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UvA-Econometrics

Publications

UvA-Econometrics

The list below contains articles published in refereed journals or books authored and/or co-authored by UvA-Econometrics participants.

Forthcoming

  • Basturk, N., Çakmaklı, C., Ceyhan, P. & van Dijk, H.K. (2014). Posterior-predictive evidence on US inflation using Phillips curve models with non-filtered time series. Forthcoming in Journal of Applied Econometrics.
  • Berkhout, P., Hartog, J. & van Ophem, H. (2014). Starting wages respond to employer’s risk. Forthcoming in Scottish Journal of Political Economy.

    Garderen, K.J. & Boswijk, H.P. (2014). Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors. Economics Letters 122, 224–228.

    Gooijer, J.G. de & Yuan, A. (2014). Asymptotic informative prior for Bayesian analysis. Forthcoming in Communications in Statistics: Theory and Methods.

    Gooijer, J.G. de  & Yuan, A. (2014). Nonparametric portmanteau tests for detecting nonlinearities in high dimensions. Forthcoming in  Communications in Statistics: Theory and Methods.

    Kiviet, J.F. & Phillips, G.D.A. (2014). Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models. Forthcoming in Computational Statistics & Data Analysis.

    Kleibergen, F. & Mavroeidis, S. (2014) Identification issues in limited-information Bayesian analysis of structural macroeconomic models. Forthcoming in Journal of Applied Econometrics.
  • Zu, Y. & Boswijk, H.P. (2014). Estimating spot volatility with high-frequency financial data. Forthcoming in Journal of Econometrics.

Published in 2013

  • Broda, S.A., Haas, M., Krause, J., Paolella, M., & Steude, S. (2013). A mix-stable GARCH model. Journal of Econometrics 172, 292–306.

  • Çakmaklı, C., Paap, R. & van Dijk, D. (2013). Measuring and predicting heterogeneous recessions. Journal of Economic Dynamics and Control 37, 2195–2216. 
  • Giersbergen, N.P.A. van (2013). Bartlett correction in the stable second-order autoregressive model with intercept and trend. Statistica Neerlandica 67, 482–498.
  • Joustra, P., Meester R. & van Ophem, H. (2013). Can statisticians beat surgeons at the planning of operations? Empirical Economics 44, 1697–1718.

    Juodis, A. (2013). A note on bias-corrected estimation in dynamic panel data models. Economics Letters 118, 435–438.

    Kiviet, J.F. (2013). Identification and inference in a simultaneous equation under alternative information sets and sampling schemes. Econometrics Journal 16, S24–S59.

  • Mazza, J., van Ophem, H. & Hartog, J. (2013). Unobserved heterogeneity and risk in wage variance: Does more schooling reduce earnings risk? Labour Economics 24, 323–338.

Published in 2012

  • Boswijk, H.P. & Klaassen, F. (2012). Why frequency matters for unit root testing in financial time series. Journal of Business & Economic Statistics 30, 351–357.
  • Broda, S.A. (2012). The expected shortfall of quadratic portfolios with heavy-tailed risk factors. Mathematical Finance 22, 710–728.
  • Broda, S.A. & Paolella, M. (2012). Saddlepoint approximations: A review and some new applications, in: Gentle, J. E., Härdle, W. K. & Mori, Y. (eds.), Handbook of Computational Statistics, 2nd edition, Springer Verlag, Berlin, 953–983.
  • Gooijer, J.G. de, Brännäs, K., Lönnbark, C. & Soultanaeva, A. (2012). Simultaneity and asymmetry of returns and volatilities: The emerging Baltic states’ stock exchanges. Studies in Nonlinear Dynamics & Econometrics 16, Article 4.
  • Guggenberger, P., Kleibergen, F., Mavroeidis, S. & Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression. Econometrica 80, 2649–2666.
  • Kiviet, J.F. (2012). Monte Carlo Simulation for Econometricians. Foundations and Trends in Econometrics 5, 1-181.
  • Kiviet, J.F. & Niemczyk, J. (2012). Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation. Computational Statistics & Data Analysis 56, 3567–3586 .
  • Kiviet, J.F. & Phillips, G.D.A. (2012). Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models. Computational Statistics & Data Analysis 56, 3705–3729.
  • Klein, A. & Spreij, P. (2012). Transformed statistical distance measures and the Fisher information matrix. Linear Algebra and its Applications 437, 692–712.

