224 Key Publications

• 

  Blasques, F., Gorgi, P. and Koopman, \S.J.\ (2021). Missing observations in observation-driven time series models Journal of Econometrics, 221(2):542--568.

• 

  Okui, R. and Wang, W. (2021). Heterogeneous structural breaks in panel data models Journal of Econometrics, 220(2):447--473.

• 

  \De Vos\, I. and Everaert, G. (2021). Bias-Corrected Common Correlated Effects Pooled Estimation in Dynamic Panels Journal of Business and Economic Statistics, 39(1):294--306.

• 

  Fazzio, I., Eble, A., Lumsdaine, \RobinL.\, Boone, P., Bouy, B., Hsieh, \.T.J., Jayanty, C., Johnson, S. and Silva, \.F. (2021). Large learning gains in pockets of extreme poverty: Experimental evidence from Guinea Bissau Journal of Public Economics, 199:.

• 

  Einmahl, \JohnH.J.\, Yang, F. and Zhou, C. (2021). Testing the Multivariate Regular Variation Model Journal of Business and Economic Statistics, 39(4):907--919.

• 

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

• 

  Li, M., Koopman, \.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.

• 

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

• 

  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.

• 

  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.

• 

  Miao, K., Su, L. and Wang, W. (2020). Panel threshold regressions with latent group structures Journal of Econometrics, 214(2):451--481.

• 

  Ruseckaite, A., Fok, D. and Goos, P. (2020). Flexible Mixture-Amount Models Using Multivariate Gaussian Processes Journal of Business and Economic Statistics, 38(2):257--271.

• 

  Friedrich, M., Smeekes, S. and Urbain, \.P. (2020). Autoregressive wild bootstrap inference for nonparametric trends Journal of Econometrics, 214(1):81--109.

• 

  Conrad, C. and Kleen, O. (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models Journal of Applied Econometrics, 35(1):19--45.

• 

  \de Haan\, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, 116(535):1265--1279.

• 

  Karabiyik, H., Palm, \FranzC.\ and Urbain, \.P. (2019). Econometric Analysis of Panel Data Models with Multifactor Error Structures Annual Review of Economics, 11:495--522.

• 

  Lucas, A., Schaumburg, J. and Schwaab, B. (2019). Bank Business Models at Zero Interest Rates Journal of Business and Economic Statistics, 37(3):542--555.

• 

  Karabiyik, H., Urbain, \.P. and Westerlund, J. (2019). CCE estimation of factor-augmented regression models with more factors than observables Journal of Applied Econometrics, 34(2):268--284.

• 

  \De Luca\, G., Magnus, \JanR.\ and Peracchi, F. (2019). Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right” Journal of Business and Economic Statistics, 37(2):217--222.

• 

  Boswijk, H., Bun, M. and Schinkel, M. (2019). Cartel Dating Journal of Applied Econometrics, 34(1):26--42.