Discussion Papers

22-094/III - Multivariate quantile regression using superlevel sets of conditional densities

Authors: Annika Camehl, Erasmus University Rotterdam; Dennis Fok, Erasmus University Rotterdam; Kathrin Gruber, Erasmus University Rotterdam

Date: December 16, 2022

22-093/III - Fully Modified Estimation in Cointegrating Polynomial Regressions: Extensions and Monte Carlo Comparison

Authors: Yicong Lin, Vrije Universiteit Amsterdam; Hanno Reuvers, Erasmus University Rotterdam

Date: December 08, 2022

22-092/III - Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?

Authors: Yicong Lin, Vrije Universiteit Amsterdam; Hanno Reuvers, Erasmus University Rotterdam

Date: December 08, 2022

22-089/III - Finding the European crime drop using a panel data model with stochastic trends

Authors: Ilka van de Werve, Vrije Universiteit Amsterdam; Siem Jan Koopman, Vrije Universiteit Amsterdam

Date: November 30, 2022

22-080/III - Robust Inference for Non-Gaussian SVAR models

Authors: Lukas Hoesch, Vrije Universiteit Amsterdam ; Adam Lee, BI Norwegian Business School; Geert Mesters, Universitat Pompeu Fabra

Date: October 27, 2022

22-075/III - Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation

Authors: H. Peter Boswijk, University of Amsterdam; Roger J. A. Laeven, University of Amsterdam; Evgenii Vladimirov, University of Amsterdam

Date: October 13, 2022

22-070/III - Dynamic Partial Correlation Models

Authors: Enzo D’Innocenzo, Vrije Universiteit Amsterdam; André Lucas, Vrije Universiteit Amsterdam

Date: September 29, 2022

22-069/III - Does economic uncertainty predict real activity in real-time?

Authors: Bart Keijsers, University of Amsterdam; Dick van Dijk, Erasmus University Rotterdam

Date: September 27, 2022

22-066/III - Implicit score-driven filters for time-varying parameter models

Authors: Rutger-Jan Lange, Erasmus University Rotterdam; Bram van Os, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam

Date: September 20, 2022

22-053/III - A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods

Authors: Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi, University of Rome Tor Vergata; Francesco Ravazzolo, BI Norwegian Business School; Herman K. van Dijk, Erasmus University Rotterdam

Date: August 09, 2022

22-038/III - Confidence Intervals for Recursive Journal Impact Factors

Authors: Johannes König, University of Kassel; David I. Stern, The Australian National University; Vrije Universiteit Amsterdam

Date: June 13, 2022

22-022/III - Asymptotic properties of the weighted-average least squares (WALS) estimator

Authors: Giuseppe De Luca, University of Palermo; Jan Magnus, Vrije Universiteit Amsterdam; Franco Peracchi, University of Rome Tor Vergata

Date: March 03, 2022

22-013/III - A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods

Authors: Roberto Casarin, University Ca' Foscari of Venice; Stefano Grassi, University of Rome Tor Vergata; Francesco Ravazzollo, BI Norwegian Business School; Herman van Dijk, Erasmus University Rotterdam

Date: February 14, 2022

22-011/III - A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound

Authors: Daan Opschoor, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam

Date: February 03, 2022

22-001/III - Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions

Authors: Francisco Blasques, Vrije Universiteit Amsterdam, Tinbergen Institute; Janneke van Brummelen, Vrije Universiteit Amsterdam, Tinbergen Institute; Paolo Gorgi, Vrije Universiteit Amsterdam, Tinbergen Institute; Siem Jan Koopman, Vrije Universiteit Amsterdam, Tinbergen Institute, CREATES, Aarhus University

Date: January 06, 2022

21-109/III - Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs

Authors: Terri van der Zwan, Erasmus University Rotterdam, Tinbergen Institute; Erik Kole, Erasmus University Rotterdam, Tinbergen Institute; Michel van der Wel, Erasmus University Rotterdam, Tinbergen Institute

Date: December 24, 2021

21-107/III - Sieve Bootstrap Inference for Time-Varying Coefficient Models

Authors: Marina Friedrich, Vrije Universiteit Amsterdam, Tinbergen Institute; Yicong Lin, Vrije Universiteit Amsterdam

Date: December 21, 2021

21-106/III - Statistics and Common Sense

Authors: Nobuyuki Hanaki, ISER, Osaka University, Japan; Jan Magnus, Vrije Universiteit Amsterdam;

Date: November 26, 2021

21-105/III - Gauss on Least-Squares and Maximum-Likelihood Estimation

Author: Jan Magnus, Vrije Universiteit Amsterda,