Details about Jan G. De Gooijer

Access statistics for papers by Jan G. De Gooijer.

Last updated 2008-08-18. Update your information in the RePEc Author Service.

Short-id: pgo185

Working Papers

2008

1. MDL Mean Function Selection in Semiparametric Kernel Regression Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2007

2. Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
   Umeå Economic Studies, Umeå University, Department of Economics

2005

3. 25 Years of IIF Time Series Forecasting: A Selective Review
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
   Also in
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations
4. Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2004

5. On the u-th Geometric Conditional Quantile
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2002

6. On Conditional Density Estimation
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See Also Journal Article in Statistica Neerlandica (2003)

2000

7. ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH
   Umeå Economic Studies, Umeå University, Department of Economics View citations
   Also in
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2000) View citations
   See Also Journal Article in Journal of Forecasting (2004)
8. Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

1999

9. Kernel-based Multistep-ahead Predictions of the US Short-term Interest Rate
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
10. Nonparametric Regression with Serially Correlated Errors
    Tinbergen Institute Discussion Papers, Tinbergen Institute

1997

11. Testing Linearity against Nonlinear Moving Average Models
    Umeå Economic Studies, Umeå University, Department of Economics
    Also in
    Working Paper Series in Economics and Finance, Stockholm School of Economics (1996)

Undated

12. Semiparametric Regression with Kernel Error Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See Also Journal Article in Scandinavian Journal of Statistics (2007)

Journal Articles

2007

1. Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities
   Journal of Applied Statistics, 2007, 34, (4), 371-381
2. Semiparametric Regression with Kernel Error Model
   Scandinavian Journal of Statistics, 2007, 34, (4), 841-869 View citations
   See Also Working Paper

2006

3. 25 years of time series forecasting
   International Journal of Forecasting, 2006, 22, (3), 443-473 View citations
4. Detecting change-points in multidimensional stochastic processes
   Computational Statistics & Data Analysis, 2006, 51, (3), 1892-1903

2005

5. Estimating threshold cointegrated systems
   Economics Bulletin, 2005, 3, (8), 1-7
6. Introduction to nonlinearities, business cycles, and forecasting
   International Journal of Forecasting, 2005, 21, (4), 623-625

2004

7. Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH
   Journal of Forecasting, 2004, 23, (3), 155-171 View citations
   See Also Working Paper (2000)
8. Editorial Announcement
   International Journal of Forecasting, 2004, 20, (4), 523-524
9. Forecasting threshold cointegrated systems
   International Journal of Forecasting, 2004, 20, (2), 237-253 View citations

2003

10. Modeling vector nonlinear time series using POLYMARS
    Computational Statistics & Data Analysis, 2003, 42, (1-2), 73-90
11. Nonlinear stochastic inflation modelling using SEASETARs
    Insurance: Mathematics and Economics, 2003, 32, (1), 3-18
12. On Additive Conditional Quantiles With High Dimensional Covariates
    Journal of the American Statistical Association, 2003, 98, 135-146 View citations
13. On Conditional Density Estimation
    Statistica Neerlandica, 2003, 57, (2), 159-176 View citations
    See Also Working Paper (2002)

2002

14. Introduction to forecasting decisions in conflict situations
    International Journal of Forecasting, 2002, 18, (3), 319-320

2000

15. Nonparametric conditional predictive regions for time series
    Computational Statistics & Data Analysis, 2000, 33, (3), 259-275 View citations

1999

16. Lagged Regression Residuals and Serial-Correlation Tests
    Journal of Business & Economic Statistics, 1999, 17, (2), 236-47

1998

17. Forecasting exchange rates using TSMARS
    Journal of International Money and Finance, 1998, 17, (3), 513-534 View citations

1997

18. Forecasting and seasonality
    International Journal of Forecasting, 1997, 13, (3), 303-305

1996

19. Component extraction analysis of multivariate time series
    Computational Statistics & Data Analysis, 1996, 21, (5), 487-499

1995

20. Oliver Duncan Anderson: 1940-1995
    International Journal of Forecasting, 1995, 11, (1), 195-196

1993

21. Nonlinear dynamics, chaos, and instability: William A. Brock, David A. Hsieh and Blake LeBaron, 1991, (MIT Press, Cambridge) 328, pp. [UK pound]29.25. ISBN 0-262-02329-6
    International Journal of Forecasting, 1993, 9, (1), 134-135
22. On predictive least squares principles: C.Z. Wei, The Annals of Statistics 20 (1992), 1-42
    International Journal of Forecasting, 1993, 9, (1), 138-139

1992

23. Dynamic factor analysis of nonstationary multivariate time series
    Psychometrika, 1992, 57, (3), 333-349 View citations
24. On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes
    International Journal of Forecasting, 1992, 7, (4), 501-513
25. Some recent developments in non-linear time series modelling, testing, and forecasting
    International Journal of Forecasting, 1992, 8, (2), 135-156 View citations

1990

26. The role of time series analysis in forecasting: A personal view
    International Journal of Forecasting, 1990, 6, (4), 449-451

1989

27. Testing non-linearities in world stock market prices
    Economics Letters, 1989, 31, (1), 31-35 View citations

1980

28. Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1
    Journal of Econometrics, 1980, 14, (3), 365-379 View citations