Alan Wan

Qualifications

• PhD - Econometrics (University of Canterbury)
• MCom - Economics and Econometrics (University of Canterbury)
• BEcon - Economics and Econometrics (University of Sydney)

Biography

Professor Alan Wan spent the bulk of his youth in Australia and New Zealand. He obtained a B.Ec from the University of Sydney and M.Com and Ph.D from the University of Canterbury. A paper from his Ph.D thesis was awarded the A.R. Bergstrom Prize in Econometrics, a prize open to New Zealanders under the age of 26. Alan was on the faculty at the University of New South Wales before returning to his native Hong Kong. He has co-edited 1 book and published 90 refereed papers including multiple papers in the following top-tier journals in Econometrics, Statistics and Operations Research: Journal of the American Statistical Association, Journal of Econometrics, Journal of Business and Economic Statistics, Econometric Theory and INFORMS Journal on Computing. In addition to being the principal investigator of 7 GRFs (formerly CERGs) from the Hong Kong Research Grants Council between 2002 and 2021, Alan has received research funding from the Australian Research Council, the British Academy, and the National Natural Science Foundation of China. He is an Associate Editor of the Communications in Statistics (all series) and Econometrics and Statistics. Alan received a President's Award from the university in 2016.

Research Areas

• Model Averaging and Selection
• Varying-Coefficient Semi-parametric Models
• Missing and Censored Data
• Quantile Regression

Awards

• President's Award City University of Hong Kong
• A.R. Bergstrom Prize in Econometrics New Zealand Association of Economists

Research Grants

PI: "New developments of model averaging in Econometrics and Statistics", General Programme - National Natural Science Foundation of China, Amount: RMB 500,000 (2020-2023), Alan Wan, Geoffrey Tso, Yuying Sun, Yan Gao, Wei Zhao, Lanjie Chen, Xianpeng Zong

PI: "Statistical inference after model averaging", General Research Fund - Hong Kong Research Grants Council, Amount: $441,000 (2019-2021), Alan Wan, Xinyu Zhang

PI: "Quantile regression analysis with missing and length-biased data", General Research Fund - Hong Kong Research Grants Council, Amount: $230,554 (2014-2016), Alan Wan, Yong Zhou

PI: "Some aspects of frequentist model averaging in Statistics", General Research Fund - Hong Kong Research Grants Council, Amount: $312,000 (2009-2011), Alan Wan

PI: "Wavelet Methods for change-point detection in Econometrics", Competitive Earmarked Research Grant - Hong Kong Research Grants Council, Amount: $198,250 (2008-2010), Alan Wan, Yong Zhou

PI: "Missing data and estimating equations", Competitive Earmarked Research Grant - Hong Kong Research Grants Council, Amount: $298,200 (2007-2009), Alan Wan

PI: "A Bayesian econometric study of immigration and earnings inequality in Hong Kong", Competitive Earmarked Research Grant - Hong Kong Research Grants Council, Amount: $247,926 (2004-2006), Alan Wan, Hikaru Hasegawa

PI: "On the sensitivity of econometric estimators and tests to covariance misspecification", Competitive Earmarked Research Grant - Hong Kong Research Grants Council, Amount: $348,720 (2002-2004), Alan Wan

Publications

Journal Publications and Reviews

Li, Jialiang; Lv, Jing; Wan, Alan T. K.; Liao, Jun / AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories. August 2020; In: Journal of the American Statistical Association.

Dufour, Jean-Marie; Hecq, Alain; Wan, Alan / EcoSta special issue on theoretical econometrics. July 2020; In: Econometrics and Statistics. Vol. 15, pp. 1-2

Zhao, Shangwei; Ma, Yanyuan; Wan, Alan T. K.; Zhang, Xinyu; Wang, Shouyang / Model averaging in a multiplicative heteroscedastic model. June 2020; In: Econometric Reviews. Vol. 39, No. 10, pp. 1100-1124

Fan, Shuqin; Zhao, Wei; Wan, Alan T. K.; Zhou, Yong / A composite nonparametric product limit approach for estimating the distribution of survival times under length-biased and right-censored data. 2020; In: Statistics and its Interface. Vol. 13, No. 2, pp. 221-235

Zhu, Rong; Wan, Alan T. K.; Zhang, Xinyu; Zou, Guohua / A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model. June 2019; In: Journal of the American Statistical Association. Vol. 114, No. 526, pp. 882-892

Parmeter, Christopher F.; Wan, Alan T. K.; Zhang, Xinyu / Model averaging estimators for the stochastic frontier model. June 2019; In: Journal of Productivity Analysis. Vol. 51, No. 2-3, pp. 91–103

