Alan Wan's Research Work

Publications

Book

1. Ullah, A., Wan, A.T.K. and Chaturvedi, A. (eds.) (2002), Handbook of Applied Econometrics and Statistical Inference, CRC Press: New York.

Book Chapters

2. Qin, H., Wan, A.T.K. and Zou, G.H. (2008), ”Local sensitivity in the inequality restricted linear model”, in Shalabh and Heumann, C. (eds.), Recent Advances in Linear Models and RelatedArea: Essays in Honour of Helge Toutenburg , Springer: Berlin, 135-164.

1. Chaturvedi, A., Wan, A.T.K. and Zou, G.H. (2002), ”Bayesian inference of a dynamic linear model with non-normal disturbances”, in Ullah, A., Wan, A.T.K. and Chaturvedi, A. (eds.), Handbook of Applied Econometrics and Statistical Inference, CRC Press: New York, Chapter 20, 423-441.

Journal Articles

104. Chen, L., Wan, A.T.K., Zhang, S. and Zhou, Y. (2023), "Distributed algorithms for U-statistics-based empirical risk minimization", Journal of Machine Learning Research, accepted.

103. Zheng, S., Wan, A.T.K. and Zhou, Y. (2023), "Semiparametric recovery of central dimension reduction space with nonignorable nonresponse", Statistica Neerlandica, accepted.

102. Chen, L., Su, J., Wan, A.T.K. and Zhou, Y. (2023), "A simple divide-and-conquer-based distributed method for the accelerated failure time model", Journal of Computational and Graphical Statistics, accepted.

101. Zhao, Z., Zhang, X., Wan, A.T.K., Zou, G. and Tso, G. (2023), "Model averaging for estimating treatment effects", Annals of the Institute of Statistical Mathematics, accepted.

100. Zou, J., Yuan, C., Zhang, X., Zou, G. and Wan, A.T.K. (2023), "Model averaging for support vector machine by cross- validation", Statistics and Computing, 33, 117.

99.  Wan, A.T.K., Zhao, W., Gilbert, P. and Zhou, Y. (2023), "A varying-coefficient partially linear transformation model for length-biased data with an application to HIV vaccine studies", International Journal of Biostatistics, 19, 131-162.

98.  Zheng, S., Wan, A.T.K. and Zhou, Y. (2023), "Missing data analysis with sufficient dimension reduction", Canadian Journal of Statistics, 51, 630-651.

97. Wang, M., Zhang, X., Wan, A.T.K. and Zou, G. (2023), "Jackknife model averaging for high-dimensional quantile regressions", Biometrics, 79, 178-189.

96. Zhu, R., Zhang, X., Wan, A.T.K. and Zou, G. (2023), "Kernel averaging estimators", Journal of Business and Economic Statistics, 41, 157-169.

95. Liao, J., Wan, A.T.K. and Zou, G. (2023), "Frequentist model averaging for the nonparametric additive model", Statistica Sinica, 33, 401-430.

94.  Zhou, J., Wan, A.T.K. and Yu, D. (2022), "Frequentist model averaging for zero-inflated Poisson regression models", Statistical Analysis and Data Mining, 15, 679-691. 

93.  Zhu, R., Zhang, X., Wan, A.T.K. and Zou, G. (2022), "Frequentist model averaging under inequality restrictions", Journal of Statistical Planning and Inference, 221, 100-113. 

92.  Sun, Y., Zhang, X., Wan, A.T.K. and Wang, S.Y. (2022), "Model averaging for interval-valued data", European Journal of Operational Research, 301, 772-784.

91. Liao, J., Wan, A.T.K. and Zou, G. (2022), "Optimal model averaging for multivariate regression models",  Journal of Multivariate Analysis, 189, 104858.

90. Li, J., Lv, J., Wan, A.T.K. and Liao, J. (2022), "AdaBoost semiparametric model averaging prediction for multiple categories", Journal of the American Statistical Association, 117, 495-509.

89. Nelson, B., Wan, A.T.K., Jiang, X., Zou, G. and Zhang, X. (2021), "Reducing simulation input-model risk via input model averaging", INFORMS Journal on Computing, 33, 672-684.

