189 Key Publications

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  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.

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  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.

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  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.

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  Franses, P.H.B.F. and Draisma, G. (1997). Recognizing changing seasonal patterns using artificial neural networks Journal of Econometrics, 81:273--280.

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  Lumsdaine, R.L. and Papell, D.H. (1997). Multiple trend breaks and the unit root hypothesis Review of Economics and Statistics, LXXIX(2):212--218.

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  Ooms, M. and Franses, P.H.B.F. (1997). On periodic correlations between estimated seasonal and nonseasonal components for US and German unemployment Journal of Business and Economic Statistics, 15(4):470--481.

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  Boswijk, H. (1996). Testing identifiablility of cointegrating vectors Journal of Business and Economic Statistics, 14(2):153--160.

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  Bauwens, L., Polasek, W. and van Dijk, H.K. (1996). Bayes, Bernoullis and Basel, editors' introduction Journal of Econometrics, 75:1--5.

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  Lumsdaine, R.L. (1996). Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1) Econometrica, 64(3):575--596.

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  Boswijk, H. and Franses, P. (1995). Periodic cointegration: Representation and inference Review of Economics and Statistics, LXXVII:436--454.

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  Lucas, A. (1995). An outlier robust unit root test with an application to the extended Nelson-Plosser data Journal of Econometrics, 66(1-2):153--173.

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  Boswijk, H. (1995). Conditional and structural error correction models: Reply Journal of Econometrics, 69(1):173--175.

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  Boswijk, H. (1995). Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics, 69(1):133--158.

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  Hoek, H., Lucas, A. and van Dijk, H.K. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69:27--59.

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  Lumsdaine, R.L. (1995). Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation Journal of Business and Economic Statistics, 13:1--10.

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  Boswijk, H. (1994). Testing for an unstable root in conditional and structural error correction models Journal of Econometrics, 63(1):37--60.

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  Franses, P.H.B.F. (1994). A multivariate approach to modeling univariate seasonal time series Journal of Econometrics, 63:133--151.

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  Franses, P.H.B.F. and Haldrup, N. (1994). The effects of additive outliers on tests for unit roots and cointegration Journal of Business and Economic Statistics, 12:471--478.

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  Kiviet, J.F. and van Dijk, H.K. (1994). Structure and dynamics in econometrics (editors' introduction) Journal of Econometrics, 63:1--5.

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  Kleibergen, F.R. and van Dijk, H.K. (1994). Direct cointegration testing in error-correction models Journal of Econometrics, 63:61--103.