Borowska, A., Hoogerheide, L., Koopman, S.J. and van Dijk, HermanK. (2020). Partially censored posterior for robust and efficient risk evaluation Journal of Econometrics, 217(2):335--355.
Herman van Dijk
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Website
Key publications
Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L. and van Dijk, H.K. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies Journal of Econometrics, 210(1):170--186.
Aastveit, K.A., Ravazzolo, F. and H.K. van Dijk (2018). Combined Density Nowcasting in an Uncertain Economic Environment Journal of Business and Economic Statistics, 36(1):131-145.
Francesco Ravazzolo (2016). Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model Journal of Applied Econometrics.
Basturk, N., Cakmakli, C.(., Ceyhan, P. and van Dijk, H. (2014). Posterior-predictive evidence on US inflation using extended New Keynesian Phillips Curve models with non-filtered data Journal of Applied Econometrics, 29(7):1164--1182.
Bilio, M., Casarin, R., Ravazzolo, F. and van Dijk, H. (2013). Time-varying combinations of predictive densities using nonlinear filtering Journal of Econometrics, 177(2):213--232.
Strachan, R. and van Dijk, H. (2013). Evidence on features of a dsge business cycle model from bayesian model averaging International Economic Review, 54(1):385--402.
Timmerman, A. and van Dijk, H. (2013). Dynamic econometric modeling and forecasting in the presence of instability Journal of Econometrics, 177(2):131--133.
Hoogerheide, L., Opschoor, A. and van Dijk, H.K. (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation Journal of Econometrics, 171(2):101--120.
Hoogerheide, L., Ravazzolo, F. and van Dijk, H.K. (2012). Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds Journal of Business and Economic Statistics, 30(1):30--33.
Hoogerheide, L., Ravazzolo, F. and van Dijk, H. (2012). Forecast rationality tests based on multi-horizon bounds: Comment Journal of Business and Economic Statistics, 30(1):30--33.
Chesher, A., Dhaene, G.(. and van Dijk, H. (2007). Endogeneity, Instruments and Identification, Guest Editorial Journal of Econometrics, 139(1):1--3.
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.
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.
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.
Kleijn, R. and van Dijk, H. (2006). Bayes model averaging of cyclical decompositions in economic time series Journal of Applied Econometrics, 21(2):191--212.
van Dijk, D., van Dijk, H. and Franses, P.H. (2005). On the dynamics of business cycle analysis; Editors' introduction Journal of Applied Econometrics, 20(2):147--150.
Bauwens, L., Lubrano, M. and van Dijk, H. (2004). Recent advances in Bayesian econometrics Journal of Econometrics, 123(2):197--199.
Bauwens, L., Bos, C.(., van Dijk, H. and van Oest, R.(. (2004). Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods Journal of Econometrics, 123(2):201--225.
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.
Geweke, J., Rust, J. and van Dijk, H. (2000). Inference and decision making, Introduction Journal of Applied Econometrics, 6:545--546.
Koop, G. and van Dijk, H. (2000). Testing for integration using evolving trend and seasonals model: a Bayesian approach Journal of Econometrics, 97:261--291.
Bauwens, L., Polasek, W. and van Dijk, H. (1996). Bayes, Bernoullis and Basel, editors' introduction Journal of Econometrics, 75:1--5.
Hoek, H., Lucas, A. and van Dijk, HermanK. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69(1):27--59.
Kiviet, J. and van Dijk, H. (1994). Structure and dynamics in econometrics, editor's introduction Journal of Econometrics, 63:1--5.
Kleibergen, F.(. and van Dijk, H. (1994). Direct cointegration testing in error-correction models Journal of Econometrics, 63:61--103.
Schotman, P. and van Dijk, H. (1991). On Bayesian routes to unit roots Journal of Applied Econometrics, 6:387--401.
Kooiman, P., van Dijk, H. and Thurik, R. (1985). Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services Journal of Econometrics, 29(1-2):121--148.
List of publications
Borowska, A., Hoogerheide, L., Koopman, S.J. and van Dijk, HermanK. (2020). Partially censored posterior for robust and efficient risk evaluation Journal of Econometrics, 217(2):335--355.
Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L. and van Dijk, H.K. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies Journal of Econometrics, 210(1):170--186.
Aastveit, K.A., Ravazzolo, F. and H.K. van Dijk (2018). Combined Density Nowcasting in an Uncertain Economic Environment Journal of Business and Economic Statistics, 36(1):131-145.
Francesco Ravazzolo (2016). Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model Journal of Applied Econometrics.
Basturk, N., Cakmakli, C.(., Ceyhan, P. and van Dijk, H. (2014). Posterior-predictive evidence on US inflation using extended New Keynesian Phillips Curve models with non-filtered data Journal of Applied Econometrics, 29(7):1164--1182.
Zellner, A., Ando, T., Basturk, N., Hoogerheide, L. and van Dijk, H.K. (2014). Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo Econometric Reviews, 33(1-4):3--35.
Bilio, M., Casarin, R., Ravazzolo, F. and van Dijk, H. (2013). Time-varying combinations of predictive densities using nonlinear filtering Journal of Econometrics, 177(2):213--232.
Strachan, R. and van Dijk, H. (2013). Evidence on features of a dsge business cycle model from bayesian model averaging International Economic Review, 54(1):385--402.