Published in 2011

  • Bethlehem, J.G., Cobben, F., Schouten, B. (2011). Handbook on Nonresponse in Household Surveys. Hoboken (NJ): John Wiley & Sons.
  • Bethlehem, J.G., Biffignandi, S. (2011). Handbook of Web Surveys. Hoboken (NJ): John Wiley & Sons.
  • Boswijk, H.P. & Weide, R. van der (2011). Method of moments estimation of GO-GARCH models. Journal of Econometrics 163, 118-126.
  • Boswijk, H.P., Griffioen, G.A.W., Hommes, C.H. (2011). Success and failure of technical ana-lysis in the cocoa futures market. In: Kyrtsou, C., Vorlow, C. (eds.), Progress in Financial Markets Research. New York: Nova Publishers.
  • Broda, S.A. & Paolella, M. (2011). Expected shortfall for distributions in finance. In: Cizek, P., Härdle, W.H. & Weron, R. (eds.), Statistical Tools for Finance and Insurance, 2nd edition. Berlin: Springer Verlag.
  • Bun, M.J.G. & Windmeijer, F. (2011). A comparison of bias approximations for the 2SLS estimator. Economics Letters 113, 76-79.
  • Gooijer, J.G. de, Cheng, Y. & Zerom, D. (2011). Efficient estimation of an additive quantile regression model. Scandinavian Journal of Statistics 38, 46-62.
  • Gooijer, J.G. de & Yuan, A. (2011). Some exact tests for manifest properties of latent trait models. Computational Statistics & Data Analysis 55, 34-44.
  • Gooijer, J.G. de & Yuan, A. (2011). Kernel-smoothed conditional quantiles of correlated bivariate discrete data. Statistica Sinica 21, 1611-1638.
  • Griffin, J.E. & Oomen, R.C.A. (2011). Covariance measurement in the presence of non- synchronous trading and market microstructure noise. Journal of Econometrics 160, 55-68.
  • Ophem, H. van (2011). The frequency of visiting a doctor: is the decision to go independent of the frequency? Journal of Applied Econometrics 26, 872-879.
  • Scherpenzeel, A.C. & Bethlehem, J.G. (2011), How representative are online panels? Problems of coverage and selection and possible solutions. In: Das, M., Ester, P. & Kaczmirek, L. (eds.), Social and Behavioral Research and the Internet. New York/London: Routledge.

