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Details about Herman K. van Dijk

Homepage:http://people.few.eur.nl/hkvandijk/
Workplace:Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Herman K. van Dijk.

Last updated 2016-12-01. Update your information in the RePEc Author Service.

Short-id: pva325


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Working Papers

2017

  1. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Working Paper, Norges Bank (2015) Downloads View citations (7)

2016

  1. Parallelization Experience with Four Canonical Econometric Models using ParMitISEM
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Econometrics (2016)
  2. Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2015

  1. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) Downloads View citations (2)

    See also Journal Article in Journal of Statistical Software (2015)
  3. The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2014

  1. Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Combined Density Nowcasting in an Uncertain Economic Environment
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Paper, Norges Bank (2014) Downloads View citations (1)
  4. Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) Downloads View citations (3)
    Working Paper, Norges Bank (2013) Downloads View citations (4)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) Downloads View citations (3)
  5. On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  6. Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Econometrics (2016)

2013

  1. Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  2. Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2014)
  3. Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads View citations (9)
  4. Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

2012

  1. A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (20)
    See also Journal Article in Journal of Econometrics (2012)
  2. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2014)
  3. Combination schemes for turning point predictions
    Working Paper, Norges Bank Downloads View citations (12)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) Downloads View citations (14)

    See also Journal Article in The Quarterly Review of Economics and Finance (2012)
  4. Combining predictive densities using Bayesian filtering with applications to US economic data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (4)
    Working Paper, Norges Bank (2010) Downloads View citations (5)
  5. Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in International Economic Review (2013)
  6. Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  7. The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  8. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2013)

2011

  1. A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  3. Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  4. Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  5. Divergent Priors and well Behaved Bayes Factors
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Central European Journal of Economic Modelling and Econometrics (2014)
  6. Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2010

  1. A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  2. Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010) Downloads

2009

  1. AdMit: Adaptive Mixtures of Student-t Distributions
    DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland Downloads View citations (13)
  2. Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit
    DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland Downloads View citations (15)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads

    See also Journal Article in Journal of Statistical Software (2009)
  3. Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Paper, Norges Bank (2009) Downloads

    See also Journal Article in Journal of Forecasting (2010)
  4. Robust Optimization of the Equity Momentum Strategy
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  5. To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

2008

  1. Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  2. Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in International Journal of Forecasting (2010)
  3. Bayesian near-boundary analysis in basic macroeconomic time series models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (18)
  4. Distributional Dynamics using Quartic-based State-Space models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
  5. Possibly Ill-behaved Posteriors in Econometric Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  6. The AdMit Package
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

2007

  1. Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia Downloads View citations (5)
  2. Note on neural network sampling for Bayesian inference of mixture processes
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  3. Predictive gains from forecast combinations using time-varying model weights
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (9)
  4. Simulation based Bayesian econometric inference: principles and some recent computational advances
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2007) Downloads

2006

  1. "Rotterdam Econometrics": an analysis of publications of the econometric institute 1956-2004
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Statistica Neerlandica (2006)
  2. "Rotterdam econometrics": publications of the econometric institute 1956-2005
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  3. A reconsideration of the Angrist-Krueger analysis on returns to education
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
  4. Gibbs sampling in econometric practice
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
  5. Jan Tinbergen (1903-1994)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  6. Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2006) Downloads
  7. Modelling option prices using neural networks
    Computing in Economics and Finance 2006, Society for Computational Economics
  8. Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Journal of Econometrics (2007)
  9. On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2005

  1. Bayesian approaches to cointegratrion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Discussion Papers in Economics, Department of Economics, University of Leicester (2004) Downloads View citations (6)
  2. Improper priors with well defined Bayes Factors
    Discussion Papers in Economics, Department of Economics, University of Leicester Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) Downloads View citations (1)
  3. On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2005) Downloads
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Econometrics (2007)
  4. Trends and cycles in economic time series: A Bayesian approach
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2007)
  5. Weakly informative priors and well behaved Bayes factors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