Chen, Xuerong; Chen, Yan; Wan, Alan T.K.; Zhou, Yong / On the asymptotic non-equivalence of efficient-GMM and MEL estimators in models with missing data. June 2019; In: Scandinavian Journal of Statistics. Vol. 46, No. 2, pp. 361-388

Qiu, Zhiping; Wan, Alan T. K.; Zhou, Yong; Gilbert, Peter B. / SMOOTHED RANK REGRESSION FOR THE ACCELERATED FAILURE TIME COMPETING RISKS MODEL WITH MISSING CAUSE OF FAILURE. January 2019; In: Statistica Sinica. Vol. 29, No. 1, pp. 23-46

Wei, Wenhua; Zhou, Yong; Wan, Alan T. K. / A semiparametric linear transformation model for general biased-sampling and right-censored data. 2019; In: Statistics and its Interface. Vol. 12, No. 1, pp. 77-92

Wei, Wenhua; Wan, Alan T. K.; Zhou, Yong / Partially linear transformation model for length-biased and right-censored data. April 2018; In: Journal of Nonparametric Statistics. Vol. 30, No. 2, pp. 332-367

Chen, Longmei; Wan, Alan T. K.; Tso, Geoffrey; Zhang, Xinyu / A model averaging approach for the ordered probit and nested logit models with applications. March 2018; In: Journal of Applied Statistics. Vol. 45, No. 16, pp. 1-41

Wan, Alan T. K.; Xie, Shangyu; Zhou, Yong / A varying coefficient approach to estimating hedonic housing price functions and their quantiles. September 2017; In: Journal of Applied Statistics. Vol. 44, No. 11, pp. 1979-1999

Ullah, Aman; Wan, Alan T. K.; Wang, Huansha; Zhang, Xinyu; Zou, Guohua / A semiparametric generalized ridge estimator and link with model averaging. 2017; In: Econometric Reviews. Vol. 36, No. 1-3, pp. 370-384

Li, Rui; Wan, Alan T.K.; You, Jinhong / Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects. August 2016; In: Computational Statistics and Data Analysis. Vol. 100, pp. 401-423

Wan, Alan T. K.; You, Jinhong; Zhang, Riquan / A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors. 2016; In: Econometric Reviews. Vol. 35, No. 5, pp. 894-928

Xie, Shangyu; Wan, Alan T.K.; Zhou, Yong / Quantile regression methods with varying-coefficient models for censored data. August 2015; In: Computational Statistics and Data Analysis. Vol. 88, pp. 154-172

Chen, XinJie; Fan, YanQin; Wan, Alan; Zou, GuoHua / Post-J test inference in non-nested linear regression models. June 2015; In: Science China Mathematics. Vol. 58, No. 6, pp. 1203-1216

You, Jinhong; Wan, Alan T. K.; Liu, Shu; Zhou, Yong / A varying-coefficient approach to estimating multi-level clustered data models. June 2015; In: Test. Vol. 24, No. 2, pp. 417-440

Chen, Xuerong; Wan, Alan T. K.; Zhou, Yong / Efficient Quantile Regression Analysis With Missing Observations. June 2015; In: Journal of the American Statistical Association. Vol. 110, No. 510, pp. 723-741

Chen, Xuerong; Wan, Alan T. K.; Zhou, Yong / A quantile varying-coefficient regression approach to length-biased data modeling. December 2014; In: Electronic Journal of Statistics. Vol. 8, No. 2, pp. 2514-2540

Xie, Shangyu; Zhou, Yong; Wan, Alan T. K. / A Varying-Coefficient Expectile Model for Estimating Value at Risk. October 2014; In: Journal of Business and Economic Statistics. Vol. 32, No. 4, pp. 576-592

Ma, Yunbei; Wan, Alan T. K.; Chen, Xuerong; Zhou, Yong / On estimation and inference in a partially linear hazard model with varying coefficients. October 2014; In: Annals of the Institute of Statistical Mathematics. Vol. 66, No. 5, pp. 931-960

Wan, Alan T.K.; Zhang, Xinyu; Wang, Shouyang / Frequentist model averaging for multinomial and ordered logit models. January 2014; In: International Journal of Forecasting. Vol. 30, No. 1, pp. 118-128

Zhang, Xinyu; Wan, Alan T.K.; Zou, Guohua / Model averaging by jackknife criterion in models with dependent data. June 2013; In: Journal of Econometrics. Vol. 174, No. 2, pp. 82-94

Wang, HaiYing; Zou, Guohua; Wan, Alan T.K. / Adaptive LASSO for varying-coefficient partially linear measurement error models. January 2013; In: Journal of Statistical Planning and Inference. Vol. 143, No. 1, pp. 40-54