Published in 2010

  • Basu, D., R.C.A. Oomen, and A. Stremme (2010). International dynamic asset allocation and return predictability. Journal of Business Finance and Accounting 37, 1008-1025.
  • Basu, D., R.C.A. Oomen, and A. Stremme (2010). How to time the commodities markets. Journal of Derivatives & Hedge Funds 16, 1-8 (invited editorial).
  • Bethlehem, J.G. (2010), Selection bias in web surveys. International Statistical Review 78, 161-188.
  • Bethlehem, J.G., Cobben, F., Schouten, B. (2010). Handbook on Nonresponse in Household Surveys. John Wiley & Sons, Hoboken, NJ, USA.
  • Boswijk, H.P. (2010). Mixed normal inference on multicointegration. Econometric Theory 26, 1565-1576.
  • Boswijk, H.P., Franses, P.H., Dijk, D. van (2010). Twenty years of cointegration. Journal of Econometrics 158, 1-2.
  • Boswijk, H.P., Franses, P.H., Dijk, D. van (2010). Cointegration in a historical perspective. Journal of Econometrics 158, 156-159.
  • Boswijk, H.P. (2010). Nuisance parameter free inference on cointegration parameters in the presence of variance shifts. Economics Letters 107, 190-193.
  • Broda, S.A., Paolella, M.S. (2010). Saddlepoint Approximations: A Review and Some New Applications, in: Gentle, J. E., Härdle, W.K., Mori, Y. (eds.), Handbook of Computational Statistics, 2nd edition, Springer Verlag, Berlin.
  • Bun, M.J.G., Windmeijer, F. (2010). The weak instrument problem of the systemGMM estimator in dynamic panel data models. The Econometrics Journal 13, 95-126.
  • Christensen, K., R.C.A. Oomen, and M. Podolskij (2010). Realised quantile-based estimation of the integrated variance. Journal of Econometrics 159, 74-98.
  • Cramer, J.S., Lumey, L.H. (2010). Maternal preconception diet and the sex ratio. Human Biology 82, 103-107.
  • Cramer, J.S. (2010). The logistic growth curve. In: Famous Figures and Diagrams in Economics (Eds. M. Blaug, P. Loydd). Edward Elgar Publishing.
  • Gatheral, J., Oomen, R.C.A. (2010). Zero-intelligence realized variance estimation. Finance and Stochastics 14, 249-283.
  • Griffin, J.E., Oomen, R.C.A. (2010). Covariance measurement in the presence of non-synchronous trading and market microstructure noise. Journal of Econometrics 160, 58-68.
  • Klein, A., Spreij, P. (2010). Tensor Sylvester matrices and the Fisher information matrix of VARMAX processes. Linear Algebra and its Applications 432, 1975-1989.
  • Oomen, R.C.A. (2010). High dimensional covariance forecasting for short intra-day horizons. Quantitative Finance 10, 1173-1185.

Published in 2009

  • Bethlehem, J.G. (2009). Computer Software for Sample Surveys. In: Pfeffermann, D., Rao, C.R. (eds.) Handbook of Statistics 29B. Elsevier, North-Holland, Amsterdam, The Netherlands, pp. 317-350.
  • Bethlehem, J.G. (2009), Applied Survey Methods - AStatistical Perspective. John Wiley & Sons, Hoboken, NJ, USA.
  • Broda, S.A., Paolella, M.S. (2009). CHICAGO: A fast and accurate method for portfolio risk calculation. Journal of Financial Econometrics, 7 (4), 412-436.
  • Bun, M.J.G., Klaassen, F.J.G.M., Tan, G.K.R. (2009). Free trade areas and intra-regional trade: The case of ASEAN. Singapore Economic Review 54, 319-334.
  • Giersbergen, N.P.A. van (2009). Bartlett correction in the stable AR(1) model with intercept and trend. Econometric Theory 25, 857-872.
  • Giersbergen, N.P.A. van, Goot, L.T.R. van der, Botman, M. (2009). What determines the survival of internet IPOs? Applied Economics, 41, 547-556.
  • Gooijer, J.G. de, Cheng, Y. (2009). Bahadur representation for the nonparametric M-estimator under α-mixing dependence. Statistics 43, 443-462.
  • Kiviet, J.F. (2009). Econometric analysis of panel data: Editorial introduction. Singapore Economic Review 54, 313-317.
  • Kleibergen, F. (2009). Tests of risk premia in linear factor models. Journal of Econometrics 149, 149-173.
  • Kleibergen, F., Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve. Journal of Business and Economic Statistics 27, 293-311.
  • Kleibergen, F., Mavroeidis, S. (2009). Rejoinder. Journal of Business and Economic Statistics 27, 331-339.
  • Klein, A., Spreij, P. (2009). Matrix differential calculus applied to multiple stationary time series and an extended Whittle formula for information matrices. Linear Algebra and its Applications 430, 674-691.
  • Schluter, C., van Garderen, K.J. (2009). Edgeworth expansions and normalizing transforms for inequality measures. Journal of Econometrics 150, 16-29.
  • Schouten, B., Cobben, F., Bethlehem, J. (2009). Indicators for the representativeness of survey response. Survey Methodology 35, 101-113.
  • Van Triest, S., Bun, M.J.G., Van Raaij, E.M.,Vernooij, M.J.A. (2009). The impact of customer-specific marketing expenses on customer retention and customer profitability. Marketing Letters 20, 125-138.

