Chesher, A., Dhaene, G.(. and van Dijk, H. (2007). Endogeneity, Instruments and Identification, Guest Editorial Journal of Econometrics, 139(1):1--3.
11 Key Publications
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Giordani, P., Kohn, R. and van Dijk, D. (2007). A unified approach to nonlinearity, structural change, and outliers Journal of Econometrics, 137(1):112--133. -
Hoogerheide, L., Kleibergen, F. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103. -
Menkveld, A., Koopman, S. and Lucas, A. (2007). Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods Journal of Business and Economic Statistics, 25(2):213--255. -
Martens, M. and van Dijk, D. (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1):181--207. -
Harvey, A., Trimbur, T. and van Dijk, H. (2007). Trends and cycles in economic time series: a Bayesian approach Journal of Econometrics, 140(2):618--649. -
Fok, D., Franses, P.H. and Paap, R. (2007). Seasonality and non-linear price effects in scanner-data based market-response models Journal of Econometrics, 138(1):231--251. -
Hoogerheide, L., Kaashoek, J. and van Dijk, H.K. (2007). On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks Journal of Econometrics, 139(1):154--180. -
Ooms, M., Koopman, S. and Carnero, A. (2007). Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices Journal of the American Statistical Association, 102(477):16--27. -
Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216. -
Fok, D. and Franses, P.H. (2007). Modeling the diffusion of scientific publications Journal of Econometrics, 139(2):376--390.