Bertsch, C., Hull, I., Lumsdaine, RobinL. and Zhang, X. (2025). Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches Journal of Econometrics, :.
216 Key Publications
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Margaritella, L. and Sessinou, R. (2025). Precision Least Squares: Estimation and Inference in High-Dimensions Journal of Business and Economic Statistics, :. -
Paap, R. and Franses, P.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247:. -
He, Y. (2024). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, 119(546):1566--1578. -
Lange, R. (2024). Bellman filtering and smoothing for state-space models Journal of Econometrics, 238(2):. -
De Vos, I. and Stauskas, O. (2024). Cross-section bootstrap for CCE regressions Journal of Econometrics, 240(1):. -
Boswijk, H.Peter, Laeven, RogerJ.A. and Vladimirov, E. (2024). Estimating option pricing models using a characteristic function-based linear state space representation Journal of Econometrics, 244(1):. -
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2024). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, :. -
Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849. -
Frazier, DavidT., Renault, E., Zhang, L. and Zhao, X. (2024). Weak Identification in Discrete Choice Models Journal of Econometrics, :. -
D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2):. -
Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1):. -
Kleibergen, F. and Kong, L. (2024). Identification robust inference for the risk premium in term structure models Journal of Econometrics, :. -
Tommasi, D. and Zhang, L. (2024). Identifying program benefits when participation is misreported Journal of Applied Econometrics, :1123--1148. -
D'Innocenzo, E., Lucas, A., Opschoor, A. and Zhang, X. (2024). Heterogeneity and dynamics in network models Journal of Applied Econometrics, 39(1):150--173. -
Opschoor, D. and van der Wel, M. (2024). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, :. -
Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1):. -
Lange, R. and Teulings, C.(. (2024). Irreversible investment under predictable growth: Why land stays vacant when housing demand is booming Journal of Economic Theory, 215:. -
D\textquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2024). Modeling Extreme Events: Time-Varying Extreme Tail Shape Journal of Business and Economic Statistics, 42(3):903--917. -
Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):.