Published in 2008

  • Bethlehem, J.G. (2008), Surveys without questions. In: De Leeuw, E., Kox, J.J, & Dillman, D.A., International Handbook of Survey Methodology, Psychology Press, New York, London.
  • Bethlehem, J.G. (2008), Representativity of web surveys – an Illusion? In: Stoop, I. & Wittenberg, M., Access Panels and Online Research, Panacea or Pitfall? DANS Symposium Publications. Aksant, Amsterdam, pp. 19-44.
  • Bethlehem, J.G., Stamhuis, I.H. & Maarseveen, J.G.S.J. van (2008), Complete enumerations or sampling? The historical debate about sampling for surveys. In: Stamhuis, I.H., Klep, P.M.M. & Maarseveen, J.G.S.J. van (Eds.), The Statistical Mind in Modern Society. The Netherlands 1850-1940. Volume II: Statistics and Scientific Work, Aksant, Amsterdam.
  • Gooijer, J.G. de, (2008). Partial sums of lagged cross-products of AR residuals and a test for white noise. TEST 17, 567-584.
  • Gooijer, J.G. de, Sivarajasingham,S. (2008). Parametric and nonparametric Granger causality testing: Linkages between international stock markets, Physica A 387, 2547-2560.
  • Gooijer,J.G. de, Yuan, A. (2008). MDL mean function selection in semiparametric kernel regression models. Communications inStatististics - Theory and Methods 37, 2237-2248.
  • Griffin, J.E., Oomen, R.C.A. (2008). Sampling returns for realized variance calculations: tick time or transaction time? Econometric Reviews 27, 230 - 253.
  • Jiang, G.J., Oomen, R.C.A. (2008). Testing for jumps when asset prices are observed with noise-a "swap variance" approach. Journal of Econometrics 144, 352-370.
  • Kleibergen, F. (2008). Testing. New Palgrave Dictionary of Economics. Palgrave-Macmillan.
  • Klein, A., Mélard, G., Saidi, A. (2008). The asymptotic and exact information matricesof a vector ARMA process. To appear in: Statistics and Probability Letters 78, 1430-1434.

