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Publications

by alumni of

Universiteit van Amsterdam → Faculteit Economie en Bedrijfskunde → Afdeling Kwantitatieve Economie

University of Amsterdam → Faculty of Economics and Business → Department of Quantitative Economics

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

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

| Working papers | Journal articles | Chapters | Software components |

Working papers

2026

  1. Dang, Hai-Anh H. & Do, Minh & Lahiri, Partha & Gualavisi, Melany & Newhouse, David & Kilic, Talip & Lanjouw, Peter & Van der Weide, Roy, 2026, "Evaluating Alternative Approaches to Small Area Estimation of Poverty with Survey and Census Data," Policy Research Working Paper Series, The World Bank, number 11396, May.

2025

  1. Elbers,Chris & Roy Van der Weide, 2025, "Non-Normal Empirical Bayes Prediction of Local Welfare," Policy Research Working Paper Series, The World Bank, number 11107, Apr.
  2. Munoz, Ercio & Van der Weide, Roy, 2025, "Intergenerational Income Mobility around the World : A New Database," Policy Research Working Paper Series, The World Bank, number 11166, Jul.

2024

  1. Sutirtha Sinha Roy & Roy Van Der Weide, 2024, "Development Reversed," World Bank Publications - Reports, The World Bank Group, number 41869, Jul.
  2. Heath,Rachel & Van Der Weide,Roy, 2024, "Gender, Social Support, and Political Speech : Evidence from Twitter," Policy Research Working Paper Series, The World Bank, number 10769, May.
  3. Roy Van der Weide & Michael Woolcock, 2024, "What Data-Rich Assessments of Socioeconomic Inequality and Mobility in Rich Countries Overlook in Poor Countries," Policy Research Working Paper Series, The World Bank, number 10880, Aug.

2022

  1. Van Der Weide,Roy, 2022, "Inferring COVID-19 Vaccine Attitudes from Twitter Data : An Application to the ArabicSpeaking World," Policy Research Working Paper Series, The World Bank, number 10165, Sep.
  2. Van Der Weide,Roy & Blankespoor,Brian & Elbers,Chris T.M. & Lanjouw,Peter F., 2022, "How Accurate Is a Poverty Map Based on Remote Sensing Data ? An Application to Malawi," Policy Research Working Paper Series, The World Bank, number 10171, Sep.
  3. Sinha Roy, Sutirtha & Van der Weide, Roy, 2022, "Poverty in India Has Declined over the Last Decade But Not As Much As Previously Thought," Policy Research Working Paper Series, The World Bank, number 9994, Apr.

2021

  1. Van Der Weide,Roy & Lakner,Christoph & Mahler,Daniel Gerszon & Narayan,Ambar & Nichanametla Ramasubbaiah,Rakesh Gupta, 2021, "Intergenerational Mobility around the World," Policy Research Working Paper Series, The World Bank, number 9707, Jun.
  2. Marrero,Gustavo Alberto & Rodríguez,Juan Gabriel & Van Der Weide,Roy, 2021, "Does Race and Gender Inequality Impact Income Growth ?," Policy Research Working Paper Series, The World Bank, number 9865, Nov.

2020

  1. Sebastian Kripfganz & Jan F. Kiviet, 2020, "kinkyreg: Instrument-free inference for linear regression models with endogenous regressors," London Stata Conference 2020, Stata Users Group, number 15, Sep.

2019

  1. Peter Boswijk & Yang Zu, 2019, "Adaptive Testing for Cointegration with Nonstationary Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-043/III, Jun.
  2. Peter Boswijk & Giuseppe Cavaliere & Iliyan Georgiev & Anders Rahbek, 2019, "Bootstrapping Non-Stationary Stochastic Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 19-083/III, Dec.
  3. Kiviet, Jan, 2019, "Microeconometric Dynamic Panel Data Methods: Model Specification and Selection Issues," MPRA Paper, University Library of Munich, Germany, number 93147, Apr.
  4. Kiviet, Jan, 2019, "Instrument-free inference under confined regressor endogeneity; derivations and applications," MPRA Paper, University Library of Munich, Germany, number 96839, Nov.
  5. Kiviet, Jan, 2019, "Causes of haze and its health effects in Singapore; a replication study," MPRA Paper, University Library of Munich, Germany, number 96950, Nov.
  6. Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019, "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 22/19.
  7. Roy van der Weide & Ambar Narayan, 2019, "China and the United States: Different economic models but similarly low levels of socioeconomic mobility," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number wp-2019-121.
  8. van der Weide, Roy & Narayan, Ambar & Negre, Mario, 2019, "Economic mobility across generations: Old versus new EU member states," Briefing Papers, German Institute of Development and Sustainability (IDOS), number 14/2019, DOI: 10.23661/bp14.2019.

2018

  1. David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe, 2018, "Approximate Bayesian forecasting," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/18.
  2. Yao Rao & Brendan McCabe, 2018, "Structural Change and the Problem of Phantom Break Locations," Working Papers, University of Liverpool, Department of Economics, number 20185, Nov.
  3. Roy van der Weide & Melinda Vigh, 2018, "Intergenerational mobility, human capital accumulation, and growth in India," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number wp-2018-187.
  4. Van Der Weide,Roy & Rijkers,Bob & Blankespoor,Brian & Abrahams,Alexei Sisulu, 2018, "Obstacles on the road to Palestinian economic growth," Policy Research Working Paper Series, The World Bank, number 8385, Mar.

2017

  1. Hans van Ophem & Noud P.A. van Giersbergen & Kees Jan van Garderen & Maurice J.G. Bun, 2017, "The cyclicality of R&D investment revisited," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 17-01, Dec.
  2. Kraay,Aart C. & Van Der Weide,Roy, 2017, "Approximating income distribution dynamics using aggregate data," Policy Research Working Paper Series, The World Bank, number 8123, Jun.

2016

  1. H. Peter Boswijk & Maurice J.G. Bun & Maarten Pieter Schinkel, 2016, "Cartel dating," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 16-04, Oct.
  2. Maurice J.G. Bun & Leo Huberts, 2016, "The impact of performance pay on sales and fundraising," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 16-01, Jan.
  3. Maurice J.G. Bun & Vasilis Sarafidis & Richard Kelaher, 2016, "Crime, Deterrence and Punishment Revisited," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 16-02, Mar.
  4. Jan F. Kiviet, 2016, "Testing the impossible: identifying exclusion restrictions," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 16-03, Dec.
  5. Jan F. Kiviet & Zhenxi Chen, 2016, "A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1606, Feb.
  6. Gael M. Martin & Brendan P.M. McCabe & David T. Frazier & Worapree Maneesoonthorn & Christian P. Robert, 2016, "Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 09/16.
  7. Patrick Leung & Catherine S. Forbes & Gael M. Martin & Brendan McCabe, 2016, "Data-driven particle Filters for particle Markov Chain Monte Carlo," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 17/16.
  8. Van Der Weide,Roy & Lakner,Christoph & Ianchovichina,Elena & Van Der Weide,Roy & Lakner,Christoph & Ianchovichina,Elena, 2016, "Is inequality underestimated in Egypt ? evidence from house prices," Policy Research Working Paper Series, The World Bank, number 7727, Jun.
  9. Fujii,Tomoki & Van Der Weide,Roy, 2016, "Is predicted data a viable alternative to real data ?," Policy Research Working Paper Series, The World Bank, number 7841, Sep.
  10. Marrero,Gustavo Alberto & Rodriguez,Juan Gabriel & Van Der Weide,Roy, 2016, "Unequal opportunity, unequal growth," Policy Research Working Paper Series, The World Bank, number 7853, Oct.

