Publications at Afdeling Kwantitatieve Economie<BR> Faculteit Economie en Bedrijfskunde<BR> Universiteit van Amsterdam<BR> Amsterdam, Netherlands

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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, )

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

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Working papers

Undated material is listed at the end

2009

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. [Downloadable!]

2008

Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales. [Downloadable!]
Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Tinbergen Institute Discussion Papers 08-050/4, Tinbergen Institute. [Downloadable!]
Dijk, D. van & Diks, C.G.H. & Panchenko, V., 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," CeNDEF Working Papers 08-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers 08-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers 2008-23, School of Economics, The University of New South Wales. [Downloadable!]
Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Dirk Broeders & An Chen, 2008. "Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options," DNB Working Papers 183, Netherlands Central Bank, Research Department. [Downloadable!]
Haan, M. A. & Heijnen, P. & Schoonbeek, L. & Toolsema, L. A., 2008. "Sound taxation? On the use of self-declared value," CeNDEF Working Papers 08-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Adriaan R. Soetevent & Marco A. Haan & Pim Heijnen, 2008. "Do Auctions and Forced Divestitutes increase Competition?," Tinbergen Institute Discussion Papers 97-117/1, Tinbergen Institute.
Adriaan R. Soetevent & Marco A. Haan & Pim Heijnen, 2008. "Do Auctions and Forced Divestitures increase Competition?," Tinbergen Institute Discussion Papers 08-117/1, Tinbergen Institute. [Downloadable!]
Heijnen, P., 2008. "The Hartwick rule as a conservation law," CeNDEF Working Papers 08-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]

2007

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. [Downloadable!]
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. [Downloadable!]
Pietro Dindo & Cees Diks, 2007. "Informational differences and learning in an asset market with boundedly rational agents," Working Papers wp07-06, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
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 725, Umeå University, Department of Economics. [Downloadable!]
Heijnen, P., 2007. "The diffusion of differentiated waste disposal taxes in the Netherlands," CeNDEF Working Papers 07-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Heijnen, P., 2007. "Informative advertising by an environmental group," CeNDEF Working Papers 07-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Heijnen, P., 2007. "On the probability of breakdown in participation games," CeNDEF Working Papers 07-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]

2006

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. [Downloadable!]
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. [Downloadable!]
H.P. Boswijk & D. Fok & P.-H. Franses, 2006. "A New Multivariate Product Growth Model," Tinbergen Institute Discussion Papers 06-027/4, Tinbergen Institute. [Downloadable!]
Boswijk, H.P. & Weide, R. van der, 2006. "Wake me up before you GO-GARCH," CeNDEF Working Papers 06-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Cees Diks & Florian Wagener, 2006. "A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems," Tinbergen Institute Discussion Papers 06-043/1, Tinbergen Institute. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Diks, C.G.H. & Wagener, F.O.O., 2006. "A weak bifurcation theory for discrete time stochastic dynamical systems," CeNDEF Working Papers 06-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Florian Wagener & Cees Diks, 2006. "A weak bifucation theory for discrete time stochastic dynamical systems," Working Papers wp06-14, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Dockner, E.J. & Wagener, F.O.O., 2006. "Markov-Perfect Nash Equilibria in Models With a Single Capital Stock," CeNDEF Working Papers 06-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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. [Downloadable!]
Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2006. "More hedging instruments may destabilize markets," CeNDEF Working Papers 06-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Florian Wagener & Cars Hommes & William Brock, 2006. "More hedging instruments may destabilize markets," Working Papers wp06-11, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
Hoogerheide, L.F. & Kleibergen, F.R. & Dijk, H.K. van, 2006. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Econometric Institute Report EI 2006-02 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
An Chen & Michael Suchanecki, 2006. "Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities," Bonn Econ Discussion Papers bgse8_2006, University of Bonn, Germany. [Downloadable!]

2005

Jan F. Kiviet, 2005. "Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers 05-112/4, Tinbergen Institute. [Downloadable!]
Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute. [Downloadable!]
H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute. [Downloadable!]
Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute. [Downloadable!]
Cees Diks, 2005. "Financial markets with heterogeneous agents as nonlinear news filters," Computing in Economics and Finance 2005 290, Society for Computational Economics.
Cees Diks & Florian Wagener, 2005. "Equivalence and Bifurcations of Finite Order Stochastic Processes," Tinbergen Institute Discussion Papers 05-043/1, Tinbergen Institute. [Downloadable!]
Dennis P. J. Botman & Cees G. H. Diks, 2005. "The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks," IMF Working Papers 05/205, International Monetary Fund. [Downloadable!]
Cees Diks & Valentyn Panchenko, 2005. "Test for serial independence based on quadratic forms," Computing in Economics and Finance 2005 279, Society for Computational Economics.
Diks C.G.H. & Wagener, F.O.O., 2005. "Equivalence and bifurcations of finite order stochastic processes," CeNDEF Working Papers 05-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Diks, C.G.H. & Panchenko, V., 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," CeNDEF Working Papers 05-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Florian Wagener & Cees Diks, 2005. "Equivalence and bifurcations of finite order stochastic processes," Working Papers wp05-05, Warwick Business School, Financial Econometrics Research Centre. [Downloadable!]
Koster, M., 2005. "Sharing Variable Returns of Cooperation," CeNDEF Working Papers 05-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Koster, M., 2005. "Cost Sharing, Differential Games, and the Moulin-Shenker Rule," CeNDEF Working Papers 05-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
An Chen, 2005. "Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies," Bonn Econ Discussion Papers bgse19_2005, University of Bonn, Germany. [Downloadable!]

