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Publications

by members of

Afdeling Kwantitatieve Economie
Faculteit Economie en Bedrijfskunde
Universiteit van Amsterdam
Amsterdam, Netherlands

(Department of Quantitative Economics, Faculty of Economics and Business, University of Amsterdam))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.


| Working papers | Journal articles | Software components |

Working papers

Undated material is listed at the end

2014

  1. Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana, 2014. "Mutual excitation in eurozone sovereign CDS," SAFE Working Paper Series 51, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  2. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1413, Koc University-TUSIAD Economic Research Forum.

2013

  1. Jan F. KIVIET & Jerzy NIEMCZYK, 2013. "On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous," Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 1311, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  2. Kees Jan van Garderen & H. Peter Boswijk, 2013. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 13-05, Universiteit van Amsterdam, Dept. of Econometrics.
  3. Jeroen Hinloopen & Grega Smrkolj & Florian Wagener, 2013. "In Defense of Trusts: R&D Cooperation in Global Perspective," Tinbergen Institute Discussion Papers 13-045/II, Tinbergen Institute, revised 04 Mar 2014.
  4. Dockner, E.J. & Wagener, F.O.O., 2013. "Markov–Perfect Nash Equilibria in Models With a Single Capital Stock (Revised version, March 2013)," CeNDEF Working Papers 13-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Wagener, F.O.O., 2013. "Expectations in Experiments," CeNDEF Working Papers 13-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Wagener, F.O.O., 2013. "Economics of environmental regime shifts," CeNDEF Working Papers 13-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Maurice J.G. Bun & Frank Kleibergen, 2013. "Identification and inference in moments based analysis of linear dynamic panel data models," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 13-07, Universiteit van Amsterdam, Dept. of Econometrics.
  8. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series," Tinbergen Institute Discussion Papers 13-011/III, Tinbergen Institute.
  9. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1321, Koc University-TUSIAD Economic Research Forum.
  10. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with Non-filtered Data," Tinbergen Institute Discussion Papers 13-090/III, Tinbergen Institute.
  11. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  12. Simon A. Broda, 2013. "Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 13-04, Universiteit van Amsterdam, Dept. of Econometrics.
  13. Simon A. Broda & Raymond Kan, 2013. "On Distributions of Ratios," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 13-10, Universiteit van Amsterdam, Dept. of Econometrics.

2012

  1. Jan F. Kiviet, 2012. "Identification and Inference in a Simultaneous Equation under Alternative Information Sets and Sampling Schemes," Tinbergen Institute Discussion Papers 12-128/III, Tinbergen Institute.
  2. Jan F. KIVIET & Milan PLEUS, 2012. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 1208, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  3. Jan F. KIVIET & Garry D.A. PHILLIPS, 2012. "Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models," Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 1206, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  4. H. Peter Boswijk & Michael Jansson & Morten �. Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," Tinbergen Institute Discussion Papers 12-097/III, Tinbergen Institute.
  5. Wagener, F.O.O., 2012. "Regime shifts: early warnings," CeNDEF Working Papers 12-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Cem Çakmakli, 2012. "Bayesian Semiparametric Dynamic Nelson-Siegel Model," Working Paper Series, The Rimini Centre for Economic Analysis 59_12, The Rimini Centre for Economic Analysis, revised Sep 2012.

2011

  1. Diks, C.G.H. & Wagener, F.O.O., 2011. "Phenomenological and ratio bifurcations of a class of discrete time stochastic processes," CeNDEF Working Papers 11-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Wilko Bolt & Maria Demertzis & Cees Diks & Marco van der Leij, 2011. "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," DNB Working Papers, Netherlands Central Bank, Research Department 329, Netherlands Central Bank, Research Department.
  3. De Zeeuw, A. & Polasky, S. & Wagener, F.O.O., 2011. "The Size of Stable International Environmental Agreements in the case of Stock Pollution," CeNDEF Working Papers 11-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Jeroen Hinloopen & Grega Smrkolj & Florian Wagener, 2011. "From Mind to Market: A Global, Dynamic Analysis of R&D," Tinbergen Institute Discussion Papers 11-139/1, Tinbergen Institute.
  5. Kiseleva, T. & Wagener, F.O.O., 2011. "Bifurcations of Optimal Vector Fields," CeNDEF Working Papers 11-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Jan G. de Gooijer & Ao Yuan, 2011. "Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data," Tinbergen Institute Discussion Papers 11-011/4, Tinbergen Institute.
  7. Ao Yuan & Jan G. de Gooijer, 2011. "Asymptotically Informative Prior for Bayesian Analysis," Tinbergen Institute Discussion Papers 11-130/4, Tinbergen Institute.
  8. Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper, Tilburg University, Center for Economic Research 2011-031, Tilburg University, Center for Economic Research.
  9. Laeven, R.J.A., 2011. "Liquidity premium in Solvency II," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4809120, Tilburg University.
  10. Masako Ikefuji & Roger J. A. Laeven & Jan R. Magnus & Chris Muris, 2011. "Weitzman meets Nordhaus: Expected utility and catastrophic risk in a stochastic economy-climate model," ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 0825, Institute of Social and Economic Research, Osaka University.
  11. Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011. "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers 11-002/4, Tinbergen Institute.
  12. Cem Cakmakli & Richard Paap & Dick van Dijk, 2011. "Measuring and Predicting Heterogeneous Recessions," Tinbergen Institute Discussion Papers 11-154/4, Tinbergen Institute, revised 15 Nov 2011.

2010

  1. Stephen Polasky & Aart de Zeeuw & Florian Wagener, 2010. "Optimal Management with Potential Regime Shifts," Tinbergen Institute Discussion Papers 10-111/1, Tinbergen Institute.
  2. Jan G. de Gooijer & Ao Yuan, 2010. "Some Exact Tests for Manifest Properties of Latent Trait Models," Tinbergen Institute Discussion Papers 10-044/4, Tinbergen Institute.
  3. Dirk Broeders & An Chen, 2010. "Pension benefit security: a comparison of solvency requirements, a pension guarantee fund and sponsor support," DNB Working Papers, Netherlands Central Bank, Research Department 268, Netherlands Central Bank, Research Department.
  4. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
  5. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Burr Utility," Discussion Paper, Tilburg University, Center for Economic Research 2010-81, Tilburg University, Center for Economic Research.
  6. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Scrap Value Functions in Dynamic Decision Problems," Discussion Paper, Tilburg University, Center for Economic Research 2010-77, Tilburg University, Center for Economic Research.
  7. Ikefuji, M. & Laeven, R.J.A. & Magnus, J.R. & Muris, C.H.M., 2010. "Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model," Discussion Paper, Tilburg University, Center for Economic Research 2010-122, Tilburg University, Center for Economic Research.
  8. Cem Cakmakli & Dick van Dijk, 2010. "Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility," Tinbergen Institute Discussion Papers 10-115/4, Tinbergen Institute.