88. Zhao, S., Ma, Y., Wan, A.T.K., Zhang, X. and Wang, S.Y. (2020), "Model averaging in a multiplicative heteroscedastic model", Econometric Reviews, 39, 1100-1124.

87. Fan, S., Zhao, W., Wan, A.T.K. and Zhou, Y. (2020), "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.

86. Parmeter, C., Wan, A.T.K. and Zhang, X. (2019), "Model averaging estimators for the stochastic frontier model", Journal of Productivity Analysis, 51, 91-103.

85. Chen, X., Chen, Y., Wan, A.T.K. and Zhou, Y. (2019), "On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data", Scandinavian Journal of Statistics, 46, 361-388.

84. Wei, W., Zhou, Y. and Wan, A.T.K. (2019), "A semiparametric linear transformation model for general biased-sampling and right-censored data", Statistics and Its Interface, 12, 77-92.

83. Zhu, R., Wan, A.T.K., Zhang, X. and Zou, G. (2019), "A Mallows-type model averaging estimator for the varying coefficient partially linear model",  Journal of the American Statistical Association, 114, 882-894.

82. Qiu, Z., Wan, A.T.K., Zhou, Y. and Gilbert, P. (2019), "Smoothed rank regression for the accelerated failure time competing risks model with missing cause of failure", Statistica Sinica, 29, 23-46.

81. Chen, L., Wan, A.T.K., Tso, G. and Zhang, X. (2018), "A model averaging approach for the ordered probit and nested logit models with applications",  Journal of Applied Statistics, 45, 3012-3052.

80. Wei, W., Wan, A.T.K., and Zhou, Y. (2018), "Partially linear transformation model for length-biased and right-censored data",  Journal of Nonparametric Statistics, 30, 332-367.

79.  Wan, A.T.K., Xie, S. and Zhou, Y. (2017), "A varying-coefficient approach to estimating hedonic housing price functions and their quantiles",  Journal of Applied Statistics, 44, 1979-1999.

78. Ullah, A., Wan, A.T.K., Wang, H., Zhang, X. and Zou, G.H. (2017), "A semiparametric generalized ridge estimator and link with model averaging", Econometric Reviews, 36, 370-384.

77. Li, R., Wan, A.T.K. and You, J. (2016), "Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects", Computational Statistics and Data Analysis, 100, 403-423.

76. Wan, A.T.K., You, J. and Zhang, R. (2016), "A seemingly unrelated nonparametric additive model with autoregressive errors", Econometric Reviews, 35, 894-928.

75. Chen, X., Wan, A.T.K. and Zhou, Y. (2015), "Efficient quantile regression analysis with missing observations", Journal of the American Statistical Association, 110, 723-741.

74. Xie, S., Wan, A.T.K. and Zhou, Y. (2015), "Quantile regression methods with varying-coefficient models for censored data", Computational Statistics and Data Analysis, 88, 154-172.

73. You, J., Wan, A.T.K., Liu, S. and Zhou, Y. (2015), "A varying-coefficient approach to estimating multi-level clustered data models", TEST, 24, 417-440.

72. Chen, X., Fan, Y., Wan, A.T.K. and Zou, G. (2015), "Post-J test inference in non-nested linear regression models", Science China Mathematics, 58, 1203-1216.

71. Chen, X., Wan, A.T.K. and Zhou, Y. (2014), "A quantile varying-coefficient regression approach to length-biased data modeling", Electronic Journal of Statistics, 8, 2514-2540.

70. Xie., S., Zhou, Y. and Wan, A.T.K. (2014), "A varying-coefficient expectile model for estimating Value at Risk", Journal of Business and Economic Statistics, 32, 576-592.

69. Ma, Y., Wan, A.T.K., Chen, X. and Zhou, Y. (2014), "On estimation and inference in a partially linear hazard model with varying coefficients", Annals of the Institute of Statistical Mathematics, 66, 931-960.

68. Wan, A.T.K., Zhang, X. and Wang, S.Y. (2014), "Frequentist model averaging for multinomial and ordered Logit models", International Journal of Forecasting, 30, 118-128.