2004

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. [Downloadable!]
Valentyn Panchenko & Cees Diks, 2004. "Testing multivariate hypotheses with positive definite bilinear forms," Computing in Economics and Finance 2004 201, Society for Computational Economics.
Cees Diks & Valentyn Panchenko, 2004. "Modified Hiemstra-Jones Test for Granger Non-causality," Computing in Economics and Finance 2004 192, Society for Computational Economics.
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. [Downloadable!]
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. [Downloadable!]
Florian Wagener & William Brock & Cars Hommes, 2004. "Do hedging instruments stabilize markets?," Computing in Economics and Finance 2004 94, Society for Computational Economics.
Florian Wagener, 2004. "Structural analysis of optimal investment for firms with non-concave revenues," Computing in Economics and Finance 2004 187, Society for Computational Economics.
Florian Wagener & Jan Tuinstra, 2004. "On Learning Equilibria," Computing in Economics and Finance 2004 217, Society for Computational Economics. [Downloadable!]
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. [Downloadable!]
Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society. [Downloadable!]
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 408, Econometric Society. [Downloadable!]
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 199, Econometric Society.
Yebin Cheng & Jan G. de Gooijer, 2004. "On the u-th Geometric Conditional Quantile," Tinbergen Institute Discussion Papers 04-072/4, Tinbergen Institute. [Downloadable!]
Sophocles Mavroeidis & Kees Jan van Garderen, 2004. "Conditional Inference in Cointegrating Vector Autoregressive Models," Econometric Society 2004 Australasian Meetings 211, Econometric Society.

2003

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. [Downloadable!]
S. Manzan & P. Boswijk & C.H. Hommes, 2003. "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003 252, Society for Computational Economics. [Downloadable!]
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. [Downloadable!]
Cees Diks & Roy van der Weide, 2003. "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers 03-073/1, Tinbergen Institute. [Downloadable!]
Cees Diks & Roy van der Weide, 2003. "Continuous Beliefs Dynamics," Tinbergen Institute Discussion Papers 03-007/1, Tinbergen Institute. [Downloadable!]
Cees Diks & Svetlana Borovkova, 2003. "Conditional distribution resampling for time series," Computing in Economics and Finance 2003 70, Society for Computational Economics.
Cees Diks, 2003. "The correlation dimension of returns with stochastic volatility," Computing in Economics and Finance 2003 180, Society for Computational Economics.
Diks, C.G.H. & Weide, R. van der, 2003. "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," CeNDEF Working Papers 03-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Diks, C.G.H. & Weide, R. van der, 2003. "Heterogeneity as a natural source of randomness," CeNDEF Working Papers 03-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Hamers, H. & Bjorndal, E. & Koster, M, 2003. "Cost allocation in a bank ATM network," Discussion Paper 13, Tilburg University, Center for Economic Research. [Downloadable!]
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.
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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Omtzigt Pieter, 2003. "Bartlett corrections in stationary VARs," Economics and Quantitative Methods qf0006, Department of Economics, University of Insubria. [Downloadable!]
Bernasconi Michele & Kirchkamp Oliver & Paruolo Paolo, 2003. "Expectations and perceived causality in fiscal policy: an experimental analysis using real world data," Economics and Quantitative Methods qf0224, Department of Economics, University of Insubria. [Downloadable!]
Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. SEGeS. [Downloadable!]
Mira Antonietta & Omtzigt Pieter, 2003. "Stationary preserving and efficiency increasing probability mass transfer made possible," Economics and Quantitative Methods qf0313, Department of Economics, University of Insubria. [Downloadable!]
F. Kleibergen & R. Paap, 2003. "Generalized reduced rank tests using the singular value decomposition," Econometric Institute Report 301, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Frank Kleibergen & Eric Zivot, 2003. "Bayesian and Classical Approaches to Instrumental Variable Regression," Working Papers UWEC-2002-21-P, University of Washington, Department of Economics.
Kleibergen, F.R. & Paap, R., 2003. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Institute Report EI 2003-01 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

2002

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 C6-4, International Conferences on Panel Data. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Boswijk, H.P. & Franses, Ph.H.B.F., 2002. "The Econometrics Of The Bass Diffusion Model," Research Paper ERS-2002-66-MKT Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
Cees Diks & Roy van der Weid, 2002. "Endogenous Noise from Continuous Choice," Computing in Economics and Finance 2002 382, Society for Computational Economics.
Dennis P J Botman & Cees G H Diks, 2002. "Location of Investors and Capital Flight," Tinbergen Institute Discussion Papers 02-013/1, Tinbergen Institute. [Downloadable!]
Cees Diks, 2002. "Detecting Serial Dependence in Tail Events," Tinbergen Institute Discussion Papers 02-079/1, Tinbergen Institute. [Downloadable!]
Botman, D.P.J. & Diks, C.G.H., 2002. "Location of investors and capitical flight," CeNDEF Working Papers 02-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Diks, C.G.H. & Weide, R. van der, 2002. "Continuous Beliefs Dynamics," CeNDEF Working Papers 02-11, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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. [Downloadable!]
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.
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.
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. [Downloadable!]
Omtzigt Pieter, 2002. "Automatic identification of simultaneous equations models," Economics and Quantitative Methods qf0201, Department of Economics, University of Insubria. [Downloadable!]
Omtzigt Pieter & Paruolo Paolo, 2002. "Impact factors," Economics and Quantitative Methods qf0203, Department of Economics, University of Insubria. [Downloadable!]
Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria. [Downloadable!]
Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria. [Downloadable!]
Omtzigt Pieter, 2002. "Money Demand in the Netherlands," Economics and Quantitative Methods qf0214, Department of Economics, University of Insubria. [Downloadable!]
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. [Downloadable!]
Jan G. de Gooijer & Dawit Zerom, 2002. "On Conditional Density Estimation," Tinbergen Institute Discussion Papers 02-032/4, Tinbergen Institute. [Downloadable!]
Heijnen, Pim, 2002. "Price discrimination and price sensitivity in the car market : working paper, comment welcome," CCSO Working Papers 200302, University of Groningen, CCSO Centre for Economic Research. [Downloadable!]