2009

  1. Jan G. de Gooijer & Cees G.H. Diks & Lukasz T. Gatarek, 2009. "Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Tinbergen Institute Discussion Papers 09-107/4, Tinbergen Institute.
  2. F.O.O. Wagener, 2009. "Shallow Lake Economics Run Deep: Nonlinear Aspects of an Economic-Ecological Interest Conflict," Tinbergen Institute Discussion Papers 09-033/1, Tinbergen Institute.
  3. Wagener, F.O.O., 2009. "A parametrised version of Moser's modifying terms theorem," CeNDEF Working Papers 09-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  4. Kiseleva, T. & Wagener, F.O.O., 2009. "Bifurcations of optimal vector fields in the shallow lake model," CeNDEF Working Papers 09-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Moghayer, S. & Wagener, F.O.O., 2009. "Genesis of indifference thresholds and infinitely many indifference points in discrete time infinite horizon optimisation problems," CeNDEF Working Papers 09-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Wagener, F.O.O., 2009. "On conjugate points and the Leitmann equivalent problem approach," CeNDEF Working Papers 09-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Yebin Cheng & Jan G. De Gooijer & Dawit Zerom, 2009. "Efficient Estimation of an Additive Quantile Regression," Tinbergen Institute Discussion Papers 09-104/4, Tinbergen Institute.
  8. Cheng, Yebin & De Gooijer, Jan & Zerom, Dawit, 2009. "Efficient Estimation of an Additive Quantile Regression Model," MPRA Paper 14388, University Library of Munich, Germany.
  9. Dirk Broeders & An Chen & Birgit Koos, 2009. "An institutional evaluation of pension funds and life insurance companies," DNB Working Papers, Netherlands Central Bank, Research Department 227, Netherlands Central Bank, Research Department.

2008

  1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers, School of Economics, The University of New South Wales 2008-10, School of Economics, The University of New South Wales.
  2. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute.
  3. Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
  4. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2008. "More hedging instruments may destabilize markets (Revised version, April 2008)," CeNDEF Working Papers 08-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Kiseleva, T. & Wagener, F.O.O., 2008. "Bifurcations of optimal vector fields in the shallow lake system," CeNDEF Working Papers 08-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Wagener, F.O.O., 2008. "On the Leitmann equivalent problem approach," CeNDEF Working Papers 08-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Dockner, E.J. & Wagener, F.O.O., 2008. "Markov-perfect Nash equilibria in models with a single capital stock (Revised version, August 2008)," CeNDEF Working Papers 08-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  8. Heijnen, P. & Wagener, F.O.O., 2008. "Managing the environment and the economy in the presence of hysteresis and irreversibility," CeNDEF Working Papers 08-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  9. Jan G. De Gooijer & Ao Yuan, 2008. "MDL Mean Function Selection in Semiparametric Kernel Regression Models," Tinbergen Institute Discussion Papers 08-046/4, Tinbergen Institute.
  10. Dirk Broeders & An Chen, 2008. "Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options," DNB Working Papers, Netherlands Central Bank, Research Department 183, Netherlands Central Bank, Research Department.

2007

  1. Bekiros, S. & Diks, C.G.H., 2007. "The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality," CeNDEF Working Papers 07-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Bekiros, S. & Diks, C.G.H., 2007. "The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing," CeNDEF Working Papers 07-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Brännäs, Kurt & G De Gooijer, Jan & Lönnbark, Carl & Soultanaeva, Albina, 2007. "Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges," UmeÃ¥ Economic Studies, UmeÃ¥ University, Department of Economics 725, Umeå University, Department of Economics.

2006

  1. Jan F. Kiviet & Jerzy Niemczyk, 2006. "The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations," Tinbergen Institute Discussion Papers 06-078/4, Tinbergen Institute.
  2. H. Peter Boswijk & Roy van der Weide, 2006. "Wake me up before you GO-GARCH," Tinbergen Institute Discussion Papers 06-079/4, Tinbergen Institute, revised 21 Sep 2006.
  3. H.P. Boswijk & D. Fok & P.-H. Franses, 2006. "A New Multivariate Product Growth Model," Tinbergen Institute Discussion Papers 06-027/4, Tinbergen Institute.
  4. Cees Diks & Florian Wagener, 2006. "A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems," Tinbergen Institute Discussion Papers 06-043/1, Tinbergen Institute.
  5. Diks, C.G.H. & Panchenko, V., 2006. "Rank-based entropy tests for serial independence," CeNDEF Working Papers 06-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Diks, C.G.H. & Dindo, P.D.E., 2006. "Informational differences and learning in an asset market with boundedly rational agents," CeNDEF Working Papers 06-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Diks, C.G.H. & Hommes, C.H. & Panchenko, V. & Weide, R. van der, 2006. "E&F Chaos: a user friendly software package for nonlinear economic dynamics," CeNDEF Working Papers 06-15, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  8. Engelbert J. Dockner & Florian O.O. Wagener, 2006. "Markov-Perfect Nash Equilibria in Models with a Single Capital Stock," Tinbergen Institute Discussion Papers 06-055/1, Tinbergen Institute.
  9. William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008.
  10. Wagener, F.O.O., 2006. "Semi-global analysis of periodic and quasi-periodic k:1 and k:2 resonances," CeNDEF Working Papers 06-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  11. Hoogerheide, L.F. & Kleibergen, F.R. & van Dijk, H.K., 2006. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Econometric Institute Research Papers EI 2006-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  12. Ao Yuan & Jan G. De Gooijer, 2006. "Semiparametric Regression with Kernel Error Model," Tinbergen Institute Discussion Papers 06-058/4, Tinbergen Institute.
  13. An Chen & Michael Suchanecki, 2006. "Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities," Bonn Econ Discussion Papers, University of Bonn, Germany bgse8_2006, University of Bonn, Germany.
  14. Simon Broda & Marc Paolella & Yianna Tchopourian, 2006. "Approximately Exact Inference in Dynamic Panel Models," Computing in Economics and Finance 2006, Society for Computational Economics 368, Society for Computational Economics.
  15. Simon A. BRODA & Marc S. PAOLELLA, 2006. "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 08-08, Swiss Finance Institute, revised Feb 2008.

2005

  1. Jan F. Kiviet, 2005. "Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 05-112/4, Tinbergen Institute.
  2. Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute.
  3. H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute.
  4. Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute.
  5. Cees Diks, 2005. "Financial markets with heterogeneous agents as nonlinear news filters," Computing in Economics and Finance 2005, Society for Computational Economics 290, Society for Computational Economics.
  6. Cees Diks & Florian Wagener, 2005. "Equivalence and Bifurcations of Finite Order Stochastic Processes," Tinbergen Institute Discussion Papers 05-043/1, Tinbergen Institute.
  7. Cees G. H. Diks & Dennis P. J. Botman, 2005. "The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks," IMF Working Papers 05/205, International Monetary Fund.
  8. Cees Diks & Valentyn Panchenko, 2005. "Test for serial independence based on quadratic forms," Computing in Economics and Finance 2005, Society for Computational Economics 279, Society for Computational Economics.
  9. Yebin Cheng & Jan G. de Gooijer, 2005. "Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence," Tinbergen Institute Discussion Papers 05-067/4, Tinbergen Institute.
  10. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  11. An Chen, 2005. "Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies," Bonn Econ Discussion Papers, University of Bonn, Germany bgse19_2005, University of Bonn, Germany.

