Hoogerheide, L., Ravazzolo, F. and van Dijk, H. (2012). Forecast rationality tests based on multi-horizon bounds: Comment Journal of Business and Economic Statistics, 30(1):30--33.
235 Key Publications
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Hoogerheide, L., Ravazzolo, F. and van Dijk, H.K. (2012). Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds Journal of Business and Economic Statistics, 30(1):30--33. -
Hoogerheide, L., Opschoor, A. and van Dijk, H.K. (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation Journal of Econometrics, 171(2):101--120. -
Guggenberger, P., Kleibergen, F., Mavroeidis, S. and Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression Econometrica, 80(6):2649--2666. -
Pesaran, H., Pick, A. and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics, 164(1):173--187. -
Creal, D., Koopman, S. and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations Journal of Business and Economic Statistics, 29(4):552--563. -
Boswijk, H. and van der Weide, R. (2011). Method of moments estimation of GO-GARCH models Journal of Econometrics, 163(1):118--126. -
Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318. -
Diks, C., Panchenko, V. and van Dijk, D. (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails Journal of Econometrics, 163(2):215--230. -
Koopman, S., Lucas, A. and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates Journal of Econometrics, 162(2):312--325. -
Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159. -
Koopman, S., Mallee, M. and van der Wel, M. (2010). Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters Journal of Business and Economic Statistics, 28:329--343. -
Koopman, S. and Creal, D. (2010). Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter Journal of Applied Econometrics, 25:695--719. -
Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2. -
Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173. -
Chintagunta, P., Franses, P.H. and Paap, R. (2009). Introduction to the Special Issue on New Econometric Models in Marketing Journal of Applied Econometrics, 24(3):375--376. -
Sandor, Z.(. and Franses, P.H. (2009). Consumer Price Evaluations Through Choice Experiments Journal of Applied Econometrics, 24(3):517--535. -
Paap, R., Segers, R. and van Dijk, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528--543. -
Fok, D. and Paap, R. (2009). Modeling category-level purchase timing with brand-level marketing variables Journal of Applied Econometrics, 24(3):469--489. -
Kleibergen, F. and Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve Journal of Business and Economic Statistics, 27(3):293--311.