Published in 2007

  • Boswijk, H.P., Hommes, C.H., Manzan, S. (2007). Behavioral heterogeneity in stock prices. Journal of Economic Dynamics and Control 31,1938-1970.
  • Bun, M.J.G., Klaassen, F.J.G.M. (2007). The euro effect on trade is not as large as commonly thought. Oxford Bulletin of Economics and Statistics 69, 473-496.
  • Bun, M.J.G., El Makhloufi, A. (2007). Dynamic externalities, local industrial structure and economic development: Panel data evidence for Morocco. Regional Studies 41, 1-15.
  • Cramer, J.S. (2007). Robustness of logit analysis: Unobserved heterogeneity and misspecified disturbances. Oxford Bulletin of Economics and Statistics 69, 545-555.
  • Dijk, D. van, Franses, P.H. & Boswijk, H.P. (2007). Absorption of shocks in nonlinear autoregressive models. Computational Statistics & Data Analysis 51, 4206-4226.
  • Gooijer, J.G. de, (2007). Power of the Neyman smooth test for evaluating multivariate forecast densities. Journal of Applied Statistics 34, 371-382.
  • Gooijer, J.G. de, Yuan, A. (2007). Semiparametric regression with kernel error model. Scandinavian Journal of Statistics 34, 841-869.
  • Gooijer, J.G. de, Gannoun, A. (2007). TR multivariate conditional median estimation. Communication in Statistics: Simulation and Compuation 36, 165-176.
  • Gooijer, J.G. de, Cheng, Y. (2007). On the u-th geometric conditional quantile. Journal of Statistical Planning and Inference 137, 1914-1930.
  • Hoogerheide, L., Kleibergen, F., van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. Journal of Econometrics 138, 63-103.
  • Jiang, G.J., Oomen, R.C.A. (2007). Estimating latent variable and jump diffusion models using high frequency data. Journal of Financial Econometrics 5, 1-30.
  • Kat, H.M., Oomen, R.C.A. (2007). What every investor should know about commodities part I: univariate return analysis. Journal of Investment Management 5(1), 1-25.
  • Kat, H.M., Oomen, R.C.A. (2007). What every investor should know about commodities part II: multivariate return analysis. Journal of Investment Management 5(3), 1-25.
  • Kiviet, J.F. (2007). Judging contending estimators by simulation: tournaments in dynamic panel data models. In: The Refinement of Econometric Estimation and Test Procedures (eds.: G.D.A. Phillips and E. Tzavalis). Cambridge University Press.
  • Kiviet, J.F., Niemczyk, J. (2007). The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations. Journal of Computational Statistics & Data Analysis 51, 3296-3318.
  • Kleibergen, F. (2007). Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics. Journal of Econometrics 139, 181-216.
  • Klein, A., Spreij, P. (2007). Recursive solution of certain structured linear systems. SIAM Journal on Matrix Analysis and Applications 29, 1191-1217.
  • Meijer, E., Wansbeek, T.J. (2007). The sample selection model from a method of moments perspective. Econometric Reviews 26, 25-51.
  • Wansbeek, T.J., Meijer, E. (2007). Comments on: Panel Data Analysis - Advantages and Challenges, TEST 16, 33-36.

Published in 2006

  • Bauwens, L., Boswijk, H.P., Urbain, J.-P. (2006). Causality and exogeneity in econometrics (guest editorial). Journal of Econometrics 132, 305-309.
  • Boswijk, H.P., Franses, P.H. (2006). Robust inference on average economic growth. Oxford Bulletin of Economics and Statistics 68 (3), 345-370.
  • Bun, M.J.G., Carree, M.A. (2006). Bias-corrected Estimation in Dynamic Panel Data Models with Heteroscedasticity. Economics Letters 92, 220-227.
  • Bun, M.J.G., Kiviet, J.F. (2006). The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models. Journal of Econometrics 132, 409-444.
  • Bun, M.J.G., El Makhloufi, A. (2006). Exports and productivity: Moroccan manufacturing 1985-1995. Journal of Economic and Social Geography (Tijdschrift voor Economische en Sociale Geografie).
  • Cramer, J.S. (2006). The working conditions of econometric scholars, then and now. Statistica Neerlandica 60, 194-205.
  • Gooijer, J.G. de, Gannoun, A., Zerom, D. (2006). A multivariate quantile predictor. Communications in Statistics: Theory and Methods 35, 133-147.
  • Gooijer, J.G. de (2006). Detecting change-points in multidimensional stochastic processes. Computational Statistics & Data Analysis.
  • Hillier, G., Martellosio, F. (2006). Spatial design matrices and associated quadratic forms: structure and properties. Journal of Multivariate Analysis 97, 1-18.
  • Hoogerheide, L., Kleibergen, F., van Dijk, H.K. (2006). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. Journal of Econometrics.
  • Kleibergen, F. (2006). Testing. Forthcoming in the New Palgrave Dictionary of Economics.
  • Kleibergen, F., Paap, R. (2006). Generalized Reduced Rank Tests using the Singular Value Decomposition. Journal of Econometrics 133, 97-126.
  • Klein, A., Spreij, P. (2006). The Bezoutian, state space realizations and Fisher's information matrix of an ARMA process. Linear Algebra and its Applications 416, 160-174.
  • Klein, A. & Spreij, P. (2006). An explicit expression for the Fisher information matrix of a multiple time series process. Linear Algebra and its Applications 417, 140-149.
  • Oomen, R.C.A. (2006). Comment (on JBES invited address “Realized variance and market microstructure noise” by P.R. Hansen and A. Lunde). Journal of Business & Economic Statistics 24, 195-202.
  • Oomen, R.C.A. (2006). Properties of realized variance under alternative sampling schemes. Journal of Business & Economic Statistics 24, 219-237.