2004

  1. Agnes S. Joseph & Jan F. Kiviet, 2004. "Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks," Tinbergen Institute Discussion Papers 04-056/4, Tinbergen Institute.
  2. Valentyn Panchenko & Cees Diks, 2004. "Testing multivariate hypotheses with positive definite bilinear forms," Computing in Economics and Finance 2004, Society for Computational Economics 201, Society for Computational Economics.
  3. Cees Diks & Valentyn Panchenko, 2004. "Modified Hiemstra-Jones Test for Granger Non-causality," Computing in Economics and Finance 2004, Society for Computational Economics 192, Society for Computational Economics.
  4. Diks, C.G.H. & Panchenko, V., 2004. "A new statistic and practical guidelines for nonparametric Granger causality testing," CeNDEF Working Papers 04-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Diks, C.G.H. & Panchenko, V., 2004. "A note on the Hiemstra-Jones test for Granger non-causality," CeNDEF Working Papers 04-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Florian Wagener & William Brock & Cars Hommes, 2004. "Do hedging instruments stabilize markets?," Computing in Economics and Finance 2004, Society for Computational Economics 94, Society for Computational Economics.
  7. Florian Wagener, 2004. "Structural analysis of optimal investment for firms with non-concave revenues," Computing in Economics and Finance 2004, Society for Computational Economics 187, Society for Computational Economics.
  8. Florian Wagener & Jan Tuinstra, 2004. "On Learning Equilibria," Computing in Economics and Finance 2004, Society for Computational Economics 217, Society for Computational Economics.
  9. Wagener, F.O.O., 2004. "Skiba points for small discount rates," CeNDEF Working Papers 04-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  10. Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings, Econometric Society 195, Econometric Society.
  11. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings, Econometric Society 408, Econometric Society.
  12. Frank Kleibergen, 2004. "Higher order approximations of IV statistics that indicate their properties under weak or many instruments," Econometric Society 2004 North American Winter Meetings, Econometric Society 199, Econometric Society.
  13. Yebin Cheng & Jan G. de Gooijer, 2004. "On the u-th Geometric Conditional Quantile," Tinbergen Institute Discussion Papers 04-072/4, Tinbergen Institute.
  14. Marc J. Goovaerts & Rob Kaas & Roger J.A. Laeven & Qihe Tang, 2004. "A Comonotonic Image of Independence for Additive Risk Measures," Tinbergen Institute Discussion Papers 04-030/4, Tinbergen Institute.
  15. Sophocles Mavroeidis & Kees Jan van Garderen, 2004. "Conditional Inference in Cointegrating Vector Autoregressive Models," Econometric Society 2004 Australasian Meetings, Econometric Society 211, Econometric Society.

2003

  1. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford.
  2. S. Manzan & P. Boswijk & C.H. Hommes, 2003. "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003, Society for Computational Economics 252, Society for Computational Economics.
  3. Cees Diks & Roy van der Weide, 2003. "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," Tinbergen Institute Discussion Papers 03-103/1, Tinbergen Institute.
  4. Cees Diks & Roy van der Weide, 2003. "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers 03-073/1, Tinbergen Institute.
  5. Cees Diks & Roy van der Weide, 2003. "Continuous Beliefs Dynamics," Tinbergen Institute Discussion Papers 03-007/1, Tinbergen Institute.
  6. Cees Diks & Svetlana Borovkova, 2003. "Conditional distribution resampling for time series," Computing in Economics and Finance 2003, Society for Computational Economics 70, Society for Computational Economics.
  7. Cees Diks, 2003. "The correlation dimension of returns with stochastic volatility," Computing in Economics and Finance 2003, Society for Computational Economics 180, Society for Computational Economics.
  8. Broer, H.W. & Hanssmann, H. & Jorba, A. & Villanueva, J. & Wagener, F.O.O., 2003. "Quasi-periodic response solutions at normal-internal resonances," CeNDEF Working Papers 03-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  9. Wagener, F.O.O., 2003. "Structural analysis of optimal investment for firms with non-concave production," CeNDEF Working Papers 03-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  10. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Nonlocal onset of instability in an asset pricing model with heterogeneous agents," CeNDEF Working Papers 03-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  11. Tuinstra, J. & Wagener, F.O.O., 2003. "On Learning Equilibria (Revised June 2003)," CeNDEF Working Papers 03-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  12. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Bifurcation Routes to Volatility Clustering under Evolutionary Learning," CeNDEF Working Papers 03-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  13. Cason, T. & Friedman, D. & Wagener, F.O.O., 2003. "The dynamics of price dispersion, or Edgeworth variations," CeNDEF Working Papers 03-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  14. Hommes, C.H. & Wagener, F.O.O., 2003. "Does eductive stability imply evolutionary stability?," CeNDEF Working Papers 03-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.

2002

  1. Maurice J.G. Bun & Jan F. Kiviet, 2002. "Efficiency profiles of MM estimators in dynamic panel data models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data C6-4, International Conferences on Panel Data.
  2. Maurice J.G. Bun & Jan F. Kiviet, 2002. "On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias," Tinbergen Institute Discussion Papers 02-099/4, Tinbergen Institute, revised 24 Oct 2002.
  3. Maurice J.G. Bun & Jan F. Kiviet, 2002. "The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models," Tinbergen Institute Discussion Papers 02-101/4, Tinbergen Institute, revised 19 Feb 2004.
  4. H. Peter Boswijk & Philip Hans Franses, 2002. "How Large is Average Economic Growth? Evidence from a Robust Method," Tinbergen Institute Discussion Papers 02-002/4, Tinbergen Institute.
  5. Cees Diks & Roy van der Weid, 2002. "Endogenous Noise from Continuous Choice," Computing in Economics and Finance 2002, Society for Computational Economics 382, Society for Computational Economics.
  6. Dennis P J Botman & Cees G H Diks, 2002. "Location of Investors and Capital Flight," Tinbergen Institute Discussion Papers 02-013/1, Tinbergen Institute.
  7. Cees Diks, 2002. "Detecting Serial Dependence in Tail Events," Tinbergen Institute Discussion Papers 02-079/1, Tinbergen Institute.
  8. Diks, C.G.H., 2002. "Detecting serial dependence in tail events: A test dual to BDS test," CeNDEF Working Papers 02-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  9. Wagener, F.O.O., 2002. "A Gevrey regular KAM theorem and the inverse approximation lemma," CeNDEF Working Papers 02-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  10. Wagener, F.O.O., 2002. "On the quasi-periodic d-fold degenerate bifurcation," CeNDEF Working Papers 02-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  11. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  12. Frank Kleibergen, 2002. "Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic," Tinbergen Institute Discussion Papers 02-064/4, Tinbergen Institute.
  13. Jan G. de Gooijer & Dawit Zerom, 2002. "On Conditional Density Estimation," Tinbergen Institute Discussion Papers 02-032/4, Tinbergen Institute.