2015

  1. Jan F. Kiviet, 2015, "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 15-04, Nov.
  2. Jan F. Kiviet, 2015, "When is it really justifiable to ignore explanatory variable endogeneity in a regression model?," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 15-05, Dec.
  3. Jan Frederik Kiviet & Milan Pleus & Rutger Poldermans, 2015, "Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models," CESifo Working Paper Series, CESifo, number 5189.
  4. Zhenxi Chen & Jan F. Kiviet & Weihong Huang, 2015, "On the integration of China's main stock exchange with the international financial market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1505, Oct.

2014

  1. Maurice J.G. Bun & Teresa D. Harrison, 2014, "OLS and IV estimation of regression models including endogenous interaction terms," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 14-02, Dec.
  2. Maurice J.G. Bun, 2014, "Identifying the impact of deterrence on crime - internal versus external instruments," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 14-03, Dec.
  3. Maurice J.G. Bun & Martin A. Carree & Arturas Juodis, 2014, "On Maximum Likelihood estimation of dynamic panel data models," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 14-04, Dec.
  4. Noud P.A. van Giersbergen, 2014, "Inference about the Indirect Effect: a Likelihood Approach," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 14-10, Dec.
  5. Jan F. Kiviet & Qu Feng, 2014, "Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 14-06, Nov.
  6. Zhenxi CHEN & Jan F. KIVIET & Weihong Huang, 2014, "Hong Kong: A Bridge Connecting Mainland China and the International Market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1406, May.
  7. Gael M. Martin & Brendan P.M. McCabe & Worapree Maneesoonthorn & Christian P. Robert, 2014, "Approximate Bayesian Computation in State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/14.
  8. Durevall, Dick & van der Weide, Roy, 2014, "Importing High Food Prices by Exporting: Rice Prices in Lao PDR," Working Papers in Economics, University of Gothenburg, Department of Economics, number 607, Nov.
  9. Elbers, Chris & van der Weide, Roy, 2014, "Estimation of normal mixtures in a nested error model with an application to small area estimation of poverty and inequality," Policy Research Working Paper Series, The World Bank, number 6962, Jul.
  10. Milanovic,Branko L. & Van Der Weide,Roy & Milanovic,Branko L. & Van Der Weide,Roy, 2014, "Inequality is bad for growth of the poor (but not for that of the rich)," Policy Research Working Paper Series, The World Bank, number 6963, Jul.
  11. van der Weide, Roy, 2014, "GLS estimation and empirical bayes prediction for linear mixed models with Heteroskedasticity and sampling weights : a background study for the POVMAP project," Policy Research Working Paper Series, The World Bank, number 7028, Sep.

2013

  1. 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, number 13-05, Jun.
  2. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013, "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers, University of Copenhagen. Department of Economics, number 13-13, Nov.
  3. Maurice J.G. Bun & Sarafidis, V., 2013, "Dynamic Panel Data Models," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 13-01, Mar.
  4. 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, number 13-07, Jun.
  5. 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 Technological University, School of Social Sciences, Economic Growth Centre, number 1311, Nov.
  6. Roman Kraussl & Andre Lucas & David R. Rijsbergen & Pieter Jelle van der Sluis & Evert B. Vrugt, 2013, "Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 13-4.
  7. Roman Kraussl & Andre Lucas & David R. Rijsbergen & Pieter Jelle van der Sluis & Evert B. Vrugt, 2013, "Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-4.
  8. Douidich, Mohamed & Ezzrari, Abdeljaouad & Van der Weide, Roy & Verme, Paolo, 2013, "Estimating quarterly poverty rates using labor force surveys : a primer," Policy Research Working Paper Series, The World Bank, number 6466, May.
  9. Fujii, Tomoki & van der Weide, Roy, 2013, "Cost-effective estimation of the population mean using prediction estimators," Policy Research Working Paper Series, The World Bank, number 6509, Jun.

2012

  1. H. Peter Boswijk & Michael Jansson & Morten Ø. Nielsen, 2012, "Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model," Working Paper, Economics Department, Queen's University, number 1297, Aug.
  2. 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 Technological University, School of Social Sciences, Economic Growth Centre, number 1206, Jun.
  3. Jan F. KIVIET, 2012, "Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1207, Jul.
  4. 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 Technological University, School of Social Sciences, Economic Growth Centre, number 1208, Aug.
  5. Peters, R. & van der Weide, R., 2012, "Volatility: Expectations and Realizations," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 12-04.

2011

  1. Noud P.A. van Giersbergen, 2011, "Bootstrapping Subset Test Statistics in IV Regression," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics, number 11-08, Feb.
  2. Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011, "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 11/11, Aug.

2010

  1. Maurice Bun & Frank Windmeijer, 2010, "A comparison of bias approximations for the 2SLS estimator," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP07/10, Apr.
  2. Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010, "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 2/10, Feb.
  3. Cuong, Nguyen Viet & Truong, Tran Ngoc & van der Weide, Roy, 2010, "Poverty and inequality maps for rural Vietnam: an application of small area estimation," Policy Research Working Paper Series, The World Bank, number 5443, Oct.

2009

  1. Brendan P.M. McCabe & Gael M. Martin & David Harris, 2009, "Optimal Probabilistic Forecasts for Counts," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/09, Aug.
  2. Nguyen, Cuong & Tran Ngoc, Truong & Van der Weide, Roy, 2009, "Rural Poverty and Inequality Maps in Vietnam: Estimation using Vietnam Household Living Standard Survey 2006 and Rural Agriculture and Fishery Census 2006," MPRA Paper, University Library of Munich, Germany, number 36378, Sep.

2007

  1. Maurice J.G. Bun & Frank Windmeijer, 2007, "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 07/595, Mar.
  2. Nguyen Viet, Cuong & Van der Weide, Roy & Le, Hai & Tran, Ngoc Truong, 2007, "Construction of poverty map for the HCM city in Vietnam using the 2004 VHLSS and the 2004 HCM Mid-Census," MPRA Paper, University Library of Munich, Germany, number 25629, Sep.
  3. Nguyen Viet, Cuong & Van der Weide, Roy & Tran, Ngoc Truong, 2007, "Updating Poverty Maps of Vietnam using Vietnam Household Living Standard Survey 2002 and Population Census 1999," MPRA Paper, University Library of Munich, Germany, number 25762, Dec.

2006

  1. Boswijk, H.P. & Weide, R. van der, 2006, "Wake me up before you GO-GARCH," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-13.
  2. H.P. Boswijk & D. Fok & P.-H. Franses, 2006, "A New Multivariate Product Growth Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-027/4, Mar.
  3. Jan F. Kiviet & Jerzy Niemczyk, 2006, "The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 06-078/4, Sep.
  4. 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, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 06-15.

