistical Methodology. 51, p. 217-233 17 p.

Research output: Contribution to journalArticleResearchpeer-review

1988

Unit Canonical Correlations Between Future and Past

Hannan, E. & Poskitt, D. S., 1988, In : Annals of Statistics. 16, p. 784-790

Research output: Contribution to journalArticleResearchpeer-review