2001

  1. Maurice J.G. Bun & Jan F. Kiviet, 2001. "The Accuracy of Inference in Small Samples of Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 01-006/4, Tinbergen Institute.
  2. Jan F. Kiviet & Garry D.A. Phillips, 2001. "Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root," Tinbergen Institute Discussion Papers 01-118/4, Tinbergen Institute.
  3. Noud P.A. van Giersbergen & Jan F. Kiviet, 2001. "How to implement the Bootstrap in Static or Stable Dynamic Regression Models," Tinbergen Institute Discussion Papers 01-119/4, Tinbergen Institute.
  4. Gerwin Griffioen & Peter Boswijk & Cars Hommes, 2001. "Success and Failure of Technical Trading Strategies in the Cocoa Futures Market," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 4A.4, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. H. Peter Boswijk, 2001. "Block Local to Unity and Continuous Record Asymptotics," Tinbergen Institute Discussion Papers 01-078/4, Tinbergen Institute.
  6. Cees Diks & Sebastiano Manzan, 2001. "Tests for Serial Independence and Linearity based on Correlation Integrals," Tinbergen Institute Discussion Papers 01-085/1, Tinbergen Institute.
  7. Cees Diks, 2001. "A nonparametric bootstrap test for nonlinear Granger causality," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 3A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  8. Cees Diks and Roy van der Weide, 2001. "Asset pricing with a continuum of belief types," Computing in Economics and Finance 2001, Society for Computational Economics 217, Society for Computational Economics.
  9. Andrea Gaunersdorfer & Cars Hommes & Florian Wagener, 2001. "Adaptive Beliefs and the volatility of asset prices," CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 5A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  10. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2001. "Evolutionary Dynamics in Financial Markets With Many Trader Types," CeNDEF Working Papers 01-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  11. Frank Kleibergen, 2001. "How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models," Tinbergen Institute Discussion Papers 01-073/4, Tinbergen Institute.
  12. Paul A. Bekker & Frank Kleibergen, 2001. "Finite-Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic," Tinbergen Institute Discussion Papers 01-055/4, Tinbergen Institute.
  13. J.J.J. Groen & F. Kleibergen, 2001. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department 646, Netherlands Central Bank, Research Department.
  14. Frank Kleibergen, 2001. "Testing Parameters in GMM without Assuming that they are identified," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute.

2000

  1. Jan F. Kiviet & Garry D. A. Phillips, 2000. "Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0631, Econometric Society.
  2. H. Peter Boswijk & Philip Hans Franses & Dick van Dijk, 2000. "Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0765, Econometric Society.
  3. H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1101, Econometric Society.
  4. Diks, C.G.H., 2000. "Dimension estimations, stock returns and volatility clustering," CeNDEF Working Papers 00-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Diks, C.G.H. & Mudelsee, M., 2000. "Redundancies in the Earth's climatological time series," CeNDEF Working Papers 00-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2000. "Bifurcation Routes to Volatility Clustering," CeNDEF Working Papers 00-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Wagener, F.O.O., 2000. "Skiba Points and Heteroclinic Bifuration in the Shallow Lake System," CeNDEF Working Papers 00-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  8. Frank Kleibergen, 2000. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute.
  9. Frank Kleibergen & Richard Kleijn & Richard Paap, 2000. "The Bayesian Score Statistic," Tinbergen Institute Discussion Papers 00-035/4, Tinbergen Institute.
  10. Frank R. Kleibergen, 2000. "Exact Test Statistics and Distributions of Maximum Likelihood Estimators that result from Orthogonal Parameters," Tinbergen Institute Discussion Papers 00-039/4, Tinbergen Institute.
  11. Frank R. Kleibergen, 2000. "Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model," Tinbergen Institute Discussion Papers 00-088/4, Tinbergen Institute.
  12. Frank R. Kleibergen & Henk Hoek, 2000. "Bayesian Analysis of ARMA Models," Tinbergen Institute Discussion Papers 00-027/4, Tinbergen Institute.
  13. Jan G. de Gooijer & Antoni Vidiella-i-Anguera, 2000. "Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs," Tinbergen Institute Discussion Papers 00-098/4, Tinbergen Institute.
  14. Brännäs, Kurt & de Gooijer, Jan G., 2000. "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," UmeÃ¥ Economic Studies, UmeÃ¥ University, Department of Economics 535, Umeå University, Department of Economics.

1999

  1. Kiviet, J.F. & Phillips, G.D.A., 1999. "Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models," Discussion Papers, Exeter University, Department of Economics 9903, Exeter University, Department of Economics.
  2. Kiviet, J.F. & Phillips, G.D.A., 1999. "The Bias of the 2SLS Variance Estimator," Discussion Papers, Exeter University, Department of Economics 9904, Exeter University, Department of Economics.
  3. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  4. H. Peter Boswijk & Jurgen A. Doornik, 1999. "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers 99-013/4, Tinbergen Institute.
  5. Diks, C.G.H., 1999. "Consistent Testing for Serial Independence," CeNDEF Working Papers 99-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Diks, C.G.H., 1999. "Dynamical Behavior of Agent Models," CeNDEF Working Papers 99-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Patrick Houweling & Jaap Hoek & Frank Kleibergen, 1999. "The Joint Estimation of Term Structures and Credit Spreads," Tinbergen Institute Discussion Papers 99-027/4, Tinbergen Institute.
  8. Kleibergen, F.R. & Franses, Ph.H.B.F., 1999. "Cointegration in a periodic vector autoregression," Econometric Institute Research Papers EI 9906-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  9. Jan G. de Gooijer & Ali Gannoun, 1999. "Nonparametric Regression with Serially Correlated Errors," Tinbergen Institute Discussion Papers 99-063/4, Tinbergen Institute.

1998

  1. Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  2. Frank Kleibergen & Eric Zivot, 1998. "Bayesian and Classical Approaches to Instrumental Variable Regression," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington 0063, Department of Economics at the University of Washington.
  3. Frank Kleibergen & Herman K. van Dijk, 1998. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute.
  4. Kleibergen, F.R., 1998. "Conditional densities in econometrics," Econometric Institute Research Papers EI 9853, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Kleibergen, F.R., 1998. "An alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators," Econometric Institute Research Papers EI 9844, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  6. Kleibergen, F.R. & Paap, R., 1998. "Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. Van Garderen, K. J. & Lee, K. & Pesaran M., 1998. "Cross-sectional Aggregation of Non-linear Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9803, Faculty of Economics, University of Cambridge.