2001

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. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Gerwin Griffioen & Peter Boswijk & Cars Hommes, 2001. "Success and Failure of Technical Trading Strategies in the Cocoa Futures Market," CeNDEF Workshop Papers, January 2001 4A.4, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Peter Boswijk & Gerwin Griffioen & Cars Hommes, 2001. "Success and Failure of Technical Trading Strategies in the Cocoa Futures Market," Tinbergen Institute Discussion Papers 01-016/1, Tinbergen Institute. [Downloadable!]
H. Peter Boswijk, 2001. "Testing for a Unit Root with Near-Integrated Volatility," Tinbergen Institute Discussion Papers 01-077/4, Tinbergen Institute. [Downloadable!]
H. Peter Boswijk, 2001. "Block Local to Unity and Continuous Record Asymptotics," Tinbergen Institute Discussion Papers 01-078/4, Tinbergen Institute. [Downloadable!]
Boswijk, H.P., Griffioen, G.A.W., Hommes, C.H., 2001. "Succes and Failure of Technical Trading Strategies in the Cocoa Futures Market," Computing in Economics and Finance 2001 120, Society for Computational Economics.
H.P. Boswijk & P.H. Franses, 2001. "Robust inference on average economic growth," Econometric Institute Report 252, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Cees Diks & Sebastiano Manzan, 2001. "Tests for Serial Independence and Linearity based on Correlation Integrals," Tinbergen Institute Discussion Papers 01-085/1, Tinbergen Institute. [Downloadable!]
Cees Diks, 2001. "A nonparametric bootstrap test for nonlinear Granger causality," CeNDEF Workshop Papers, January 2001 3A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Cees Diks and Roy van der Weide, 2001. "Asset pricing with a continuum of belief types," Computing in Economics and Finance 2001 217, Society for Computational Economics.
Diks, C.G.H. & Manzan, S., 2001. "Tests for serial independence and linearity based on correlation integrals," CeNDEF Working Papers 01-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Suijs, J. & Borm, P. & Hamers, H. & Koster, M. & Quant, M., 2001. "Communication and cooperation in public network situations," Discussion Paper 44, Tilburg University, Center for Economic Research. [Downloadable!]
Andrea Gaunersdorfer & Cars Hommes & Florian Wagener, 2001. "Adaptive Beliefs and the volatility of asset prices," CeNDEF Workshop Papers, January 2001 5A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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.
Andrea Gaunersdorfer & Cars Hommes & Florian O.O. Wagener, 2001. "Bifurcation Routes to Volatility Clustering," Tinbergen Institute Discussion Papers 01-015/1, Tinbergen Institute. [Downloadable!]
W.A. Brock, C.H. Hommes and F.O.O. Wagener, 2001. "Evolutionary dynamics in financial markets with many trader types," Computing in Economics and Finance 2001 119, Society for Computational Economics.
M. Dudek Carolyn & Pieter Omtzigt, 2001. "Globalization's challenge to pension reform in Western Europe," Economics and Quantitative Methods qf0107, Department of Economics, University of Insubria. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
J.J.J. Groen & F. Kleibergen, 2001. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," WO Research Memoranda (discontinued) 646, Netherlands Central Bank, Research Department. [Downloadable!]
Frank Kleibergen, 2001. "Testing Parameters in GMM without assuming that they are identified," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute. [Downloadable!]
Bekker, Paul A. & Kleibergen, Frank, 2001. "Finite-sample instrumental variables inference using an asymptotically pivotal statistic," Research Report 01F38, University of Groningen, Research Institute SOM (Systems, Organisations and Management). [Downloadable!]
Bekker, Paul A. & Kleibergen, Frank, 2001. "Finite-sample instrumental variables inference using an asymptotically pivotal statistic," CCSO Working Papers 200109, University of Groningen, CCSO Centre for Economic Research. [Downloadable!]

2000

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 0631, Econometric Society. [Downloadable!]
D.J.C. van Dijk & P.H.B.F. Franses & H.P. Boswijk, 2000. "Asymmetric and common absorption of shocks in nonlinear autoregressive models," Econometric Institute Report 184, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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 0765, Econometric Society. [Downloadable!]
H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers 1101, Econometric Society. [Downloadable!]
Boswijk, H.P. & van Dijk, D. & Franses, P.H., 2000. "Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models," CeNDEF Working Papers 00-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Boswijk, H.P., 2000. "Testing for a Unit Root with Near-Integrated Volatility," CeNDEF Working Papers 00-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Boswijk, H.P. & Griffioen, G.A.W. & Hommes, C.H., 2000. "Succes and Failure of Technical Trading Strategies in the Cocoa Futures Markets," CeNDEF Working Papers 00-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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.
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.
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.
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.
Frank Kleibergen, 2000. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute. [Downloadable!]
Frank Kleibergen & Richard Kleijn & Richard Paap, 2000. "The Bayesian Score Statistic," Tinbergen Institute Discussion Papers 00-035/4, Tinbergen Institute. [Downloadable!]
F. Kleibergen & R. Kleijn & R. Paap, 2000. "The Bayesian score statistic," Econometric Institute Report 193, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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. [Downloadable!]
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. [Downloadable!]
Frank R. Kleibergen & Henk Hoek, 2000. "Bayesian Analysis of ARMA Models," Tinbergen Institute Discussion Papers 00-027/4, Tinbergen Institute. [Downloadable!]
Kleibergen, F.R. & Kleijn, R.H. & Paap, R., 2000. "The Bayesian Score Statistic," Econometric Institute Report EI ; ECONOMETRIC INSTITUT, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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. [Downloadable!]
Brännäs, Kurt & de Gooijer, Jan G., 2000. "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," UmeÃ¥ Economic Studies 535, Umeå University, Department of Economics.
Kurt Brännäs & Jan G. de Gooijer, 2000. "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers 00-049/4, Tinbergen Institute. [Downloadable!]

