Lundbergh, S., Teräsvirta, T. and van Dijk, D. (2003). Time-varying smooth transition autoregressive models Journal of Business and Economic Statistics, 21(1):104--121.
6 Key Publications
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Paap, R. and van Dijk, H. (2003). Bayes estimates of Markov trends in possibly cointegrated series: an application to U.S. consumption and income Journal of Business and Economic Statistics, 21(4):547--563. -
Genton, M. and Lucas, A. (2003). Comprehensive Definitions of Breakdown-Points for Independent Observations Journal of the Royal Statistical Society. Series B. Statistical Methodology, 65(1):81--94.
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van Dijk, D., Strikholm, B. and Teräsvirta, T. (2003). The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series Econometrics Journal, 6(1):79--98.
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Lumsdaine, R. and Prasad, S. (2003). Identifying the common component in international economic fluctuations Economic Journal, 113:101--127. -
Kleibergen, F. and Zivot, E. (2003). Bayesian and Classical Approaches to Instrumental Variable Regression Journal of Econometrics, 114:29--72.