1997

  1. Boswijk, H. Peter & Lucas, Andr‚, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  2. Frank Kleibergen & Henk Hoek, 1997. "Bayesian Analysis of ARMA Models using Noninformative Priors," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute.
  3. Kleibergen, F.R., 1997. "Reduced Rank Regression using Generalized Method of Moments Estimators with extensions to structural breaks in cointegration models," Econometric Institute Research Papers EI 9722/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Kleibergen, F.R. & Urbain, J-P. & van Dijk, H.K., 1997. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Econometric Institute Research Papers EI 9709-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. van GARDEREN, Kees Jan, 1997. "Exact geometry of explosive autoregressive models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1997068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1996

  1. Kleibergen, F., 1996. "Reduced Rank of Regression Using Generalized Method of Moments Estimators," Discussion Paper, Tilburg University, Center for Economic Research 1996-20, Tilburg University, Center for Economic Research.
  2. Kleibergen, F.R., 1996. "Equality Restricted Random Variables: Densities and Sampling Algorithms," Econometric Institute Research Papers EI 9662-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Kleibergen, F.R. & Paap, R., 1996. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Econometric Institute Research Papers EI 9668-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Brännäs, Kurt & Gooijer, Jan G. de & Teräsvirta, Timo, 1996. "Testing Linearity against Nonlinear Moving Average Models," Working Paper Series in Economics and Finance 95, Stockholm School of Economics.
  5. van GARDEREN , Kees Jan, 1996. "Exact Geometry of Autoregressive Models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1996048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1995

  1. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9547, Universite de Montreal, Departement de sciences economiques.
  2. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests Structural Change in First-Order Dynamic Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9548, Universite de Montreal, Departement de sciences economiques.
  3. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9549, Universite de Montreal, Departement de sciences economiques.
  4. van Garderen, K.J., 1995. "Optimal prediction in loglinear models," Discussion Paper Series In Economics And Econometrics 9523, Economics Division, School of Social Sciences, University of Southampton.
  5. van Garderen, K.J., 1995. "Testing hypotheses in curved exponential models," Discussion Paper Series In Economics And Econometrics 9521, Economics Division, School of Social Sciences, University of Southampton.
  6. van Garderen, K.J., 1995. "Curved exponential models in econometrics," Discussion Paper Series In Economics And Econometrics 9508, Economics Division, School of Social Sciences, University of Southampton.
  7. van Garderen, K.J., 1995. "Variance inflation in curved exponential models," Discussion Paper Series In Economics And Econometrics 9522, Economics Division, School of Social Sciences, University of Southampton.

1988

  1. Kiviet, J.F. & Phillips, G.D.A., 1988. "Bias Reduction In A Dynamic Regression Model: A Comparison Of Jacknifed And Bias Corrected Least Squares Estimators," Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics ae_11-88, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.
  2. De Jong, G.C. & Boswijk, H.P. & Cramer, J.S., 1988. "Joint Prediction Of Automobile Ownership And Mileage By A Cross-Section Model," Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics ae_2-88, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.

1987

  1. Gooijer, J.G. de & Heuts, R.M.J., 1987. "Higher order moments of bilinear time series processes with symmetrically distributed errors," Research Memorandum, Tilburg University, Faculty of Economics and Business Administration 251, Tilburg University, Faculty of Economics and Business Administration.

Undated

  1. Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, . "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute 11-39, Swiss Finance Institute.

Journal articles

2014

  1. Kiviet, Jan F. & Phillips, Garry D.A., 2014. "Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 424-448.
  2. van Garderen, Kees Jan & Peter Boswijk, H., 2014. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," Economics Letters, Elsevier, Elsevier, vol. 122(2), pages 224-228.

2013

  1. Jan F. Kiviet, 2013. "Identification and inference in a simultaneous equation under alternative information sets and sampling schemes," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 16(1), pages S24-S59, 02.
  2. Diks, Cees & Hommes, Cars & Zeppini, Paolo, 2013. "More memory under evolutionary learning may lead to chaos," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(4), pages 808-812.
  3. Heijnen, P. & Wagener, F.O.O., 2013. "Avoiding an ecological regime shift is sound economic policy," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(7), pages 1322-1341.
  4. Hinloopen, Jeroen & Smrkolj, Grega & Wagener, Florian, 2013. "From mind to market: A global, dynamic analysis of R&D," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(12), pages 2729-2754.
  5. Florian Wagener, 2013. "Shallow lake economics run deep: nonlinear aspects of an economic-ecological interest conflict," Computational Management Science, Springer, Springer, vol. 10(4), pages 423-450, December.
  6. Masako Ikefuji & Roger Laeven & Jan Magnus & Chris Muris, 2013. "Pareto utility," Theory and Decision, Springer, Springer, vol. 75(1), pages 43-57, July.
  7. Pelsser, Antoon A.J. & Laeven, Roger J.A., 2013. "Optimal dividends and ALM under unhedgeable risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 515-523.
  8. Çakmaklı, Cem & Paap, Richard & van Dijk, Dick, 2013. "Measuring and predicting heterogeneous recessions," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(11), pages 2195-2216.
  9. Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Stable mixture GARCH models," Journal of Econometrics, Elsevier, Elsevier, vol. 172(2), pages 292-306.

2012

  1. Kiviet, Jan F. & Niemczyk, Jerzy, 2012. "Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3567-3586.
  2. Kiviet, Jan F. & Phillips, Garry D.A., 2012. "Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3705-3729.
  3. Kiviet, Jan F., 2012. "Monte Carlo Simulation for Econometricians," Foundations and Trends(R) in Econometrics, now publishers, now publishers, vol. 5(1–2), pages 1-181, March.
  4. Jan G. De Gooijer & Cees G. H. Diks & Łukasz T. Gątarek, 2012. "Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns," Central European Journal of Economic Modelling and Econometrics, CEJEME, CEJEME, vol. 4(1), pages 23-44, March.
  5. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012. "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 16(1), pages 1-24, January.
  6. Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012. "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 379-381.

2011

  1. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Journal of Econometrics, Elsevier, Elsevier, vol. 163(2), pages 215-230, August.
  2. Polasky, Stephen & de Zeeuw, Aart & Wagener, Florian, 2011. "Optimal management with potential regime shifts," Journal of Environmental Economics and Management, Elsevier, vol. 62(2), pages 229-240, September.
  3. De Gooijer, Jan G. & Yuan, Ao, 2011. "Some exact tests for manifest properties of latent trait models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(1), pages 34-44, January.
  4. Yebin Cheng & Jan G. De Gooijer & Dawit Zerom, 2011. "Efficient Estimation of an Additive Quantile Regression Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 38(1), pages 46-62, 03.
  5. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011. "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 380-392.

2010

  1. Boswijk, H. Peter, 2010. "Mixed Normal Inference On Multicointegration," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 26(05), pages 1565-1576, October.
  2. Boswijk, H. Peter, 2010. "Nuisance parameter free inference on cointegration parameters in the presence of a variance shift," Economics Letters, Elsevier, Elsevier, vol. 107(2), pages 190-193, May.
  3. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, Elsevier, vol. 158(1), pages 156-159, September.
  4. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Twenty years of cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 158(1), pages 1-2, September.
  5. Diks, Cees & Panchenko, Valentyn & van Dijk, Dick, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(9), pages 1596-1609, September.
  6. Kiseleva, Tatiana & Wagener, F.O.O., 2010. "Bifurcations of optimal vector fields in the shallow lake model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(5), pages 825-843, May.
  7. Hommes, Cars & Wagener, Florian, 2010. "Does eductive stability imply evolutionary stability?," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 75(1), pages 25-39, July.
  8. Broeders, Dirk & Chen, An, 2010. "Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(6), pages 1201-1214, June.
  9. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "A note on additive risk measures in rank-dependent utility," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 187-189, October.
  10. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 294-302, December.