1999

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 99/03, University of Exeter, School of Business and Economics.
Kiviet, J.F. & Phillips, G.D.A., 1999. "The Bias of the 2SLS Variance Estimator," Discussion Papers 99/04, University of Exeter, School of Business and Economics.
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. [Downloadable!]
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. [Downloadable!]
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.
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.
Bjorndal, E. & Koster, M. & Tijs, S., 1999. "Weighted allocation rules for standard fixed tree games," Discussion Paper 79, Tilburg University, Center for Economic Research. [Downloadable!]
Koster, M., 1999. "Weighted constrained egalitarianism in tu-games," Discussion Paper 107, Tilburg University, Center for Economic Research. [Downloadable!]
Koster, M. & Reijnierse, H. & Voorneveld, M., 1999. "Voluntary contribution to multiple public projects," Discussion Paper 88, Tilburg University, Center for Economic Research. [Downloadable!]
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. [Downloadable!]
P. Houweling & J. Hoek & F.R. Kleibergen, 1999. "The joint estimation of term sturctures and credit spreads," Econometric Institute Report 142, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute. [Downloadable!]
Franses, Ph.H.B.F. & Kleibergen, F.R., 1999. "Cointegration in a Periodic Vector Autoregression," Papers 9906/a, Erasmus University of Rotterdam - Econometric Institute.
F.R. Kleibergen & Ph.H.B.F. Franses, 1999. "Cointegration in a periodic vector autoregression," Econometric Institute Report 107, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999. "The Joint Estimation of Term Structures and Credit Spreads," Econometric Institute Report EI 9916-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, F.R. & Franses, Ph.H.B.F., 1999. "Cointegration in a periodic vector autoregression," Econometric Institute Report EI 9906-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Jan G. de Gooijer & Dawit Zerom, 1999. "Kernel-based Multistep-ahead Predictions of the US Short-term Interest Rate," Tinbergen Institute Discussion Papers 99-015/4, Tinbergen Institute.
Jan G. de Gooijer & Ali Gannoun, 1999. "Nonparametric Regression with Serially Correlated Errors," Tinbergen Institute Discussion Papers 99-063/4, Tinbergen Institute. [Downloadable!]

1998

Jan F. Kiviet, 1998. "Expectations of Expansions for Estimators in a Dynamic Panel Data Model; Some Results for Weakly-Exogenous Regressors," Tinbergen Institute Discussion Papers 98-027/4, Tinbergen Institute.
Kiviet, J.F. & Phillips, G.D.A., 1998. "Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root," Discussion Papers 99/09, University of Exeter, School of Business and Economics.
Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
Koster, M. & Molina, E. & Sprumont, Y. & Tijs, S., 1998. "Sharing the cost of a network : core and core allocations," Discussion Paper 21, Tilburg University, Center for Economic Research. [Downloadable!]
Koster, M., 1998. "Multi-service serial cost sharing : a characterization of the Moulin-Shenker rule," Discussion Paper 6, Tilburg University, Center for Economic Research. [Downloadable!]
Koster, M., 1998. "Multi-service serial cost sharing : an incompatibility with smoothness," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]
Frank Kleibergen & Eric Zivot, 1998. "Bayesian and Classical Approaches to Instrumental Variable Regression," Discussion Papers in Economics at the University of Washington 0063, Department of Economics at the University of Washington. [Downloadable!]
Frank Kleibergen & Herman K. van Dijk, 1998. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute. [Downloadable!]
Paap, R. & Kleibergen, F., 1998. "Prior, Posterios and Bayes Factors for Bayesian Analysis of Cointegration," Papers 9821/a, Erasmus University of Rotterdam - Econometric Institute.
Frank Kleibergen & Eric Zivot, 1998. "Bayesian and Classical Approaches to Instrumental Variables Regression," Econometrics 9812002, EconWPA. [Downloadable!]
Kleibergen, F. & Zivot, E., 1998. "Bayesian and Classical Approaches to Instrumental Variable Regression," Papers 9835/a, Erasmus University of Rotterdam - Econometric Institute.
Frank Kleibergen & Eric Zivot, 1998. "Bayesian and Classical Approaches to Instrumental Variable Regression," Working Papers 0063, University of Washington, Department of Economics.
Kleibergen, F.R. & Zivot, E., 1998. "Bayesian and classical approaches to instrumental variable regression," Econometric Institute Report EI 9835 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, F.R. & Paap, R., 1998. "Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration," Econometric Institute Report EI 9821 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, F.R., 1998. "Conditional densities in econometrics," Econometric Institute Report EI 9853 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, F.R., 1998. "An alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators," Econometric Institute Report EI 9844 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
F.R. Kleibergen, 1998. "Conditional densities in Econometrics," Econometric Institute Report 102, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Van Garderen, K. J. & Lee, K. & Pesaran M., 1998. "Cross-sectional Aggregation of Non-linear Models," Cambridge Working Papers in Economics 9803, Faculty of Economics, University of Cambridge.