Zhang, Xinyu; Wan, Alan T. K.; Zhou, Sherry Z. / Focused information criteria, model selection, and model averaging in a Tobit model with a nonzero threshold. January 2012; In: Journal of Business and Economic Statistics. Vol. 30, No. 1, pp. 132-142

Wang, Haiying; Zou, Guohua; Wan, Alan T.K. / Model averaging for varying-coefficient partially linear measurement error models. 2012; In: Electronic Journal of Statistics. Vol. 6, pp. 1017-1039

Zhou, Yong; Wan, Alan T.K.; Yuan, Yuan / Combining least-squares and quantile regressions. December 2011; In: Journal of Statistical Planning and Inference. Vol. 141, No. 12, pp. 3814-3828

Magnus, Jan R.; Wan, Alan T.K.; Zhang, Xinyu / Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market. March 2011; In: Computational Statistics and Data Analysis. Vol. 55, No. 3, pp. 1331-1341

Liang, Hua; Zou, Guohua; Wan, Alan T.K.; Zhang, Xinyu / Optimal weight choice for frequentist model average estimators. 2011; In: Journal of the American Statistical Association. Vol. 106, No. 495, pp. 1053-1066

Schomaker, Michael; Wan, Alan T. K.; Heumann, Christian / Frequentist Model Averaging with missing observations. December 2010; In: Computational Statistics and Data Analysis. Vol. 54, No. 12, pp. 3336-3347

He, Angela W.W.; Kwok, Jerry T.K.; Wan, Alan T.K. / An empirical model of daily highs and lows of West Texas Intermediate crude oil prices. November 2010; In: Energy Economics. Vol. 32, No. 6, pp. 1499-1506

Zhou, Yong; Wan, Alan T.K.; Xie, Shangyu; Wang, Xiaojing / Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance. November 2010; In: Journal of Econometrics. Vol. 159, No. 1, pp. 183-201

Wan, Alan T.K.; Zhang, Xinyu; Zou, Guohua / Least squares model averaging by Mallows criterion. June 2010; In: Journal of Econometrics. Vol. 156, No. 2, pp. 277-283

Cheung, Yan-Leung; Cheung, Yin-Wong; He, Angela W.W.; Wan, Alan T.K. / A trading strategy based on Callable Bull/Bear Contracts. April 2010; In: Pacific Basin Finance Journal. Vol. 18, No. 2, pp. 186-198

He, Angela W.W.; Wan, Alan T. K. / Predicting daily highs and lows of exchange rates: A cointegration analysis. November 2009; In: Journal of Applied Statistics. Vol. 36, No. 11, pp. 1191-1204

Zhang, Xinyu; Chen, Ti; Wan, Alan T.K.; Zou, Guohua / Robustness of Stein-type estimators under a non-scalar error covariance structure. November 2009; In: Journal of Multivariate Analysis. Vol. 100, No. 10, pp. 2376-2388

Qin, Huaizhen; Wan, Alan T.K.; Zou, Guohua / On the sensitivity of the one-sided t test to covariance misspecification. September 2009; In: Journal of Multivariate Analysis. Vol. 100, No. 8, pp. 1593-1609

Wan, Alan T.K.; Zhang, Xinyu / On the Use of Model Averaging in Tourism Research. July 2009; In: Annals of Tourism Research. Vol. 36, No. 3, pp. 525-532

Zou, Guohua; Zeng, Jie; Wan, Alan T.K.; Guan, Zhong / Stein-type improved estimation of standard error under asymmetric LINEX loss function. April 2009; In: Statistics. Vol. 43, No. 2, pp. 121-129

Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan T. K. / A high-low model of daily stock price ranges. March 2009; In: Journal of Forecasting. Vol. 28, No. 2, pp. 103-119

Ohtani, Kazuhiro; Wan, Alan T. K. / Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted. January 2009; In: Statistical Papers. Vol. 50, No. 1, pp. 151-160

Zhou, Yong; Wan, Alan T. K.; Wang, Xiaojing / Estimating equations inference with missing data. September 2008; In: Journal of the American Statistical Association. Vol. 103, No. 483, pp. 1187-1199

WAN, Tze-Kin / Wage earnings of Chinese immigrants: a semi-parametric analysis. 2008; In: The International Journal of Applied Economics and Finance. Vol. 2, No. 1, pp. 28 - 35

Wan, Alan T.K.; Zou, Guohua; Qin, Huaizhen / On the sensitivity of the restricted least squares estimators to covariance misspecification. November 2007; In: Econometrics Journal. Vol. 10, No. 3, pp. 471-487

