Paap, R. and Franses, P.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247:.
217 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, :. -
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, 249:. -
de Santis, R., Goeman, JelleJ., Hemerik, J., Davenport, S. and Finos, L. (2025). Inference in generalized linear models with robustness to misspecified variances Journal of the American Statistical Association, https://doi.org/10.1080/01621459.2025.2491775:. -
Kleibergen, F. and Kong, L. (2024). Identification robust inference for the risk premium in term structure models Journal of Econometrics, :. -
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:. -
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). 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. -
Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1):. -
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. -
Magnus, JanR. (2024). A gentle introduction to matrix calculus Journal of Econometrics, 244(1):. -
de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393. -
Creal, D., Koopman, S.J., Lucas, A. and Zamojski, M. (2024). Observation-driven filtering of time-varying parameters using moment conditions Journal of Econometrics, 238(2):1--14. -
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22. -
Camehl, A., Fok, D. and Gruber, K. (2024). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, 249:. -
Gorgi, P., Koopman, S.J. and Schaumburg, J. (2024). Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors Journal of Econometrics, 244(2):. -
Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29. -
Armillotta, M. and Gorgi, P. (2024). Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models Journal of Econometrics, 246(1-2):. -
De Vos, I. and Stauskas, O. (2024). Cross-section bootstrap for CCE regressions Journal of Econometrics, 240(1):.