200 Key Publications

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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.

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  Franses, P.H.B.F. and Lucas, A. (1998). Outlier detection in cointegration analysis Journal of Business and Economic Statistics, 16(4):459--468.

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  Lumsdaine, R.L., Jones, C.M. and Lamont, O. (1998). Macroeconomic news and bond market volatility Journal of Financial Economics, 47(3):315--337.

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  Lumsdaine, R.L. and Bai, J. (1998). Testing for and dating common breaks in multivariate time series Review of Economic Studies, 65(3):395--432.

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  Boswijk, H., Franses, P. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80(1):167--193.

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  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.

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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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  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.