Bao, Helen X.H.; Wan, Alan T.K. / Improved estimators of hedonic housing price models. July 2007; In: Journal of Real Estate Research. Vol. 29, No. 3, pp. 267-301

Zou, Guohua; Wan, Alan T.K.; Wu, Xiaoyong; Chen, Ti / Estimation of regression coefficients of interest when other regression coefficients are of no interest: The case of non-normal errors. April 2007; In: Statistics and Probability Letters. Vol. 77, No. 8, pp. 803-810

Wan, Alan T.K.; Zou, Guohua; Banerjee, Anurag / The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions. February 2007; In: Economics Letters. Vol. 94, No. 2, pp. 213-219

Akdeniz, Esra; Akdeniz, Fikri; Wan, Alan T.K.; Chen, Ti / Further results on the generalized Liu-type estimators under the balanced loss function. 2007; In: Model Assisted Statistics and Applications. Vol. 2, No. 4, pp. 213-223

Wan, Alan T.K.; Zou, Guohua; Ohtani, Kazuhiro / Further results on optimal critical values of pre-test when estimating the regression error variance. March 2006; In: Econometrics Journal. Vol. 9, No. 1, pp. 159-176

Wan, Alan T.K. / On discrimination and the status of immigrants in the Hong Kong labour market. 2006; In: Economics Bulletin. Vol. 10, No. 1

Akdeniz, Fikri; Wan, Alan T. K.; Akdeniz, Esra / Generalized liu type estimators under Zellner's balanced loss function. 2005; In: Communications in Statistics - Theory and Methods. Vol. 34, No. 8, pp. 1725-1736

Bao, Helen X.H.; Wan, Alan T.K. / On the use of spline smoothing in estimating hedonic housing price models: Empirical evidence using Hong Kong data. September 2004; In: Real Estate Economics. Vol. 32, No. 3, pp. 487-507

Qin, Huaizhen; Wan, Alan T.K. / On the properties of the t- and F-ratios in linear regressions with nonnormal errors. August 2004; In: Econometric Theory. Vol. 20, No. 4, pp. 690-700

Akdeniz, Fikri; Yüksel, Güzin; Wan, Alan T.K. / The moments of the operational almost unbiased ridge regression estimator. June 2004; In: Applied Mathematics and Computation. Vol. 153, No. 3, pp. 673-684

Wan, Alan T.K.; Zou, Guohua / On unbiased and improved loss estimation for the mean of a multivariate normal distribution with unknown variance. January 2004; In: Journal of Statistical Planning and Inference. Vol. 119, No. 1, pp. 17-22

Zou, Guohua; Wan, Alan T.K. / Admissible and minimax estimation of the parameter n in the binomial distribution. May 2003; In: Journal of Statistical Planning and Inference. Vol. 113, No. 2, pp. 451-466

Wan, Alan T.K.; Zou, Guohua / Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure. May 2003; In: Journal of Econometrics. Vol. 114, No. 1, pp. 165-196

Wan, Alan T.K.; Chaturvedi, Anoop; Zou, Guohua / Unbiased estimation of the MSE matrices of improved estimators in linear regression. February 2003; In: Journal of Applied Statistics. Vol. 30, No. 2, pp. 173-189

Srivastava, Viren K.; Wan, Alan T.K. / Separate versus system methods of Stein-rule estimation in seemingly unrelated regression models. November 2002; In: Communications in Statistics - Theory and Methods. Vol. 31, No. 11, pp. 2077-2099

Chaturvedi, Anoop; Wan, Alan T.K.; Singh, Shri P. / Improved multivariate prediction in a general linear model with an unknown error covariance matrix. October 2002; In: Journal of Multivariate Analysis. Vol. 83, No. 1, pp. 166-182

Wan, Alan T.K. / On generalized ridge regression estimators under collinearity and balanced loss. July 2002; In: Applied Mathematics and Computation. Vol. 129, No. 2-3, pp. 455-467

Ohtani, Kazuhiro; Wan, Alan T. K. / ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION. 2002; In: Econometric Reviews. Vol. 21, No. 1, pp. 121-134

Ho, Ada K.F.; Wan, Alan T.K. / Testing for covariance stationarity of stock returns in the presence of structural breaks: An intervention analysis. 2002; In: Applied Economics Letters. Vol. 9, No. 7, pp. 441-447

Chaturvedi, Anoop; Wan, Alan T. K.; Singh, Shri P. / Stein-rule restricted regression estimator in a linear regression model with nonspherical disturbances. January 2001; In: Communications in Statistics - Theory and Methods. Vol. 30, No. 1, pp. 55-68

