385 Discussion Papers

• 23-065/III - Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics

  Authors: Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam; Gabriele Mingoli, Vrije Universiteit Amsterdam

  Date: October 12, 2023

• 23-054/III - Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models

  Authors: Mirko Armillotta, Vrije Universiteit Amsterdam; Paolo Gorgi, Vrije Universiteit Amsterdam

  Date: September 18, 2023

• 23-051/III - Consistency, distributional convergence, and optimality of score-driven filters

  Authors: Eric Beutner, Vrije Universiteit Amsterdam; Yicong Lin, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam

  Date: August 30, 2023

• 23-049/III - Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence

  Authors: Yicong Lin, Vrije Universiteit Amsterdam; Mingxuan Song, Vrije Universiteit Amsterdam

  Date: August 23, 2023

• 23-041/III - BayesMultiMode: Bayesian Mode Inference in R

  Authors: Nalan Basturk, University of Maastricht; Jamie Cross, Melbourne Business School; Peter de Knijff, Leiden University, Medical Centre; Lennart Hoogerheide, VU University Amsterdam; Paul Labonne, BI Norwegian Business School; Herman K van Dijk, Erasmus University Rotterdam

  Date: July 25, 2023

• 23-039/III - Time-varying effects of housing attributes and economic environment on housing prices

  Authors: Marina Friedrich, Vrije Universiteit Amsterdam; Yicong Lin, Vrije Universiteit Amsterdam; Pavitram Ramdaras, Vrije Universiteit Amsterdam; Sean Telg, Vrije Universiteit Amsterdam; Bernhard van der Sluis, Erasmus University Rotterdam

  Date: June 29, 2023

• 23-038/III - Bayesian Mode Inference for Discrete Distributions in Economics and Finance

  Authors: Jamie Cross, University of Melbourne; Lennart Hoogerheide, Vrije Universiteit Amsterdam; Paul Labonne, Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam

  Date: June 29, 2023

• 23-037/III - Information-Theoretic Time-Varying Density Modeling

  Author: Bram van Os, Erasmus University Rotterdam

  Date: June 29, 2023

• 23-021/III - A Multilevel Factor Model for Economic Activity with Observation-Driven Dynamic Factors

  Authors: Mariia Artemova, Vrije Universiteit Amsterdam; Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: April 20, 2023

• 23-018/III - Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models

  Authors: Daan Opschoor, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam

  Date: April 05, 2023

• 23-016/III - Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression

  Authors: Karim Moussa, Vrije Universiteit Amsterdam; Francisco Blasques, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: March 24, 2023

• 23-007/III - Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model

  Authors: F. Blasques, Vrije Universiteit Amsterdam; P. Gorgi, Vrije Universiteit Amsterdam; S.J. Koopman 1, Vrije Universiteit Amsterdam; J. Sampi, World Bank

  Date: February 22, 2023

• 23-004/III - Time-Weighted Difference-in-Differences: Accounting for Common Factors in Short T Panels

  Author: Timo Schenk, University of Amsterdam

  Date: February 03, 2023

• 22-094/III - Multivariate quantile regression using superlevel sets of conditional densities

  Authors: Annika Camehl, Erasmus University Rotterdam; Dennis Fok, Erasmus University Rotterdam; Kathrin Gruber, Erasmus University Rotterdam

  Date: December 16, 2022

• 22-093/III - Fully Modified Estimation in Cointegrating Polynomial Regressions: Extensions and Monte Carlo Comparison

  Authors: Yicong Lin, Vrije Universiteit Amsterdam; Hanno Reuvers, Erasmus University Rotterdam

  Date: December 08, 2022

• 22-092/III - Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?

  Authors: Yicong Lin, Vrije Universiteit Amsterdam; Hanno Reuvers, Erasmus University Rotterdam

  Date: December 08, 2022

• 22-089/III - Finding the European crime drop using a panel data model with stochastic trends

  Authors: Ilka van de Werve, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam

  Date: November 30, 2022

• 22-080/III - Robust Inference for Non-Gaussian SVAR models

  Authors: Lukas Hoesch, Vrije Universiteit Amsterdam ; Adam Lee, BI Norwegian Business School; Geert Mesters, Universitat Pompeu Fabra

  Date: October 27, 2022

• 22-075/III - Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation

  Authors: H. Peter Boswijk, University of Amsterdam; Roger J. A. Laeven, University of Amsterdam; Evgenii Vladimirov, University of Amsterdam

  Date: October 13, 2022

• 22-070/III - Dynamic Partial Correlation Models

  Authors: Enzo D’Innocenzo, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam

  Date: September 29, 2022