137 Key Publications

• 

  Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.

• 

  van den Brink, J.R. (2007). Null or Nullifying Players: The Difference between the Shapley Value and Equal Division Solutions Journal of Economic Theory, 136:767--775.

• 

  Fok, D., Franses, P.H.B.F. and Paap, R. (2007). Seasonality and non-linear price effects in scanner-data based market-response models Journal of Econometrics, 138(1):231--251.

• 

  Hoogerheide, L.F., Kleibergen, F.R. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103.

• 

  Ooms, M., Koopman, S. and Carnero, A. (2007). Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices Journal of the American Statistical Association, 102(477):16--27.

• 

  Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216.

• 

  Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255.

• 

  van der Klaauw, B. and van den Berg, G.J. (2006). Counseling and monitoring of unemployed workers: Theory and evidence from a controlled social experiment International Economic Review, 47:895--936.

• 

  Kleibergen, F. and Paap, R. (2006). Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics, 133(1):97--126.

• 

  Azevedo, J., Koopman, S. and Rua, A. (2006). Tracking the business cycle of the Euro area: A multivariate model-based band-pass filter Journal of Business and Economic Statistics, 24(3):278--290.

• 

  Bauwens, L., Boswijk, H. and Urbain, J. (2006). Causality and exogeneity in econometrics (guest editorial) Journal of Econometrics, 132(2):305--309.

• 

  Donkers, B., Paap, R., Jonker, J.J. and Franses, P.H.B.F. (2006). Deriving Target Selection Rules from Endogenously Selected Samples Journal of Applied Econometrics, 21(5):549--562.

• 

  Kleibergen, F. (2005). Testing Parameters in GMM without assuming that they are identified Econometrica, 73(4):1103--1124.

• 

  Brock, W., Hommes, C. and Wagener, F. (2005). Evolutionary dynamics in markets with many trader types Journal of Mathematical Economics, 41(1/2):7--42.

• 

  Boswijk, H. and Doornik, J. (2005). Distribution approximations for cointegration tests with stationary exogenous regressors Journal of Applied Econometrics, 20(6):797--810.

• 

  Koopman, S. and Lucas, A. (2005). Business and Default Cycles for Credit Risk Journal of Applied Econometrics, 20:311--323.

• 

  Boswijk, H. and Franses, P. (2005). On the econometrics of the Bass diffusion model Journal of Business and Economic Statistics, 23(3):255--268.

• 

  Bloemen, H. (2005). Job Search, Search Intensity, and Labor Market Transitions: An Empirical Analysis Journal of Human Resources, 40:231--269.

• 

  Kleibergen, F. (2004). Testing Subsets of Structural Parameters in the IV Regression Model Review of Economics and Statistics, 86(1):418--423.

• 

  Koopman, S. and Luginbuhl, R. (2004). Convergence in European GDP Series Journal of Applied Econometrics, 19(5):611--636.