Wan, Alan T.K.; Chaturvedi, Anoop / Double k-class estimators in regression models with non-spherical disturbances. 2001; In: Journal of Multivariate Analysis. Vol. 79, No. 2, pp. 226-250

Wan, Alan T.K.; Zou, Guohua; Lee, Andy H. / Minimax and Γ -minimax estimation for the Poisson distribution under LINEX loss when the parameter space is restricted. October 2000; In: Statistics and Probability Letters. Vol. 50, No. 1, pp. 23-32

Geng, W. J.; Wan, Alan T.K. / On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss. October 2000; In: Statistical Papers. Vol. 41, No. 4, pp. 453-472

Wan, Alan T.K.; Ohtani, Kazuhiro / Minimum mean-squared error estimation in linear regression with an inequality constraint. April 2000; In: Journal of Statistical Planning and Inference. Vol. 86, No. 1, pp. 157-173

Chaturvedi, Anoop; Wan, Alan T. K. / Exact results on the inadmissibility of the feasible generalized least squares estimator in regression models with non-spherical disturbances. 2000; In: Biometrical Journal. Vol. 42, No. 4, pp. 481-487

Wan, Alan T. K.; Chaturvedi, Anoop / Operational variants of the minimum mean squared error estimator in linear regression models with non-spherical disturbances. 2000; In: Annals of the Institute of Statistical Mathematics. Vol. 52, No. 2, pp. 332-342

Zou, Guohua; Wan, Alan T. K. / Simultaneous estimation of several stratum means under error-in-variables superpopulation models. 2000; In: Annals of the Institute of Statistical Mathematics. Vol. 52, No. 2, pp. 380-396

Shalabh; Wan, Alan T.K. / Stein-rule estimation in mixed regression models. 2000; In: Biometrical Journal. Vol. 42, No. 2, pp. 203-214

Wan, Alan T.K.; Kurumai, Hiroko / An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss *. November 1999; In: Statistics and Probability Letters. Vol. 45, No. 3, pp. 253-259

Wan, Alan T. K. / A note on almost unbiased generalized ridge regression estimator under asymmetric loss. 1999; In: Journal of Statistical Computation and Simulation. Vol. 62, No. 4, pp. 411-421

Ohtani, Kazuhiro; Wan, Alan T.K. / On the sampling performance of an improved Stein inequality restricted estimator. June 1998; In: Australian and New Zealand Journal of Statistics. Vol. 40, No. 2, pp. 181-187

Wan, Alan T.K.; Griffiths, William E. / Bayesian estimation of the linear regression model with an uncertain interval constraint on coefficients. January 1998; In: Statistical Papers. Vol. 39, No. 1, pp. 109-118

Wan, Alan T.K. / The exact density and distribution functions of the inequality constrained and pre-test estimators. September 1997; In: Statistical Papers. Vol. 38, No. 3, pp. 329-341

Wan, Alan T.K. / Estimating the error variance after a pre-test for an inequality restriction on the coefficients. June 1996; In: Journal of Statistical Planning and Inference. Vol. 52, No. 2, pp. 197-213

Wan, Alan T. K. / On the bias and mean square error of the least square estimator in a regression model with two inequality constraints and multivariate t error terms. 1996; In: Communications in Statistics - Theory and Methods. Vol. 25, No. 9, pp. 2079-2091

Wan, Alan T.K.; Yang, Minxian / On the use of the f ratio in a mis-specified model with an interval restriction. April 1995; In: Journal of Statistical Computation and Simulation. Vol. 52, No. 2, pp. 151-161

Wan, Alan T.K. / THE OPTIMAL CRITICAL VALUE OF A PRE‐TEST FOR AN INEQUALITY RESTRICTION IN A MIS‐SPECIFIED REGRESSION MODEL. March 1995; In: Australian Journal of Statistics. Vol. 37, No. 1, pp. 73-81

Wan, Alan T.K. / Risk comparison of the inequality constrained least squares and other related estimators under balanced loss. November 1994; In: Economics Letters. Vol. 46, No. 3, pp. 203-210

Wan, Alan T.K. / THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL. September 1994; In: Australian Journal of Statistics. Vol. 36, No. 3, pp. 313-325

Wan, Alan T.K. / The non-optimality of interval restricted and pre-test estimators under squared error loss. January 1994; In: Communications in Statistics - Theory and Methods. Vol. 23, No. 8, pp. 2231-2252

Chapters, Conference Papers, Creative and Literary Works

QIN, Huaizhen; WAN, Tze-Kin; ZOU, Guohua / Local sensitivity in the inequality restricted linear model. 2008; Recent advances in linear models and related areas. pp. 135-163