\de Punder\, \RamonF.A.\, Diks, \CeesG.H.\, Laeven, \RogerJ.A.\ and \van Dijk\, \DickJ.C.\ (2026). Localizing Strictly Proper Scoring Rules Journal of the American Statistical Association, :.
226 Key Publications
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Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253:. -
\De Vos\, I. and Stauskas, O. (2026). Cross-Section Bootstrap for CCE Regressions with General Unknown Factors Journal of Business and Economic Statistics, :. -
Moussa, K., Blasques, F. and Koopman, \.J. (2026). Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression Journal of Business and Economic Statistics, :. -
Vos, \.D. and Everaert, G. (2026). GLS estimation of local projections: Trading robustness for efficiency Journal of Econometrics, 253:. -
Frazier, D., Renault, E., Zhang, L. and Zhao, X. (2025). Weak Identification in Discrete Choice Models Journal of Econometrics, 248:. -
Paap, R. and Franses, \.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247:. -
Margaritella, L. and Sessinou, R. (2025). Precision Least Squares: Estimation and Inference in High-Dimensions Journal of Business and Economic Statistics, 43(4):884--896. -
Opschoor, D. and Dijk, D.V. (2025). Slow Expectation–Maximization Convergence in Low-Noise Dynamic Factor Models Journal of Applied Econometrics, 40(7):829--845. -
\van 't Hoff\, N.A.L., Lewbel, A. and Mellace, G. (2025). Limited Monotonicity and the Combined Compliers LATE Review of Economics and Statistics, :. -
Kleibergen, F. and Zhan, Z. (2025). Risk premia from the cross-section of individual assets Journal of Econometrics, 252(A):. -
Kleibergen, F. and Kong, L. (2025). Identification robust inference for the risk premium in term structure models Journal of Econometrics, 248:. -
\van Os\, B. and \van Dijk\, D. (2025). Dynamic Conditional Correlations with Partial Information Pooling Journal of Business and Economic Statistics, 44(1):309--320. -
Blasques, F., Gorgi, P. and Koopman, \S.J.\ (2025). Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models Journal of Business and Economic Statistics, 43(4):926--940. -
Bertsch, C., Hull, I., Lumsdaine, \RobinL.\ and Zhang, X. (2025). Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches Journal of Econometrics, 249:. -
Camehl, A., Fok, D. and Gruber, K. (2025). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, 249:. -
\de Santis\, R., Goeman, \JelleJ.\, Hemerik, J., Davenport, S. and Finos, L. (2025). Inference in generalized linear models with robustness to misspecified variances Journal of the American Statistical Association, https://doi.org/10.1080/01621459.2025.2491775(552):2762--2771. -
Magnus, \JanR.\ (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1):. -
\de Haan\, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393. -
Creal, D., Koopman, \.J., Lucas, A. and Zamojski, M. (2024). Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics, 238(2):1--14.