Koopman, S.J. (1997). Exact initial kalman filtering and smoothing for nonstationary time series models Journal of the American Statistical Association, 92(440):1630--1638.
206 Key Publications
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Franses, P.H., Hoek, H. and Paap, R. (1997). Bayesian analysis of seasonal unit roots and seasonal mean shifts Journal of Econometrics, 78:359--380.
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Ooms, M.(. and Franses, P.H. (1997). On periodic correlations between estimated seasonal and nonseasonal components for US and German unemployment Journal of Business and Economic Statistics, 15(4):470--481.
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Lumsdaine, R. and Papell, D. (1997). Multiple trend breaks and the unit root hypothesis Review of Economics and Statistics, LXXIX(2):212--218.
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Harvey, A., Koopman, S.J. and Riani, M. (1997). The modeling and seasonal adjustment of weekly observations Journal of Business and Economic Statistics, 15(3):354--368.
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Franses, P.H., Boswijk, H. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80:167--193.
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Lumsdaine, R. (1996). Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1) Econometrica, 64(3):575--596.
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Boswijk, H. (1996). Testing identifiablility of cointegrating vectors Journal of Business and Economic Statistics, 14(2):153--160.
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Bauwens, L., Polasek, W. and van Dijk, H. (1996). Bayes, Bernoullis and Basel, editors' introduction Journal of Econometrics, 75:1--5.
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Hoek, H., Lucas, A.(. and van Dijk, H. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69:27--59.
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Lumsdaine, R. (1995). Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation Journal of Business and Economic Statistics, 13:1--10.
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Boswijk, H. (1995). Conditional and structural error correction models: Reply Journal of Econometrics, 69(1):173--175.
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Boswijk, H. (1995). Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics, 69(1):133--158.
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Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173.
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Franses, P.H. and Boswijk, H. (1995). Periodic cointegration: representation and inference Review of Economics and Statistics, LXXVII(3):436--454.
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Boswijk, H. (1994). Testing for an unstable root in conditional and structural error correction models Journal of Econometrics, 63:37--60.
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Franses, P.H. (1994). A multivariate approach to modeling univariate seasonal time series Journal of Econometrics, 63:133--151.
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Franses, P.H. and Haldrup, N. (1994). The effects of additive outliers on tests for unit roots and cointegration Journal of Business and Economic Statistics, 12:471--478.
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Kleibergen, F.(. and van Dijk, H. (1994). Direct cointegration testing in error-correction models Journal of Econometrics, 63:61--103.
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Kiviet, J. and van Dijk, H. (1994). Structure and dynamics in econometrics, editor's introduction Journal of Econometrics, 63:1--5.