Details about Philip Hans Franses

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Short-id: pfr38

Working Papers

2007

1. Interlocking Boards and Firm Performance: Evidence from a New Panel Database
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2003

2. A generalized dynamic conditional correlation model for many asset returns
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
3. A sequential approach to testing seasonal unit roots in high frequency data
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
4. An empirical analysis of euro cash payments
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
5. Did the incidence of high precipitation levels increase?
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
6. Do we make better forecasts these days? A survey amongst academics
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
7. Does Africa grow slower than Asia and Latin America
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
8. Forecasting economic and financial time-series with non-linear models
   Departmental Working Papers, Rutgers University, Department of Economics View citations
9. Selecting a nonlinear time series model using weighted tests of equal forecast accuracy
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute

2002

10. A Dynamic Utility Maximization Model for Product Category Consumption
    Tinbergen Institute Discussion Papers, Tinbergen Institute
11. A Joint Framework for Category Purchase and Consumption Behavior
    Tinbergen Institute Discussion Papers, Tinbergen Institute
12. A simple test for PPP among traded goods
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
13. An Empirical Study of Cash Payments
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
14. Common large innovations across nonlinear time series
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
15. Ecological panel inference in repeated cross sections
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
16. Evaluating Direct Marketing Campaigns: recent findings and future research topics
    Research Paper, 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.
17. From first submission to citation
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
18. How Large is Average Economic Growth? Evidence from a Robust Method
    Tinbergen Institute Discussion Papers, Tinbergen Institute
19. Inflation rates
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
20. Modeling dynamic effects of promotion on interpurchase times
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
21. Modeling students' evealuation scores; comparing economics schools in Maastricht and Rotterdam
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
22. On combining revealed and stated preferences to forecast customer behaviour
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
23. On modeling panels of time series
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
24. On the diffusion of scientific publications; the case of Econometrica 1987
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
25. On the number of categories in an ordered regression model
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations

2001

26. Constructing seasonally adjusted data with time-varying confidence intervals
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
27. Inferring transition probabilities from repeated cross sections
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
28. Inflation, Forecast Intervals and Long Memory Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
29. Modeling and forecasting outliers and level shifts in absolute returns
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
30. Robust inference on average economic growth
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
31. Smooth Transition Autoregressive Models - A Survey of Recent Developments
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2000) View citations
32. Structural breaks and long memory in US inflation rates
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
33. Testing for common deterministic trend slopes
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
34. The Forecasting Performance of Various Models for Seasonality and Nonlinearity for Quarterly Industrial Production
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations

2000

35. A Multivariate STAR Analysis of the Relationship Between Money and Output
    Working Papers, East Carolina University, Department of Economics View citations
    Also in
    Working Papers, Erasmus University of Rotterdam - Econometric Institute (1999)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
    Working Papers, East Carolina University, Department of Economics (1999) View citations
36. A nonlinear long memory model for US unemployment
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
37. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    Also in
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2000) View citations
38. Modeling charity donations target selection, response time and gift size
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
39. On Forecasting Cointegrated Seasonal Time Series
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2000)
40. Seasonal smooth transition autoregression
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations

1999

41. Are Living Standards Converging?
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
42. Censored regression analysis in large samples with many zero observations
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
43. Cointegration in a Periodic Vector Autoregression
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
44. Do the US and Canada Have a Common Nonlinear Cycle in Unemployment?
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
45. Forecasting with Period Autoregressive Time Series Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
46. How to Deal with Intercept adn Trend in Practical Cointegration Analysis?
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
    See Also Journal Article in Applied Economics (2001)
47. Impulse-response analysis of the market share attraction model
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
48. Monitoring Structural Change in Variance, with an Application to European Nominal Exchange Rate Volatility
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
49. Monitoring time-varying parameters in an autoregression
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
50. Omitting Superfluous Nonrespondent Observations in Binary Response Analysis
    Tinbergen Institute Discussion Papers, Tinbergen Institute
51. On SETAR non-linearity and forecasting
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    See Also Journal Article in Journal of Forecasting (2003)
52. On the Interpretation of Seasonally Adjusted Data
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
53. Ordered Logit Analysis for Selectively Sampled Data
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
54. Outlier Detection in the GARCH(1,1) Model
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
55. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
56. Seasonal Adjustment and Business Cycle in Unemployment
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
57. Seasonal adjustment and the business cycle in unemployment
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
58. Testing Common Deterministic Seasonality, with an Application to Industrial Production
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
59. Testing for Converging Deterministic Seasonal Variation in European Industrial Production
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)

