147 Key Publications

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  Koopman, S., Shephard, N. and Creal, D. (2009). Testing the assumptions behind importance sampling Journal of Econometrics, 149:2--11.

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  Chintagunta, P., Franses, P.H.B.F. and Paap, R. (2009). Introduction to the Special Issue on New Econometric Models in Marketing Journal of Applied Econometrics, 24(3):375--376.

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  Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173.

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  Fok, D. and Paap, R. (2009). Modeling category-level purchase timing with brand-level marketing variables Journal of Applied Econometrics, 24(3):469--489.

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  Paap, R., Segers, R. and van Dijk, D.J.C. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528--543.

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  Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.

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  Bloemen, H. and Kapteyn, A. (2008). The estimation of utility-consisten labor supply models by means of simulated scores Journal of Applied Econometrics, 23(4):395--422.

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  Bloemen, H. (2008). Job search, hours restrictions, and desired hours of work Journal of Labor Economics, 26(1):137--179.

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  van den Brink, J.R., van der Laan, G. and Vasil'ev, V. (2008). Extreme Points of Two Digraph Polytopes: Description and Applications in Economics and Game Theory Journal of Mathematical Economics, 44:1114--1125.

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  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.

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  van Dijk, B. and Paap, R. (2008). Explaining individual response using aggregated data Journal of Econometrics, 146(1):1--9.

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  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.

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  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.

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  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.

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  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.

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  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.

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  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.

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  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.

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  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.

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