Hoogerheide, L., Kaashoek, J. and van Dijk, H.K. (2007). 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.
223 Key Publications
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Martens, M. and van Dijk, D. (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1):181--207.
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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.
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Azevedo, J., Koopman, S. and Rua, A. (2006). Tracking the business cycle of the Euro area: A multivariate model-based band-pass filter Journal of Business and Economic Statistics, 24(3):278--290.
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Kleibergen, F.(. and Paap, R. (2006). Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics, 133(1):97--126.
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Bauwens, L., Boswijk, H. and Urbain, J. (2006). Causality and exogeneity in econometrics (guest editorial) Journal of Econometrics, 132(2):305--309.
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Donkers, B., Paap, R., Jonker, J. and Franses, P.H. (2006). Deriving Target Selection Rules from Endogenously Selected Samples Journal of Applied Econometrics, 21(5):549--562.
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Kleijn, R. and van Dijk, H. (2006). Bayes model averaging of cyclical decompositions in economic time series Journal of Applied Econometrics, 21(2):191--212.
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Swanson, N. and van Dijk, D. (2006). Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry. Journal of Business and Economic Statistics, 24(1):24--42.
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Boswijk, H. and Doornik, J. (2005). Distribution approximations for cointegration tests with stationary exogenous regressors Journal of Applied Econometrics, 20(6):797--810.
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Koopman, S. and Lucas, A. (2005). Business and Default Cycles for Credit Risk Journal of Applied Econometrics, 20:311--323.
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Kleibergen, F. (2005). Testing Parameters in GMM without assuming that they are identified Econometrica, 73(4):1103--1124.
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Boswijk, H. and Franses, P.H. (2005). On the econometrics of the Bass diffusion model Journal of Business and Economic Statistics, 23(3):255--268.
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Fok, D., van Dijk, D. and Franses, P.H. (2005). A multi-level panel STAR model for US manufacturing sectors Journal of Applied Econometrics, 20(6):811--827.
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van Dijk, D., van Dijk, H. and Franses, P.H. (2005). On the dynamics of business cycle analysis; Editors' introduction Journal of Applied Econometrics, 20(2):147--150.
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Vogelsang, T. and Franses, P.H. (2005). Testing for common deterministic trend slopes Journal of Econometrics, 126(1):1--24.
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Kleibergen, F. (2004). Testing Subsets of Structural Parameters in the IV Regression Model Review of Economics and Statistics, 86(1):418--423.
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Koopman, S. and Luginbuhl, R. (2004). Convergence in European GDP Series Journal of Applied Econometrics, 19(5):611--636.
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Bauwens, L., Lubrano, M. and van Dijk, H. (2004). Recent advances in Bayesian econometrics Journal of Econometrics, 123(2):197--199.
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Kleibergen, F. (2004). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox Journal of Econometrics, 123(2):227--258.