Research Profile of Alan Wan
Primary research areas
Econometrics, Statistics
Areas of specific interests
Model averaging and model selection
Varying-coefficient models
Quantile regression
Censored, length-biased and missing data
Erdös Number = 4
Publications
2020
92. Li, J., J. Lv, A.T.K. Wan and J. Liao, "AdaBoost semiparametric model averaging prediction for multiple categories", Journal of the American Statistical Association, to appear.
91. Nelson, B., X. Jiang, A.T.K. Wan, G. Zou and X. Zhang, "Reducing simulation input model risk via input model averaging", INFORMS Journal on Computing, to appear.
90. Zhang, X., Y. Ma, A.T.K. Wan, S.Y. Wang and S. Zhao, "Model averaging in a multiplicative heteroscedastic model", Econometric Reviews, to appear.
89. Fan, S., Zhao, W., A.T.K. Wan and Y. Zhou, "A composite nonparametric product limit approach for estimating the distribution of survival times under length-biased and right-censored data", Statistics and Its Interface 13, 221-235.
2019
88. Parmeter, C.F., A.T.K. Wan and X. Zhang, "Model averaging estimators for the stochastic frontier model", Journal of Productivity Analysis 51, 91-103.
87. Zhu, R., A.T.K. Wan, X. Zhang and G. Zou, "A Mallows-type model averaging estimator for the varying-coefficient partially linear model", Journal of the American Statistical Association 114, 882-891.
86. Chen, X., Chen, Y., A.T.K. Wan and Y. Zhou, "On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data", Scandinavian Journal of Statistics 46, 361-388.
85. Wei, W., Y. Zhou and A.T.K. Wan, "A semiparametric linear transformation model for general biased-sampling and right-censored data", Statistics and Its Interface 12, 77-92.
84. Qiu, Z., A.T.K. Wan, Y. Zhou, and P. Gilbert, "Smoothed rank regression for the accelerated failure time competing risks model with missing cause of failure", Statistica Sinica 29, 23-46.
2018
83. Chen, L., A.T.K. Wan, G. Tso, and X. Zhang, "A model averaging approach for the ordered probit and nested logit models with applications", Journal of Applied Statistics 45, 3012-3052. (Click here for computer program; Click here for supplementary material)
82. Wei, W., A.T.K. Wan and Y. Zhou, "Partially linear transformation model for length-biased and right-censored data", Journal of Nonparametric Statistics 30, 332-367.
2017
81. Wan, A.T.K., S. Xie and Y. Zhou, "A varying coefficient approach to estimating hedonic housing price functions and their quantiles", Journal of Applied Statistics 44, 1979-1999. (Click here for computer program) .
80. Ullah, A., A.T.K. Wan, H. Wang, X. Zhang and G. Zou, "A semiparametric generalized ridge estimator and link with model averaging", Econometric Reviews 36, 370-384.
2016
79. Li, R., A.T.K. Wan and J. You, "Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects", Computational Statistics and Data Analysis 100, 401-423.
78. Wan, A.T.K., J. You and R. Zhang, "A seemingly unrelated nonparametric additive model with autoregressive errors", Econometric Reviews 35, 894-928
2015
77. Chen, X., A.T.K. Wan and Y. Zhou, "Efficient quantile regression analysis with missing observations", Journal of the American Statistical Association 110, 723-741.
76. Xie, S., A.T.K. Wan and Y. Zhou, "Quantile regression methods with varying-coefficient models for censored observations", Computational Statistics and Data Analysis 88, 154-172.
75. Chen, X., Y. Fan, A. Wan, and G. Zou, "Post-J test inference in non-nested linear regression models", Science China Mathematics 58, 1203-1216.
74. You, J., A.T.K. Wan, L. Shu and Y. Zhou, "A varying-coefficient approach to estimating multi-level clustered data models", TEST 24, 417-440.
2014
73. Chen, X., A.T.K. Wan and Y. Zhou, "A quantile varying-coefficient regression approach to length-biased data modeling", Electronic Journal of Statistics 8, 2514-2540.
72. Xie, S., Y. Zhou and A.T.K. Wan, "A varying-coefficient expectile model for estimating Value at Risk", Journal of Business and Economic Statistics 32, 576-592.
