296 Key Publications

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  Kleibergen, F. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression Econometrica, 70:1781--1804.
• Lucas, A., Klaassens, P., Spreij, P. and Straetmans, S. (2002). Erratum: An analytic approach to credit risk of large corporate bond and loan portfolios (Journal of Banking and Finance 25, 9 (1635-1664) PII: S0378-4266(00)00147-3) Journal of Banking and Finance, 26(1):201--202.

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  Franses, P.H. and Paap, R. (2002). Censored latent effects autoregression, with an application to us unemployment Journal of Applied Econometrics, 17:347--366.

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  Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280.

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  Bekaert, G., Lumsdaine, R. and Harvey, C. (2002). Dating the integration of world equity markets Journal of Financial Economics, 21(3):295--350.

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  Franses, P.H. and McAleer, M. (2002). Financial volatility: an introduction Journal of Applied Econometrics, 17(5):419--424.

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  Kleibergen, F. and Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration Journal of Econometrics, 111:223--249.

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  Smith, R. and Boswijk, H. (2002). Finite sample and asymptotic methods in econometrics Journal of Econometrics, 111:135--140.
• Koopman, S. and Durbin, J. (2002). A simple and efficient smoother for state space time series analysis Biometrika, 89(3):603--616.
• Lucas, A., Spreij, P., Straetmans, S. and Klaassen, P. (2001). An analytical approach to credit risk of large corporate bond and loan portfolios Journal of Banking and Finance, 25(9):1635--1664.

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  Bassett, W. and Lumsdaine, R. (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36(2):327--363.
• Koopman, S. and Durbin, J. (2000). Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives Journal of the Royal Statistical Society. Series B. Statistical Methodology, 62:3--56.
• Franses, P.H. and Taylor, A. (2000). Determining the order of differencing in seasonal time series processes Econometrics Journal, 3(2):250--264.

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  Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.
• Taylor, N., van Dijk, D., Franses, P.H. and Lucas, A.(. (2000). SETS, arbitrage activity, and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.

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  Hobijn, B. and Franses, P.H. (2000). Asymptotically perfect and relative convergence of productivity Journal of Applied Econometrics, 15:59--81.

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  Paap, R. and Franses, P.H. (2000). A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables Journal of Applied Econometrics, 15(6):717--744.

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  Bos, CharlesS., Mahieu, RonaldJ. and Van Dijk, HermanK. (2000). Daily exchange rate behaviour and hedging of currency risk Journal of Applied Econometrics, 15(6):671--696.
• Harvey, A. and Koopman, S. (2000). Signal Extraction and the Formulation of Unobserved Components Models Econometrics Journal, 3:84--107.

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  van Dijk, D., Franses, P.H. and Lucas, A.(. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.