179 Key Publications

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  Boswijk, H. and van der Weide, R. (2011). Method of moments estimation of go-garch models. Journal of Econometrics, 163(1):118-126.

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  Diks, C., Panchenko, V., and van Dijk, D. (2011a). Likelihood-based scoring rules for comparing density forecast in tails. Journal of Econometrics, 163(2):215-230.

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  Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows. Journal of Business and Economic Statistics, 29(2):307-318.

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  Pesaran, H., Pick, A., and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems. Journal of Econometrics, 164(1):173-187.

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  Boswijk, H., Franses, P., and van Dijk, D. (2010a). Cointegration in a historical perspective. Journal of Econometrics, 158(1):156-159.

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  Koopman, S. and Creal, D. (2010). Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter. Journal of Applied Econometrics, 25:695-719.

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  Koopman, S., Mallee, M., and van der Wel, M. (2010c). Analyzing the term structure of interest rates using the dynamic nelson-siegel model with time-varying parameters. Journal of Business and Economic Statistics, 28:329-343.

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  Koopman, S., Mallee, M., and van der Wel, M. (2010b). Analyzing the term structure of interest rates using the dynamic nelson-siegel model with time-varying parameters. Journal of Business and Economic Statistics, 28(3):329-343.

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  Kleibergen, F. and Mavroeidis, S. (2009a). Rejoinder. Journal of Business & Economic Statistics, 27(3):331-339.

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  Koopman, S., Shephard, N., and Creal, D. (2009c). Testing the assumptions behind importance sampling. Journal of Econometrics, 149:2-11.

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  Kleibergen, F. and Mavroeidis, S. (2009b). Weak instrument robust tests in GMM and the new Keynesian Phillips curve. Journal of Business & Economic Statistics, 27(3):293-311.

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  Chintagunta, P., Franses, P., and Paap, R. (2009). Introduction to the special issue on new econometric models in marketing. Journal of Applied Econometrics, 24(3):375-376.

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  Kleibergen, F. (2009). Tests of risk premia in linear factor models. Journal of Econometrics, 149(2):149-173.

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  Fok, D. and Paap, R. (2009). Modeling category-level purchase timing with brand-level marketing variables. Journal of Applied Econometrics, 24(3):469-489.

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  Paap, R., Segers, R., and van Dijk, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528-543.

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  Sandor, Z. and Franses, P. (2009). Consumer price evaluations through choice experiments. Journal of Applied Econometrics, 24(3):517-535.

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  Koopman, S., Lucas, A., and Monteiro, A. (2008b). The multi-state latent factor intensity model for credit rating transitions. Journal of Econometrics, 142:399-424.

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  Koopman, S. and Lucas, A. (2008). A non-gaussian panel time series model for estimating and decomposing default risk. Journal of Business and Economic Statistics, 26(4):510-525.

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  van Dijk, B. and Paap, R. (2008). Explaining individual response using aggregated data. Journal of Econometrics, 146(1):1-9.

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  Hoogerheide, L., Kaashoek, J., and van Dijk, H. (2007a). On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks. Journal of Econometrics, 139(1):154-180.