Kleibergen, F. and Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration Journal of Econometrics, 111:223--249.
147 Key Publications
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Smith, R. and Boswijk, H. (2002). Finite sample and asymptotic methods in econometrics Journal of Econometrics, 111:135--140. -
van Dijk, D.J.C., Franses, P.H.B.F. and Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment Journal of Econometrics, 110(2):135--165. -
Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280. -
Bloemen, H. (2002). The relation between wealth and labour market transitions: an empirical study for the Netherlands Journal of Applied Econometrics, 17:249--268. -
Franses, P.H.B.F. and Paap, R. (2002). Censored latent effects autoregression, with an application to us unemployment Journal of Applied Econometrics, 17:347--366. -
Franses, P.H.B.F., van der Leij, M.J. and Paap, R. (2002). Modelling and forecasting level shifts in absolute returns Journal of Applied Econometrics, 17(5):606--616. -
Kleibergen, F.R. and Paap, R. (2002). Priors, posteriors and bayes factors for a Bayesian analysis of cointegration Journal of Econometrics, 111(2):223--249. -
Bloemen, H. and Stancanelli, E. (2001). Individual wealth, reservation wages, and transitions into employment Journal of Labor Economics, 19(2):400--439. -
van der Klaauw, B. and van den Berg, G.J. (2001). Combining Micro and Macro Unemployment Duration Data Journal of Econometrics, 102(2):271--309. -
Bos, CharlesS., Mahieu, RonaldJ. and Van Dijk, HermanK. (2000). Daily exchange rate behaviour and hedging of currency risk Journal of Applied Econometrics, 15(6):671--696. -
Paap, R. and Franses, P.H.B.F. (2000). A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables Journal of Applied Econometrics, 15(6):717--744. -
Koopman, S., Shephard, N. and Doornik, J. (1999). Statistical algorithms for models in state space using SsPack 2.2 Journal of Econometrics, (2):113--166. -
Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301. -
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. -
Bloemen, H. (1997). Job search theory, labour supply and unemployment duration Journal of Econometrics, 79(2):305--325. -
Boswijk, H., Franses, P. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80(1):167--193. -
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. -
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, P.H.B.F., Hoek, H. and Paap, R. (1997). Bayesian analysis of seasonal unit roots and seasonal mean shifts Journal of Econometrics, 78:359--380.