Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2.
223 Key Publications
filtered by:
-
-
Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173.
-
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.
-
Sandor, Z.(. and Franses, P.H. (2009). Consumer Price Evaluations Through Choice Experiments Journal of Applied Econometrics, 24(3):517--535.
-
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.
-
Fok, D. and Paap, R. (2009). Modeling category-level purchase timing with brand-level marketing variables Journal of Applied Econometrics, 24(3):469--489.
-
Kleibergen, F. and Mavroeidis, S. (2009). Rejoinder Journal of Business and Economic Statistics, 27(3):331--339.
-
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.
-
Koopman, S., Shephard, N. and Creal, D. (2009). Testing the assumptions behind importance sampling Journal of Econometrics, 149:2--11.
-
van Dijk, B. and Paap, R. (2008). Explaining individual response using aggregated data Journal of Econometrics, 146(1):1--9.
-
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.
-
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.
-
Chesher, A., Dhaene, G.(. and van Dijk, H. (2007). Endogeneity, Instruments and Identification, Guest Editorial Journal of Econometrics, 139(1):1--3.
-
Giordani, P., Kohn, R. and van Dijk, D. (2007). A unified approach to nonlinearity, structural change, and outliers Journal of Econometrics, 137(1):112--133.
-
Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.
-
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.
-
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.
-
Fok, D. and Franses, P.H. (2007). Modeling the diffusion of scientific publications Journal of Econometrics, 139(2):376--390.
-
Martens, M. and van Dijk, D. (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1):181--207.
-
Harvey, A., Trimbur, T. and van Dijk, H. (2007). Trends and cycles in economic time series: a Bayesian approach Journal of Econometrics, 140(2):618--649.