71. Ma,Y., A.T.K. Wan, X. Chen and Y. Zhou, "On estimation and inference in a partially linear hazard model with varying coefficients", Annals of the Institute of Statistical Mathematics 66, 931-960. (supplementary file).
70. Wan, A.T.K., X. Zhang, and S.Y. Wang, "Frequentist model averaging for multinomial and ordered Logit models", International Journal of Forecasting 30, 118-128.
2013
69. Zhang, X., A.T.K. Wan and G.H. Zou, "Model averaging by Jackknife criterion in models with dependent data", Journal of Econometrics 174, 82-94.
68. Wang, H., G.H. Zou and A.T.K. Wan, "Adaptive LASSO for varying-coefficient partially linear measurement errors models", Journal of Statistical Planning and Inference 143, 40-54.
2012
67. Wang, H., G.H. Zou and A.T.K. Wan, "Model averaging for varying-coefficient partially linear measurement errors models", Electronic Journal of Statistics 6, 1017-1039.
66. Zhang, X., A.T.K. Wan and S.Z. Zhou, "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.
2011
65. Liang, H., G.H. Zou, A.T.K. Wan and X. Zhang, "Optimal weight choice for frequentist model average estimators", Journal of the American Statistical Association 106, 1053-1066.
64. Zhou,Y., A.T.K. Wan and Y. Yuan, "Combining least-squares and quantile regressions", Journal of Statistical Planning and Inference 141, 3814-3828.
63. Magnus, J.R., A.T.K. Wan and X. Zhang, "Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market", Computational Statistics and Data Analysis 55, 1331-1341.
2010
62. Zhou, Y., A.T.K. Wan, S. Xie and X.J. Wang, "Wavelet analysis of change-points in a nonparametric regression with heteroscedastic variance", Journal of Econometrics 159, 183-201.
61. Wan, A.T.K., X. Zhang and G.H. Zou, "Least squares model averaging by Mallows criterion ", Journal of Econometrics 156, 277-283.
60. He, A.W.W., J.T.K. Kwok and A.T.K. Wan, "An empirical model of daily highs and lows of West Texas Intermediate crude oil prices", Energy Economics 32, 1499-1506.
59. Schomaker, M., A.T.K. Wan and C. Heumann, "Frequentist model averaging with missing observations", Computational Statistics and Data Analysis 54, 3336-3347.
58. Cheung, Y.L., Y.W. Cheung, A.W.W. He and A.T.K. Wan, "A trading strategy based on callable bull/bear contract", Pacific Basin Finance Journal 18, 186-198.
2009
57. Zhang, X., T. Chen, A.T.K. Wan and G.H. Zou, "The robustness of Stein-type estimator under a non-scalar covariance structure", Journal of Multivariate Analysis 100, 2376-2388.
56. Qin, H., A.T.K. Wan and G.H. Zou, "On the sensitivity of the one-sided t test to covariance misspecification", Journal of Multivariate Analysis 100, 1593-1609.
55. Wan, A.T.K. and X. Zhang, "On the use of model averaging in tourism research", Annals of Tourism Research 36, 525-532. (WALS estimation steps, Matlab codes)
54. Cheung, Y.L., Y.W. Cheung and A.T.K. Wan, "A high-low model of daily stock price ranges", Journal of Forecasting 28, 103-119.
53. He, A.W.W. and A.T.K. Wan, "Predicting daily highs and lows of exchange rate: a cointegration analysis", Journal of Applied Statistics 36, 1191-1204.
52. Zou,G.H., J. Zeng, A.T.K. Wan and Z. Guan, "Stein-type improved estimation of standard error under asymmetric LINEX loss function", Statistics 43, 121-129.
51. Ohtani, K. and A.T.K. Wan, "Comparison of the Stein variance and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted", Statistical Papers 50, 151-160.
2008
50. Zhou, Y., A.T.K.Wan and X.J. Wang, "Estimating equations inference with missing data", Journal of the American Statistical Association 103, 1187-1199.
49. Wan, A.T.K., "Wage distribution of Chinese immigrants: a semi-parametric analysis", International Journal of Applied Economics and Finance 2, 28-35.
48. Qin, H., A.T.K. Wan and G.H. Zou, "Local sensitivity in the inequality restricted linear model", in Shalabh and C. Heumann (eds.), Recent Advances in Linear Models and Related Areas (Springer, Berlin), 135-164.
