11 Key Publications

• 

  Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280.

• 

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

• 

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

• 

  van Dijk, D., Franses, P.H. and Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment Journal of Econometrics, 110(2):135--165.

• 

  Franses, P.H., van der Leij, M. and Paap, R. (2002). Modelling and forecasting level shifts in absolute returns Journal of Applied Econometrics, 17(5):606--616.

• 

  Koopman, S. and Hol Uspensky, E. (2002). The Stochastic Volatility in Mean Model: Empirical evidence from international stock markets Journal of Applied Econometrics, 17:667--689.

• 

  Bekaert, G., Lumsdaine, R. and Harvey, C. (2002). Dating the integration of world equity markets Journal of Financial Economics, 21(3):295--350.

• 

  Kleibergen, F. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression Econometrica, 70:1781--1804.

• 

  Franses, P.H. and McAleer, M. (2002). Financial volatility: an introduction Journal of Applied Econometrics, 17(5):419--424.

• 

  Kleibergen, F. and Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration Journal of Econometrics, 111:223--249.

• 

  Smith, R. and Boswijk, H. (2002). Finite sample and asymptotic methods in econometrics Journal of Econometrics, 111:135--140.