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.
235 Key Publications
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Boswijk, H. (1995). Conditional and structural error correction models: Reply Journal of Econometrics, 69(1):173--175. -
Boswijk, H. (1995). Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics, 69(1):133--158. -
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. -
Boswijk, H. (1994). Testing for an unstable root in conditional and structural error correction models Journal of Econometrics, 63:37--60. -
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. -
Kiviet, J. and van Dijk, H. (1994). Structure and dynamics in econometrics, editor's introduction Journal of Econometrics, 63:1--5. -
Kleibergen, F.(. and van Dijk, H. (1994). Direct cointegration testing in error-correction models Journal of Econometrics, 63:61--103. -
Franses, P.H. (1994). A multivariate approach to modeling univariate seasonal time series Journal of Econometrics, 63:133--151. -
Harvey, A. and Koopman, S.J. (1993). Forecasting hourly electricity demand using time–varying splines Journal of the American Statistical Association, 88(424):1228--1236. -
Harvey, AndrewC. and Koopman, S.J. (1992). Diagnostic checking of unobserved- components time series models Journal of Business and Economic Statistics, 10(4):377--389. -
Banerjee, A., Lumsdaine, R. and Stock, J. (1992). Recursive and sequential test of the unit root and trend break hypotheses: theory and international evidence Journal of Business and Economic Statistics, 10:271--288. -
Schotman, P. and van Dijk, H. (1991). On Bayesian routes to unit roots Journal of Applied Econometrics, 6:387--401. -
Lumsdaine, R., Stock, J. and Wise, D. (1990). Efficient Windows and Labor Force Reduction Journal of Public Economics, 43:131--159. -
Kooiman, P., van Dijk, H. and Thurik, R. (1985). Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services Journal of Econometrics, 29(1-2):121--148.