2009

  1. Jan F. Kiviet, 2009. "Econometric Analysis Of Panel Data: Editorial Introduction," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 54(03), pages 313-317.
  2. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009. "More hedging instruments may destabilize markets," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(11), pages 1912-1928, November.
  3. Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, Elsevier, vol. 149(2), pages 149-173, April.
  4. Kleibergen, Frank & Mavroeidis, Sophocles, 2009. "Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27(3), pages 293-311.
  5. Kleibergen, Frank & Mavroeidis, Sophocles, 2009. "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27(3), pages 331-339.
  6. An Chen & Xia Su, 2009. "Knightian uncertainty and insurance regulation decision," Decisions in Economics and Finance, Springer, Springer, vol. 32(1), pages 13-33, May.
  7. Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
  8. Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B., 2009. "Worst VaR scenarios with given marginals and measures of association," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 146-158, April.
  9. Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A., 2009. "Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 143-145, April.
  10. Schluter, Christian & van Garderen, Kees Jan, 2009. "Edgeworth expansions and normalizing transforms for inequality measures," Journal of Econometrics, Elsevier, Elsevier, vol. 150(1), pages 16-29, May.
  11. Broda, S. & Paolella, M.S., 2009. "Evaluating the density of ratios of noncentral quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(4), pages 1264-1270, February.
  12. Simon Broda & Kai Carstensen & Marc Paolella, 2009. "Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 28(5), pages 468-494.
  13. Simon A. Broda & Marc S. Paolella, 2009. "CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(4), pages 412-436, Fall.

2008

  1. Diks, Cees & Dindo, Pietro, 2008. "Informational differences and learning in an asset market with boundedly rational agents," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(5), pages 1432-1465, May.
  2. Cees Diks & Cars Hommes & Valentyn Panchenko & Roy Weide, 2008. "E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 32(1), pages 221-244, September.
  3. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality," Energy Economics, Elsevier, Elsevier, vol. 30(5), pages 2673-2685, September.
  4. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, Elsevier, vol. 30(4), pages 1641-1650, December.
  5. Diks Cees & Panchenko Valentyn, 2008. "Rank-based Entropy Tests for Serial Independence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 12(1), pages 1-21, March.
  6. Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 67(1), pages 27-47, July.
  7. Jan Gooijer, 2008. "Partial sums of lagged cross-products of AR residuals and a test for white noise," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 17(3), pages 567-584, November.
  8. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 387(11), pages 2547-2560.
  9. Chen, An, 2008. "Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1035-1049, June.
  10. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, De Gruyter, vol. 2(2), pages 1-29, March.
  11. Goovaerts, Marc J. & Laeven, Roger J.A., 2008. "Actuarial risk measures for financial derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 540-547, April.
  12. J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008. "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 75(2), pages 365-386.

2007

  1. Kiviet, Jan F. & Niemczyk, Jerzy, 2007. "The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(7), pages 3296-3318, April.
  2. van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H., 2007. "Absorption of shocks in nonlinear autoregressive models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(9), pages 4206-4226, May.
  3. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(6), pages 1938-1970, June.
  4. Jan Tuinstra & Florian Wagener, 2007. "On learning equilibria," Economic Theory, Springer, Springer, vol. 30(3), pages 493-513, March.
  5. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, Elsevier, vol. 139(1), pages 181-216, July.
  6. Hoogerheide, Lennart & Kleibergen, Frank & van Dijk, Herman K., 2007. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Journal of Econometrics, Elsevier, Elsevier, vol. 138(1), pages 63-103, May.
  7. Jan G. De Gooijer, 2007. "Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 34(4), pages 371-381.
  8. Ao Yuan & Jan G. De Gooijer, 2007. "Semiparametric Regression with Kernel Error Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 841-869.
  9. Chen, An & Suchanecki, Michael, 2007. "Default risk, bankruptcy procedures and the market value of life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 231-255, March.
  10. Broda, Simon & Paolella, Marc S., 2007. "Saddlepoint approximations for the doubly noncentral t distribution," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(6), pages 2907-2918, March.
  11. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007. "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(7), pages 3355-3367, April.

2006

  1. Bun, Maurice J.G. & Kiviet, Jan F., 2006. "The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 132(2), pages 409-444, June.
  2. Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre, 2006. "Causality and exogeneity in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 132(2), pages 305-309, June.
  3. H. Peter Boswijk & Philip Hans Franses, 2006. "Robust Inference on Average Economic Growth," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(3), pages 345-370, 06.
  4. Diks, Cees, 2006. "Comments on "Global sunspots in OLG models"," Journal of Macroeconomics, Elsevier, Elsevier, vol. 28(1), pages 46-50, March.
  5. Bullard, Jim & Diks, Cees & Wagener, Florian, 2006. "Computing in economics and finance," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(9-10), pages 1441-1444.
  6. Diks, Cees & Panchenko, Valentyn, 2006. "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(9-10), pages 1647-1669.
  7. Kleibergen, Frank & Paap, Richard, 2006. "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, Elsevier, vol. 133(1), pages 97-126, July.
  8. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 22(3), pages 443-473.
  9. De Gooijer, Jan G., 2006. "Detecting change-points in multidimensional stochastic processes," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(3), pages 1892-1903, December.
  10. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, De Gruyter, vol. 24(1/2006), pages 25, July.

2005

  1. Jan F. Kiviet & Garry D. A. Phillips, 2005. "Moment approximation for least-squares estimators in dynamic regression models with a unit root *," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 8(2), pages 115-142, 07.
  2. Joseph, Agnes S. & Kiviet, Jan F., 2005. "Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 49(2), pages 417-444, April.
  3. Boswijk, H. Peter & Franses, Philip Hans, 2005. "On the Econometrics of the Bass Diffusion Model," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 255-268, July.
  4. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(6), pages 797-810.
  5. Diks, Cees & van der Weide, Roy, 2005. "Herding, a-synchronous updating and heterogeneity in memory in a CBS," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(4), pages 741-763, April.
  6. Diks Cees & Panchenko Valentyn, 2005. "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 9(2), pages 1-9, June.
  7. Cason, Timothy N. & Friedman, Daniel & Wagener, Florian, 2005. "The dynamics of price dispersion, or Edgeworth variations," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(4), pages 801-822, April.
  8. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 7-42, February.
  9. Wagener, F.O.O., 2005. "Structural analysis of optimal investment for firms with non-concave revenue," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 57(4), pages 474-489, August.
  10. Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, Econometric Society, vol. 73(4), pages 1103-1123, 07.
  11. Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther, 2005. "Introduction to nonlinearities, business cycles, and forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(4), pages 623-625.
  12. Jan G. De Gooijer & Antoni Vidiella-i-Anguera, 2005. "Estimating threshold cointegrated systems," Economics Bulletin, AccessEcon, vol. 3(8), pages 1-7.
  13. Laeven, Roger J.A. & Goovaerts, Marc J. & Hoedemakers, Tom, 2005. "Some asymptotic results for sums of dependent random variables, with actuarial applications," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 154-172, October.

