210 Key Publications

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  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.

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

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  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.

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

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

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  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.

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

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

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

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

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  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.

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

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  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.

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

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

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  Bassett, W. and Lumsdaine, R. (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36(2):327--363.

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  Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.

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  Hobijn, B. and Franses, P.H. (2000). Asymptotically perfect and relative convergence of productivity Journal of Applied Econometrics, 15:59--81.

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  Paap, R. and Franses, P.H. (2000). A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables Journal of Applied Econometrics, 15(6):717--744.

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  Koopman, S., Shephard, N. and Doornik, J. (1999). Statistical algorithms for models in state space using SsPack 2.2 Journal of Econometrics, (2):113--166.