Boswijk, H., Jansson, M. and Nielsen, M. (2015). Improved likelihood ratio tests for cointegration rank in the VAR model Journal of Econometrics, 184(1):97--110.
3 Key Publications
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Koopman, S., Lucas, A. and Scharth, M. (2015). Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models Journal of Business and Economic Statistics, 33(1):114--127. -
Kleibergen, F. and Zhan, Z. (2015). Unexplained factors and their effects on second pass R-squared’s Journal of Econometrics, 189(1):101--116.