2005

  1. Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005, "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 05-12.
  2. H. Peter Boswijk & Franc Klaassen, 2005, "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 04-119/4, Nov.
  3. Jan F. Kiviet, 2005, "Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 05-112/4, Dec.

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, Tinbergen Institute, number 04-056/4, May.
  2. Keith Freeland & Brendan McCabe & Gael Martin, 2004, "Testing for Dependence in Non-Gaussian Time Series Data," Econometric Society 2004 Australasian Meetings, Econometric Society, number 313, Aug.
  3. Bikker, Jacob A. & Spierdijk, Laura & Sluis, Pieter Jelle van der, 2004, "The Implementation Shortfall of Institutional Equity Trades," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0009.

2003

  1. H. Peter Boswijk & Jurgen Doornik, 2003, "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers, Economics Group, Nuffield College, University of Oxford, number 2003-W10, Jan.
  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, number 252, Aug.
  3. Brendan McCabe & Stephen Leybourne & David Harris, 2003, "Testing for Stochastic Cointegration and Evidence for Present Value Models," Econometrics, University Library of Munich, Germany, number 0311009, Nov.
  4. David Harris & Steve Leybourne & Brendan McCabe, 2003, "Panel Stationarity Tests with Cross-sectional Dependence," Econometrics, University Library of Munich, Germany, number 0311005, Nov.
  5. B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003, "Persistence and Nonstationary Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 16/03, Sep.
  6. B.P.M. McCabe & G.M. Martin, 2003, "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 8/03, Apr.
  7. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003, "Market timing: A decomposition of mutual fund returns," ERIM Report Series Research in Management, 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 University Rotterdam, number ERS-2003-074-F&A, Oct.
  8. Posthuma, Nolke & Sluis, Pieter Jelle van der, 2003, "A Reality Check on Hedge Funds Returns," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0017.
  9. Roy van der Weide & Remco Peters, 2003, "The Evolution of Expectations Towards Expiration," Computing in Economics and Finance 2003, Society for Computational Economics, number 199, Aug.
  10. Cees Diks & Roy van der Weide, 2003, "Continuous Beliefs Dynamics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-007/1, Jan.
  11. Cees Diks & Roy van der Weide, 2003, "Heterogeneity as a Natural Source of Randomness," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-073/1, Sep.
  12. Cees Diks & Roy van der Weide, 2003, "Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 03-103/1, Dec.

2002

  1. H. Peter Boswijk & Philip Hans Franses, 2002, "How Large is Average Economic Growth? Evidence from a Robust Method," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-002/4, Jan.
  2. Boswijk, H.P. & Franses, Ph.H.B.F., 2002, "The Econometrics Of The Bass Diffusion Model," ERIM Report Series Research in Management, 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 University Rotterdam, number ERS-2002-66-MKT, Jul.
  3. 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, number C6-4, Mar.
  4. Maurice J.G. Bun & Abdel El Makhloufi, 2002, "Dynamic externalities, local industrial structure and economic development: panel data evidence for Morocco," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data, number D5-2, Mar.
  5. Bun, M.J.G. & Carree, M.A., 2002, "Bias-corrected estimation in dynamic panel data models," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 025, Jan, DOI: 10.26481/umamet.2002025.
  6. 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, Tinbergen Institute, number 02-099/4, Oct, revised 24 Oct 2002.
  7. 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, Tinbergen Institute, number 02-101/4, Oct, revised 19 Feb 2004.

2001

  1. 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, number 4A.4, Jan.
  2. H. Peter Boswijk, 2001, "Block Local to Unity and Continuous Record Asymptotics," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-078/4, Aug.
  3. Boswijk, H.P. & Franses, Ph.H.B.F., 2001, "Robust inference on average economic growth," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2001-47, Dec.
  4. Noud P.A. van Giersbergen, 2001, "Bias Correction in a Stable AD(1,1) Model," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-120/4, Dec.
  5. 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, Tinbergen Institute, number 01-119/4, Dec.
  6. Maurice J.G. Bun & Jan F. Kiviet, 2001, "The Accuracy of Inference in Small Samples of Dynamic Panel Data Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-006/4, Jan.
  7. Laurens Swinkels, Pieter Jelle VanDerSluis, 2001, "Return-based Style Analysis with Time-varying Exposures," Computing in Economics and Finance 2001, Society for Computational Economics, number 125, Apr.
  8. George J. Jiang and Pieter J. van der Sluis, 2001, "Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model," Computing in Economics and Finance 2001, Society for Computational Economics, number 16, Apr.
  9. 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, number 217, Apr.

2000

  1. 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, number 0765, Aug.
  2. H. Peter Boswijk, 2000, "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1101, Aug.
  3. Maurice J. G. Bun, 2000, "Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0511, Aug.
  4. 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, number 0631, Aug.
  5. Jiang, G.J. & van der Sluis, P.J., 2000, "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper, Tilburg University, Center for Economic Research, number 2000-36.

1999

  1. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999, "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-012/4, Feb.
  2. H. Peter Boswijk & Jurgen A. Doornik, 1999, "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-013/4, Feb.
  3. 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, University of Exeter, Department of Economics, number 9903.
  4. Kiviet, J.F. & Phillips, G.D.A., 1999, "The Bias of the 2SLS Variance Estimator," Discussion Papers, University of Exeter, Department of Economics, number 9904.
  5. Jiang, George J. & Sluis, Pieter J. van der, 1999, "Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management), number 99B31.
  6. Pieter J. van der Sluis & George J. Jiang, 1999, "Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection," Computing in Economics and Finance 1999, Society for Computational Economics, number 313, Mar.

1998

  1. Boswijk, H. Peter & Lucas, André & 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, number 0062.
  2. Kiviet, J.F. & Phillips, G.D.A., 1998, "Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root," Discussion Papers, University of Exeter, Department of Economics, number 9909.
  3. Pieter J. van der Sluis, 1998, "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 98-021/4, Mar.
  4. Pieter J. van der Sluis, 1998, "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 98-055/4, May.
  5. George J. Jiang & Pieter J. van der Sluis, 1998, "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 98-067/4, Jun.

1997

  1. Boswijk, H. Peter & Lucas, André, 1997, "Semi-nonparametric cointegration testing," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0041.
  2. Pieter J. van der Sluis, 1997, "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 97-054/4, May.
  3. Pieter J. van der Sluis, 1997, "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 97-087/4, Sep.

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, number 9547.
  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, number 9548.
  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, number 9549.
  4. McCabe,B.P.M. & Tremayne,A.R., 1995, "Testing a Time-Series for Difference Stationarity," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9420.

1993

  1. Franses, P.H. & Boswijk, H.P., 1993, "Temporal aggregation in a periodically integrated autoregressive process," Research Memorandum, Tilburg University, School of Economics and Management, number FEW 599.

1989

  1. Kiviet, Jan & Kramer, Walter, 1989, "Bias of s2 in Linear Regression Model with correlated errors," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293144, Nov, DOI: 10.22004/ag.econ.293144.

