van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.
851 Key Publications
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van den Berg, G.J. and Lindeboom, M. (1998). Attrition in panel survey data and the estimation of multi-state labor market models Journal of Human Resources, 33(2):458--478. -
Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301. -
Beetsma, R. and Bovenberg, A. (1998). Monetary union without fiscal coordination may discipline policymakers Journal of International Economics, 45(2):239--258. -
Franses, P.H. and Vogelsang, T. (1998). On seasonal cycles, unit roots, and mean shifts Review of Economics and Statistics, :231--240. -
Franses, P.H. and Lucas, A.(. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468. -
Jones, C., Lumsdaine, R. and Lamont, O. (1998). Macroeconomic news and bond market volatility Journal of Financial Economics, 47(3):315--337. -
Bai, J., Lumsdaine, R. and Stock, J. (1998). Testing for and dating common breaks in multivariate time series Review of Economic Studies, 65(3):395--432. -
van Ours, J.C. and van den Berg, G. (1998). On the detection of state dependence using aggregate outflow data; Comments on previous studies Economic Journal, 108(450):1422--1430. -
Franses, P.H., Boswijk, H. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80:167--193. -
Bloemen, H. (1997). Job search theory, labour supply and unemployment duration Journal of Econometrics, 79(2):305--325. -
Boot, A. and Thakor, A. (1997). Financial System Architecture. Review of Financial Studies, 10(3):693--733. -
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. -
Pradhan, M. and van Soest, A. (1997). Household labor supply in urban areas of Bolivia Review of Economics and Statistics, 79(2):300--310. -
Tol, R. (1997). -- [Review of: S. Fankhauser. Valuing Climate Change: The Economics of the Greenhouse] Economic Journal, 107(444):1586--1588. -
Brock, W. and Hommes, C. (1997). A rational route to randomness Econometrica, 65:1059--1095. -
Atkinson, A.C., Koopman, S.J. and Shephard, N. (1997). Detecting shocks: Outliers and breaks in time series Journal of Econometrics, 80(2):387--422. -
Houba, H. (1997). The policy bargaining model Journal of Mathematical Economics, 28:1--27. -
Houba, H. and Bennett, E. (1997). Odd man out. The proposal making model Journal of Mathematical Economics, 28:375--396. -
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.