Details about Geert Dhaene

Access statistics for papers by Geert Dhaene.

Last updated 2022-12-31. Update your information in the RePEc Author Service.

Short-id: pdh25

Working Papers

2019

1. Profile-Score Adjustments for Incidental-Parameter Problems
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in SciencePo Working papers Main, HAL (2015)
   Working Papers, HAL (2015) View citations (1)

2016

2. Bias-corrected estimation of panel vector autoregressions
   Post-Print, HAL View citations (3)
   Also in SciencePo Working papers, HAL (2015)
   SciencePo Working papers Main, HAL (2015)
   Working Papers, HAL (2015)
   SciencePo Working papers Main, HAL (2016) View citations (2)
   See also Journal Article Bias-corrected estimation of panel vector autoregressions, Economics Letters, Elsevier (2016) View citations (3) (2016)
3. Likelihood Inference in an Autoregression with Fixed Effects
   SciencePo Working papers Main, HAL View citations (1)
   Also in Working Papers, HAL (2013) View citations (8)
   SciencePo Working papers Main, HAL (2013)
   Post-Print, HAL (2016) View citations (13)
   SciencePo Working papers, HAL (2013) View citations (1)
   See also Journal Article LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS, Econometric Theory, Cambridge University Press (2016) View citations (24) (2016)
4. Mixed-frequency multivariate GARCH
   Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
5. Sparse multivariate GARCH
   Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
6. The risk-return tradeoff in international stock markets: one-step multivariate GARCH-M estimation with many assets
   Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
   Also in Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven (2016)

2015

7. Split-panel jackknife estimation of fixed-effect models
   SciencePo Working papers Main, HAL View citations (58)
   Also in Working Papers, HAL (2014) View citations (5)
   Working Papers, HAL (2010) View citations (7)
   Post-Print, HAL (2015) View citations (164)
   SciencePo Working papers, HAL (2014) View citations (1)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (36)
   SciencePo Working papers Main, HAL (2014) View citations (1)
   See also Journal Article Split-panel Jackknife Estimation of Fixed-effect Models, The Review of Economic Studies, Review of Economic Studies Ltd (2015) View citations (184) (2015)

2011

8. An Adjusted profile likelihood for non-stationary panel data models with fixed effects
   Working Papers, HAL View citations (13)
   Also in SciencePo Working papers Main, HAL (2011)
9. Profile-score Adjustements for Nonlinearfixed-effect Models
   SciencePo Working papers Main, HAL
   Also in Working Papers, HAL (2011)

2008

10. Specification and Testing of Models Estimated by Quadrature
    Economics Discussion Papers, University of Essex, Department of Economics
    See also Journal Article Specification and testing of models estimated by quadrature, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (3) (2012)

2007

11. Sequential reciprocity in two-player, two-stage games: An experimental analysis
    Working Papers, University of Antwerp, Faculty of Business and Economics View citations (1)
    Also in Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2007)
    See also Journal Article Sequential reciprocity in two-player, two-stage games: An experimental analysis, Games and Economic Behavior, Elsevier (2010) View citations (14) (2010)

2003

12. Asymptotic Results for GMM Estimators of Stochastic Volatility Models
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven View citations (4)
13. Robust Standard Errors for Robust Estimators
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven View citations (8)
14. Testing the Information Matrix Equality with Robust Estimators
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven

2002

15. Inter-ethnic trust and reciprocity: Results of an experiment with small business entrepreneurs
    Working Papers, University of Antwerp, Faculty of Business and Economics View citations (6)
16. The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
    See also Journal Article The information matrix test with bootstrap-based covariance matrix estimation, Economics Letters, Elsevier (2004) View citations (13) (2004)

2000

17. Reversed Score and Likelihood Ratio Tests
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) View citations (1)
    Working Papers, Center for Research in Economics and Statistics (2000) View citations (2)

1999

18. Bartlett Identities Tests
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (4)
    Also in Working Papers, Center for Research in Economics and Statistics (1999) View citations (3)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (4)

1996

19. Normuitgaven voor de Belgische ziekenfondsen: de eerste fase
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

1990

20. When it all began: The 1936 Tinbergen model revisited
    Other publications TiSEM, Tilburg University, School of Economics and Management
    See also Journal Article When it all began: The 1936 Tinbergen model revisited, Economic Modelling, Elsevier (1989) View citations (10) (1989)

Journal Articles

2022

1. Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets
   Journal of Futures Markets, 2022, 42, (5), 868-887 View citations (1)

2021

2. Second-order corrected likelihood for nonlinear panel models with fixed effects
   Journal of Econometrics, 2021, 220, (2), 227-252 View citations (4)

2020

3. Incorporating overnight and intraday returns into multivariate GARCH volatility models
   Journal of Econometrics, 2020, 217, (2), 471-495 View citations (7)