2004

  1. Bayes estimates of the cyclical component in twentieth centruy US gross domestic product
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
  2. Bayesian Model Selection with an Uninformative Prior
    Keele Economics Research Papers, Centre for Economic Research, Keele University Downloads View citations (1)
  3. Cyclical components in economic time series: A Bayesian approach
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (8)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) Downloads View citations (2)
  4. Exceptions to Bartlett’s Paradox
    Keele Economics Research Papers, Centre for Economic Research, Keele University Downloads
  5. Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  6. The Value of Structural Information in the VAR Model
    Keele Economics Research Papers, Centre for Economic Research, Keele University Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) Downloads
    Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads View citations (1)
  7. Twentieth century shocks, trends and cycles in industrialized nations
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in De Economist (2004)
  8. Valuing structure, model uncertainty and model averaging in vector autoregressive processes
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (6)

2003

  1. Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Econometrics (2004)
  2. Bayes model averaging of cyclical decompositions in economic time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Journal of Applied Econometrics (2006)
  3. Bayesian model selection for a sharp null and a diffuse alternative with econometric applications
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  4. Explaining Adaptive Radial-Based Direction Sampling
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  5. Neural network approximations to posterior densities: an analytical approach
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

2002

  1. Adaptive Polar Sampling
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
  2. Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
  3. Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2003)
  4. Cyclical components in economic time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (5)
  5. Efficient Sampling from Non-Standard Distributions Using Neural NetworkApproximations
    Computing in Economics and Finance 2002, Society for Computational Economics
  6. Functional approximations to posterior densities: a neural network approach to efficient sampling
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  7. On Bayesian structural inference in a simultaneous equation model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)

2001

  1. A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001) Downloads View citations (3)
  2. Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  3. Daily Exchange Rate Behaviour and Hedging of Currency Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (11)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (12)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2000)
  4. Neural networks as econometric tool
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads
  5. On the Variation of Hedging Decisions in Daily Currency Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (1)

2000

  1. ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (6)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (6)
  2. Combined Forecasts from Linear and Nonlinear Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (29)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (11)

    See also Journal Article in International Journal of Forecasting (2002)

1999

  1. Neural network analysis of varying trends in real exchange rates
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  2. Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) Downloads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (4)

1998

  1. A simple strategy to prune neural networks with an application to economic time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) Downloads
  2. Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
  3. Bayesian Simultaneous Equations Analysis using Reduced Rank Structures
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (27)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1997) Downloads View citations (2)

    See also Journal Article in Econometric Theory (1998)

1997

  1. Oil Price Shocks and Long Run Price and Import Demand Behavior
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    See also Journal Article in Annals of the Institute of Statistical Mathematics (1999)

1991

  1. On Bayesian routes to unit roots
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis Downloads View citations (71)
    See also Journal Article in Journal of Applied Econometrics (1991)

1988

  1. BAYESIAN SPECIFICATION ANALYSIS AND ESTIMATION OF SIMULTANEOUS EQUATION MODELS USING MONTE CARLO METHODS
    Working Papers, Southern California - Department of Economics View citations (23)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1987)

    See also Journal Article in Journal of Econometrics (1988)

1986

  1. A product of multivariate T densities as upper bound for the posterior kernel of simultaneous equation model parameters
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

Undated

  1. Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  2. Some advances in Bayesian estimations methods using Monte Carlo Integration
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Journal Articles

2016

  1. Computational Complexity and Parallelization in Bayesian Econometric Analysis
    Econometrics, 2016, 4, (1), 1-3 Downloads
  2. Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
    Econometrics, 2016, 4, (1), 1-20 Downloads View citations (1)
    See also Working Paper (2016)
  3. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
    Econometrics, 2016, 4, (1), 1-19 Downloads
    See also Working Paper (2014)

2015

  1. Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
    Journal of Statistical Software, 2015, 068, (i03) Downloads View citations (5)
    See also Working Paper (2015)

2014

  1. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
    Econometric Reviews, 2014, 33, (1-4), 3-35 Downloads View citations (13)
    See also Working Paper (2012)
  2. Divergent Priors and Well Behaved Bayes Factors
    Central European Journal of Economic Modelling and Econometrics, 2014, 6, (1), 1-31 Downloads View citations (1)
    See also Working Paper (2011)
  3. POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA
    Journal of Applied Econometrics, 2014, 29, (7), 1164-1182 Downloads View citations (8)
    See also Working Paper (2013)