2004

  1. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465.
  2. Frank Kleibergen, 2004. "Testing Subsets of Structural Parameters in the Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 418-423, February.
  3. Kleibergen, Frank, 2004. "Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox," Journal of Econometrics, Elsevier, Elsevier, vol. 123(2), pages 227-258, December.
  4. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(2), pages 237-253.
  5. Jan G. De Gooijer & Kurt Brännäs, 2004. "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
  6. De Gooijer, Jan G., 2004. "Editorial Announcement," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(4), pages 523-524.
  7. Laeven, Roger J. A. & Goovaerts, Marc J., 2004. "An optimization approach to the dynamic allocation of economic capital," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 299-319, October.
  8. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe, 2004. "A comonotonic image of independence for additive risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 581-594, December.

2003

  1. Bun, Maurice J. G. & Kiviet, Jan F., 2003. "On the diminishing returns of higher-order terms in asymptotic expansions of bias," Economics Letters, Elsevier, Elsevier, vol. 79(2), pages 145-152, May.
  2. Diks, Cees, 2003. "Detecting serial dependence in tail events: a test dual to the BDS test," Economics Letters, Elsevier, Elsevier, vol. 79(3), pages 319-324, June.
  3. Wagener, F. O. O., 2003. "Skiba points and heteroclinic bifurcations, with applications to the shallow lake system," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(9), pages 1533-1561, July.
  4. Kleibergen, Frank & Zivot, Eric, 2003. "Bayesian and classical approaches to instrumental variable regression," Journal of Econometrics, Elsevier, Elsevier, vol. 114(1), pages 29-72, May.
  5. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 21(2), pages 295-318, April.
  6. Bekker, Paul & Kleibergen, Frank, 2003. "Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 19(05), pages 744-753, October.
  7. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2003. "Nonlinear stochastic inflation modelling using SEASETARs," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 3-18, February.
  8. De Gooijer, Jan G. & Ray, Bonnie K., 2003. "Modeling vector nonlinear time series using POLYMARS," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 42(1-2), pages 73-90, February.
  9. Jan G. De Gooijer & Dawit Zerom, 2003. "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, Netherlands Society for Statistics and Operations Research, vol. 57(2), pages 159-176.
  10. De Gooijer J.G. & Zerom D., 2003. "On Additive Conditional Quantiles With High Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 98, pages 135-146, January.
  11. Taniguchi, Masanobu & van Garderen, Kees Jan & Puri, Madan L., 2003. "Higher Order Asymptotic Theory For Minimum Contrast Estimators Of Spectral Parameters Of Stationary Processes," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 19(06), pages 984-1007, December.

2002

  1. van Giersbergen, Noud P. A. & Kiviet, Jan F., 2002. "How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach," Journal of Econometrics, Elsevier, Elsevier, vol. 108(1), pages 133-156, May.
  2. Smith, Richard J. & Boswijk, H. Peter, 2002. "Finite sample and asymptotic methods in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 111(2), pages 135-140, December.
  3. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, Elsevier, vol. 108(2), pages 253-280, June.
  4. Diks Cees & Manzan Sebastiano, 2002. "Tests for Serial Independence and Linearity Based on Correlation Integrals," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 6(2), pages 1-22, July.
  5. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, Econometric Society, vol. 70(5), pages 1781-1803, September.
  6. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 111(2), pages 223-249, December.
  7. De Gooijer, Jan G., 2002. "Introduction to forecasting decisions in conflict situations," International Journal of Forecasting, Elsevier, Elsevier, vol. 18(3), pages 319-320.
  8. De Gooijer, Jan G. & Gannoun, Ali & Zerom, Dawit, 2002. "Mean squared error properties of the kernel-based multi-stage median predictor for time series," Statistics & Probability Letters, Elsevier, Elsevier, vol. 56(1), pages 51-56, January.
  9. Kees Jan Van Garderen & Chandra Shah, 2002. "Exact interpretation of dummy variables in semilogarithmic equations," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 5(1), pages 149-159, June.

2001

  1. Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001. "The joint estimation of term structures and credit spreads," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(3), pages 297-323, July.
  2. van Garderen, Kees Jan, 2001. "Optimal prediction in loglinear models," Journal of Econometrics, Elsevier, Elsevier, vol. 104(1), pages 119-140, August.

2000

  1. Boswijk, H. Peter, 2000. "Mixed Normality And Ancillarity In I(2) Systems," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 16(06), pages 878-904, December.
  2. Gooijer, Jan G. De & Gannoun, Ali, 2000. "Nonparametric conditional predictive regions for time series," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 33(3), pages 259-275, May.
  3. van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem, 2000. "Cross-sectional aggregation of non-linear models," Journal of Econometrics, Elsevier, Elsevier, vol. 95(2), pages 285-331, April.

1999

  1. Kiviet, Jan F. & Phillips, Garry D. A. & Schipp, Bernhard, 1999. "Alternative bias approximations in first-order dynamic reduced form models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 23(7), pages 909-928, June.
  2. Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain, 1999. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 51(3), pages 399-417, September.
  3. De Gooijer, Jan G & MacNeill, Ian B, 1999. "Lagged Regression Residuals and Serial-Correlation Tests," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(2), pages 236-47, April.

1998

  1. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, Econometric Society, vol. 66(1), pages 79-104, January.
  2. Jan F. Kiviet & Garry D.A. Phillips, 1998. "Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 1(RegularPa), pages 44-70.
  3. H.Peter Boswijk, 1998. "Book reviews," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(3), pages 329-334.
  4. Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 14(06), pages 701-743, December.
  5. De Gooijer, Jan G. & Ray, Bonnie K. & Krager, Horst, 1998. "Forecasting exchange rates using TSMARS," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(3), pages 513-534, June.
  6. De Gooijer, Jan G. & De Bruin, Paul T., 1998. "On forecasting SETAR processes," Statistics & Probability Letters, Elsevier, Elsevier, vol. 37(1), pages 7-14, January.

1997

  1. Kiviet, Jan F. & Dufour, Jean-Marie, 1997. "Exact tests in single equation autoregressive distributed lag models," Journal of Econometrics, Elsevier, Elsevier, vol. 80(2), pages 325-353, October.
  2. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, Elsevier, vol. 80(1), pages 167-193, September.
  3. H. Peter Boswijk & Jean-Pierre Urbain, 1997. "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(1), pages 21-38.
  4. Boswijk, H. Peter & Lu, Maozo, 1997. "Roots of an Orthogonal Matrix—Solution," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(06), pages 894-895, December.
  5. De Gooijer, Jan G. & Franses, Philip Hans, 1997. "Forecasting and seasonality," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(3), pages 303-305, September.
  6. van Garderen, Kees Jan, 1997. "Curved Exponential Models in Econometrics," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(06), pages 771-790, December.

