384 Discussion Papers

• 20-069/III - A multinomial and rank-ordered logit model with inter- and intra-individual heteroscedasticity

  Authors: Anoek Castelein, Erasmus University Rotterdam; Dennis Fok, Erasmus University Rotterdam; Richard Paap, Erasmus University Rotterdam

  Date: September 29, 2020

• 20-061/III - Heterogeneous variable selection in nonlinear panel data models: A semiparametric Bayesian approach

  Authors: Anoek Castelein, Erasmus University Rotterdam; Dennis Fok, Erasmus University Rotterdam; Richard Paap, Erasmus University Rotterdam

  Date: September 22, 2020

• 20-052/III - Bellman filtering and smoothing for state-space models

  Author: Rutger Jan Lange, Erasmus School of Economics

  Date: August 27, 2020

• 20-046/III - The perception of climate sensitivity: Revealing priors from posteriors

  Authors: Masako Ikefuji, University of Tsukuba; Jan R. Magnus, Vrije Universiteit Amsterdam

  Date: July 27, 2020

• 20-039/III - Zero-diagonality as a linear structure

  Authors: Jan R. Magnus, Vrije Universiteit Amsterdam; Enrique Sentana, CEMFI

  Date: June 29, 2020

• 20-035/III - The Jacobian of the exponential function

  Authors: Jan R. Magnus, Vrije Universiteit Amsterdam; Henk G.J. Pijls, University of Amsterdam; Enrique Sentana, CEMFI

  Date: June 20, 2020

• 20-030/III - Educational Choice, Initial Wage and Wage Growth

  Authors: Jacopo Mazza, University of Essex; Hans van Ophem, University of Amsterdam

  Date: June 11, 2020

• 20-023/III - Smooth marginalized particle filters for dynamic network effect models

  Authors: Dieter Wang, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam

  Date: May 10, 2020

• 20-015/III - Sampling properties of the Bayesian posterior mean with an application to WALS estimation

  Authors: Giuseppe De Luca, University of Palermo; Jan R. Magnus, Vrije Universiteit Amsterdam; Franco Peracchi, Georgetown University

  Date: March 09, 2020

• 20-009/III - Dynamic clustering of multivariate panel data

  Authors: André Lucas, Vrije Universiteit Amsterdam; Julia Schaumburg, Vrije Universiteit Amsterdam; Bernd Schwaab, European Central Bank, Financial Research

  Date: February 04, 2020

• 20-008/III - Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe

  Authors: Hannes Boehm, Halle Institute for Economic Research; Julia Schaumburg, Vrije Universiteit Amsterdam; Lena Tonzer, Halle Institute for Economic Research

  Date: February 04, 2020

• 20-004/III - Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects

  Authors: Paolo Gorgi, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: January 27, 2020

• 19-083/III - Bootstrapping Non-Stationary Stochastic Volatility

  Authors: Peter Boswijk, University of Amsterdam; Giuseppe Cavaliere, University of Bologna and Exeter Business School; Iliyan Georgiev, University of Bologna; Anders Rahbek, University of Copenhagen

  Date: December 01, 2019

• 19-058/III - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

  Authors: Sander Barendse, University of Oxford; Erik Kole, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam

  Date: August 19, 2019

• 19-057/III - Partially Censored Posterior for Robust and Efficient Risk Evaluation

  Authors: Agnieszka Borowska, Vrije Universiteit Amsterdam; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam ; Herman van Dijk, Erasmus University Rotterdam

  Date: August 19, 2019

• 19-056/III - Dynamics in clickthrough and conversion probabilities of paid search advertisements

  Authors: Anoek Castelein, Erasmus University Rotterdam; Dennis Fok, Erasmus University Rotterdam; Richard Paap, Erasmus University Rotterdam

  Date: August 19, 2019

• 19-043/III - Adaptive Testing for Cointegration with Nonstationary Volatility

  Authors: Peter Boswijk, University of Amsterdam; Yang Zu, University of Nottingham

  Date: June 21, 2019

• 19-025/III - Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance

  Authors: Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi , University of Rome `Tor Vergata'; Francesco Ravazzollo , BI Norwegian Business School; Herman K. van Dijk , Erasmus University Rotterdam

  Date: April 01, 2019

• 19-021/III - Can Google Search Data Help Predict Macroeconomic Series?

  Authors: Robin Niesert; Jochem Oorschot, Econometric Institute, Erasmus University; Chris Veldhuisen; Kester Brons; Rutger-Jan Lange, Econometric Institute, Erasmus University

  Date: March 15, 2019

• 19-018/III - Bayesian Risk Forecasting for Long Horizons

  Authors: Agnieszka Borowska, VU Amsterdam; Lennart Hoogerheide, VU Amsterdam; Siem Jan Koopman, VU Amsterdam

  Date: February 22, 2019