1997

Jan F. Kiviet & Garry D.A. Phillips, 1997. "Degrees of Freedom Adjustment for Disturbance Variance Estimators in Dynamic Regression Models," Tinbergen Institute Discussion Papers 97-085/4, Tinbergen Institute.
Boswijk, H.P. & Franses, P.H., 1997. "Common Persistence in Nonlinear Autoregressive Models," Papers 9702/a, Erasmus University of Rotterdam - Econometric Institute.
H. Peter Boswijk & Philip Hans Franses, 1997. "Common Persistence in Nonlinear Autoregressive Models," Tinbergen Institute Discussion Papers 97-003/4, Tinbergen Institute.
Boswijk, H. Peter & Lucas, Andr‚, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
F. Kleibergen & H.K. van Dijk & J.-P. Urbain, 1997. "Oil price shocks and long run price and import demand behavior," Econometric Institute Report 151, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Frank Kleibergen & Henk Hoek, 1997. "Bayesian Analysis of ARMA Models using Noninformative Priors," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute. [Downloadable!]
Kleibergen, F. & Van Dijk, H.K., 1997. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Papers 9714/a, Erasmus University of Rotterdam - Econometric Institute.
Kleibergen, F., 1997. "Reduced Rank Regression Using Generalized Method of Moments Estimators, with Extensions to Structural Breaks in Cointegration Models," Papers 9722/a, Erasmus University of Rotterdam - Econometric Institute.
Frank Kleibergen & Richard Paap, 1997. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Tinbergen Institute Discussion Papers 97-007/4, Tinbergen Institute.
Franses, P.H. & Kleibergen, F., 1997. "Cointegration in Multivariate Periodic Time Series Models," Papers 9745/a, Erasmus University of Rotterdam - Econometric Institute.
Frank Kleibergen, 1997. "Equality Restricted Random Variables: Densities and Sampling Algorithms," Tinbergen Institute Discussion Papers 97-005/4, Tinbergen Institute.
Kleibergen, F.R., 1997. "Reduced Rank Regression using Generalized Method of Moments Estimators with extensions to structural breaks in cointegration models," Econometric Institute Report EI 9722-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, F.R. & Urbain, J.-P. & Dijk, H.K. van, 1997. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Econometric Institute Report EI 9709-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, F.R. & Dijk, H.K. van, 1997. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Econometric Institute Report EI 9714-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Brännäs, Kurt & de Gooijer, Jan G. & Teräsvirta, Timo, 1997. "Testing Linearity against Nonlinear Moving Average Models," UmeÃ¥ Economic Studies 405, Umeå University, Department of Economics.
van GARDEREN, Kees Jan, 1997. "Exact geometry of explosive autoregressive models," CORE Discussion Papers 1997068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1996

Boswijk,P. & Franses,P.H. & Haldrup,N., 1996. "Multiple Unit Roots in Periodic Autoregression," Economics Working Papers 1996-2, School of Economics and Management, University of Aarhus.
H. Peter Boswijk & Philip Hans Franses, 1996. "Common Persistence in Nonlinear Autoregressive Models," University of California at San Diego, Economics Working Paper Series 96-10, Department of Economics, UC San Diego. [Downloadable!]
Tijs, S. & Koster, M., 1996. "General aggregation of demand and cost sharing methods," Discussion Paper 87, Tilburg University, Center for Economic Research. [Downloadable!]
Kleibergen, Frank & Dijk, Herman K. van, 1996. "Bayesian simultaneous equations analysis using reduced rank structures," Econometric Institute Report 47, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, Frank, 1996. "Equality restricted random variables: densities and sampling algorithms," Econometric Institute Report 36, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, Frank & Hoek, Henk, 1996. "Bayesian analysis of ARMA models using noninformative priors," Econometric Institute Report 39, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, Frank & Urbain, Jean-Pierre & Dijk, Herman K. van, 1996. "Oil price shocks and long run price and import demand behavior," Econometric Institute Report 44, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, F., 1996. "Reduced rank regression using generalized method of moments estimators," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
Kleibergen, F., 1996. "Equality Restricted Random Variables: Densities and Sampling Algorithms," Papers 9662/a, Erasmus University of Rotterdam - Econometric Institute.
Kleibergen, F.R. & Paap, R., 1996. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Econometric Institute Report EI 9668-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Kleibergen, F.R., 1996. "Equality Restricted Random Variables: Densities and Sampling Algorithms," Econometric Institute Report EI 9662-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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.

1995

Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests Structural Change in First-Order Dynamic Models," Cahiers de recherche 9548, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche 9549, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests Structural Change in First-Order Dynamic Models," Cahiers de recherche 9548, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche 9549, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Peter Boswijk & Philip Hans Franses & Niels Haldrup, 1995. "Multiple Unit Roots in Periodic Autoregression," University of California at San Diego, Economics Working Paper Series 95-44, Department of Economics, UC San Diego.
Kleibergen, F. & Franses, P.H., 1995. "Direct Cointegration Testing in Periodic Vector Autoregressive Models," Papers 9518/a, Erasmus University of Rotterdam - Econometric Institute.
Kleibergen, F. & Hoek, H., 1995. "Bayesian analysis of ARMA models using noninformative priors," Discussion Paper 116, Tilburg University, Center for Economic Research. [Downloadable!]
Kleibergen, F.R. & Hoek, H., 1995. "Bayesian Analysis of ARMA models using Noninformative Priors," Econometric Institute Report EI 9553-/B Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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.
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.
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.
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.

