Professor Jiti Gao

Biography/ Background

Professor Jiti Gao is an Australian Professorial Fellow. He has been Professor of Economics (with Chair in Econometrics) at The University of Adelaide since January 2008. Prior to that, he had been working at The University of Western Australia from December 1999 - December 2007.

Professor Jiti Gao is currently the convenor of the newly created Adelaide Econometric Study Group available at http://www.economics.adelaide.edu.au/aesg/

Qualifications

Professor Jiti Gao has a PhD degree in Economics (specialized in Econometrics) from Monash University, Doctoral and Master degrees in Science (specialized in Probability Theory and Mathematical Statistics) from The University of Science and Technology of China, and a Bachelor degree in Science (specialized in Applied Mathematics) from The University of Anhui, China.

Teaching Interests

Economic Statistics, Econometrics and Financial Econometrics, Mathematical Economics, and Time Series Econometrics.

Research Interests

Econometric Theory, Financial Econometrics, Nonparametric and Semiparametric Econometrics, Panel Data and Time Series Econometrics.

Professor Jiti Gao's research focuses on developing new econometric models and methods to deal with data with possible nonlinearity and nonstationarity.

He also works on Econometric Modeling in Climatology, Applied Econometrics in Consumer Theory and Nonlinear Models in Asset Pricing.

His research in the fields has been supported financially by several national and international research grants, including four Australian Research Council Discovery Grants from January 2002 - December 2014.

Publications

Professor Jiti Gao has already published one book by Chapman & Hall/CRC and 18 journal articles in leading international journals in Econometrics, Finance and Statistics since 2004. Selected publications include:

Casas, I. and Gao, J. (2008). Econometric estimation in long-range dependent volatility models. Journal of Econometrics 147, 72-83 (12 pages).

Chen, S. X., Gao, J. and Tang, C. (2008). A test for model specification of diffusion processes. The Annals of Statistics 36, 167-198 (32 pages).

Gao, J. and Gijbels, I. (2008). Bandwidth selection in nonparametric kernel testing. Journal of the American Statistical Association 484, 1584-1594 (11 pages).

Gao, J., Gijbels, I. and Van Bellegem, S. (2008). Nonparametric simultaneous testing for structural breaks. Journal of Econometrics 143, 123-142 (20 pages).

Chen, S. X. and Gao, J. (2007). An adaptive empirical likelihood test for parametric time series models. Journal of Econometrics 141, 950 - 972 (23 pages).

Gao, J. (2007). Nonlinear Time Series: Semiparametric and Nonparametric Methods. Chapman & Hall/CRC, London (240 pages).

Arapis, M. and Gao, J. (2006). Empirical comparisons in short-term interest rate models using nonparametric methods. Journal of Financial Econometrics 4, 310-345 (36 pages).

Gao, J., Lu, Z. and Tjostheim, D. (2006). Estimation in semiparametric spatial regression. The Annals of Statistics 34, 1395-1435 (41 pages).

Gao, J. and King, M. L. (2004). Adaptive testing in continuous-time diffusion models. Econometric Theory 20, 844-883 (40 pages).

Gao, J. and Tong, H. (2004). Semiparametric nonlinear time series model selection. Journal of the Royal Statistical Society Series B 66, 321-336 (16 pages).

Professional Associations

The membership includes American Statistical Association; Institute of Mathematical Statistics; and The Econometric Society.

Files

• Gao, J. and Tong, H. Nonparametric and semiparametric model selection. Unpublished paper - gao2005.pdf [305.2K] (application/pdf)
• Chen, J. et al Semiparametric regression estimation in null-recurrent time series. Working paper - gao2008c.pdf [492.3K] (application/pdf)
• Gao, J. and Gijbels, I. Bandwidth choice for nonparametric kernel testing. Working paper - gao2008a.pdf [781.1K] (application/pdf)
• Gao, J. et al. Specification testing in nonlinear time series with nonstationarity. Working paper - gao2006.pdf [361.0K] (application/pdf)
• Gao, J. et al. Uniform convergence in nonparametric nonstationary models. Working paper - gao2009c.pdf [257.6K] (application/pdf)
• Chen, J. et al A test for cross-section uncorrelatedness in panel data models. Working paper - gao2009a.pdf [378.3K] (application/pdf)
• Li, D. et al Another look at specification testing with nonstationarity. Working paper - gao2009d.pdf [594.5K] (application/pdf)
• Gao, J. et al. Estimation in threshold AR models with nonstationarity. Working paper - gao2009b.pdf [483.2K] (application/pdf)
• Gao, J. et al. Model specification testing in time series with nonstationarity. Working paper - gao2008b.pdf [639.6K] (application/pdf)

Entry last updated: Tuesday, 27 Oct 2009