1988

  1. 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, number ae_2-88.
  2. Kiviet, Jan & Phillips, Garry, 1988, "BIAS REDUCTION IN A DYNAMIC REGRESSION MODEL: A Comparison of Jackknifed and Bias Corrected Least Squares Estimators," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293130, Oct, DOI: 10.22004/ag.econ.293130.

1986

  1. Kiviet, Jan & Phillips, G, 1986, "Bias Correction In Lagged-Dependent Variable Models," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293119, Oct, DOI: 10.22004/ag.econ.293119.

1985

  1. Kiviet, Jan & Phillips, Garry, 1985, "Testing Strategies For Model Specification," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293099, Nov, DOI: 10.22004/ag.econ.293099.
  2. Kiviet, Jan, 1985, "The Importance And Performance Of Tests For The Selection Of Instrumental Variables," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293104, Nov, DOI: 10.22004/ag.econ.293104.

1984

  1. Kiviet, Jan, 1984, "Model Selection Test Procedues In A Single Linear Equation Of A Dynamic Simultaneous System And Their Defects In Small Samples," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293071, Aug, DOI: 10.22004/ag.econ.293071.
  2. Kiviet, Jan, 1984, "Bootstrap Inference In Lagged_dependent Variable Models," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293074, Aug, DOI: 10.22004/ag.econ.293074.

1981

  1. Kiviet, Jan, 1981, "On the Rigour of some Specification Tests for Modeling Dynamic Relationships," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293057, Apr, DOI: 10.22004/ag.econ.293057.

1977

  1. Kiviet, Jan, 1977, "Non-detection of the serial correlation in least squares regression; frequency and consequences," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293049, DOI: 10.22004/ag.econ.293049.

1976

  1. Kiviet, Jan, 1976, "The bias of Ordinary least squares variance estimators when the disturbances follow a stationary first-order autoregressive scheme," University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business, number 293031, DOI: 10.22004/ag.econ.293031.

Undated

  1. Pieter J. van der Sluis, undated, "EmmPack 1.0: C Code for use with Ox for the Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Computing in Economics and Finance 1997, Society for Computational Economics, number 117.

Journal articles

2026

  1. Elbers, Chris & van der Weide, Roy, 2026, "Non-normal Empirical Bayes prediction of local welfare," Journal of Development Economics, Elsevier, volume 183, issue C, DOI: 10.1016/j.jdeveco.2026.103835.

2025

  1. Sinha Roy, Sutirtha & van der Weide, Roy, 2025, "Estimating poverty for India after 2011 using private-sector survey data," Journal of Development Economics, Elsevier, volume 172, issue C, DOI: 10.1016/j.jdeveco.2024.103386.

2024

  1. van der Weide, Roy & Lakner, Christoph & Mahler, Daniel Gerszon & Narayan, Ambar & Gupta, Rakesh, 2024, "Intergenerational mobility around the world: A new database," Journal of Development Economics, Elsevier, volume 166, issue C, DOI: 10.1016/j.jdeveco.2023.103167.
  2. van der Weide, Roy & Blankespoor, Brian & Elbers, Chris & Lanjouw, Peter, 2024, "How accurate is a poverty map based on remote sensing data? An application to Malawi," Journal of Development Economics, Elsevier, volume 171, issue C, DOI: 10.1016/j.jdeveco.2024.103352.

2023

  1. Kiviet, Jan F., 2023, "Instrument-free inference under confined regressor endogeneity and mild regularity," Econometrics and Statistics, Elsevier, volume 25, issue C, pages 1-22, DOI: 10.1016/j.ecosta.2021.12.008.

2022

  1. Aart Kraay & Roy Weide, 2022, "Measuring intragenerational mobility using aggregate data," Journal of Economic Growth, Springer, volume 27, issue 2, pages 273-314, June, DOI: 10.1007/s10887-021-09200-2.

2021

  1. Kiviet, Jan F. & Kripfganz, Sebastian, 2021, "Instrument approval by the Sargan test and its consequences for coefficient estimation," Economics Letters, Elsevier, volume 205, issue C, DOI: 10.1016/j.econlet.2021.109935.
  2. Sebastian Kripfganz & Jan F. Kiviet, 2021, "kinkyreg: Instrument-free inference for linear regression models with endogenous regressors," Stata Journal, StataCorp LLC, volume 21, issue 3, pages 772-813, September, DOI: 10.1177/1536867X211045575.

2020

  1. Kiviet, Jan F., 2020, "Testing the impossible: Identifying exclusion restrictions," Journal of Econometrics, Elsevier, volume 218, issue 2, pages 294-316, DOI: 10.1016/j.jeconom.2020.04.018.
  2. Kiviet, Jan F., 2020, "Microeconometric dynamic panel data methods: Model specification and selection issues," Econometrics and Statistics, Elsevier, volume 13, issue C, pages 16-45, DOI: 10.1016/j.ecosta.2019.08.003.
  3. Jan F. Kiviet, 2020, "Causes Of Haze And Its Health Effects In Singapore: A Replication Study," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 65, issue 06, pages 1367-1387, December, DOI: 10.1142/S0217590820500460.
  4. Yao Rao & Brendan McCabe, 2020, "Structural Change and the Problem of Phantom Break Locations," Manchester School, University of Manchester, volume 88, issue 1, pages 211-228, January, DOI: 10.1111/manc.12298.
  5. Brendan P. M. McCabe & Christopher L. Skeels, 2020, "Distributions You Can Count On …But What’s the Point?," Econometrics, MDPI, volume 8, issue 1, pages 1-36, March.
  6. Tomoki Fujii & Roy van der Weide, 2020, "Is Predicted Data a Viable Alternative to Real Data?," The World Bank Economic Review, World Bank, volume 34, issue 2, pages 485-508.

2019

  1. H. Peter Boswijk & Maurice J. G. Bun & Maarten Pieter Schinkel, 2019, "Cartel dating," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 1, pages 26-42, January, DOI: 10.1002/jae.2660.
  2. Hans van Ophem & Noud van Giersbergen & Kees Jan van Garderen & Maurice Bun, 2019, "The cyclicality of R&D investment revisited," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 34, issue 2, pages 315-324, March, DOI: 10.1002/jae.2667.
  3. Kazemier Brugt & van Veen Michel & IJmker Sander, 2019, "The unobserved economy and the Dutch national accounts after the benchmark revision 2015," Central European Economic Journal, Paradigm, volume 6, issue 53, pages 1-24, January, DOI: 10.2478/ceej-2019-0002.
  4. Frazier, David T. & Maneesoonthorn, Worapree & Martin, Gael M. & McCabe, Brendan P.M., 2019, "Approximate Bayesian forecasting," International Journal of Forecasting, Elsevier, volume 35, issue 2, pages 521-539, DOI: 10.1016/j.ijforecast.2018.08.003.
  5. Maria Eduarda Silva & Isabel Pereira & Brendan McCabe, 2019, "Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series," Journal of Time Series Analysis, Wiley Blackwell, volume 40, issue 5, pages 631-648, September, DOI: 10.1111/jtsa.12439.
  6. Harris, David & McCabe, Brendan, 2019, "Semiparametric Independence Testing For Time Series Of Counts And The Role Of The Support," Econometric Theory, Cambridge University Press, volume 35, issue 6, pages 1111-1145, December.

