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Koopman, S., Lucas, A. and Schwaab, B. (2012). Dynamic Factor Models With Macro, Frailty and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 Journal of Business and Economic Statistics, 30(4):521--532.
Guggenberger, P., Kleibergen, F., Mavroeidis, S. and Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression Econometrica, 80(6):2649--2666.
Pesaran, H. and Pick, A. (2011). Forecast combination across estimation windows Journal of Business and Economic Statistics, 29(2):307--318.
Diks, C., Panchenko, V. and \van Dijk\, D. (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails Journal of Econometrics, 163(2):215--230.
Koopman, S., Lucas, A. and Schwaab, B. (2011). Modeling frailty correlated defaults using many macroeconomic covariates Journal of Econometrics, 162(2):312--325.
Creal, D., Koopman, S. and Lucas, A. (2011). A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations Journal of Business and Economic Statistics, 29(4):552--563.
Boswijk, H. and van der Weide, R. (2011). Method of moments estimation of GO-GARCH models Journal of Econometrics, 163(1):118--126.
Pesaran, H., Pick, A. and Timmermann, A. (2011). Variable selection, estimation and inference for multi-period forecasting problems Journal of Econometrics, 164(1):173--187.
Beauchamp, JonathanP., Cesarini, D., Johannesson, M., Van Der Loos, MatthijsjH.M., Koellinger, PhilippD., Patrick, J.F.Groenen, Fowler, JamesH., Rosenquist, J.Niels, Thurik, A.Roy and Christakis, NicholasA. (2011). Molecular genetics and economics Journal of Economic Perspectives, 25(4):57--82.
Boswijk, H., Franses, \.H. and \van Dijk\, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159.
Boswijk, H., Franses, \.H. and \van Dijk\, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2.
Koopman, S., Mallee, M. and van der Wel, M. (2010). Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters Journal of Business and Economic Statistics, 28:329--343.
Koopman, S. and Creal, D. (2010). Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter Journal of Applied Econometrics, 25:695--719.
Fok, D. and Paap, R. (2009). Modeling category-level purchase timing with brand-level marketing variables Journal of Applied Econometrics, 24(3):469--489.
Chintagunta, P., Franses, \.H. and Paap, R. (2009). Introduction to the Special Issue on New Econometric Models in Marketing Journal of Applied Econometrics, 24(3):375--376.
Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173.
Sandor, \.(. and Franses, \.H. (2009). Consumer Price Evaluations Through Choice Experiments Journal of Applied Econometrics, 24(3):517--535.
Paap, R., Segers, R. and \van Dijk\, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528--543.
Kleibergen, F. and Mavroeidis, S. (2009). Rejoinder Journal of Business and Economic Statistics, 27(3):331--339.