210 Key Publications

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  Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280.

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  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.

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  Franses, P.H.B.F. and McAleer, M.J. (2002). Financial volatility: an introduction Journal of Applied Econometrics, 17(5):419--424.

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  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.

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  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.

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  Lumsdaine, R.L., Bekaert, G. and Harvey, C.R. (2002). Dating the integration of world equity markets Journal of Financial Economics, 21(3):295--350.

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  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.

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  Lumsdaine, R.L. and Bassett, F. (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36(2):327--363.

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  Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.

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  Geweke, J.F., Rust, J. and van Dijk, H.K. (2000). Inference and decision making, Introduction Journal of Applied Econometrics, 6:545--546.

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  Hobijn, B. and Franses, P.H.B.F. (2000). Asymptotically perfect and relative convergence of productivity Journal of Applied Econometrics, 15:59--81.

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  Koop, G. and van Dijk, H.K. (2000). Testing for integration using evolving trend and seasonals model: a Bayesian approach Journal of Econometrics, 97:261--291.

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  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.

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  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.

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  Franses, P.H.B.F., Kloek, T. and Lucas, A. (1999). Outlier robust analysis of long-run marketing effects for weekly scanning data Journal of Econometrics, 89:293--315.

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  Lumsdaine, R.L. and Ng, S.G. (1999). Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean Journal of Econometrics, 93(2):257--279.

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  van Dijk, D.J.C., Franses, P.H.B.F. and Lucas, A. (1999). Testing for ARCH in the presence of additive outliers Journal of Applied Econometrics, 14:539--562.

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  van Dijk, D.J.C., Franses, P.H.B.F. and Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.

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  Sandmann, G. and Koopman, S.J. (1998). Estimation of stochastic volatility models via Monte Carlo maximum likelihood Journal of Econometrics, 87(2):271--301.

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  Franses, P.H.B.F. and Vogelsang, T.J. (1998). On seasonal cycles, unit roots, and mean shifts Review of Economics and Statistics, :231--240.