1998

60. Forecasting Volatility with Switching Persistence GARCH Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
61. Long Memory and Level Shifts: Re-Analyzing Inflation Rates
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1998) View citations
    See Also Journal Article in Empirical Economics (1999)
62. Modeling Asymmetric Persistence Over Business Cycle
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
63. Modeling Asymmetric Volatility in Weekly Dutch Temperature Data
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
64. On Data Transformations and Evidence of Nonlinearity
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
65. On the Role of Seasonal Intercepts in Seasonal Cointegration
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1996) View citations
    See Also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
66. Short Patches of Outliers, ARCH and Volatility Modeling
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

1997

67. Are Many Current Seasonally Adjusted Data Downward Biased?
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
68. Asymptotically Perfect and Relative Convergence of productivity
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    See Also Journal Article in Journal of Applied Econometrics (2000)
69. Cointegration in Multivariate Periodic Time Series Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
70. Common Persistence in Nonlinear Autoregressive Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1996)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) View citations
71. Convergence and persistance of left-right political orientations in the Netherlands 1978-1995
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
72. Determining the order of Differencing in Seasonal Time Series Processes
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in
    Discussion Papers, Department of Economics, University of York View citations
    See Also Journal Article in Econometrics Journal (2000)
73. Do We Often Find ARCH Because of Neglected Outliers?
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1997) View citations
74. Modelling Multiple Regimes in the Business Cycle
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
75. Nonlinear Error-Correction Models for Interest rates in the Netherlands
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1997)
76. Outlier robust cointegration analysis
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics

1996

77. Forecasting the levels of vector autoregressive log-transformed time series
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
78. Multiple Unit Roots in Periodic Autoregression
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations
    Also in
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1995) View citations
    See Also Journal Article in Journal of Econometrics (1997)
79. On Forecasting Exchange Rates Using Neutral Networks
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    See Also Journal Article in Applied Financial Economics (1998)
80. On the Sensitivity of Unit Root Inference to Nonlinear Data Transformations
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
81. Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
82. Testing for ARCH in the Presence of Additive Outliners
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996)
    See Also Journal Article in Journal of Applied Econometrics (1999)
83. Testing for smooth transition nonlinearity in the presence of outliers
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    See Also Journal Article in Journal of Business & Economic Statistics (1999)

1995

84. Baysian Analysis of Seasonal, Unit Roots and Seasonal Mean Shifts
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1995)
85. Direct Cointegration Testing in Periodic Vector Autoregressive Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
86. Forecatsing Stock Market Volatility Using (Nonlinear) GARCH Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
87. Recognizing Changing Seasonal Patterns Using Artificial Neural Networks
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
88. Testing Nested and Non-Nested Periodically Integrated Autoregressive Models
    Working Papers, Tilburg - Center for Economic Research
    Also in
    Working Papers, Erasmus University of Rotterdam - Econometric Institute (1994)
89. Testing for Unit Roots and Non-Linear Transformations
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations

1994

90. Dating Turning Points when Seasons and Stochastic Trend Are Interdependent
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
91. Forecasting Changing Seasonal Components Using Periodic Correlations
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
92. Multi-Step Forecast Error Variances for Periodically Integrated Time Series
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
93. Seasonality and Stochastic Trends in German Consumption and Income, 1960.1-1987.4
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    See Also Journal Article in Empirical Economics (1995)
94. The Effects of Seasonally Adjusting a Periodic Autoregressive Process
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
95. Volatility Patterns and Spillovers in Bund Futures
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

1993

96. A Model Selection Strategy for Time Series with Increasing Seasonal Variation
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
97. Commom Features in Periodic Seasonal Time Series
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
98. Differencing a Periodically Integrated Time Series
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
99. Testing Rational Expextations in Agricultural Markets Using Periodic Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
100. Testing for Common Trends Across Periodically Integrated Seasonal Time Series
     Working Papers, Erasmus University of Rotterdam - Econometric Institute

1992

101. A Stylized Fact Re-Analzed
     Working Papers, Erasmus University of Rotterdam - Econometric Institute
102. Garch Effects on a Test of Cointegration
     Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
103. Igarch and Variance Change in the U.S. Long-Run Interest Rate
     Working Papers, Erasmus University of Rotterdam - Econometric Institute
     See Also Journal Article in Applied Economics Letters (1995)
104. Testing for Periodique Integration
     Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
105. The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
     Economics Working Papers, School of Economics and Management, University of Aarhus View citations
     See Also Journal Article in Journal of Business & Economic Statistics (1994)

1991

106. AN EMPIRICAL TEST FOR PARITIES BETWEEN METAL PRICES AT THE IME
     Working Papers, Erasmus University of Rotterdam - Institute for Economic Research View citations

Undated

107. Franses
     Instructional Stata datasets for econometrics, Boston College Department of Economics
108. Impulse Response Functions for Periodic Integration
     Working Papers, Humboldt University, Sonderforschungsbereich 373
109. On Phillips-Perron Type Tests for Seasonal Unit Roots
     Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