2007
47. Wan, A.T.K., G.H. Zou and H. Qin, "On the sensitivity of restricted least squares estimators to covariance misspecification", Econometrics Journal 10, 471-487.
46. Wan, A.T.K., G.H. Zou and A. Banerjee, "The power of autocorrelation tests near the unit root in regression models with possibly mis-specified linear restrictions", Economics Letters 94, 213-219.
45. Zou, G.H., A.T.K. Wan, X. Wu and T. Chen, "Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors", Statistics and Probability Letters 77, 803-810.
44. Bao, H.X.H. and A.T.K. Wan, "Improved estimators of hedonic housing price models ", Journal of Real Estate Research 29, 267-302.
43. Akdeniz, E., F. Akdeniz, A.T.K. Wan and T. Chen, "More on the generalized Liu-type estimatiors under the balanced loss function", Models Assisted Statistics and Applications 2, 213-223.
42. Shalabh and A.T.K. Wan, "A class of estimators of regression coefficient for sign change problem in measurement error models", Journal of Statistical Research 41, 63-72.
2006
41. Wan, A.T.K., G.H. Zou and K. Ohtani, "Further results on optimal critical values of pre-test when estimating the regression error variance", Econometrics Journal 9, 159-176.
40. Wan, A.T.K., "On discrimination and the status of immigrants in the Hong Kong labour market", Economics Bulletin 10, No.6, 1-17.
2005
39. Akdeniz, F., A.T.K. Wan and E. Akdeniz, "Generalized Liu type estimators under Zellner's balanced loss function", Communications in Statistics, Theory and Methods 34, 1725-1736.
2004
38. Qin, H. and A.T.K. Wan, "On the properties of the t- and F-ratios in linear regressions with non-normal errors", Econometric Theory 20, 690-700.
37. Wan, A.T.K. and G.H. Zou, "On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance", Journal of Statistical Planning and Inference 119, 17-22.
36. Bao, H.X.H. and A.T.K. Wan, "On the use of spline smoothing in estimating hedonic housing price models: empirical evidence using Hong Kong data", Real Estate Economics 32, 487-507. (Click here for computer programs)
35. Akdeniz, F., G. Yuksel and A.T.K. Wan, "The moments of the operational almost unbiased ridge regression estimator", Applied Mathematics and Computation 153, 673-684.
2003
34. Wan, A.T.K. and G.H. Zou, "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.
33. Zou, G.H., and A.T.K. Wan, "Admissible and minimax estimation of the parameter n in the binomial distribution", Journal of Statistical Planning and Inference 113, 451-466.
32. Wan, A.T.K., A. Chaturvedi and G.H. Zou, "Unbiased estimation of the MSE matrices of improved estimators in linear regression", Journal of Applied Statistics 30, 173-189.
2002
31. Ullah, A., A.T.K. Wan and A. Chaturvedi (eds.), Handbook of Applied Econometrics and Statistical Inference, (Marcel Dekker, New York).
30. Chaturvedi, A., A.T.K. Wan and G. H. Zou, "Bayesian inference in a dynamic linear model with Edgeworth series disturbances", in Ullah, A., A.T.K. Wan and A. Chaturvedi (eds.), Handbook of Applied Econometrics and Statistical Inference, (Marcel Dekker, New York), Chapter 20, 423-441.
29. Ohtani, K. and A.T.K. Wan, "On the use of the Stein variance estimator in the double k-class estimators", Econometric Reviews 21, 121-134.
28. Chaturvedi, A., A.T.K. Wan and S.P. Singh, "Improved multivariate prediction in a general linear model with an unknown error covariance matrix", Journal of Multivariate Analysis 83, 166-182.
27. Srivastava, V.K. and A.T.K. Wan, "Separate versus system methods of Stein-rule estimation in S.U.R. models", Communications in Statistics, Theory and Methods 31, 2077-2099.
26. Wan, A.T.K., "On generalized ridge regression estimators under collinearity and balanced loss", Applied Mathematics and Computation 129, 455-467.
25. Ho, A.K.F. and A.T.K. Wan, "Testing for covariance stationarity of stock returns in the presence of structural breaks: an intervention analysis", Applied Economics Letters 9, 441-447.