2018

  1. Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye, 2018, "Testing for self-excitation in jumps," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 256-266, DOI: 10.1016/j.jeconom.2017.11.007.
  2. H. Peter Boswijk & Yang Zu, 2018, "Adaptive wild bootstrap tests for a unit root with non‐stationary volatility," Econometrics Journal, Royal Economic Society, volume 21, issue 2, pages 87-113, June, DOI: 10.1111/ectj.12100.
  3. Jan F. Kiviet & Zhenxi Chen, 2018, "A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets," Annals of Economics and Finance, Society for AEF, volume 19, issue 1, pages 151-196, May.
  4. Roy van der Weide & Christoph Lakner & Elena Ianchovichina, 2018, "Is Inequality Underestimated in Egypt? Evidence from House Prices," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 64, issue s1, pages 55-79, October, DOI: 10.1111/roiw.12338.
  5. Roy van der Weide & Branko Milanovic, 2018, "Inequality is Bad for Growth of the Poor (but Not for That of the Rich)," The World Bank Economic Review, World Bank, volume 32, issue 3, pages 507-530.

2017

  1. H. Peter Boswijk & Paolo Paruolo, 2017, "Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems," Econometrics, MDPI, volume 5, issue 3, pages 1-17, June.
  2. Zu, Yang & Boswijk, H. Peter, 2017, "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Journal of Empirical Finance, Elsevier, volume 41, issue C, pages 53-75, DOI: 10.1016/j.jempfin.2016.12.005.
  3. Kiviet Jan F., 2017, "Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions," Journal of Econometric Methods, De Gruyter, volume 6, issue 1, pages 1-9, January, DOI: 10.1515/jem-2016-0005.
  4. Kiviet, Jan F. & Pleus, Milan, 2017, "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Econometrics and Statistics, Elsevier, volume 2, issue C, pages 1-21, DOI: 10.1016/j.ecosta.2017.01.001.
  5. Jan Kiviet & Milan Pleus & Rutger Poldermans, 2017, "Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models," Econometrics, MDPI, volume 5, issue 1, pages 1-54, March.
  6. Rao, Yao & McCabe, Brendan, 2017, "Is MORE LESS? The role of data augmentation in testing for structural breaks," Economics Letters, Elsevier, volume 155, issue C, pages 131-134, DOI: 10.1016/j.econlet.2017.03.033.

2016

  1. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016, "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 64-85, DOI: 10.1016/j.jeconom.2015.07.005.
  2. van Giersbergen, Noud P.A., 2016, "The ability to correct the bias in the stable AD(1,1) model with a feedback effect," Computational Statistics & Data Analysis, Elsevier, volume 100, issue C, pages 186-204, DOI: 10.1016/j.csda.2015.04.007.
  3. Kiviet, Jan F., 2016, "When is it really justifiable to ignore explanatory variable endogeneity in a regression model?," Economics Letters, Elsevier, volume 145, issue C, pages 192-195, DOI: 10.1016/j.econlet.2016.06.021.
  4. Mohamed Douidich & Abdeljaouad Ezzrari & Roy Van der Weide & Paolo Verme, 2016, "Estimating Quarterly Poverty Rates Using Labor Force Surveys: A Primer," The World Bank Economic Review, World Bank, volume 30, issue 3, pages 475-500.

2015

  1. Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard, 2015, "Improved likelihood ratio tests for cointegration rank in the VAR model," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 97-110, DOI: 10.1016/j.jeconom.2014.08.007.
  2. Brendan McCabe, 2015, "DISCRETE TIME SERIES, PROCESSES, AND APPLICATIONS IN FINANCE, by Gilles Zumbach. Springer Finance Series. Published by Springer, Heidelberg, Berlin, 2013. Total number of pages: 315. ISBN: 978-3-642-31741-5," Journal of Time Series Analysis, Wiley Blackwell, volume 36, issue 1, pages 125-125, January.

2014

  1. van Garderen, Kees Jan & Peter Boswijk, H., 2014, "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," Economics Letters, Elsevier, volume 122, issue 2, pages 224-228, DOI: 10.1016/j.econlet.2013.12.003.
  2. Zu, Yang & Peter Boswijk, H., 2014, "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, volume 181, issue 2, pages 117-135, DOI: 10.1016/j.jeconom.2014.04.001.
  3. Brugt Kazemier, 2014, "Hidden workers and the hidden worker potential in the Netherlands," Economic Analysis and Policy, Elsevier, volume 44, issue 1, pages 39-50.
  4. 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, volume 76, issue C, pages 424-448, DOI: 10.1016/j.csda.2013.09.021.
  5. Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B., 2014, "Washington meets Wall Street: A closer examination of the presidential cycle puzzle," Journal of International Money and Finance, Elsevier, volume 43, issue C, pages 50-69, DOI: 10.1016/j.jimonfin.2013.11.003.

2013

  1. Noud P.A. van Giersbergen, 2013, "Bartlett correction in the stable second‐order autoregressive model with intercept and trend," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 67, issue 4, pages 482-498, November, DOI: 10.1111/stan.12018.
  2. Brugt Kazemier & Arjan Bruil & Annemieke van de Steeg & Marieke Rensman, 2013, "The Contribution of Illegal Activities to National Income in the Netherlands," Public Finance Review, , volume 41, issue 5, pages 544-577, September, DOI: 10.1177/1091142113482354.
  3. Jan F. Kiviet, 2013, "Identification and inference in a simultaneous equation under alternative information sets and sampling schemes," Econometrics Journal, Royal Economic Society, volume 16, issue 1, pages 24-59, February.
  4. Lu Han & Brendan McCabe, 2013, "Testing for parameter constancy in non-Gaussian time series," Journal of Time Series Analysis, Wiley Blackwell, volume 34, issue 1, pages 17-29, January, DOI: j.1467-9892.2012.00810.x.
  5. Jiajing Sun & Brendan P. McCabe, 2013, "Score statistics for testing serial dependence in count data," Journal of Time Series Analysis, Wiley Blackwell, volume 34, issue 3, pages 315-329, May, DOI: 10.1111/(ISSN)1467-9892.
  6. Ng, Jason & Forbes, Catherine S. & Martin, Gael M. & McCabe, Brendan P.M., 2013, "Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models," International Journal of Forecasting, Elsevier, volume 29, issue 3, pages 411-430, DOI: 10.1016/j.ijforecast.2012.10.005.

2012

  1. Brugt Kazemier & Carlo H. Driesen & Erik Hoogbruin, 2012, "From Input--Output Tables To Supply-And-Use Tables," Economic Systems Research, Taylor & Francis Journals, volume 24, issue 3, pages 319-327, December, DOI: 10.1080/09535314.2011.650627.
  2. 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, volume 56, issue 11, pages 3567-3586, DOI: 10.1016/j.csda.2010.07.028.
  3. 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, volume 56, issue 11, pages 3705-3729, DOI: 10.1016/j.csda.2010.07.013.
  4. Kiviet, Jan F., 2012, "Monte Carlo Simulation for Econometricians," Foundations and Trends(R) in Econometrics, now publishers, volume 5, issue 1–2, pages 1-181, March, DOI: 10.1561/0800000011.