Published in 2005

  • Boswijk, H.P., Doornik, J.A. (2005). Distribution approximations for cointegration tests with stationary exogenous regressors. Journal of Applied Econometrics 20, 797-810.
  • Boswijk, H.P., Franses, P.H. (2005). On the econometrics of the Bass diffusion model. Journal of Business & Economic Statistics 23, 255-268.
  • Bun, M.J.G., Carree, M.A. (2005). Bias-corrected Estimation in Dynamic Panel Data Models. Journal of Business and Economic Statistics, 23(2), 200-210.
  • Cheng, Y., Gooijer, J.G. de (2005). On the geometric conditional quantile. Proceedings of the Joint Statistical Meetings, Toronto, Canada, 1971-1974.
  • Cubadda, G., Omtzigt, P. (2005). Small-sample improvements in the statistical analysis of seasonally cointegrated systems. Journal of Computational Statistics & Data Analysis 49, 333-348.
  • Giersbergen, N.P.A. van (2005). On the effect of deterministic terms on the bias in stable AR models. Economics Letters 89, 75-82.
  • Gooijer, J.G. de, Vidiella-i-Anguera, A. (2005). Estimating threshold cointegrated systems. Economics Bulletin 3(8), 1-7.
  • Gooijer, J.G. de, Garcia-Ferrer, A., Poncela, P., Ruiz, E. (2005). Introduction to nonlinearities, business cycles, and forecasting. International Journal of Forecasting 21, 623-625.
  • Joseph, A.S., Kiviet, J.F. (2005). Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks. Journal of Computational Statistics & Data Analysis 49, 417-444.
  • Kiviet, J.F., Phillips, G.D.A. (2005). Moment approximation for least squares estimators in dynamic regression models with a unit root. The Econometrics Journal, 8, 115-142.
  • Kleibergen, F. (2005). Testing parameters in GMM without assuming that they are identified. Econometrica 73, 1103-1124.
  • Klein, A., Melard, G., Spreij, P. (2005). On the resultant property of the Fisher information matrix of a vector ARMA process. Linear Algebra and its Applications, 403, 291-313.
  • Klein, A., Spreij, P. (2005). On the solution of Stein's equation and Fisher's information matrix of an ARMAX process. Linear Algebra and its Applications 396, 1-34.
  • Mavroeidis, S. (2005). Identification issues in Forward-Looking models estimated by GMM with an application to the Phillips Curve. Journal of Money Credit and Banking 37, 421-448.
  • Omtzigt, P., Paruolo, P. (2005). Impact factors. Journal of Econometrics 128, 31-68.
  • Oomen, R.C.A. (2005). Properties of bias corrected realized variance under alternative sampling schemes. Journal of Financial Econometrics 3, 555-577.

