Donkers, B., Paap, R., Jonker, J. and Franses, P.H. (2006). Deriving Target Selection Rules from Endogenously Selected Samples Journal of Applied Econometrics, 21(5):549--562.
Azevedo, J., Koopman, S. and Rua, A. (2006). Tracking the business cycle of the Euro area: A multivariate model-based band-pass filter Journal of Business and Economic Statistics, 24(3):278--290.