2011

  1. H. Peter Boswijk & Franc Klaassen, 2011, "Why Frequency Matters for Unit Root Testing in Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 30, issue 3, pages 351-357, September, DOI: 10.1080/07350015.2011.648858.
  2. Peter Boswijk, H. & van der Weide, Roy, 2011, "Method of moments estimation of GO-GARCH models," Journal of Econometrics, Elsevier, volume 163, issue 1, pages 118-126, July.
  3. Bun, Maurice J.G. & Windmeijer, Frank, 2011, "A comparison of bias approximations for the two-stage least squares (2SLS) estimator," Economics Letters, Elsevier, volume 113, issue 1, pages 76-79, October.
  4. Brendan P. M. McCabe & Gael M. Martin & David Harris, 2011, "Efficient probabilistic forecasts for counts," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 73, issue 2, pages 253-272, March.

2010

  1. Boswijk, H. Peter, 2010, "Mixed Normal Inference On Multicointegration," Econometric Theory, Cambridge University Press, volume 26, issue 5, 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, volume 107, issue 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, volume 158, issue 1, pages 156-159, September.
  4. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010, "Twenty years of cointegration," Journal of Econometrics, Elsevier, volume 158, issue 1, pages 1-2, September.
  5. Maurice J. G. Bun & Frank Windmeijer, 2010, "The weak instrument problem of the system GMM estimator in dynamic panel data models," Econometrics Journal, Royal Economic Society, volume 13, issue 1, pages 95-126, February.
  6. Jacob Bikker & Laura Spierdijk & Pieter-Jelle van der Sluis, 2010, "What factors increase the risk of incurring high market impact costs?," Applied Economics, Taylor & Francis Journals, volume 42, issue 3, pages 369-387, DOI: 10.1080/00036840701604461.
  7. Nguyen Viet Cuong & Tran Ngoc Truong & Roy Van Der Weide, 2010, "Poverty and Inequality Maps in Rural Vietnam: An Application of Small Area Estimation," Asian Economic Journal, East Asian Economic Association, volume 24, issue 4, pages 355-390, December.

2009

  1. Sander Triest & Maurice Bun & Erik Raaij & Maarten Vernooij, 2009, "The impact of customer-specific marketing expenses on customer retention and customer profitability," Marketing Letters, Springer, volume 20, issue 2, pages 125-138, June, DOI: 10.1007/s11002-008-9061-2.
  2. Tjalling van der Goot & Noud van Giersbergen & Michiel Botman, 2009, "What determines the survival of internet IPOs?," Applied Economics, Taylor & Francis Journals, volume 41, issue 5, pages 547-561, DOI: 10.1080/00036840601007369.
  3. van Giersbergen, Noud P.A., 2009, "Bartlett Correction In The Stable Ar(1) Model With Intercept And Trend," Econometric Theory, Cambridge University Press, volume 25, issue 3, pages 857-872, June.
  4. Jan F. Kiviet, 2009, "Econometric Analysis Of Panel Data: Editorial Introduction," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 54, issue 03, pages 313-317, DOI: 10.1142/S0217590809003355.

2008

  1. Ruijun Bu & Brendan McCabe & Kaddour Hadri, 2008, "Maximum likelihood estimation of higher‐order integer‐valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 6, pages 973-994, November, DOI: 10.1111/j.1467-9892.2008.00590.x.
  2. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2008, "Testing For Long Memory," Econometric Theory, Cambridge University Press, volume 24, issue 1, pages 143-175, February.
  3. Bu, Ruijun & McCabe, Brendan, 2008, "Model selection, estimation and forecasting in INAR(p) models: A likelihood-based Markov Chain approach," International Journal of Forecasting, Elsevier, volume 24, issue 1, pages 151-162.
  4. Jacob A. Bikker & Laura Spierdijk & Roy P. M. M. Hoevenaars & Pieter Jelle Van der Sluis, 2008, "Forecasting market impact costs and identifying expensive trades," Journal of Forecasting, John Wiley & Sons, Ltd., volume 27, issue 1, pages 21-39, DOI: 10.1002/for.1052.
  5. Matthijs van Veelen & Roy van der Weide, 2008, "A Note on Different Approaches to Index Number Theory," American Economic Review, American Economic Association, volume 98, issue 4, pages 1722-1730, September, DOI: 10.1257/aer.98.4.1722.
  6. Cees Diks & Cars Hommes & Valentyn Panchenko & Roy Weide, 2008, "E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics," Computational Economics, Springer;Society for Computational Economics, volume 32, issue 1, pages 221-244, September, DOI: 10.1007/s10614-008-9130-x.

2007

  1. van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H., 2007, "Absorption of shocks in nonlinear autoregressive models," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 9, pages 4206-4226, May.
  2. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007, "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 1938-1970, June.
  3. Maurice J. G. Bun & Franc J. G. M. Klaassen, 2007, "The Euro Effect on Trade is not as Large as Commonly Thought," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 69, issue 4, pages 473-496, August, DOI: 10.1111/j.1468-0084.2007.00448.x.
  4. Maurice J. G. Bun & Abderrahman El Makhloufi, 2007, "Dynamic Externalities, Local Industrial Structure and Economic Development: Panel Data Evidence for Morocco," Regional Studies, Taylor & Francis Journals, volume 41, issue 6, pages 823-837, DOI: 10.1080/00343400601142787.
  5. 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, volume 51, issue 7, pages 3296-3318, April.
  6. Harris, David & Leybourne, Stephen & McCabe, Brendan, 2007, "Modified Kpss Tests For Near Integration," Econometric Theory, Cambridge University Press, volume 23, issue 2, pages 355-363, April.
  7. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007, "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, volume 26, issue 6, pages 974-1000, October.

2006

  1. Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre, 2006, "Causality and exogeneity in econometrics," Journal of Econometrics, Elsevier, volume 132, issue 2, pages 305-309, June.
  2. 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, volume 68, issue 3, pages 345-370, June, DOI: 10.1111/j.1468-0084.2006.00165.x.
  3. Maurice J.G. Bun & Abderrahman El Makhloufi, 2006, "Exports And Productivity: Moroccan Manufacturing 1985–1995," Tijdschrift voor Economische en Sociale Geografie, Royal Dutch Geographical Society KNAG, volume 97, issue 2, pages 157-165, April, DOI: 10.1111/j.1467-9663.2006.00509.x.
  4. 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, volume 132, issue 2, pages 409-444, June.
  5. Bun, Maurice J.G. & Carree, Martin A., 2006, "Bias-corrected estimation in dynamic panel data models with heteroscedasticity," Economics Letters, Elsevier, volume 92, issue 2, pages 220-227, August.
  6. McCabe, Brendan & Leybourne, Stephen & Harris, David, 2006, "A Residual-Based Test For Stochastic Cointegration," Econometric Theory, Cambridge University Press, volume 22, issue 3, pages 429-456, June.
  7. Laurens Swinkels & Pieter Van Der Sluis, 2006, "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, volume 12, issue 6-7, pages 529-552, DOI: 10.1080/13518470500248508.