2013

  1. EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING
    International Economic Review, 2013, 54, (1), 385-402 View citations (8)
    See also Working Paper (2012)
  2. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 Downloads View citations (34)
    See also Working Paper (2012)

2012

  1. A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
    Journal of Econometrics, 2012, 171, (2), 101-120 Downloads View citations (21)
    See also Working Paper (2012)
  2. A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
    Computational Statistics & Data Analysis, 2012, 56, (11), 3398-3414 Downloads View citations (29)
    See also Working Paper (2010)
  3. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 Downloads View citations (14)
    See also Working Paper (2012)

2011

  1. Comment
    Journal of Business & Economic Statistics, 2011, 30, (1), 30-33 Downloads

2010

  1. Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
    International Journal of Forecasting, 2010, 26, (2), 231-247 Downloads View citations (16)
    See also Working Paper (2008)
  2. Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
    Journal of Forecasting, 2010, 29, (1-2), 251-269 Downloads View citations (17)
    See also Working Paper (2009)
  3. The Fifth Special Issue on Computational Econometrics
    Computational Statistics & Data Analysis, 2010, 54, (11), 2359-2359 Downloads

2009

  1. Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit
    Journal of Statistical Software, 2009, 029, (i03) Downloads View citations (12)
    See also Working Paper (2009)
  2. The fourth special issue on Computational Econometrics
    Computational Statistics & Data Analysis, 2009, 53, (6), 1923-1924 Downloads

2007

  1. Computational techniques for applied econometric analysis of macroeconomic and financial processes
    Computational Statistics & Data Analysis, 2007, 51, (7), 3506-3508 Downloads View citations (1)
  2. Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
    Econometric Reviews, 2007, 26, (2-4), 107-112 Downloads
  3. Endogeneity, instruments and identification
    Journal of Econometrics, 2007, 139, (1), 1-3 Downloads View citations (2)
  4. Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
    Journal of Econometrics, 2007, 138, (1), 63-103 Downloads View citations (25)
    See also Working Paper (2006)
  5. On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks
    Journal of Econometrics, 2007, 139, (1), 154-180 Downloads View citations (46)
    See also Working Paper (2005)
  6. Progress and challenges in econometrics
    Journal of Econometrics, 2007, 138, (1), 1-2 Downloads
  7. Trends and cycles in economic time series: A Bayesian approach
    Journal of Econometrics, 2007, 140, (2), 618-649 Downloads View citations (46)
    See also Working Paper (2005)

2006

  1. 'Rotterdam econometrics': an analysis of publications of the Econometric Institute 1956-2004
    Statistica Neerlandica, 2006, 60, (2), 85-111 Downloads
    See also Working Paper (2006)
  2. Bayes model averaging of cyclical decompositions in economic time series
    Journal of Applied Econometrics, 2006, 21, (2), 191-212 Downloads View citations (2)
    See also Working Paper (2003)

2005

  1. On the dynamics of business cycle analysis: editors' introduction
    Journal of Applied Econometrics, 2005, 20, (2), 147-150 Downloads View citations (6)

2004

  1. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    Journal of Econometrics, 2004, 123, (2), 201-225 Downloads View citations (13)
    See also Working Paper (2003)
  2. Recent advances in Bayesian econometrics
    Journal of Econometrics, 2004, 123, (2), 197-199 Downloads
  3. Twentieth Century Shocks, Trends and Cycles in Industrialized Nations
    De Economist, 2004, 152, (2), 211-232 Downloads View citations (1)
    See also Working Paper (2004)

2003

  1. Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income
    Journal of Business & Economic Statistics, 2003, 21, (4), 547-63 View citations (33)
    See also Working Paper (2002)

2002

  1. Combined forecasts from linear and nonlinear time series models
    International Journal of Forecasting, 2002, 18, (3), 421-438 Downloads View citations (22)
    See also Working Paper (2000)
  2. Neural Network Pruning Applied to Real Exchange Rate Analysis
    Journal of Forecasting, 2002, 21, (8), 559-77 View citations (4)