Published in 2004

  • Bethlehem, J.G., Hundepool, A.J. (2004). TADEQ: A Tool for the Documentation and Analysis of Electronic Questionnaires. Journal of Official Statistics 20, 233-264.
  • Boswijk, H.P., Doornik, J.A. (2004). Identifying, estimating and testing restricted cointegrated systems: An overview. Statistica Neerlandica, 58, 440-465.
  • Brännäs, K., Gooijer, J.G. de (2004). Asymmetries in conditional mean and variance: Modelling stock returns by asMA-asQGARCH. Journal of Forecasting 23, 155-171.
  • Bun, M.J.G. (2004). Testing poolability in a system of dynamic regressions with nonspherical disturbances. Empirical Economics, 29, (1), 89-106.
  • Cramer, J.S. (2004). The Early Origins of the Logit Model. Studies in the History and Philosophy of Biological and Biomedical Sciences 35, 613-626.
  • Cramer, J.S. (2004). Scoring Bank Loans that May Go Wrong, a Case Study. Statistica Neerlandica 58, 354-380.
  • Gooijer, J.G. de, Vidiella-I-Anguera, A. (2004). Forecasting threshold cointegrated systems. International Journal of Forecasting 20, 237-253.
  • Kleibergen, F.R. (2004). Testing subsets of structural parameters in the IV regression model. Review of Economics and Statistics 86, 418-423.
  • Kleibergen, F.R. (2004). Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindleys paradox. Journal of Econometrics 123, 227-258.
  • Klein, A., Mélard, G. (2004). An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models. Journal of Time Series Analysis 25, 627-648.
  • Leuven, E., Oosterbeek, H., Ophem, H. van (2004). Explaining international differences in male skill wage differentials by differences in demand and supply of skill. The Economic Journal 114, 466-486.
  • Mavroeidis, S. (2004). Weak Identification of forward-looking models in monetary economics. Oxford Bulletin of Economics and Statistics, Vol. 66, Supplement, 609-635.
  • Niemczyk, J. (2004). Computing the derivatives of the autocovariances of a VARMA process. COMPSTAT’ 2004, 16th Symposium held in Prague, Czech Republic. Proceedings in Computational Statistics, J. Antoch (Ed.), Physica-Verlag, Heidelberg (2004), pp. 1593-1600.

Published in 2003

  • Bethlehem, J.G. (2003): The TADEQ Project: Documentation of Electronic Questionnaires. In: Cork, D.L., Cohen, M.L., Groves, R. and Kalsbeek, W. (eds.): Survey Automation: Report and Workshop Proceedings. Washington D.C.: National Research Council, pp. 97-115.
  • Bun, M.J.G. (2003). Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix. Econometric Reviews, 22, (1), 29-58.
  • Bun, M.J.G., Kiviet, J.F. (2003). On the diminishing returns of higher-order terms in asymptotic expansions of bias. Economics Letters, 79, 145-152.
  • Cheng, Y., Tang, Q. (2003). Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. North American Actuarial Journal, 7, 1-12.
  • Cramer, J.S. (2003). Logit Models from Economics and Other Fields. Cambridge: Cambridge University Press.
  • Taniguchi, M., Garderen, K.J. van, Puri, M.L. (2003). Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes. Econometric Theory, 19, 984-1007.
  • Giersbergen, N.P.A. van (2003). A note on bootstrapping unit root tests in the presence of a non-zero drift. Economics Letters, 78, 259-265.
  • Gooijer, J.G. de, Vidiella-i-Anguera , A. (2003). Nonlinear stochastic inflation modelling using SEASETARs. Insurance, Mathematics and Economics, 32, 3-18.
  • Gooijer, J.G. de, Ray, B.K. (2003). Modeling vector nonlinear time series using POLYMARS. Computational Statistics & Data Analysis, 42, 73-90.
  • Gooijer, J.G. de, Zerom, D. (2003) On conditional density estimation, Statistica Neerlandica, 57, 159-176.
  • Gooijer, J.G. de, Zerom, D. (2003) On additive conditional quantiles with high-dimensional covariates. Journal of the American Statistical Association, 98, 135-146.
  • Kleibergen, F.R., Bekker, P. (2003). Finite sample instrumental variables inference using an asymptotically pivotal statistic, 2003, Econometric Theory, 19, 744-753.
  • Kleibergen, F.R., Groen, J. (2003). Likelihood based cointegration analysis in panels of vector error correction models. Journal of Business and Economic Statistics, 21, 295-318.
  • Kleibergen, F.R., Zivot, E. (2003). Bayesian and classical approaches to instrumental variable regression. Journal of Econometrics, 114, 29-72.
  • Klein, A., Spreij, P. (2003). Some results on Vandemonde matrices with an application to time series analysis. SIAM Journal on Matrix Analysis and Applications, 25 (1), 213-223.