2005

  1. Boswijk, H. Peter & Franses, Philip Hans, 2005, "On the Econometrics of the Bass Diffusion Model," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 255-268, July.
  2. Jurgen A. Doornik & H. Peter Boswijk, 2005, "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 20, issue 6, pages 797-810, DOI: 10.1002/jae.811.
  3. Bun, Maurice J.G. & Carree, Martin A., 2005, "Bias-Corrected Estimation in Dynamic Panel Data Models," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 200-210, April.
  4. van Giersbergen, Noud P.A., 2005, "On the effect of deterministic terms on the bias in stable AR models," Economics Letters, Elsevier, volume 89, issue 1, pages 75-82, October.
  5. 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, volume 8, issue 2, pages 115-142, July.
  6. 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, volume 49, issue 2, pages 417-444, April.
  7. Keith Freeland, R. & McCabe, Brendan, 2005, "Asymptotic properties of CLS estimators in the Poisson AR(1) model," Statistics & Probability Letters, Elsevier, volume 73, issue 2, pages 147-153, June.
  8. Harris, David & Leybourne, Stephen & McCabe, Brendan, 2005, "Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence," Journal of Business & Economic Statistics, American Statistical Association, volume 23, pages 395-409, October.
  9. B. P. M. McCabe & G. M. Martin & A. R. Tremayne, 2005, "Assessing Persistence In Discrete Nonstationary Time‐Series Models," Journal of Time Series Analysis, Wiley Blackwell, volume 26, issue 2, pages 305-317, March, DOI: 10.1111/j.1467-9892.2005.00402.x.
  10. McCabe, B.P.M. & Martin, G.M., 2005, "Bayesian predictions of low count time series," International Journal of Forecasting, Elsevier, volume 21, issue 2, pages 315-330.
  11. 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, volume 29, issue 4, pages 741-763, April.

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, volume 58, issue 4, pages 440-465, November, DOI: 10.1111/j.1467-9574.2004.00270.x.
  2. Maurice J.G. Bun, 2004, "Testing poolability in a system of dynamic regressions with nonspherical disturbances," Empirical Economics, Springer, volume 29, issue 1, pages 89-106, January, DOI: 10.1007/s00181-003-0191-3.
  3. R. K. Freeland & B. P. M. McCabe, 2004, "Analysis of low count time series data by poisson autoregression," Journal of Time Series Analysis, Wiley Blackwell, volume 25, issue 5, pages 701-722, September, DOI: 10.1111/j.1467-9892.2004.01885.x.
  4. Freeland, R. K. & McCabe, B. P. M., 2004, "Forecasting discrete valued low count time series," International Journal of Forecasting, Elsevier, volume 20, issue 3, pages 427-434.

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, volume 79, issue 2, pages 145-152, May.
  2. Maurice J. G. Bun, 2003, "Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix," Econometric Reviews, Taylor & Francis Journals, volume 22, issue 1, pages 29-58, February, DOI: 10.1081/ETC-120017973.
  3. van Giersbergen, Noud P. A., 2003, "A note on bootstrapping unit root tests in the presence of a non-zero drift," Economics Letters, Elsevier, volume 78, issue 2, pages 259-265, February.
  4. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2003, "Some Limit Theory For Autocovariances Whose Order Depends On Sample Size," Econometric Theory, Cambridge University Press, volume 19, issue 5, pages 829-864, October.

2002

  1. Smith, Richard J. & Boswijk, H. Peter, 2002, "Finite sample and asymptotic methods in econometrics," Journal of Econometrics, Elsevier, volume 111, issue 2, pages 135-140, December.
  2. Boswijk, H. Peter & Lucas, Andre, 2002, "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, volume 108, issue 2, pages 253-280, June.
  3. 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, volume 108, issue 1, pages 133-156, May.
  4. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2002, "Stochastic cointegration: estimation and inference," Journal of Econometrics, Elsevier, volume 111, issue 2, pages 363-384, December.
  5. Roy van der Weide, 2002, "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 17, issue 5, pages 549-564, DOI: 10.1002/jae.688.

2000

  1. Boswijk, H. Peter, 2000, "Mixed Normality And Ancillarity In I(2) Systems," Econometric Theory, Cambridge University Press, volume 16, issue 6, pages 878-904, December.

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, volume 23, issue 7, pages 909-928, June.
  2. Leybourne, S J & McCabe, B P M, 1999, "Modified Stationarity Tests with Data-Dependent Model-Selection Rules," Journal of Business & Economic Statistics, American Statistical Association, volume 17, issue 2, pages 264-270, April.
  3. George J. Jiang & Pieter J. van der Sluis, 1999, "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Review of Finance, European Finance Association, volume 3, issue 3, pages 273-310.

1998

  1. H.Peter Boswijk, 1998, "Book reviews," Econometric Reviews, Taylor & Francis Journals, volume 17, issue 3, pages 329-334, DOI: 10.1080/07474939808800419.
  2. Ted Reininga & Brugt Kazemier, 1998, "Flash Growth Estimates Using Calendar Information," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 44, issue 2, pages 229-237, June, DOI: 10.1111/j.1475-4991.1998.tb00270.x.
  3. Jean-Marie Dufour & Jan F. Kiviet, 1998, "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, volume 66, issue 1, pages 79-104, January.
  4. 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, volume 1, issue RegularPa, pages 44-70.
  5. McCabe, B.P.M. & Leybourne, S.J., 1998, "On Estimating An Arma Model With An Ma Unit Root," Econometric Theory, Cambridge University Press, volume 14, issue 3, pages 326-338, June.
  6. Pieter J. Van Der Sluis, 1998, "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, volume 1, issue Conferenc, pages 203-227.

1997

  1. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997, "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, volume 80, issue 1, pages 167-193, September.
  2. H. Peter Boswijk & Jean-Pierre Urbain, 1997, "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor & Francis Journals, volume 16, issue 1, pages 21-38, DOI: 10.1080/07474939708800370.
  3. Kiviet, Jan F. & Dufour, Jean-Marie, 1997, "Exact tests in single equation autoregressive distributed lag models," Journal of Econometrics, Elsevier, volume 80, issue 2, pages 325-353, October.
  4. B. P. M. McCabe & S. J. Leybourne & Y. Shin, 1997, "A Parametric approach to testing the null of cointegration," Journal of Time Series Analysis, Wiley Blackwell, volume 18, issue 4, pages 395-413, July, DOI: 10.1111/1467-9892.00058.
  5. van der Sluis Pieter J., 1997, "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 2, issue 3, pages 1-20, October, DOI: 10.2202/1558-3708.1031.

