198 Key Publications

• 

  Kleibergen, F. (2005). Testing Parameters in GMM without assuming that they are identified Econometrica, 73(4):1103--1124.

• 

  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.

• 

  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.

• 

  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. (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.

• 

  Bauwens, L., Lubrano, M. and van Dijk, H. (2004). Recent advances in Bayesian econometrics Journal of Econometrics, 123(2):197--199.

• 

  Kleibergen, F. and Zivot, E. (2003). Bayesian and Classical Approaches to Instrumental Variable Regression Journal of Econometrics, 114:29--72.

• 

  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.

• 

  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.

• 

  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.

• 

  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.