67. Zhang, X., Wan, A.T.K. and Zou, G.H. (2013), "Model averaging by Jackknife criterion in models with dependent data", Journal of Econometrics, 174, 82-94.

66. Wang, H., Zou, G.H., and Wan, A.T.K. (2013), "Adaptive LASSO for varying-coefficient partially linear measurement errors models", Journal of Statistical Planning and Inference, 143, 40-54.

65. Chan, B.S.F. and Wan, A.T.K. (2013), "Range-based price forecasts and a trading strategy for corn and soybeans futures", Journal of Business and Economics, 5, 1-23 (invited paper).

64. Wang, H., Zou, G.H., Wan, A.T.K. (2012), "Model averaging for varying-coefficient partially linear measurement errors model", Electronic Journal of Statistics, 6, 1017-1039.

63. Zhang, X., Wan, A.T.K. and Zhou, S. Z. (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.

62. Liang, H., Zou, G.H., Wan, A.T.K. and Zhang, X. (2011), "Optimal weight choice for frequentist model average estimators", Journal of the American Statistical Association, 106, 1053-1066.

61. Zhou, Y., Wan, A.T.K. and Yuan, Y. (2011), "Combining least-squares and quantile regressions", Journal of Statistical Planning and Inference, 141, 3814-3828.

60. Magnus, J.R., Wan, A.T.K. and Zhang, X. (2011), "Weighted average least squares estimation with non-spherical errors with an application to the Hong Kong housing market", Computational Statistics and Data Analysis, 55, 1331-1341.

59. He, A.W.W., Wan, A.T.K. and Kwok, J.T.K. (2010), "An empirical model of daily highs and lows of West Texas Intermediate crude oil prices", Energy Economics, 32,1499-1506.

58. Zhou, Y., Wan, A.T.K., Xie, S. and Wang, X.J. (2010), "Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance", Journal of Econometrics, 159, 183-201.

57. Schomaker, M., Wan, A.T.K. and Heumann, M. (2010), "Frequentist model averaging with missing observations”, Computational Statistics and Data Analysis, 54, 3336-3347.

56. Wan, A.T.K., Zhang, X. and Zou, G.H. (2010), "Least squares model averaging by Mallows criterion", Journal of Econometrics, 156, 277-283.

55. Cheung, Y.L., Cheung, Y.W., He, A.W.W. and Wan, A.T.K. (2010), "A trading strategy based on callable bull/bear contract", Pacific Basin Finance Journal, 18, 186-198.

54. Chen, T., Zhang, X., Wan, A.T.K. and Zou, G.H. (2009), "Robustness of Stein-type estimators under a non-scalar covariance structure",  Journal of Multivariate Analysis, 100, 2376-2388.

53. Qin, H., Wan, A.T.K. and Zou, G.H. (2009), "On the sensitivity of the one-sided t test to covariance mis-specification", Journal of Multivariate Analysis, 100, 1593-1609.

52. He, W.W. and Wan, A.T.K. (2009), "Predicting daily highs and lows of exchange rate: a cointegration analysis", Journal of Applied Statistics, 36, 1191-1204.

51. Zou, G.H., Zeng, J., Wan, A.T.K. and Guan, Z. (2009), "Stein-type improved estimation of standard error under asymmetric LINEX loss function", Statistics, 43, 121-129.

50. Wan, A.T.K. and Zhang, X. (2009), "On the use of model averaging in tourism research",  Annals of Tourism Research, 36, 525-532.

49. Cheung, Y.L., Cheung, Y.W. and Wan, A.T.K. (2009), "A high-low model for forecasting daily stock prices range", Journal of Forecasting, 28, 103-119.

48. Ohtani, K. and Wan, A.T.K. (2009), "Comparison of the Stein variance estimator and the usual estimator for the regression error variance under the Pitman nearness criterion when there are omitted variables", Statistical Papers, 50, 151-160.

47. Zhou, Y., Wan, A.T.K. and Wang, X.J. (2008), "Estimating equations inference with missing data", Journal of the American Statistical Association, 103, 1187-1199.

46. Wan, A.T.K. (2008), "Wage distribution of Chinese immigrants: a semi-parametric analysis", International Journal of Applied Economics and Finance, 2, 28-35.