1996

  1. Boswijk, H Peter, 1996, "Testing Identifiability of Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, volume 14, issue 2, pages 153-160, April.
  2. Franses, Philip Hans & Boswijk, H. Peter, 1996, "Temporal aggregation in a periodically integrated autoregressive process," Statistics & Probability Letters, Elsevier, volume 30, issue 3, pages 235-240, October.
  3. H. Peter Boswijk & Philip Hans Franses, 1996, "Unit Roots In Periodic Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, volume 17, issue 3, pages 221-245, May, DOI: 10.1111/j.1467-9892.1996.tb00274.x.
  4. 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, volume 58, issue 4, pages 631-656, November.
  5. van Giersbergen, Noud P A, 1996, "Bootstrapping the Trace Statistic in VAR Models: Monte Carlo Results and Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 58, issue 2, pages 391-408, May.
  6. Kiviet, Jan F. & Phillips, Garry D. A., 1996, "The bias of the ordinary least squares estimator in simultaneous equation models," Economics Letters, Elsevier, volume 53, issue 2, pages 161-167, November.
  7. Dufour, Jean-Marie & Kiviet, Jan F., 1996, "Exact tests for structural change in first-order dynamic models," Journal of Econometrics, Elsevier, volume 70, issue 1, pages 39-68, January.
  8. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996, "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, volume 14, issue 4, pages 435-446, October.

1995

  1. Boswijk, H Peter & Franses, Philip Hans, 1995, "Periodic Cointegration: Representation and Inference," The Review of Economics and Statistics, MIT Press, volume 77, issue 3, pages 436-454, August.
  2. Boswijk, H. Peter, 1995, "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, volume 69, issue 1, pages 133-158, September.
  3. Boswijk, H. Peter, 1995, "Conditional and structural error correction models reply," Journal of Econometrics, Elsevier, volume 69, issue 1, pages 173-175, September.
  4. Peter Boswijk, H. & Franses, Philip Hans, 1995, "Testing for periodic integration," Economics Letters, Elsevier, volume 48, issue 3-4, pages 241-248, June.
  5. I. T. van den Doel & J. F. Kiviet, 1995, "Neglected dynamics in panel data models; consequences and detection in finite samples," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 49, issue 3, pages 343-361, November, DOI: 10.1111/j.1467-9574.1995.tb01474.x.
  6. Kiviet, Jan F., 1995, "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, volume 68, issue 1, pages 53-78, July.
  7. 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, volume 69, issue 1, pages 241-266, September.

1994

  1. Peter Boswijk, H., 1994, "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, volume 63, issue 1, pages 37-60, July.
  2. Kiviet, Jan F. & Dijk, Herman K. van, 1994, "Structure and dynamics in econometrics," Journal of Econometrics, Elsevier, volume 63, issue 1, pages 1-5, July.
  3. Kiviet, Jan F. & Phillips, Garry D. A., 1994, "Bias assessment and reduction in linear error-correction models," Journal of Econometrics, Elsevier, volume 63, issue 1, pages 215-243, July.
  4. Leybourne, S J & McCabe, B P M, 1994, "A Simple Test for Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 56, issue 1, pages 97-103, February.
  5. Leybourne, S J & McCabe, B P M, 1994, "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, volume 12, issue 2, pages 157-166, April.

1993

  1. 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, volume 55, issue 1, pages 137-144, February.
  2. Kiviet, Jan F. & Phillips, Garry D.A., 1993, "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, volume 9, issue 1, pages 62-80, January.
  3. Goldstein, Larry & McCabe, Brendan, 1993, "On the moments of certain stochastic integrals," Statistics & Probability Letters, Elsevier, volume 18, issue 1, pages 65-72, August.

1992

  1. Boswijk, Peter & Franses, Philip Hans, 1992, "Dynamic Specification and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 54, issue 3, pages 369-381, August.
  2. Kazemier, Brugt & van Eck, Rob, 1992, "Survey investigations of the hidden economy : Some methodological results," Journal of Economic Psychology, Elsevier, volume 13, issue 4, pages 569-587, December.
  3. 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, volume 54, issue 3, pages 349-367, August.
  4. 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, volume 74, issue 2, pages 362-365, May.
  5. Leybourne, S. J. & McCabe, B. P. M., 1992, "A simple test for parameter constancy in a nonlinear time series regression model," Economics Letters, Elsevier, volume 38, issue 2, pages 157-162, February.

1990

  1. McCabe, B. P. M., 1990, "An extension of Anderson's multiple decision procedure," Statistics & Probability Letters, Elsevier, volume 9, issue 2, pages 119-124, February.

1989

  1. Leybourne, S J & McCabe, B P M, 1989, "Testing for Coefficient Constancy in Random Walk Models with Particular Reference to the Initial Value Problem," Empirical Economics, Springer, volume 14, issue 2, pages 105-112.
  2. Phillips, G D A & McCabe, B P M, 1989, "A Sequential Approach to Testing for Structural Change in Econometric Models," Empirical Economics, Springer, volume 14, issue 2, pages 151-165.
  3. McCabe, B. P. M., 1989, "Misspecification tests in econometrics based on ranks," Journal of Econometrics, Elsevier, volume 40, issue 2, pages 261-278, February.

1988

  1. Robert van Eck & Brugt Kazemier, 1988, "Features Of The Hidden Economy In The Netherlands," Review of Income and Wealth, International Association for Research in Income and Wealth, volume 34, issue 3, pages 251-273, September, DOI: 10.1111/j.1475-4991.1988.tb00570.x.
  2. G.D.A. Phillips & B.P.M. McCabe, 1988, "Some applications for Basil's independence theorem in testing econometric models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, volume 42, issue 1, pages 37-46, March, DOI: 10.1111/j.1467-9574.1988.tb01519.x.
  3. McCabe, B.P.M., 1988, "A Multiple Decision Theory Analysis of Structural Stability in Regression," Econometric Theory, Cambridge University Press, volume 4, issue 3, pages 499-508, December.

1987

  1. McCabe, B. P. M., 1987, "Testing regression models for random effects outliers under elliptical symmetry," Economics Letters, Elsevier, volume 25, issue 1, pages 47-49.

1986

  1. Jan F. Kiviet, 1986, "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, volume 53, issue 2, pages 241-261.

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, volume 28, issue 3, pages 327-362, June.

1983

  1. Phillips, G. D. A. & McCabe, B. P., 1983, "The independence of tests for structural change in regression models," Economics Letters, Elsevier, volume 12, issue 3-4, pages 283-287.

1980

  1. B. P. M. McCabe & M. J. Harrison, 1980, "Testing the Constancy of Regression Relationships Over Time Using Least Squares Residuals," Journal of the Royal Statistical Society Series C, Royal Statistical Society, volume 29, issue 2, pages 142-148, June, DOI: 10.2307/2986299.

1975

  1. O'Hagan, John W & McCabe, Brendan, 1975, "Tests for the Severity of Multicollinearity in Regression Analysis: A Comment," The Review of Economics and Statistics, MIT Press, volume 57, issue 3, pages 368-370, August.

Chapters

2014

  1. Jan F. Kiviet & Jerzy Niemczyk, 2014, "On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous," Advances in Econometrics, Emerald Group Publishing Limited, "Essays in Honor of Peter C. B. Phillips", DOI: 10.1108/S0731-905320140000033013.

Software components

2020

  1. Sebastian Kripfganz & Jan F. Kiviet, 2020, "KINKYREG: Stata module to perform kinky least squares estimation and inference," Statistical Software Components, Boston College Department of Economics, number S458839, revised 16 Mar 2021.

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