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.
310 Key Publications
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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, 120(552):2762--2771. -
Opschoor, D. and Dijk, D.V. (2025). Slow Expectation–Maximization Convergence in Low-Noise Dynamic Factor Models Journal of Applied Econometrics, 40(7):829--845. -
van 't Hoff, N.A.L., Lewbel, A. and Mellace, G. (2025). Limited Monotonicity and the Combined Compliers LATE Review of Economics and Statistics. -
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2025). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, 120(549):291--304. -
Opschoor, D. and van der Wel, M. (2025). A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound Journal of Business and Economic Statistics, 43(2):298--311. -
Blasques, F., Gorgi, P. and Koopman, S.J. (2025). Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models Journal of Business and Economic Statistics, 43(4):926--940. -
Kleibergen, F. and Kong, L. (2025). Identification robust inference for the risk premium in term structure models Journal of Econometrics, 248. -
Einmahl, JohnH.J., Krajina, A. and Cai, J.J. (2025). Empirical likelihood based testing for multivariate regular variation Annals of Statistics, 53(1):352--373. -
Paap, R. and Franses, P.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247. -
Mayer, A., Wied, D. and Troster, V. (2025). Quantile Granger causality in the presence of instability☆ Journal of Econometrics, 249. -
Kleibergen, F. and Zhan, Z. (2025). Risk premia from the cross-section of individual assets Journal of Econometrics, 252(A). -
Camehl, A., Fok, D. and Gruber, K. (2025). On superlevel sets of conditional densities and multivariate quantile regression Journal of Econometrics, 249. -
Janssens, EvaF. and Lumsdaine, RobinL. (2024). Sectoral slowdowns in the United Kingdom: Evidence from transmission probabilities and economic linkages Journal of Applied Econometrics, 39(1):22--40. -
Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions Journal of Econometrics, 238(1). -
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). -
Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849. -
D'Innocenzo, E. and Lucas, A. (2024). Dynamic partial correlation models Journal of Econometrics, 241(2). -
Borsch, M., Mayer, A. and Wied, D. (2024). Consistent Estimation of Multiple Breakpoints in Dependence Measures Journal of Business and Economic Statistics, 42(2):695--706.