217 Key Publications

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  Franses, P.H., Boswijk, H. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80:167--193.

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  Atkinson, A.C., Koopman, S.J. and Shephard, N. (1997). Detecting shocks: Outliers and breaks in time series Journal of Econometrics, 80(2):387--422.

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  Lumsdaine, R. (1996). Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1) Econometrica, 64(3):575--596.

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  Boswijk, H. (1996). Testing identifiablility of cointegrating vectors Journal of Business and Economic Statistics, 14(2):153--160.

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  Lumsdaine, R. (1995). Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation Journal of Business and Economic Statistics, 13:1--10.

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  Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173.

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  Franses, P.H. and Boswijk, H. (1995). Periodic cointegration: representation and inference Review of Economics and Statistics, LXXVII(3):436--454.

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  Boswijk, H. (1995). Conditional and structural error correction models: Reply Journal of Econometrics, 69(1):173--175.

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  Boswijk, H. (1995). Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics, 69(1):133--158.

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  Boswijk, H. (1994). Testing for an unstable root in conditional and structural error correction models Journal of Econometrics, 63:37--60.

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  Franses, P.H. (1994). A multivariate approach to modeling univariate seasonal time series Journal of Econometrics, 63:133--151.

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  Franses, P.H. and Haldrup, N. (1994). The effects of additive outliers on tests for unit roots and cointegration Journal of Business and Economic Statistics, 12:471--478.

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  Harvey, A. and Koopman, S.J. (1993). Forecasting hourly electricity demand using time–varying splines Journal of the American Statistical Association, 88(424):1228--1236.

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  Kleibergen, F. and van Dijk, H.K. (1993). Non‐stationarity in garch models: A bayesian analysis Journal of Applied Econometrics, 8(1 S):S41--S61.

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  Harvey, AndrewC. and Koopman, S.J. (1992). Diagnostic checking of unobserved- components time series models Journal of Business and Economic Statistics, 10(4):377--389.

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  Banerjee, A., Lumsdaine, R. and Stock, J. (1992). Recursive and sequential test of the unit root and trend break hypotheses: theory and international evidence Journal of Business and Economic Statistics, 10:271--288.

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  Lumsdaine, R., Stock, J. and Wise, D. (1990). Efficient Windows and Labor Force Reduction Journal of Public Economics, 43:131--159.