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Home | People | Herman van Dijk

Herman van Dijk

Honorary Fellow

Erasmus University Rotterdam
Research field

Key publications

List of publications

Basturk,N. and Cakmakli,C. and Ceyhan,S.P. and van Dijk,H.K.. 2014. Posterior-predictive evidence on US inflation using extended New Keynesian Phillips Curve models with non-filtered data. Journal of Applied Econometrics, 29, 1164--1182

A. Zellner and T. Ando and N. Basturk and L.F. Hoogerheide and van Dijk, H.K.. 2014. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo. Econometric Reviews, 33, 3--35, 0747-4938

Bilio,M. and Casarin,R. and Ravazzolo,F. and van Dijk,H.K.. 2013. Time-varying combinations of predictive densities using nonlinear filtering. Journal of Econometrics, 177, 213--232

Strachan,R.W. and van Dijk,H.K.. 2013. Evidence on features of a dsge business cycle model from bayesian model averaging. International Economic Review, 54, 385--402

Timmerman,A. and van Dijk,H.K.. 2013. Dynamic econometric modeling and forecasting in the presence of instability. Journal of Econometrics, 177, 131--133

Hoogerheide,L.F. and Ravazzolo,F. and van Dijk,H.K.. 2012. Forecast rationality tests based on multi-horizon bounds: Comment. Journal of Business and Economic Statistics, 30, 30--33

L.F. Hoogerheide and J.F. Kaashoek 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, 154--180, 0304-4076

L.F. Hoogerheide and F. Kleibergen and van Dijk, H.K.. 2007. Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. Journal of Econometrics, 138, 63--103, 0304-4076

Chesher,Andrew and Dhaene,G.F.M. and van Dijk,H.K.. 2007. Endogeneity, Instruments and Identification, Guest Editorial. Journal of Econometrics, 139, 1--3

Harvey,A.C. and Trimbur,T.M. and van Dijk,H.K.. 2007. Trends and cycles in economic time series: a Bayesian approach. Journal of Econometrics, 140, 618--649

Koop,G. and van Dijk,H.K.. 2007. Editors' introduction to the special issue of econometric reviews on Bayesian dynamic econometrics. Econometric Reviews, 26, 107--112

Kleijn,R. and van Dijk,H.K.. 2006. Bayes model averaging of cyclical decompositions in economic time series. Journal of Applied Econometrics, 21, 191--212

van Dijk,D.J.C. and van Dijk,H.K. and Franses,P.H.B.F.. 2005. On the dynamics of business cycle analysis; Editors' introduction. Journal of Applied Econometrics, 20, 147--150

Bauwens,L. and Bos,C.S. and van Dijk,H.K. and van Oest,R.D.. 2004. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods. Journal of Econometrics, 123, 201--225

Bauwens,L. and Lubrano,M. and van Dijk,H.K.. 2004. Recent advances in Bayesian econometrics. Journal of Econometrics, 123, 197--199

Cornelisse,P.A. and van Dijk,H.K. and Don,H.. 2004. Economics with a purpose. (Tinbergen centennial issue). De Economist, 152, 161--165

van Dijk,H.K.. 2004. Twentieth century shocks, trends and cycles in industrialized nations. De Economist, 152, 211--232

Paap,R. and van Dijk,H.K.. 2003. Bayes estimates of Markov trends in possibly cointegrated series: an application to U.S. consumption and income. Journal of Business and Economic Statistics, 21, 547--563

Haldrup,N. and Hendry,D.F. and van Dijk,H.K.. 2003. Introduction: Time series concepts for conditional distributions. Oxford Bulletin of Economics and Statistics, 65, 681--688

Strachan,R.W. and van Dijk,H.K.. 2003. Bayesian model selection with an uninformative prior. Oxford Bulletin of Economics and Statistics, 65, 863--876

Kaashoek,J.F. and van Dijk,H.K.. 2002. Neural network pruning applied to real exchange rate analysis. Journal of Forecasting, 21, 559--577

Terui,N. and van Dijk,H.K.. 2002. Combined forecasts from linear and nonlinear time series models. International Journal of Forecasting, 18, 421--438

Geweke,J.F. and Rust,J. and van Dijk,H.K.. 2000. Inference and decision making, Introduction. Journal of Applied Econometrics, 6, 545--546

Koop,G. and van Dijk,H.K.. 2000. Testing for integration using evolving trend and seasonals model: a Bayesian approach. Journal of Econometrics, 97, 261--291

van Dijk,H.K.. 1999. Some remarks on the simulation revolution in Bayesian econometric inference. Econometric Reviews, 18, 105--112

Paap,R. and van Dijk,H.K.. 1998. Distribution and mobility of wealth of nations. European Economic Review, 42, 1269--1293

Kleibergen,F.R. and van Dijk,H.K.. 1998. Bayesian simultaneous equations analysis using reduced rank structures. Econometric Theory, 14, 701--743

Bauwens,L. and Polasek,W. and van Dijk,H.K.. 1996. Bayes, Bernoullis and Basel, editors' introduction. Journal of Econometrics, 75, 1--5

Henk Hoek and André Lucas and van Dijk, Herman K.. 1995. Classical and Bayesian aspects of robust unit root inference. Journal of Econometrics, 69, 27--59, 0304-4076

J.F. Kiviet and van Dijk, H.K.. 1994. Structure and dynamics in econometrics (editors' introduction). Journal of Econometrics, 63, 1--5, 0304-4076

Kleibergen,F.R. and van Dijk,H.K.. 1994. Direct cointegration testing in error-correction models. Journal of Econometrics, 63, 61--103

Kaashoek,J.F. and van Dijk,H.K.. 1994. A neural network applied to the calculation of Lyapunov exponents. Econometric Reviews, 13, 123--137

Kaashoek,J.F. and van Dijk,H.K.. 1994. Evaluation and application of numerical procedures to calculate Lyapunov exponents. Econometric Reviews, 13, 123--137

Kleibergen,F.R. and van Dijk,H.K.. 1994. On the shape of the likelihood/posterior of cointegration models. Econometric Theory, 10, 514--551

Kleibergen,F.R. and van Dijk,H.K.. 1994. On the shape of the likelihood/posterior in cointegration models. Econometric Theory, 10, 514--551

Ooms,M. and van Dijk,H.K.. 1994. Comment on estimating systems of trending variables: estimating pushing trends and pulling equilibra. Econometric Reviews, 13, 395--423

Phillips,P.C.B. and van Dijk,H.K.. 1994. Bayes methods and unit roots, editors' introduction. Econometric Theory, 10, 453--460

Schotman,P.C. and van Dijk,H.K.. 1991. On Bayesian routes to unit roots. Journal of Applied Econometrics, 6, 387--401

Kooiman,P. and van Dijk,H.K. and Thurik,A.R.. 1985. Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services. Journal of Econometrics, 29, 121--148