Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301.
841 Key Publications
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Frances, P. and Lucas, A. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468. -
Bai, J., Lumsdaine, R. and Stock, J. (1998). Testing for and dating common breaks in multivariate time series Review of Economic Studies, 65(3):395--432. -
Franses, \.H. and Vogelsang, T. (1998). On seasonal cycles, unit roots, and mean shifts Review of Economics and Statistics, :231--240. -
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. -
Franses, \.H., Hoek, H. and Paap, R. (1997). Bayesian analysis of seasonal unit roots and seasonal mean shifts Journal of Econometrics, 78:359--380. -
Houba, H. (1997). The policy bargaining model Journal of Mathematical Economics, 28:1--27. -
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. -
Ooms, \.(. and Franses, \.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. -
Kahneman, D., Wakker, P. and Sarin, R. (1997). Back to Bentham? Explorations of Experienced Utility Quarterly Journal of Economics, 112:375--405. -
Tol, R. (1997). -- [Review of: S. Fankhauser. Valuing Climate Change: The Economics of the Greenhouse] Economic Journal, 107(444):1586--1588. -
Franses, \.H., Boswijk, H. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80:167--193. -
Brock, W. and Hommes, C. (1997). A rational route to randomness Econometrica, 65:1059--1095. -
Bloemen, H. (1997). Job search theory, labour supply and unemployment duration Journal of Econometrics, 79(2):305--325. -
Sarin, R. and Wakker, P. (1997). A Single-Stage Approach to Anscombe and Aumann's Expected Utility Review of Economic Studies, 64:399--409. -
Boot, A. and Thakor, A. (1997). Financial System Architecture. Review of Financial Studies, 10(3):693--733. -
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. -
Pradhan, M. and van Soest, A. (1997). Household labor supply in urban areas of Bolivia Review of Economics and Statistics, 79(2):300--310. -
Lumsdaine, R. and Papell, D. (1997). Multiple trend breaks and the unit root hypothesis Review of Economics and Statistics, LXXIX(2):212--218. -
Boot, A. and Thakor, A. (1997). Banking Scope and Financial Innovation. Review of Financial Studies, 10(4):1099--1131.