2000

  1. Daily exchange rate behaviour and hedging of currency risk
    Journal of Applied Econometrics, 2000, 15, (6), 671-696 Downloads View citations (16)
    See also Working Paper (2001)
  2. Introduction: inference and decision making
    Journal of Applied Econometrics, 2000, 15, (6), 545-546 View citations (1)

1999

  1. Oil Price Shocks and Long Run Price and Import Demand Behavior
    Annals of the Institute of Statistical Mathematics, 1999, 51, (3), 399-417 Downloads View citations (1)
    See also Working Paper (1997)
  2. Some remarks on the simulation revolution in bayesian econometric inference
    Econometric Reviews, 1999, 18, (1), 105-112 Downloads View citations (4)

1998

  1. BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
    Econometric Theory, 1998, 14, (06), 701-743 Downloads View citations (66)
    See also Working Paper (1998)
  2. Distribution and mobility of wealth of nations
    European Economic Review, 1998, 42, (7), 1269-1293 Downloads View citations (72)

1996

  1. Editor's introduction
    Journal of Econometrics, 1996, 75, (1), 1-5 Downloads View citations (1)

1995

  1. Classical and Bayesian aspects of robust unit root inference
    Journal of Econometrics, 1995, 69, (1), 27-59 Downloads View citations (13)

1994

  1. Bayes Methods and Unit Roots
    Econometric Theory, 1994, 10, (3-4), 453-460 Downloads View citations (1)
  2. Direct cointegration testing in error correction models
    Journal of Econometrics, 1994, 63, (1), 61-103 Downloads View citations (17)
  3. On the Shape of the Likelihood/Posterior in Cointegration Models
    Econometric Theory, 1994, 10, (3-4), 514-551 Downloads View citations (63)

1993

  1. Non-stationarity in GARCH Models: A Bayesian Analysis
    Journal of Applied Econometrics, 1993, 8, (S), S41-61 Downloads View citations (26)

1992

  1. International conference on econometric inference using simulation techniques
    Journal of Econometrics, 1992, 51, (1-2), 287-287 Downloads
  2. SISAM and MIXIN: Two Algorithms for the Computation of Posterior Moments and Densities Using Monte Carlo Integration
    Computer Science in Economics & Management, 1992, 5, (3), 183-220 View citations (2)

1991

  1. A Bayesian analysis of the unit root in real exchange rates
    Journal of Econometrics, 1991, 49, (1-2), 195-238 Downloads View citations (68)
  2. Modelling Relative Price Variability and Aggregate Inflation in the United Kingdom: Comment
    Scandinavian Journal of Economics, 1991, 93, (2), 213-17
  3. On Bayesian Routes to Unit Roots
    Journal of Applied Econometrics, 1991, 6, (4), 387-401 Downloads View citations (67)
    See also Working Paper (1991)

1988

  1. Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
    Journal of Econometrics, 1988, 38, (1-2), 39-72 Downloads View citations (27)
    See also Working Paper (1988)

1985

  1. Editor's introduction
    Journal of Econometrics, 1985, 29, (1-2), 1-2 Downloads
  2. Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services
    Journal of Econometrics, 1985, 29, (1-2), 121-148 Downloads View citations (1)
  3. Posterior moments computed by mixed integration
    Journal of Econometrics, 1985, 29, (1-2), 3-18 Downloads View citations (8)

1980

  1. Further experience in Bayesian analysis using Monte Carlo integration
    Journal of Econometrics, 1980, 14, (3), 307-328 Downloads View citations (37)
  2. Inferential Procedures in Stable Distributions for Class Frequency Data on Incomes
    Econometrica, 1980, 48, (5), 1139-48 Downloads View citations (3)

1978

  1. Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
    Econometrica, 1978, 46, (1), 1-19 Downloads View citations (152)
  2. Efficient estimation of income distribution parameters
    Journal of Econometrics, 1978, 8, (1), 61-74 Downloads View citations (14)

Books

2004

  1. Econometric Methods with Applications in Business and Economics
    OUP Catalogue, Oxford University Press View citations (52)

Edited books

2013

  1. The Oxford Handbook of Bayesian Econometrics
    OUP Catalogue, Oxford University Press

2011

  1. The Oxford Handbook of Bayesian Econometrics
    OUP Catalogue, Oxford University Press View citations (2)
 
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