296 Key Publications

• 

  Boswijk, H. and Franses, P.H. (2005). On the econometrics of the Bass diffusion model Journal of Business and Economic Statistics, 23(3):255--268.

• 

  Koopman, S. and Lucas, A. (2005). Business and Default Cycles for Credit Risk Journal of Applied Econometrics, 20:311--323.

• 

  Fok, D., van Dijk, D. and Franses, P.H. (2005). A multi-level panel STAR model for US manufacturing sectors Journal of Applied Econometrics, 20(6):811--827.

• 

  Kleibergen, F. (2004). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox Journal of Econometrics, 123(2):227--258.

• 

  Kleibergen, F. (2004). Testing Subsets of Structural Parameters in the IV Regression Model Review of Economics and Statistics, 86(1):418--423.

• 

  Sensier, M. and van Dijk, D. (2004). Testing for volatility changes in U.S. macroeconomic time series Review of Economics and Statistics, 86(3):833--839.

• 

  Koopman, S. and Luginbuhl, R. (2004). Convergence in European GDP Series Journal of Applied Econometrics, 19(5):611--636.

• 

  Bos, C., Bauwens, L., van Dijk, H.K. and van Oest, R.D. (2004). Adaptive Radial-based Direction Sampling: Some Flexible and Robust Monte Carlo Integration Methods Journal of Econometrics, 123(2):201--225.

• 

  Koopman, S. and Bos, C. (2004). State space models with a common stochastic variance Journal of Business and Economic Statistics, 22(3):346--357.

• 

  Abadir, K. and Lucas, A. (2004). A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model Journal of Econometrics, 119(1):45--71.

• 

  Kleibergen, F. and Zivot, E. (2003). Bayesian and Classical Approaches to Instrumental Variable Regression Journal of Econometrics, 114:29--72.
• Genton, M. and Lucas, A. (2003). Comprehensive Definitions of Breakdown-Points for Independent Observations Journal of the Royal Statistical Society. Series B. Statistical Methodology, 65(1):81--94.

• 

  Lundbergh, S., Teräsvirta, T. and van Dijk, D. (2003). Time-varying smooth transition autoregressive models Journal of Business and Economic Statistics, 21(1):104--121.
• van Dijk, D., Strikholm, B. and Teräsvirta, T. (2003). The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series Econometrics Journal, 6(1):79--98.

• 

  Lumsdaine, R. and Prasad, S. (2003). Identifying the common component in international economic fluctuations Economic Journal, 113:101--127.

• 

  Paap, R. and van Dijk, H. (2003). Bayes estimates of Markov trends in possibly cointegrated series: an application to U.S. consumption and income Journal of Business and Economic Statistics, 21(4):547--563.

• 

  Smith, R. and Boswijk, H. (2002). Finite sample and asymptotic methods in econometrics Journal of Econometrics, 111:135--140.
• Koopman, S. and Durbin, J. (2002). A simple and efficient smoother for state space time series analysis Biometrika, 89(3):603--616.

• 

  Kleibergen, F.(. and Paap, R. (2002). Priors, posteriors and bayes factors for a Bayesian analysis of cointegration Journal of Econometrics, 111(2):223--249.

• 

  Franses, P.H. and Paap, R. (2002). Censored latent effects autoregression, with an application to us unemployment Journal of Applied Econometrics, 17:347--366.