45. Wan, A.T.K., Zou, G.H. and Qin, H. (2007), "On the sensitivity of the restricted least squares estimator to covariance misspecification", Econometrics Journal, 10, 471-487.

44. Bao, H.X.H. and Wan, A.T.K. (2007), "Improved estimators of hedonic housing price models", Journal of Real Estate Research, 29, 267-302.

43. Shalabh and Wan, A.T.K. (2007), "A class of estimators of regression coefficient for sign change problem in measurement error models", Journal of Statistical Research, 41, 63-72.

42. Akdeniz, E., Akdeniz, A., Wan, A.T.K. and Chen, T. (2007), "Further results on the generalized Liu-type estimators under the balanced loss function", Models Assisted Statistics and Applications, 2, 213-223.

41. Zou, G.H., Wan, A.T.K., Wu, X. and Chen, T. (2007), "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.

40. Wan, A.T.K., Zou, G.H. and Banerjee, A. (2007), "The power of autocorrelation tests near the unit root in regression models with possibly mis-specified linear restrictions", Economics Letters, 94, 213-219.

39. Wan, A.T.K. (2006), "On discrimination and the status of immigrants in the Hong Kong labour market", Economics Bulletin, 10, 1-17.

38. Wan, A.T.K., Zou, G.H. and Ohtani, K. (2006), "Further results on optimal critical values of pre-test when estimating the regression error variance", Econometrics Journal, 9, 159-176.

37. Akdeniz, F., Wan, A.T.K. and Akdeniz, E. (2005), "Generalized Liu type estimators under Zellner's balanced loss function", Communications in Statistics: Theory and Methods, 34, 1725-1736.

36. Qin, H. and Wan, A.T.K. (2004), "On the properties of the t- and F-ratios in linear regressions with nonnormal errors", Econometric Theory, 20, 690-700.

35. Bao, H.X.H. and Wan, A.T.K. (2004), "On the use of spline smoothing in estimating hedonic housing price models: empirical evidence using Hong Kong data", Real Estate Economics, 32, 487-507.

34. Akdeniz, F., Yuksel, G. and Wan, A.T.K. (2004), "The moments of the operational almost unbiased ridge regression estimator", Applied Mathematics and Computation, 153, 673-684.

33. Wan, A.T.K. and Zou, G. H. (2004), "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.

32. Wan, A.T.K. and Zou, G. H. (2003), "Optimal critical values of pre-tests when estimating the regression variance: analytical findings under a general loss structure", Journal of Econometrics, 114, 165-196.

31. Zou, G.H. and Wan, A.T.K. (2003), "Admissible and minimax estimation of the parameter n in the binomial distribution", Journal of Statistical Planning and Inference, 113, 451-466.

30. Wan, A.T.K., Chaturvedi, A. and Zou, G.H. (2003), "Unbiased estimation of the MSE matrices of improved estimators in linear regression", Journal of Applied Statistics, 30, 173-189.

29. Srivastava, V.K. and Wan, A.T.K. (2002), "Separate versus system methods of Stein-rule estimation in seemingly unrelated regresion models", Communications in Statistics: Theory and Methods, 31, 2077-2099.

28. Chaturvedi, A., Wan, A.T.K., and Singh, S.P. (2002), "Improved multivariate prediction in a general linear model with an unknown error covariance matrix", Journal of Multivariate Analysis, 83, 166- 182.

27. Ho, A.K.F. and Wan, A.T.K. (2002), "Testing for covariance stationarity of stock returns in the presence of structural breaks: an intervention analysis", Applied Economics Letters, 9, 441-447.

26. Wan, A.T.K. (2002), "On generalized ridge regression estimators under collinearity and balanced loss", Applied Mathematics and Computation, 129, 455-467.

25. Ohtani, K. and Wan, A.T.K. (2002), "On the use of the Stein variance estimator in the double k-class estimators", Econometric Reviews, 21, 121-134.

24. Griffiths, W.E. and Wan, A.T.K. (2001), "A Bayesian estimator of the linear regression model with an uncertain inequality constraint", Journal of Applied Statistical Science, 10, 323-341.

