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