Kleibergen, F. and Kong, L. (2025). Identification robust inference for the risk premium in term structure models Journal of Econometrics, 248:.
10 Key Publications
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Frazier, D., Renault, E., Zhang, L. and Zhao, X. (2025). Weak Identification in Discrete Choice Models Journal of Econometrics, 248:. -
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. -
Paap, R. and Franses, \.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247:. -
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:. -
\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:. -
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. -
\van Os\, B. and \van Dijk\, D. (2025). Dynamic Conditional Correlations with Partial Information Pooling Journal of Business and Economic Statistics, :. -
Kleibergen, F. and Zhan, Z. (2025). Risk premia from the cross-section of individual assets Journal of Econometrics, 252(A):. -
Opschoor, D. and Dijk, D.V. (2025). Slow Expectation–Maximization Convergence in Low-Noise Dynamic Factor Models Journal of Applied Econometrics, :.