23. Wan, A.T.K. and Chaturvedi, A. (2001), "Double k-class estimators in regression models with nonspherical disturbances", Journal of Multivariate Analysis, 79, 226-250.

22. Chaturvedi, A., Wan, A.T.K. and Singh, S.P. (2001), "Stein-rule restricted regression estimator in a linear regression model with non-spherical disturbances", Communications in Statistics: Theory and Methods, 30, 55-68.

21. Geng, W.J. and Wan, A.T.K. (2000), "On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss", Statistical Papers, 41, 453-472.

20. Wan, A.T.K., Zou, G. H. and Lee, A.H. (2000), "Minimax and G -minimax estimation of the Poisson distribution under LINEX loss when the parameter space is restricted", Statistics and Probability Letters, 50, 23-32.

19. Chaturvedi, A. and Wan, A.T.K. (2000), "Exact results on the inadmissibility of the feasible generalized least squares estimator in regression models with non-spherical disturbances", Biometrical Journal, 42, 481-487.

18. Zou, G.H. and Wan, A.T.K. (2000), "Simultaneous estimation of several strata means under error-invariables superpopulation models", Annals of the Institute of Statistical Mathematics, 52, 380-396.

17. Wan, A.T.K. and Chaturvedi, A. (2000), "Operational variants of the minimum mean squared error estimator in linear regression models with non-spherical disturbances", Annals of the Institute of Statistical Mathematics, 52, 332-342.

16. Shalabh and Wan, A.T.K. (2000), "Stein-rule estimation in mixed regression models", Biometrical Journal, 42,        203-214.

15. Wan, A.T.K. and Ohtani, K. (2000), "Minimum mean squared error estimation in linear regression with an inequality constraint", Journal of Statistical Planning and Inference, 86, 157-173.

14. Chaturvedi, A. and Wan, A.T.K. (1999), "Estimation of regression coefficients subject to interval constraints in models with non-spherical errors", Sankhya: The Indian Journal of Statistics, Series B, 61, 433-442.

13. Wan, A.T.K. and Kurumai, H. (1999), "An iterative minimum mean squared error estimators of the regression error variance under asymmetric loss", Statistics and Probability Letters, 45, 253- 259.

12. Wan, A.T.K. (1999), "A note on almost unbiased generalized ridge regression estimator under asymmetric loss", Journal of Statistical Computation and Simulation, 62, 411-421.

11. Chaturvedi, A. and Wan, A.T.K. (1998), "Stein-rule estimation in a dynamic linear model", Journal of Applied Statistical Science, 7, 17-25.

10. Ohtani, K. and Wan, A.T.K. (1998), "On the sampling performance of an improved Stein inequality restricted estimator", Australian and New Zealand Journal of Statistics, 40, 181-187.

9. Wan, A.T.K. and Griffiths, W.E. (1998), "Bayesian estimation of the linear regression model with an uncertain interval constraint on coefficients", Statistical Papers, 39, 109-118.

8. Wan, A.T.K. (1997), "The exact density and distribution functions of the inequality constrained and pretest estimators", Statistical Papers, 38, 329-341.

7. Wan, A.T.K. (1996), "On the bias and mean square error of the least squares estimator in a model with two inequality constraints and multivariate t error terms", Communications in Statistics: Theory and Methods, 25, 2079-2091.

6. Wan, A.T.K. (1996), "Estimating the error variance after a pre-test for an inequality restriction on the coefficients", Journal of Statistical Planning and Inference, 52, 197-213.

5. Wan, A.T.K. (1995), "The optimal critical value of a pre -test for an inequality restriction in a mis-specified regression model", Australian Journal of Statistics, 37, 73-82.

4. Wan, A.T.K. and Yang, M. (1995), "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.

3. Wan, A.T.K. (1994), "The sampling performance of inequality and pre-test estimators in a mis-specified linear model", Australian Journal of Statistics, 36, 313-325.

2. Wan, A.T.K. (1994), "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. (1994), "The non-optimality of interval restricted and pre-test estimator under squared error loss", Communications in Statistics: Theory and Methods, 23, 2231-2252.