BSc (Anhui, China), MSc, DSc (University of Science and Technology, China), PhD (Econometrics) (Monash)
Econometric and statistical methods

Professor Jiti Gao is Donald Cochrane Chair since January 2016, Richard Snape Chair between July 2015 - December 2015, and Professor of Econometrics and Economic Statistics at Monash University since January 2011. He was an Australian Professorial Fellow between January 2010 - December 2014 at University of Adelaide and then Monash University. Professor Gao is an internationally recognised leading researcher in the fields of nonparametric and semiparametric econometrics as well as time series econometrics and financial econometrics. Professor Gao also has research interests in big data, business analytics, demography, health econometrics, machine learning and neural networks, and social networks.

Professor Gao's recent key appointments include: Member of the Research Evaluation Committee in the 2010 Excellence for Research in Australia (ERA) Initiative; Member of the Australasian Standing Committee of the Econometric Society; Elected Member of the International Statistical Institute; Founding Member of the Society for Financial Econometrics; and an Associate Editor of the Editorial Boards of Econometric Theory; The Journal of Business and Economic Statistics; and The Journal of Econometrics.

Fellowships, Honorary Memberships, Special Awards

  • Australian Professorial Fellowship (2010)
  • Elected Fellowship of the International Statistical Institute (2011)
  • Econometric Theory Multa Scripsit Award (2012)
  • Founding Membership of the Society for Financial Econometrics (2009)
  • Named Fellow of The Journal of Econometrics in 2018
  • Econometric Theory Plura Script Award in 2020
  • Elected Fellow of the International Association for Applied Econometrics in 2021

Main Teaching, Research or Administrative Posts

  • January 2016 - : Donald Cochrane Chair and Professor of Econometrics and Economic Statistics, Monash University
  • July 2015 - December 2015 : Richard Snape Chair of Business and Economics and Professor of Econometrics and Economic Statistics, Monash University
  • January 2010 - December 2014: Australian Professorial Fellow, University of Adelaide and Monash University
  • January 2008 - December 2010: Professor of Economics and Chair of Econometrics, University of Adelaide
  • December 2004 - December 2007: Professor of Statistics, University of Western Australia
  • December 1999 - November 2004: Lecturer and then Senior Lecturer of Statistics, University of Western Australia
  • January 1996 - November 1999: University and then ARC Research Fellow, Queensland University of Technology

2020 Econometric Theory Plura Script Award

2012 Econometric Theory Multa Scripsit Award

2012 Dean's Award for Excellence in Research by the Faculty of Business and Economics at Monash University

Jia Chen, Jiti Gao and Degui Li (2012), 'Semiparametric trending panel data models with cross-sectional dependence' in Journal of Econometrics 171, 21 - 85. Yacine Ait-Sahalia, Jianqing Fan, Han Hong, Cheng Hsiao and Peter Robinson (eds). The Netherlands: Elsevier

Songxi Chen, Jiti Gao and Chengyan Tang (2008), 'A test for model specification of diffusion processes' in Annals of Statistics 36, 167 - 198. Jianqing Fan (ed). Durham, USA: Duke University Press

Jiti Gao and Irene Gilbels (2008), 'Bandwidth selection in nonparametric kernal testing', in Journal of the American Statistical Association 103, 1584 - 1594. Stephen Portnoy (ed). New York, USA:Taylor and Francis

Jiti Gao (2007), Nonlinear Time Series: Semiparametric and Nonparametric Methods. New York, USA: Taylor and Francis

Manual Arapis and Jiti Gao (2006), 'Empirical comparisons in short-term interest rate models using nonparametric methods', in Journal of Financial Econometrics 4, 310 - 345. Robert Engle (ed). Oxford, UK: Oxford University Press

Jiti Gao and Maxwell King (2004), 'Adaptive testing in continuous-time diffusion models' in Econometric Theory 20, 844 - 882. Peter C B Phillips (ed). Cambridge, UK: Cambridge University Press