Educational and Academic Background
Alan Wan took up his current position as Professor in the Department of Management Sciences at the City University of Hong Kong in September 2010. Prior to that, he was Associate Professor and Assistant Professor in the same department, and Lecturer in the Department of Econometrics at the University of New South Wales, Australia. He was also previously an Adjunct Professor in the School of Statistics and Management at the Shanghai University of Finance and Economics. Alan was born in Hong Kong, but moved to Australia during his teens, attended high school there, and completed a Bachelor's degree at the University of Sydney. He then spent his next five years completing his Master and Ph.D degrees in Econometrics under the co-advisory of David Giles and Judith Clarke at the University of Canterbury, Christchurch, New Zealand. A paper from Alan's Ph.D thesis was awarded the inaugural A.R. Bergstrom Prize in Econometrics, a prize open to New Zealanders under the age of 26.
Alan's main research interest lies in the field of theoretical Econometrics. The subjects of his current research include model averaging, missing data, varying coefficient models and shrinkage estimation. He has been successful in obtaining external research funding from the Australian Research Council, the British Academy, the Hong Kong Research Grants Council and the National Natural Science Foundation of China. His publications to date consist of 1 book and about 90 refereed papers, including multiple articles in prestigious journals such as the Journal of the American Statistical Association, Scandinavian Journal of Statistics, Statistica Sinica, Journal of Econometrics, Econometric Theory, Journal of Business and Economic Statistics, Econometric Reviews, Econometrics Journal and INFORMS Journal on Computing. A selection of his recent publications is given below. More details are available from his C.V. Alan is an Associate Editor of Communications in Statistics (all series) and Econometrics and Statistics. In 2016, he received a President's Award from the City University of Hong Kong.
Selected Publications of Alan Wan:
Li, J., J. Lv, A.T.K. Wan and J. Liao (2021), "AdaBoost semiparametric model averaging prediction for multiple categories", Journal of the American Statistical Association, to appear.
Nelson, B., X. Jiang, X., A.T.K. Wan, G. Zou and X. Zhang (2020), "Reducing simulation input model risk via input model averaging", INFORMS Journal on Computing, to appear.
Zhang, X., Y. Ma, A.T.K. Wan, S.Y. Wang and S. Zhao (2020), "Model averaging in a multiplicative heteroscedastic model", Econometric Reviews, to appear.
Zhu, R., A.T.K. Wan, X. Zhang and G. Zou (2019), "A Mallows-type model averaging estimator for the varying-coefficient partially linear model", Journal of the American Statistical Association 114, 882-891.
Chen, X., Y. Chen, A.T.K. Wan and Y. Zhou (2019), "On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data", Scandinavian Journal of Statistics 46, 361-388.
Qiu, Z., A.T.K. Wan, Y. Zhou and P. Gilbert (2019), "Smoothed rank regression for the accelerated failure time competing risks model with missing cause of failure", Statistica Sinica 29, 23-46.
Ullah, A., A.T.K. Wan, H. Wang, X. Zhang and G. Zou (2017), "A semiparametric generalized ridge estimator and link with model averaging", Econometric Reviews 36, 370-384.
Wan, A.T.K., J. You and R. Zhang (2016), "A seemingly unrelated nonparametric additive model with autoregressive errors", Econometric Reviews 35, 894-928.
Chen, X., A.T.K. Wan and Y. Zhou (2015), "Efficient quantile regression analysis with missing observations", Journal of the American Statistical Association 110, 723-741.
Xie, S., Y. Zhou and A.T.K. Wan (2014), "A varying-coefficient expectile model for estimating Value at Risk", Journal of Business and Economic Statistics 32, 576-592.
Zhang, X., A.T.K. Wan and G. Zou (2013), "Model averaging by Jackknife criterion in models with dependent data", Journal of Econometrics 174, 82-94.
Zhang, X., A.T.K. Wan and S. Zhou (2012), "Focused information criteria, model selection and model averaging in a Tobit model with a non-zero threshold", Journal of Business and Economic Statistics 30, 132-142.
Liang, H., G. Zou, A.T.K. Wan and X. Zhang (2011), "Optimal weight choice for frequentist model average estimators", Journal of the American Statistical Association 106, 1053-1066.
Zhou, Y., A.T.K. Wan, S. Xie and X.J. Wang (2010), "Wavelet analysis of change-points in a nonparametric regression with heteroscedastic variance", Journal of Econometrics 159, 183-201.
Wan, A.T.K., X. Zhang and G. Zou (2010), "Least squares
model averaging by Mallows criterion",
Journal of Econometrics 156, 277-283.
Zhou, Y., A.T.K. Wan and X.J. Wang (2008), "Estimating equations inference with missing data", Journal of the American Statistical Association 103, 1187-1199.
Wan, A.T.K., G. Zou and H. Qin (2007), "On the sensitivity of restricted least squares estimators to covariance misspecification", Econometrics Journal 10, 471-487.
Wan, A.T.K., G. Zou and K. Ohtani (2006), "Further results on optimal critical values of pre-test when estimating the regression variance", Econometrics Journal 9, 159-176.
Qin, H. and A.T.K. Wan (2004), "On the properties of the t- and F-ratios in linear regressions with non-normal errors", Econometric Theory 20, 690-700.
Wan, A.T.K. and G. Zou (2003), "Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure", Journal of Econometrics 114, 165-196.
Ohtani, K. and A.T.K. Wan (2002), "On the use of the Stein variance estimator in the double k-class estimators", Econometric Reviews 21, 121-134.