Published in 2002

  • Bethlehem, J.G. (2002). Weighting nonresponse adjustments based on auxiliary information. In Groves, R.M., Dillman, D.A., Eltinge, J.L. and Little, R.J.A. (Eds), Survey nonresponse. New York: Wiley, New York.
  • Bethlehem, J.G. (2002). New Techniques and Technologies in Data Collection. In: Ehling, M. & Merz, J. (Eds.): Neue Technologien in der Umfrageforschung, NOMOS, Baden-Baden.
  • Boswijk, H.P. & Lucas, A. (2002). Semi-nonparametric cointegration testing. Journal of Econometrics, 108, 253-280.
  • Cheng, Y., Tang, Q. & Yang H. (2002). Approximations for moments of deficit at ruin with exponential and subexponential claims. Statistics & Probability Letters, 59, 367-378.
  • Cramer, J.S., Hartog, J., Jonker, N., & van Praag, C.M. (2002). Low risk aversion encourages the choice for entrepreneurship: an empirical test of a truism. Journal of Economic Behaviour and Organization, 48, 29-36.
  • Garderen, K.J. van, & Shah, C. (2002). Exact interpretation of dummy variables in semilogarithmic equations. The Econometrics Journal, 5, 149-159.
  • Giersbergen, N.P.A. van & Kiviet, J.F. (2002). How to implement the bootstrap in static or stable dynamic regression models. Journal of Econometrics, 108, 133-156.
  • Gooijer, J.G. de, Gannoun, A. & Larramendy, I. (2002). Nonparametric regression with serially correlated errors. Pub. Inst. Stat. Univ. Paris., XXXXVI, fasc. 1-2, 17-41.
  • Gooijer, J.G. de, Gannoun, A. & Zerom, D. (2002). Mean squared error properties of the kernel-based multi-stage median predictor for time series. Statistics & Probability Letters, 56, 51-56.
  • Kleibergen, F. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica, 70, 1781-1804.
  • Kleibergen, F. & Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of cointegration. Journal of Econometrics, 111, 223-249.

Published in 2001

  • Cramer, J.S. & G. Ridder (2001). Pooling states in the multinomial logit model: degrees of freedom. A correction. Statistical Papers, 42, 97-99.
  • Franses, P.H., Srinivasan, S., & Boswijk. H.P. (2001). Testing for unit roots in market shares. Marketing Letters, 12, 351-364.
    Garderen, K.J. van (2001). Optimal prediction in loglinear models. Journal of Econometrics, 104, 119-140.
  • Gooijer, J.G. de, Laan, N.M. (2001). Change point analysis: Elision in Euripides' Orestes, Computers and the Humanities, 35, 167-191.
  • Gooijer, J.G. de (2001). Cross-validation criteria for SETAR model selection, Journal of Time Series Analysis, 22, 267-281.
  • Gooijer, J.G. de, Gannoun, A., Zerom, D. (2001). Multi-stage kernel-based conditional quantile prediction in time series, Communications in Statistics: Theory and Methods, 30, 2499-2515.
  • Houweling, P., Hoek, J., Kleibergen, F. (2001). The joint estimation of term structures and credit spreads, Journal of Empirical Finance, 8, 297-323.
  • Jonker, N., J. Hartog & J.C.M. van Ophem (2001). Duale opleidingen: niet enkel beter, ESB, 4291, 56-58.
  • Klein, A. & P. Spreij (2001). On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. Part I: The autoregressive moving average process, Linear Algebra and its Applications, 329, 9-47.
  • Praag, C.M. van, & J.S. Cramer (2001). The roots of entrepreneurship and labour demand: Individual ability and risk aversion. Economica, 68, 45-62.