1994

Kleibergen, F. & Urbain, J.P. & Van Dijk, H.K., 1994. "A Cointegration Study of Aggregate Imports Using Likelihood Based Testing Principles," Papers 9416-a, Erasmus University of Rotterdam - Econometric Institute.

1993

Kleibergen, F.R. & Van Dijk, H.K., 1993. "On the Shape of the Likelyhood/Posterior in Cointegration Models," Papers 9315-a, Erasmus University of Rotterdam - Econometric Institute.

1992

Boswijk, H.P. & Franses, P.H., 1992. "Testing for Periodique Integration," Papers 9216-a, Erasmus University of Rotterdam - Econometric Institute.
Kleibergen, F. & Van Dijk, H.K., 1992. "Nonstationarity in Garch Models: A Bayesian Analysis," Papers 9277-a, Erasmus University of Rotterdam - Econometric Institute.

1988

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 ae_11-88, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.
De Jong, G.C. & Boswijk, H.P. & Cramer, J.S., 1988. "Joint Prediction Of Automobile Ownership And Mileage By A Cross-Section Model," Papers ae_2-88, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.
De Jong, G.C. & Boswijk, H.P. & Cramer, J.S., 1988. "Joint Prediction Of Automobile Ownership And Mileage By A Cross-Section Model," Papers ae_6-88, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.

Undated

Cees Diks & Valentyn Panchenko & Dick van Dijk, . "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute. [Downloadable!]
Ao Yuan & Jan G. De Gooijer, . "Semiparametric Regression with Kernel Error Model," Tinbergen Institute Discussion Papers 06-058/4, Tinbergen Institute. [Downloadable!]

Journal articles

2009

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. [Downloadable!] (restricted)
Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009. "More hedging instruments may destabilize markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1912-1928, November. [Downloadable!] (restricted)
Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, vol. 149(2), pages 149-173, April. [Downloadable!] (restricted)
An Chen & Xia Su, 2009. "Knightian uncertainty and insurance regulation decision," Decisions in Economics and Finance, Springer, vol. 32(1), pages 13-33, May. [Downloadable!] (restricted)
Pim Heijnen, 2009. "On the probability of breakdown in participation games," Social Choice and Welfare, Springer, vol. 32(3), pages 493-511, March. [Downloadable!] (restricted)
Schluter, Christian & van Garderen, Kees Jan, 2009. "Edgeworth expansions and normalizing transforms for inequality measures," Journal of Econometrics, Elsevier, vol. 150(1), pages 16-29, May. [Downloadable!] (restricted)

2008

Diks, Cees & Dindo, Pietro, 2008. "Informational differences and learning in an asset market with boundedly rational agents," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1432-1465, May. [Downloadable!] (restricted)
Cees Diks & Cars Hommes & Valentyn Panchenko & Roy Weide, 2008. "E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics," Computational Economics, Springer, vol. 32(1), pages 221-244, September. [Downloadable!] (restricted)
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, vol. 30(5), pages 2673-2685, September. [Downloadable!] (restricted)
Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1641-1650, December. [Downloadable!] (restricted)
Koster, M. & Lindelauf, R. & Lindner, I. & Owen, G., 2008. "Mass-mobilization with noisy conditional beliefs," Mathematical Social Sciences, Elsevier, vol. 55(1), pages 55-77, January. [Downloadable!] (restricted)
Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 27-47, July. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
Pim Heijnen & Lambert Schoonbeek, 2008. "Environmental groups in monopolistic markets," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 39(4), pages 379-396, April. [Downloadable!] (restricted)

2007

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, vol. 51(7), pages 3296-3318, April. [Downloadable!] (restricted)
van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H., 2007. "Absorption of shocks in nonlinear autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4206-4226, May. [Downloadable!] (restricted)
Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June. [Downloadable!] (restricted)
Maurice Koster, 2007. "The Moulin–Shenker rule," Social Choice and Welfare, Springer, vol. 29(2), pages 271-293, September. [Downloadable!] (restricted)
Jan Tuinstra & Florian Wagener, 2007. "On learning equilibria," Economic Theory, Springer, vol. 30(3), pages 493-513, March. [Downloadable!] (restricted)
Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, vol. 139(1), pages 181-216, July. [Downloadable!] (restricted)
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, vol. 138(1), pages 63-103, May. [Downloadable!] (restricted)
Jan G. De Gooijer, 2007. "Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities," Journal of Applied Statistics, Taylor and Francis Journals, vol. 34(4), pages 371-381. [Downloadable!] (restricted)
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 and Swedish Statistical Association, vol. 34(4), pages 841-869. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)

2006

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, vol. 132(2), pages 409-444, June. [Downloadable!] (restricted)
Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre, 2006. "Causality and exogeneity in econometrics," Journal of Econometrics, Elsevier, vol. 132(2), pages 305-309, June. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
Diks, Cees, 2006. "Comments on "Global sunspots in OLG models"," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 46-50, March. [Downloadable!] (restricted)
Bullard, Jim & Diks, Cees & Wagener, Florian, 2006. "Computing in economics and finance," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1441-1444. [Downloadable!] (restricted)
Diks, Cees & Panchenko, Valentyn, 2006. "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669. [Downloadable!] (restricted)
Kleibergen, Frank & Paap, Richard, 2006. "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, vol. 133(1), pages 97-126, July. [Downloadable!] (restricted)
De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473. [Downloadable!] (restricted)
De Gooijer, Jan G., 2006. "Detecting change-points in multidimensional stochastic processes," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1892-1903, December. [Downloadable!] (restricted)
Pim Heijnen & Peter Kooreman, 2006. "Modelling Strategic Responses to Car and Fuel Taxation," Journal of Transport Economics and Policy, London School of Economics and University of Bath, vol. 40(2), pages 203-223, May. [Downloadable!] (restricted)

