311 Key Publications

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  Jones, C., Lumsdaine, R. and Lamont, O. (1998). Macroeconomic news and bond market volatility Journal of Financial Economics, 47(3):315--337.

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  Franses, P.H. and Vogelsang, T. (1998). On seasonal cycles, unit roots, and mean shifts Review of Economics and Statistics, :231--240.

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  Atkinson, A.C., Koopman, S.J. and Shephard, N. (1997). Detecting shocks: Outliers and breaks in time series Journal of Econometrics, 80(2):387--422.

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  Ooms, M.(. and Franses, P.H. (1997). On periodic correlations between estimated seasonal and nonseasonal components for US and German unemployment Journal of Business and Economic Statistics, 15(4):470--481.

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  Franses, P.H. and Draisma, G. (1997). Recognizing changing seasonal patterns using artificial neural networks Journal of Econometrics, 81:273--280.
• Durbin, J. and Koopman, S.J. (1997). Monte Carlo maximum likelihood estimation for non-Gaussian state space models Biometrika, 84(3):669--684.

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  Harvey, A., Koopman, S.J. and Riani, M. (1997). The modeling and seasonal adjustment of weekly observations Journal of Business and Economic Statistics, 15(3):354--368.

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  Lumsdaine, R. and Papell, D. (1997). Multiple trend breaks and the unit root hypothesis Review of Economics and Statistics, LXXIX(2):212--218.

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  Boswijk, H., Franses, P. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression. Journal of Econometrics, 80(1):167--193.

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  Koopman, S.J. (1997). Exact initial kalman filtering and smoothing for nonstationary time series models Journal of the American Statistical Association, 92(440):1630--1638.

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  Franses, P.H., Hoek, H. and Paap, R. (1997). Bayesian analysis of seasonal unit roots and seasonal mean shifts Journal of Econometrics, 78:359--380.

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  Boswijk, H. (1996). Testing identifiablility of cointegrating vectors Journal of Business and Economic Statistics, 14(2):153--160.

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  Lumsdaine, R. (1996). Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1) Econometrica, 64(3):575--596.

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  Boswijk, H. (1995). Conditional and structural error correction models: Reply Journal of Econometrics, 69(1):173--175.

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  Boswijk, H. (1995). Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics, 69(1):133--158.

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  Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173.

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  Boswijk, H. and Franses, P. (1995). Periodic cointegration: Representation and inference Review of Economics and Statistics, LXXVII:436--454.

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  Lumsdaine, R. (1995). Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation Journal of Business and Economic Statistics, 13:1--10.

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  Hoek, H., Lucas, A. and van Dijk, HermanK. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69(1):27--59.

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  Kleibergen, F. and van Dijk, HermanK. (1994). Direct cointegration testing in error correction models Journal of Econometrics, 63(1):61--103.