193 Key Publications

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  He, Y., Jaidee, S. and Gao, J. (2022). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, :.

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  Blasques, F., Francq, C. and Laurent, S. (2022). Quasi score-driven models Journal of Econometrics, :.

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  Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2021). Maximum likelihood estimation for score-driven models Journal of Econometrics, :.

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  Wang, W.(., Leng, X.(. and Chen, H. (2021). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, :.

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  Juodis, A. and Sarafidis, V. (2021). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, :.

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  Li, M. and Koopman, S. (2021). Unobserved components with stochastic volatility: Simulation-based estimation and signal extraction Journal of Applied Econometrics, 36(5):614--627.

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  Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, :.

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  Juodis, A., Karabiyik, H. and Westerlund, J. (2020). On the robustness of the pooled CCE estimator Journal of Econometrics, :.

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  Blasques, F., Gorgi, P. and Koopman, S.J. (2020). Missing observations in observation-driven time series models Journal of Econometrics, :.

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  Einmahl, J., Yang, F and Zhou, C. (2020). Testing the multivariate regular variation model Journal of Business and Economic Statistics, accepted:.

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  Miao, K., Su, L. and Wang, W. (2020). Panel threshold regressions with latent group structures Journal of Econometrics, 213:451--481.

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  Conrad, C. and Kleen, O. (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH?MIDAS models Journal of Applied Econometrics, 35(1):19--45.

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  Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.

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  Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, 214(1):46--66.

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  Wan, P. and Davis, R. (2020). Goodness-of-fit testing for time series models via distance covariance Journal of Econometrics, :.

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  Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372.

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  Friedrich, M., Smeekes, S. and Urbain, J.P. (2020). Autoregressive wild bootstrap inference for nonparametric trends Journal of Econometrics, 214(1):81--109.

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  Hecq, A., Issler, J.V. and Telg, S. (2020). Mixed causal–noncausal autoregressions with exogenous regressors Journal of Applied Econometrics, 35(3):328--343.

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  Kleibergen, F. (2020). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, :.

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  Ruseckaite, A., Fok, D. and Goos, P. (2020). Flexible Mixture-Amount Models Using Multivariate Gaussian Processes Journal of Business and Economic Statistics, 38(2):257--271.