200 Key Publications

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  He, Y., Jaidee, S. and Gao, J. (2022). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, :.

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  Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2022). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, :.

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  Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84.

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  Lumsdaine, R., Okui, R. and Wang, W. (2022). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, :.

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  Blasques, F., Francq, C. and Laurent, S. (2022). Quasi score-driven models Journal of Econometrics, :.

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  Böhm, H., Schaumburg, J. and Tonzer, L. (2022). Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe IMF Economic Review, :.

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  Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2022). Dynamic clustering of multivariate panel data Journal of Econometrics, :.

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  De Luca, G., Magnus, JanR. and Peracchi, F. (2022). Sampling properties of the Bayesian posterior mean with an application to WALS estimation Journal of Econometrics, 230(2):299--317.

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  Friedrich, M. and Lin, Y. (2022). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, :.

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  Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, :.

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  Li, M. and Koopman, S. (2021). Unobserved components with stochastic volatility: Simulation-based estimation and signal extraction Journal of Applied Econometrics, 36(5):614--627.

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  Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2021). Maximum likelihood estimation for score-driven models Journal of Econometrics, :.

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  Wang, W.(., Leng, X.(. and Chen, H. (2021). Multi-dimensional latent group structures with heterogeneous distributions Journal of Econometrics, :.

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  Juodis, A. and Sarafidis, V. (2021). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, :.

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  Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.

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  Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, 214(1):46--66.

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  Kleibergen, F. (2020). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, :.

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  Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372.

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  Caballero, D., Lucas, A., Schwaab, B. and Zhang, X. (2020). Risk endogeneity at the lender/investor-of-last-resort Journal of Monetary Economics, 116:283--297.

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  Ikefuji, M., Laeven, RogerJ.A., Magnus, JanR. and Muris, C. (2020). Expected utility and catastrophic risk in a stochastic economy-climate model Journal of Econometrics, 214(1):110--129.