Journal Articles

2007

1. Modeling the diffusion of scientific publications
   Journal of Econometrics, 2007, 139, (2), 376-390

2006

2. Modeling Purchases as Repeated Events
   Journal of Business & Economic Statistics, 2006, 24, 487-502

2005

3. Jury Report on the KVS Award for the Best Doctoral thesis in Economics of the Academic Years 2002/2003 and 2003/2004
   De Economist, 2005, 153, (1), 135-136
4. On the dynamics of business cycle analysis: editors' introduction
   Journal of Applied Econometrics, 2005, 20, (2), 147-150
5. The M3 competition: Statistical tests of the results
   International Journal of Forecasting, 2005, 21, (3), 397-409 View citations

2003

6. On SETAR non-linearity and forecasting
   Journal of Forecasting, 2003, 22, (5), 359-375 View citations
   See Also Working Paper (1999)

2002

7. Financial volatility: an introduction
   Journal of Applied Econometrics, 2002, 17, (5), 419-424
8. Modelling and forecasting level shifts in absolute returns
   Journal of Applied Econometrics, 2002, 17, (5), 601-616 View citations

2001

9. How to Deal with Intercept and Trend in Practical Cointegration Analysis?
   Applied Economics, 2001, 33, (5), 577-79 View citations
   See Also Working Paper (1999)
10. Introduction
    Statistica Neerlandica, 2001, 55, (2), 109-110 View citations

2000

11. A dynamic multinomial probit model for brand choice with different long-run and short-run effects of marketing-mix variables
    Journal of Applied Econometrics, 2000, 15, (6), 717-744 View citations
12. Asymptotically perfect and relative convergence of productivity
    Journal of Applied Econometrics, 2000, 15, (1), 59-81 View citations
    See Also Working Paper (1997)
13. Determining the order of differencing in seasonal time series processes
    Econometrics Journal, 2000, 3, (2), 250-264
    See Also Working Paper (1997)
14. Modelling Day-of-the-Week Seasonality in the S&P 500 Index
    Applied Financial Economics, 2000, 10, (5), 483-88 View citations

1999

15. Long memory and level shifts: Re-analyzing inflation rates
    Empirical Economics, 1999, 24, (3), 427-449 View citations
    See Also Working Paper (1998)
16. On the Role of Seasonal Intercepts in Seasonal Cointegration
    Oxford Bulletin of Economics and Statistics, 1999, 61, (3), 409-33 View citations
    See Also Working Paper (1998)
17. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 View citations
    See Also Working Paper (1996)
18. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations
    See Also Working Paper (1996)

1998

19. On Forecasting Exchange Rates Using Neural Networks
    Applied Financial Economics, 1998, 8, (6), 589-96 View citations
    See Also Working Paper (1996)
20. On Seasonal Cycles, Unit Roots, And Mean Shifts
    The Review of Economics and Statistics, 1998, 80, (2), 231-240 View citations
21. Outlier Detection in Cointegration Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 459-68 View citations

1997

22. Mean shifts, unit roots and forecasting seasonal time series
    International Journal of Forecasting, 1997, 13, (3), 357-368 View citations
23. Multiple unit roots in periodic autoregression
    Journal of Econometrics, 1997, 80, (1), 167-193 View citations
    See Also Working Paper (1996)
24. On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment
    Journal of Business & Economic Statistics, 1997, 15, (4), 470-81 View citations

1995

25. IGARCH and Variance Change in the US Long-Run Interest Rate
    Applied Economics Letters, 1995, 2, (4), 113-14 View citations
    See Also Working Paper (1992)
26. Periodic Cointegration: Representation and Inference
    The Review of Economics and Statistics, 1995, 77, (3), 436-54 View citations
27. Quarterly US Unemployment: Cycles, Seasons and Asymmetries
    Empirical Economics, 1995, 20, (4), 717-25 View citations
28. Seasonality and Stochastic Trends in German Consumption and Income, 1960.1-1987.4
    Empirical Economics, 1995, 20, (1), 109-32
    See Also Working Paper (1994)

1994

29. Model Selection in Periodic Autoregressions
    Oxford Bulletin of Economics and Statistics, 1994, 56, (4), 421-39 View citations
30. The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
    Journal of Business & Economic Statistics, 1994, 12, (4), 471-78 View citations
    See Also Working Paper (1992)

1992

31. Dynamic Specification and Cointegration
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 369-81 View citations
32. Model adequacy and influential observations
    Economics Letters, 1992, 38, (2), 133-137
33. The Norwegian Consumption Function: A Comment
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 455-59 View citations

1991

34. Moving average filters and unit roots
    Economics Letters, 1991, 37, (4), 399-403 View citations