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.
155 Key Publications
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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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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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Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376.
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Wang, W., Zhang, X.(. and Paap, R. (2019). To pool or not to pool: What i?s a good strategy for parameter estimation and forecasting in panel regressions? Journal of Applied Econometrics, 34(5):724--745.
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Boswijk, H., Bun, M. and Schinkel, M. (2019). Cartel Dating Journal of Applied Econometrics, 34(1):26--42.
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König, MichaelD., Liu, X. and Zenou, Y. (2019). R&D Networks: Theory, Empirics and Policy Implications: Theory, Empirics, and Policy Implications Review of Economics and Statistics, 101(3):476--491.
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van den Berg, GerardJ. and van der Klaauw, B. (2019). Structural empirical evaluation of job search monitoring International Economic Review, 60(2):879--903.
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Bloemen, H. (2019). Collective Labour Supply, Taxes, and Intrahousehold Allocation: An Empirical Approach Journal of Business and Economic Statistics, 37(3):471--483.
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Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.
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Muller, P., van der Klaauw, B., Gautier, P., Rosholm, M. and Svarer, M. (2018). Estimating equilibrium effects of job search assistance Journal of Labor Economics, 36(4):1073--1125.
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Koopman, S.J., Lit, R., Lucas, A. and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes Journal of Applied Econometrics, 33(7):966--985.
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Schwaab, B., Koopman, S. and Lucas, A. (2017). Global Credit Risk: World, Country and Industry Factors Journal of Applied Econometrics, 32(2):296--317.
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Koopman, S. and Mesters, G. (2017). Empirical Bayes Methods for Dynamic Factor Models Review of Economics and Statistics, 99(3):486--498.
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Bernasco, W., de Graaff, T., Rouwendal, J. and Steenbeek, W. (2017). Social Interactions and Crime Revisited: An Investigation Using Individual Offender Data in Dutch Neighborhoods Review of Economics and Statistics, 99(4):622--636.
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Konig, M., Zilibotti, F., Thoenig, M. and Rohner, D. (2017). Networks in Conflict: Theory and Evidence from the Great War of Africa Econometrica, 85(4):1093--1132.
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Koopman, S., Lit, R. and Lucas, A. (2017). Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model Journal of the American Statistical Association, 112(520):1490--1503.
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Blasques Albergaria Amaral, F., Koopman, S., Mallee, M. and Zhang, Z. (2016). Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data Journal of Econometrics, 193(2):405--417.
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Ketel, N., Linde, J., Oosterbeek, H. and van der Klaauw, B. (2016). Tuition fees and sunk-cost effects Economic Journal, 126(598):2342--2362.
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Boswijk, H., Cavaliere, G., Rahbek, A. and Taylor, A. (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics, 192(1):64--85.