2019

4. xtspj: A command for split-panel jackknife estimation
   Stata Journal, 2019, 19, (2), 335-374 View citations (1)

2017

5. Median-based estimation of dynamic panel models with fixed effects
   Computational Statistics & Data Analysis, 2017, 113, (C), 398-423 View citations (2)

2016

6. Bias-corrected estimation of panel vector autoregressions
   Economics Letters, 2016, 145, (C), 98-103 View citations (3)
   See also Working Paper Bias-corrected estimation of panel vector autoregressions, Post-Print (2016) View citations (3) (2016)
7. LIKELIHOOD INFERENCE IN AN AUTOREGRESSION WITH FIXED EFFECTS
   Econometric Theory, 2016, 32, (5), 1178-1215 View citations (24)
   See also Working Paper Likelihood Inference in an Autoregression with Fixed Effects, SciencePo Working papers Main (2016) View citations (1) (2016)

2015

8. On comparing zero-alpha tests across multifactor asset pricing models
   Journal of Banking & Finance, 2015, 61, (S2), S235-S240 View citations (2)
9. Split-panel Jackknife Estimation of Fixed-effect Models
   The Review of Economic Studies, 2015, 82, (3), 991-1030 View citations (184)
   See also Working Paper Split-panel jackknife estimation of fixed-effect models, SciencePo Working papers Main (2015) View citations (58) (2015)

2012

10. Specification and testing of models estimated by quadrature
    Journal of Applied Econometrics, 2012, 27, (2), 322-332 View citations (3)
    See also Working Paper Specification and Testing of Models Estimated by Quadrature, Economics Discussion Papers (2008) (2008)
11. Unit root tests for panel data with AR(1) errors and small T
    Econometrics Journal, 2012, 15, (1), 101-124 View citations (19)

2010

12. Sequential reciprocity in two-player, two-stage games: An experimental analysis
    Games and Economic Behavior, 2010, 70, (2), 289-303 View citations (14)
    See also Working Paper Sequential reciprocity in two-player, two-stage games: An experimental analysis, Working Papers (2007) View citations (1) (2007)

2008

13. Testing the martingale hypothesis for futures prices: Implications for hedgers
    Journal of Futures Markets, 2008, 28, (11), 1040-1065 View citations (6)

2007

14. Endogeneity, instruments and identification
    Journal of Econometrics, 2007, 139, (1), 1-3 View citations (2)

2005

15. Managing Uncertainty: Financial, Actuarial and Statistical Modeling
    Review of Business and Economic Literature, 2005, L, (1), 23-48

2004

16. 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution
    Econometric Theory, 2004, 20, (1), 227-227 View citations (1)
17. 04.2.2. Characterizations of Hermitian Projectors
    Econometric Theory, 2004, 20, (2), 427-427
18. Indirect Inference for Stochastic Volatility Models via the Log-Squared Observations
    Review of Business and Economic Literature, 2004, XLIX, (3), 421-440 View citations (2)
19. Inter-ethnic trust and reciprocity: results of an experiment with small businessmen
    European Journal of Political Economy, 2004, 20, (4), 869-886 View citations (88)
20. The information matrix test with bootstrap-based covariance matrix estimation
    Economics Letters, 2004, 82, (3), 341-347 View citations (13)
    See also Working Paper The Information Matrix Test with Bootstrap-Based Covariance Matrix Estimation, Working Papers of Department of Economics, Leuven (2002) (2002)

2003

21. 14th EC2 conference
    Economics Bulletin, 2003, 28, (56), A56
22. Best affine unbiased response decomposition
    Journal of Multivariate Analysis, 2003, 86, (2), 242-253 View citations (2)

1998

23. Instrumental Models and Indirect Encompassing
    Econometrica, 1998, 66, (3), 673-688 View citations (11)
24. On the hypothesis of psychological barriers in stock markets and Benford's Law
    Journal of Empirical Finance, 1998, 5, (3), 263-279 View citations (35)
25. Risk adjustment and the trade‐off between efficiency and risk selection: an application of the theory of fair compensation
    Health Economics, 1998, 7, (5), 465-480 View citations (34)

1995

26. Dépenses normatives des organismes assureurs dans le cadre de l'introduction de la responsabilité financière (1995-1996)
    Brussels Economic Review, 1995, 149, 3-30

1989

27. When it all began: The 1936 Tinbergen model revisited
    Economic Modelling, 1989, 6, (2), 203-219 View citations (10)
    See also Working Paper When it all began: The 1936 Tinbergen model revisited, Other publications TiSEM (1990) (1990)

Software Items

2019

1. XTSPJ: Stata module for split-panel jackknife estimation
   Statistical Software Components, Boston College Department of Economics