1996

  1. van Giersbergen, Noud P A & Kiviet, Jan F, 1996. "Bootstrapping a Stable AD Model: Weak vs Strong Exogeneity," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 631-56, November.
  2. Kiviet, Jan F. & Phillips, Garry D. A., 1996. "The bias of the ordinary least squares estimator in simultaneous equation models," Economics Letters, Elsevier, Elsevier, vol. 53(2), pages 161-167, November.
  3. Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 39-68, January.
  4. Boswijk, H Peter, 1996. "Testing Identifiability of Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(2), pages 153-60, April.
  5. Franses, Philip Hans & Boswijk, H. Peter, 1996. "Temporal aggregation in a periodically integrated autoregressive process," Statistics & Probability Letters, Elsevier, Elsevier, vol. 30(3), pages 235-240, October.
  6. Franses, Philip Hans & Kleibergen, Frank, 1996. "Unit roots in the Nelson-Plosser data: Do they matter for forecasting?," International Journal of Forecasting, Elsevier, Elsevier, vol. 12(2), pages 283-288, June.
  7. Akman, Ibrahim & De Gooijer, Jan G., 1996. "Component extraction analysis of multivariate time series," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 21(5), pages 487-499, May.

1995

  1. Kiviet, Jan F. & Phillips, Garry D. A. & Schipp, Bernhard, 1995. "The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models," Journal of Econometrics, Elsevier, Elsevier, vol. 69(1), pages 241-266, September.
  2. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 68(1), pages 53-78, July.
  3. Boswijk, H Peter & Franses, Philip Hans, 1995. "Periodic Cointegration: Representation and Inference," The Review of Economics and Statistics, MIT Press, vol. 77(3), pages 436-54, August.
  4. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 69(1), pages 133-158, September.
  5. Boswijk, H. Peter, 1995. "Conditional and structural error correction models reply," Journal of Econometrics, Elsevier, Elsevier, vol. 69(1), pages 173-175, September.
  6. Peter Boswijk, H. & Franses, Philip Hans, 1995. "Testing for periodic integration," Economics Letters, Elsevier, Elsevier, vol. 48(3-4), pages 241-248, June.
  7. De Gooijer, Jan G., 1995. "Oliver Duncan Anderson: 1940-1995," International Journal of Forecasting, Elsevier, Elsevier, vol. 11(1), pages 195-196, March.

1994

  1. Kiviet, Jan F. & Phillips, Garry D. A., 1994. "Bias assessment and reduction in linear error-correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 215-243, July.
  2. Kiviet, Jan F. & Dijk, Herman K. van, 1994. "Structure and dynamics in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 1-5, July.
  3. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 37-60, July.
  4. Boswijk, Peter & Neudecker, Heinz, 1994. "An Inequality Between Perpendicular Least-Squares and Ordinary Least-Squares," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 10(02), pages 441-442, June.
  5. Kleibergen, Frank & van Dijk, Herman K., 1994. "Direct cointegration testing in error correction models," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 61-103, July.
  6. Kleibergen, Frank & van Dijk, Herman K., 1994. "On the Shape of the Likelihood/Posterior in Cointegration Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 10(3-4), pages 514-551, August.

1993

  1. Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 9(01), pages 62-80, January.
  2. Boswijk, Peter, 1993. "On the Formulation of Wald Tests on Long-Run Parameters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(1), pages 137-44, February.
  3. Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(S), pages S41-61, Suppl. De.
  4. de Gooijer, Jan G., 1993. "Nonlinear dynamics, chaos, and instability : William A. Brock, David A. Hsieh and Blake LeBaron, 1991, (MIT Press, Cambridge) 328, pp. [UK pound]29.25. ISBN 0-262-02329-6," International Journal of Forecasting, Elsevier, Elsevier, vol. 9(1), pages 134-135, April.
  5. De Gooijer, Jan G., 1993. "On predictive least squares principles : C.Z. Wei, The Annals of Statistics 20 (1992), 1-42," International Journal of Forecasting, Elsevier, Elsevier, vol. 9(1), pages 138-139, April.

1992

  1. Kiviet, Jan F & Phillips, Garry D A, 1992. "Exact Similar Tests for Unit Roots and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 349-67, August.
  2. Kiviet, Jan F & Kramer, Walter, 1992. "Bias of SDE 2 in the Linear Regression Model with Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 74(2), pages 362-65, May.
  3. Boswijk, Peter & Franses, Philip Hans, 1992. "Dynamic Specification and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 369-81, August.
  4. Ruijgrok, Th. & Diks, C., 1992. "Quasicrystalline polymers," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 183(1), pages 51-53.
  5. De Gooijer, Jan G. & Kumar, Kuldeep, 1992. "Some recent developments in non-linear time series modelling, testing, and forecasting," International Journal of Forecasting, Elsevier, Elsevier, vol. 8(2), pages 135-156, October.
  6. de Gooijer, Jan G. & Klein, Andre, 1992. "On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes," International Journal of Forecasting, Elsevier, Elsevier, vol. 7(4), pages 501-513, March.
  7. Peter Molenaar & Jan Gooijer & Bernhard Schmitz, 1992. "Dynamic factor analysis of nonstationary multivariate time series," Psychometrika, Springer, Springer, vol. 57(3), pages 333-349, September.

1991

  1. Phillips, Peter C.B. & Dolado, Juan J. & Boswijk, H. Peter, 1991. "Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 7(04), pages 549-558, December.
  2. Boswijk, H. Peter, 1991. "Optimal Structural Estimation of Triangular Systems: I. The Stationary Case," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 7(03), pages 428-431, September.

1990

  1. Boswijk, H.P. & Neudecker, H., 1990. "Property of a Matrix Used in Multidimensional Scaling," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 6(02), pages 285-285, June.
  2. de Gooijer, Jap G., 1990. "The role of time series analysis in forecasting: A personal view," International Journal of Forecasting, Elsevier, Elsevier, vol. 6(4), pages 449-451, December.

1989

  1. De Gooijer, Jan G., 1989. "Testing non-linearities in world stock market prices," Economics Letters, Elsevier, Elsevier, vol. 31(1), pages 31-35.

1986

  1. Kiviet, Jan F, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 53(2), pages 241-61, April.

1985

  1. Kiviet, Jan F., 1985. "Model selection test procedures in a single linear equation of a dynamic simultaneous system and their defects in small samples," Journal of Econometrics, Elsevier, Elsevier, vol. 28(3), pages 327-362, June.

1980

  1. De Gooijer, Jan G., 1980. "Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1," Journal of Econometrics, Elsevier, Elsevier, vol. 14(3), pages 365-379, December.

Software components

2007

  1. Frank Kleibergen & Mark E Schaffer, 2007. "RANKTEST: Stata module to test the rank of a matrix using the Kleibergen-Paap rk statistic," Statistical Software Components S456865, Boston College Department of Economics, revised 24 Aug 2014.