2005

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, vol. 8(2), pages 115-142, 07. [Downloadable!] (restricted)
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, vol. 49(2), pages 417-444, April. [Downloadable!] (restricted)
Boswijk, H. Peter & Franses, Philip Hans, 2005. "On the Econometrics of the Bass Diffusion Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 255-268, July. [Downloadable!] (restricted)
Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810. [Downloadable!]
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, vol. 29(4), pages 741-763, April. [Downloadable!] (restricted)
Cason, Timothy N. & Friedman, Daniel & Wagener, Florian, 2005. "The dynamics of price dispersion, or Edgeworth variations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 801-822, April. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
Wagener, F.O.O., 2005. "Structural analysis of optimal investment for firms with non-concave revenue," Journal of Economic Behavior & Organization, Elsevier, vol. 57(4), pages 474-489, August. [Downloadable!] (restricted)
Omtzigt, Pieter & Paruolo, Paolo, 2005. "Impact factors," Journal of Econometrics, Elsevier, vol. 128(1), pages 31-68, September. [Downloadable!] (restricted)
Cubadda, Gianluca & Omtzigt, Pieter, 2005. "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 333-348, April. [Downloadable!] (restricted)
Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, 07. [Downloadable!] (restricted)
Garcia-Ferrer, Antonio & De Gooijer, Jan G. & Poncela, Pilar & Ruiz, Esther, 2005. "Introduction to nonlinearities, business cycles, and forecasting," International Journal of Forecasting, Elsevier, vol. 21(4), pages 623-625. [Downloadable!] (restricted)
Jan G. De Gooijer & Antoni Vidiella-i-Anguera, 2005. "Estimating threshold cointegrated systems," Economics Bulletin, Economics Bulletin, vol. 3(8), pages 1-7. [Downloadable!]

2004

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, vol. 58(4), pages 440-465. [Downloadable!] (restricted)
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, 03. [Downloadable!] (restricted)
Kleibergen, Frank, 2004. "Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox," Journal of Econometrics, Elsevier, vol. 123(2), pages 227-258, December. [Downloadable!] (restricted)
De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2004. "Forecasting threshold cointegrated systems," International Journal of Forecasting, Elsevier, vol. 20(2), pages 237-253. [Downloadable!] (restricted)
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., vol. 23(3), pages 155-171. [Downloadable!]
De Gooijer, Jan G., 2004. "Editorial Announcement," International Journal of Forecasting, Elsevier, vol. 20(4), pages 523-524. [Downloadable!] (restricted)

2003

Bun, Maurice J. G. & Kiviet, Jan F., 2003. "On the diminishing returns of higher-order terms in asymptotic expansions of bias," Economics Letters, Elsevier, vol. 79(2), pages 145-152, May. [Downloadable!] (restricted)
Diks, Cees, 2003. "Detecting serial dependence in tail events: a test dual to the BDS test," Economics Letters, Elsevier, vol. 79(3), pages 319-324, June. [Downloadable!] (restricted)
M. Koster & H. Reijnierse & M. Voorneveld, 2003. "Voluntary Contributions to Multiple Public Projects," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 5(1), pages 25-50, 01. [Downloadable!] (restricted)
Wagener, F. O. O., 2003. "Skiba points and heteroclinic bifurcations, with applications to the shallow lake system," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1533-1561, July. [Downloadable!] (restricted)
Kleibergen, Frank & Zivot, Eric, 2003. "Bayesian and classical approaches to instrumental variable regression," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May. [Downloadable!] (restricted)
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, vol. 21(2), pages 295-318, April.
Bekker, Paul & Kleibergen, Frank, 2003. "Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic," Econometric Theory, Cambridge University Press, vol. 19(05), pages 744-753, October. [Downloadable!]
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. [Downloadable!] (restricted)
De Gooijer, Jan G. & Ray, Bonnie K., 2003. "Modeling vector nonlinear time series using POLYMARS," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 73-90, February. [Downloadable!] (restricted)
Jan G. De Gooijer & Dawit Zerom, 2003. "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(2), pages 159-176. [Downloadable!] (restricted)
De Gooijer J.G. & Zerom D., 2003. "On Additive Conditional Quantiles With High Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 135-146, January. [Downloadable!] (restricted)
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, vol. 19(06), pages 984-1007, December. [Downloadable!]

