Koopman, S., Mallee, M. and van der Wel, M. (2010). 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.
155 Key Publications
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Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2.
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Bloemen, H. (2010). An empirical model of collective household labour supply with non-participation Economic Journal, 120(543):183--214.
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Kleibergen, F. and Mavroeidis, S. (2009). Rejoinder Journal of Business and Economic Statistics, 27(3):331--339.
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Koopman, S., Shephard, N. and Creal, D. (2009). Testing the assumptions behind importance sampling Journal of Econometrics, 149:2--11.
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Kleibergen, F. and Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve Journal of Business and Economic Statistics, 27(3):293--311.
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Chintagunta, P., Franses, P.H. 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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Bloemen, H. and Kapteyn, A. (2008). The estimation of utility-consisten labor supply models by means of simulated scores Journal of Applied Econometrics, 23(4):395--422.
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Bloemen, H. (2008). Job search, hours restrictions, and desired hours of work Journal of Labor Economics, 26(1):137--179.
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Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.
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van den Brink, J.R., van der Laan, G. and Vasil'ev, V. (2008). Extreme Points of Two Digraph Polytopes: Description and Applications in Economics and Game Theory Journal of Mathematical Economics, 44:1114--1125.
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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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Ooms, M., Koopman, S. and Carnero, A. (2007). Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices Journal of the American Statistical Association, 102(477):16--27.
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Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216.
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van den Brink, J.R. (2007). Null or Nullifying Players: The Difference between the Shapley Value and Equal Division Solutions Journal of Economic Theory, 136:767--775.
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Fok, D., Franses, P.H. and Paap, R. (2007). Seasonality and non-linear price effects in scanner-data based market-response models Journal of Econometrics, 138(1):231--251.