Kleibergen, F. and Mavroeidis, S. (2014). Identification issues in limited-information Bayesian analysis of structural macroeconomic models Journal of Applied Econometrics, 29(7):1183--1207.
191 Key Publications
filtered by:
-
-
Zu, Y. and Boswijk, H. (2014). Estimating spot volatility with high-frequency financial data Journal of Econometrics, 181(2):117--135. -
Jungbacker, B., Koopman, S. and van der Wel, M. (2014). Smooth Dynamic Factor Analysis with Application to the U.S. Term Structure of Interest Rates Journal of Applied Econometrics, 29(1):65--90. -
van Dijk, D.J.C., Koopman, S.J., van der Wel, M. and Wright, J (2014). Forecasting Interest Rates with Shifting Endpoints Journal of Applied Econometrics, 29:693--712. -
Creal, D., Koopman, S. and Lucas, A. (2013). General Autoregressive Score Models with Applications Journal of Applied Econometrics, 28(5):777--795. -
Bataa, E., Osborn, D.R., Sensier, M. and van Dijk, D.J.C. (2013). Structural breaks in the international dynamics of inflation Review of Economics and Statistics, 95(2):646--659. -
Bilio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K. (2013). Time-varying combinations of predictive densities using nonlinear filtering Journal of Econometrics, 177(2):213--232. -
de Haan, L., de Vries, C.G. and Zhou, C. (2013). The number of active bidders in internet auctions Journal of Economic Theory, 148(4):1726--1736. -
Groen, J.J.J., Paap, R. and Ravazzolo, F. (2013). Real-time Inflation Forecasting in a Changing World Journal of Business and Economic Statistics, 31(1):29--44. -
Pesaran, M.H., Pick, A. and Pranovich, M. (2013). Optimal Forecasts in the Presence of Structural Breaks Journal of Econometrics, 177(2):134--152. -
Strachan, R.W. and van Dijk, H.K. (2013). Evidence on features of a dsge business cycle model from bayesian model averaging International Economic Review, 54(1):385--402. -
Timmerman, A. and van Dijk, H.K. (2013). Dynamic econometric modeling and forecasting in the presence of instability Journal of Econometrics, 177(2):131--133. -
Boswijk, H. and Klaassen, F. (2012). Why frequency matters for unit root testing in financial time series Journal of Business and Economic Statistics, 30(3):351--357. -
Hoogerheide, L., Ravazzolo, F. and van Dijk, H.K. (2012). Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds Journal of Business and Economic Statistics, 30(1):30--33. -
Hoogerheide, L., Opschoor, A. and van Dijk, H.K. (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation Journal of Econometrics, 171(2):101--120. -
Guggenberger, P., Kleibergen, F., Mavroeidis, S. and Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression Econometrica, 80(6):2649--2666. -
Koopman, S., Lucas, A. and Schwaab, B. (2012). Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 Journal of Business and Economic Statistics, 30(4):521--532. -
Fok, D., Paap, R. and van Dijk, A. (2012). A Rank-Ordered Logit Model with Unobserved Heterogeneity in Ranking Capabilities Journal of Applied Econometrics, 27(5):831--846. -
Geweke, J.F., Koop, G. and Paap, R. (2012). Editorial Introduction for the Annals Issue of the Journal of Econometrics on Bayesian Models, Methods and Applications Journal of Econometrics, 171(2):99--100. -
Hoogerheide, L.F., Ravazzolo, F. and van Dijk, H.K. (2012). Forecast rationality tests based on multi-horizon bounds: Comment Journal of Business and Economic Statistics, 30(1):30--33.