2002

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, vol. 108(1), pages 133-156, May. [Downloadable!] (restricted)
Smith, Richard J. & Boswijk, H. Peter, 2002. "Finite sample and asymptotic methods in econometrics," Journal of Econometrics, Elsevier, vol. 111(2), pages 135-140, December. [Downloadable!] (restricted)
Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June. [Downloadable!] (restricted)
Koster, Maurice, 2002. "Hierarchical constrained egalitarianism in TU-games," Mathematical Social Sciences, Elsevier, vol. 43(2), pages 251-265, March. [Downloadable!] (restricted)
S. H. Tijs & M. Koster & E. Molina & Y. Sprumont, 2002. "Sharing the cost of a network: core and core allocations," International Journal of Game Theory, Springer, vol. 30(4), pages 567-599. [Downloadable!] (restricted)
Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September. [Downloadable!] (restricted)
Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December. [Downloadable!] (restricted)
De Gooijer, Jan G., 2002. "Introduction to forecasting decisions in conflict situations," International Journal of Forecasting, Elsevier, vol. 18(3), pages 319-320. [Downloadable!] (restricted)
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, vol. 56(1), pages 51-56, January. [Downloadable!] (restricted)
Kees Jan Van Garderen & Chandra Shah, 2002. "Exact interpretation of dummy variables in semilogarithmic equations," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 149-159, June. [Downloadable!] (restricted)

2001

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

2000

Gooijer, Jan G. De & Gannoun, Ali, 2000. "Nonparametric conditional predictive regions for time series," Computational Statistics & Data Analysis, Elsevier, vol. 33(3), pages 259-275, May. [Downloadable!] (restricted)
van Garderen, Kees Jan & Lee, Kevin & Pesaran, M. Hashem, 2000. "Cross-sectional aggregation of non-linear models," Journal of Econometrics, Elsevier, vol. 95(2), pages 285-331, April. [Downloadable!] (restricted)

1999

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, vol. 23(7), pages 909-928, June. [Downloadable!] (restricted)
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, vol. 51(3), pages 399-417, September. [Downloadable!] (restricted)
De Gooijer, Jan G & MacNeill, Ian B, 1999. "Lagged Regression Residuals and Serial-Correlation Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 236-47, April.

1998

Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
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, vol. 1(RegularPa), pages 44-70.
H.Peter Boswijk, 1998. "Book reviews," Econometric Reviews, Taylor and Francis Journals, vol. 17(3), pages 329-334. [Downloadable!] (restricted)
Koster, Maurice & Tijs, Stef & Borm, Peter, 1998. "Serial cost sharing methods for multi-commodity situations," Mathematical Social Sciences, Elsevier, vol. 36(3), pages 229-242, December. [Downloadable!] (restricted)
Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(06), pages 701-743, December. [Downloadable!]
De Gooijer, Jan G. & Ray, Bonnie K. & Krager, Horst, 1998. "Forecasting exchange rates using TSMARS," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 513-534, June. [Downloadable!] (restricted)
De Gooijer, Jan G. & De Bruin, Paul T., 1998. "On forecasting SETAR processes," Statistics & Probability Letters, Elsevier, vol. 37(1), pages 7-14, January. [Downloadable!] (restricted)

1997

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

1996

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.
Kiviet, Jan F. & Phillips, Garry D. A., 1996. "The bias of the ordinary least squares estimator in simultaneous equation models," Economics Letters, Elsevier, vol. 53(2), pages 161-167, November. [Downloadable!] (restricted)
Dufour, Jean-Marie & Kiviet, Jan F., 1996. "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, vol. 70(1), pages 39-68, January. [Downloadable!] (restricted)
Boswijk, H Peter, 1996. "Testing Identifiability of Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 153-60, April.
Franses, Philip Hans & Kleibergen, Frank, 1996. "Unit roots in the Nelson-Plosser data: Do they matter for forecasting?," International Journal of Forecasting, Elsevier, vol. 12(2), pages 283-288, June. [Downloadable!] (restricted)
Akman, Ibrahim & De Gooijer, Jan G., 1996. "Component extraction analysis of multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 21(5), pages 487-499, May. [Downloadable!] (restricted)

1995

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, vol. 69(1), pages 241-266, September. [Downloadable!] (restricted)
Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September. [Downloadable!] (restricted)
Boswijk, H. Peter, 1995. "Conditional and structural error correction models reply," Journal of Econometrics, Elsevier, vol. 69(1), pages 173-175, September. [Downloadable!] (restricted)
Peter Boswijk, H. & Franses, Philip Hans, 1995. "Testing for periodic integration," Economics Letters, Elsevier, vol. 48(3-4), pages 241-248, June. [Downloadable!] (restricted)
De Gooijer, Jan G., 1995. "Oliver Duncan Anderson: 1940-1995," International Journal of Forecasting, Elsevier, vol. 11(1), pages 195-196, March. [Downloadable!] (restricted)

1994

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

1993

Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(01), pages 62-80, January. [Downloadable!]
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.
Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S41-61, Suppl. De. [Downloadable!] (restricted)
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, vol. 9(1), pages 134-135, April. [Downloadable!] (restricted)
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, vol. 9(1), pages 138-139, April. [Downloadable!] (restricted)

1992

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.
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. [Downloadable!] (restricted)
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.
De Gooijer, Jan G. & Kumar, Kuldeep, 1992. "Some recent developments in non-linear time series modelling, testing, and forecasting," International Journal of Forecasting, Elsevier, vol. 8(2), pages 135-156, October. [Downloadable!] (restricted)
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, vol. 7(4), pages 501-513, March. [Downloadable!] (restricted)
Peter Molenaar & Jan Gooijer & Bernhard Schmitz, 1992. "Dynamic factor analysis of nonstationary multivariate time series," Psychometrika, Springer, vol. 57(3), pages 333-349, September. [Downloadable!] (restricted)

1990

de Gooijer, Jap G., 1990. "The role of time series analysis in forecasting: A personal view," International Journal of Forecasting, Elsevier, vol. 6(4), pages 449-451, December. [Downloadable!] (restricted)

1989

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

1986

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

1985

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, vol. 28(3), pages 327-362, June. [Downloadable!] (restricted)

1980

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, vol. 14(3), pages 365-379, December. [Downloadable!] (restricted)

Software components

2007

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 05 May 2008. [Downloadable!]

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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, )

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