Timmerman, A. and van Dijk, H. (2013). Dynamic econometric modeling and forecasting in the presence of instability Journal of Econometrics, 177(2):131--133.
Hoogerheide, L., Opschoor, A. and van Dijk, H.K. (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation Journal of Econometrics, 171(2):101--120.
Hoogerheide, L., Ravazzolo, F. and van Dijk, H.K. (2012). Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds Journal of Business and Economic Statistics, 30(1):30--33.
Hoogerheide, L., Ravazzolo, F. and van Dijk, H. (2012). Forecast rationality tests based on multi-horizon bounds: Comment Journal of Business and Economic Statistics, 30(1):30--33.
Hoogerheide, L. and van Dijk, H.K. (2010). Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling International Journal of Forecasting, 26(2):231--247.
Hoogerheide, L., Kleijn, R., Ravazzolo, F., van Dijk, H.K. and Verbeek, M. (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights Journal of Forecasting, 29:251--269.
Chesher, A., Dhaene, G.(. and van Dijk, H. (2007). Endogeneity, Instruments and Identification, Guest Editorial Journal of Econometrics, 139(1):1--3.
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.
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.
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.
Koop, G. and van Dijk, H. (2007). Editors' introduction to the special issue of econometric reviews on Bayesian dynamic econometrics Econometric Reviews, 26(2-4):107--112.
Kleijn, R. and van Dijk, H. (2006). Bayes model averaging of cyclical decompositions in economic time series Journal of Applied Econometrics, 21(2):191--212.
van Dijk, D., van Dijk, H. and Franses, P.H. (2005). On the dynamics of business cycle analysis; Editors' introduction Journal of Applied Econometrics, 20(2):147--150.
Bauwens, L., Lubrano, M. and van Dijk, H. (2004). Recent advances in Bayesian econometrics Journal of Econometrics, 123(2):197--199.
Cornelisse, P., van Dijk, H. and Don, H. (2004). Economics with a purpose. (Tinbergen centennial issue) De Economist, 152(2):161--165.
Bauwens, L., Bos, C.(., van Dijk, H. and van Oest, R.(. (2004). Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods Journal of Econometrics, 123(2):201--225.
van Dijk, H. (2004). Twentieth century shocks, trends and cycles in industrialized nations De Economist, 152(2):211--232.
Haldrup, N., Hendry, D. and van Dijk, H. (2003). Introduction: Time series concepts for conditional distributions Oxford Bulletin of Economics and Statistics, 65(Supplement):681--688.
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.
Strachan, R. and van Dijk, H. (2003). Bayesian model selection with an uninformative prior Oxford Bulletin of Economics and Statistics, 65(Supplement):863--876.
Kaashoek, J.(. and van Dijk, H. (2002). Neural network pruning applied to real exchange rate analysis Journal of Forecasting, 21:559--577.
Terui, N. and van Dijk, H. (2002). Combined forecasts from linear and nonlinear time series models International Journal of Forecasting, 18(3):421--438.
Geweke, J., Rust, J. and van Dijk, H. (2000). Inference and decision making, Introduction Journal of Applied Econometrics, 6:545--546.
Koop, G. and van Dijk, H. (2000). Testing for integration using evolving trend and seasonals model: a Bayesian approach Journal of Econometrics, 97:261--291.
van Dijk, H. (1999). Some remarks on the simulation revolution in Bayesian econometric inference Econometric Reviews, 18(1):105--112.
Kleibergen, F.(. and van Dijk, H. (1998). Bayesian simultaneous equations analysis using reduced rank structures Econometric Theory, 14:701--743.
Paap, R. and van Dijk, H. (1998). Distribution and mobility of wealth of nations European Economic Review, 42:1269--1293.
Bauwens, L., Polasek, W. and van Dijk, H. (1996). Bayes, Bernoullis and Basel, editors' introduction Journal of Econometrics, 75:1--5.
Hoek, H., Lucas, A. and van Dijk, HermanK. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69(1):27--59.
Kaashoek, J.(. and van Dijk, H. (1994). A neural network applied to the calculation of Lyapunov exponents Econometric Reviews, 13(1):123--137.
Kaashoek, J.(. and van Dijk, H. (1994). Evaluation and application of numerical procedures to calculate Lyapunov exponents Econometric Reviews, 13:123--137.
Kiviet, J. and van Dijk, H. (1994). Structure and dynamics in econometrics, editor's introduction Journal of Econometrics, 63:1--5.
Kleibergen, F.(. and van Dijk, H. (1994). Direct cointegration testing in error-correction models Journal of Econometrics, 63:61--103.
Kleibergen, F.(. and van Dijk, H. (1994). On the shape of the likelihood/posterior of cointegration models Econometric Theory, 10:514--551.
Kleibergen, F.(. and van Dijk, H. (1994). On the shape of the likelihood/posterior in cointegration models Econometric Theory, 10:514--551.
Ooms, M.(. and van Dijk, H. (1994). Comment on estimating systems of trending variables: estimating pushing trends and pulling equilibra Econometric Reviews, 13(3):395--423.
Phillips, P. and van Dijk, H. (1994). Bayes methods and unit roots, editors' introduction Econometric Theory, 10:453--460.
Schotman, P. and van Dijk, H. (1991). On Bayesian routes to unit roots Journal of Applied Econometrics, 6:387--401.
Kooiman, P., van Dijk, H. and Thurik, R. (1985). Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services Journal of Econometrics, 29(1-2):121--148.