2001
24. Wan, A.T.K. and A. Chaturvedi, "Double k-class estimators in regression models with non-spherical disturbances", Journal of Multivariate Analysis 79, 226-250.
23. Chaturvedi, A., A.T.K. Wan and S.P. Singh, "Stein-rule restricted regression estimator in a linear regression model with non-spherical disturbances", Communications in Statistics, Theory and Methods 30, 55-68.
22. Griffiths, W.E. and A.T.K. Wan, "A Bayesian estimator of the linear regression model with an uncertain inequality constraint", Journal of Applied Statistical Science 10, 323-341.
2000
21. Wan, A.T.K. and A. Chaturvedi, "Operational variants of the minimum mean squared error estimator in a linear regression model with non-spherical disturbances", Annals of the Institute of Statistical Mathematics 52, 332-342.
20. Zou, G.H. and A.T.K. Wan, "Simultaneous estimation of several stratum means under error-in-variables superpopulation models", Annals of the Institute of Statistical Mathematics 52, 380-396.
19. Wan, A.T.K. and K. Ohtani, "Minimum mean squared error estimation in linear regression with an inequality constraint", Journal of Statistical Planning and Inference 86, 157-173.
18. Wan, A.T.K., G.H. Zou and A.H. Lee, "Minimax and Gamma-minimax estimation for the Poisson distribution under LINEX loss when the parameter space is restricted", Statistics and Probability Letters 50, 23-32.
17. Shalabh and A.T.K. Wan, "Stein-rule estimation in mixed regression models", Biometrical Journal 42, 203-214.
16. Chaturvedi, A. and A.T.K. Wan, "Exact results on the inadmissibility of the feasible generalized least squares estimator in regression models with non-spherical disturbances", Biometrical Journal 42, 481-487.
15. Geng, W.J. and A.T.K. Wan, "On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss", Statistical Papers 41, 453-472.
1999
14. Wan, A.T.K. and H. Kurumai, "An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss", Statistics and Probability Letters 45, 253-259.
13. Wan, A.T.K., "A note on almost unbiased generalized ridge regression estimator under asymmetric loss", Journal of Statistical Computation and Simulation 62, 411-421.
12. Chaturvedi, A. and A.T.K. Wan, "Estimation of regression coefficients subject to interval constraints in models with non-spherical errors", Sankhya (series B) 61, 433-442.
1998
11. Ohtani, K. and A.T.K. Wan, "On the sampling performance of an improved Stein inequality restricted estimator", Australian and New Zealand Journal of Statistics 40, 181-187.
10. Wan, A.T.K. and W. E. Griffiths, "Bayesian estimation of the linear regression model with an uncertain interval constraint on coefficients", Statistical Papers 39, 109-118.
9. Chaturvedi, A. and A.T.K. Wan, "Stein-rule estimation in a dynamic linear model", Journal of Applied Statistical Science 7, 17-25.
1997
8. Wan, A.T.K.,"The exact density and distribution functions of the inequality constrained and pre-test estimators", Statistical Papers 38, 329-341.
1996
7. Wan, A.T.K.,"Estimating the error variance after a pre-test for an inequality restriction on the coefficients", Journal of Statistical Planning and Inference 52, 197-213.
6. Wan, A.T.K.,"On the bias and mean square error of the least squares estimator in a regression model with two inequality constraints and multivariate t error terms", Communications in Statistics, Theory and Methods 25, 2079-2091.
1995
5. Wan, A.T.K.,"The optimal critical value of a pre-test for an inequality restriction in a mis-specified regression model", Australian Journal of Statistics 37, 73-81.
4. Wan, A.T.K. and M. Yang, "On the use of the F ratio in a mis-specified model with an interval restriction", Journal of Statistical Computation and Simulation 52, 151-161.
1994
3. Wan, A.T.K., "The sampling performance of inequality restricted and pre-test estimators in a mis-specified linear model", Australian Journal of Statistics 36, 313-325.
2. Wan, A.T.K., "Risk comparison of the inequality constrained least squares and other related estimators under balanced loss", Economics Letters 46, 203-210.
1. Wan, A.T.K., "The non-optimality of interval restricted and pre-test estimators under squared error loss", Communications in Statistics, Theory and Methods 23, 2231-2252.
Research Papers database: http://144.214.239.105/rps/
Last updated: 21 February, 2020