Details about Jan G. De Gooijer

Homepage:	http://www.jandegooijer.nl
Workplace:	Afdeling Kwantitatieve Economie (Department of Quantitative Economics), Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)

Access statistics for papers by Jan G. De Gooijer.

Last updated 2023-06-08. Update your information in the RePEc Author Service.

Short-id: pgo185

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Working Papers

2021

1. A multi-step kernel–based regression estimator that adapts to error distributions of unknown form
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library

2011

2. Asymptotically Informative Prior for Bayesian Analysis
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article Asymptotically Informative Prior for Bayesian Analysis, Communications in Statistics - Theory and Methods, Taylor & Francis Journals (2014) (2014)
3. Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2010

4. Some Exact Tests for Manifest Properties of Latent Trait Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article Some exact tests for manifest properties of latent trait models, Computational Statistics & Data Analysis, Elsevier (2011) View citations (3) (2011)

2009

5. Efficient Estimation of an Additive Quantile Regression
   Tinbergen Institute Discussion Papers, Tinbergen Institute
6. Efficient Estimation of an Additive Quantile Regression Model
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Efficient Estimation of an Additive Quantile Regression Model, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2011) View citations (2) (2011)
7. Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (2)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2009) View citations (2)
   See also Journal Article Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2012) View citations (4) (2012)

2008

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

2007

9. Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
   Umeå Economic Studies, Umeå University, Department of Economics View citations (5)

2006

10. Semiparametric Regression with Kernel Error Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Semiparametric Regression with Kernel Error Model, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2007) View citations (17) (2007)

2005

11. 25 Years of IIF Time Series Forecasting: A Selective Review
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2005) View citations (6)
12. Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2004

13. On the u-th Geometric Conditional Quantile
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)

2002

14. On Conditional Density Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article On Conditional Density Estimation, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2003) View citations (19) (2003)

2000

15. ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH
    Umeå Economic Studies, Umeå University, Department of Economics View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2000) View citations (3)
    See also Journal Article Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (10) (2004)
16. Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs
    Tinbergen Institute Discussion Papers, Tinbergen Institute

1999

17. Nonparametric Regression with Serially Correlated Errors
    Tinbergen Institute Discussion Papers, Tinbergen Institute

1997

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

1987

19. Higher order moments of bilinear time series processes with symmetrically distributed errors
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Research Memorandum, Tilburg University, School of Economics and Management (1987)

1983

20. Approximate moments for the sampled space-time autocorrelation function
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business

1980

21. FORMULAE FOR THE COVARIANCE STRUCTURE OF THE SAMPLED AUTOCOVARIANCES FROM SERIES GENERATED BY GENERAL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESSES OF ORDER (n,d,q) d = 0 or 1
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business

1977

22. On the inverse of the autocovariance matrix for a general mixed autoregressive movie average process
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business

Journal Articles

2023

1. On portmanteau-type tests for nonlinear multivariate time series
   Journal of Multivariate Analysis, 2023, 195, (C)
2. Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors
   Computational Economics, 2023, 62, (1), 407-424

2022

3. Kernel-based hidden Markov conditional densities
   Computational Statistics & Data Analysis, 2022, 169, (C)

2021

4. Asymmetric vector moving average models: estimation and testing
   Computational Statistics, 2021, 36, (2), 1437-1460

2020

5. Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts
   Journal of Time Series Econometrics, 2020, 12, (1), 15 View citations (1)

2019

6. Semiparametric quantile averaging in the presence of high-dimensional predictors
   International Journal of Forecasting, 2019, 35, (3), 891-909 View citations (3)

2018

7. Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach
   Financial Markets and Portfolio Management, 2018, 32, (4), 419-436

2016

8. Non parametric portmanteau tests for detecting non linearities in high dimensions
   Communications in Statistics - Theory and Methods, 2016, 45, (2), 385-399 View citations (1)

2014

9. Asymptotically Informative Prior for Bayesian Analysis
   Communications in Statistics - Theory and Methods, 2014, 43, (14), 3080-3094
   See also Working Paper Asymptotically Informative Prior for Bayesian Analysis, Tinbergen Institute Discussion Papers (2011) (2011)

2012

10. Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
    Central European Journal of Economic Modelling and Econometrics, 2012, 4, (1), 23-44 View citations (4)
    See also Working Paper Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns, CeNDEF Working Papers (2009) View citations (2) (2009)
11. Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (1), 24 View citations (2)

2011

12. Efficient Estimation of an Additive Quantile Regression Model
    Scandinavian Journal of Statistics, 2011, 38, (1), 46-62 View citations (2)
    See also Working Paper Efficient Estimation of an Additive Quantile Regression Model, MPRA Paper (2009) (2009)
13. Some exact tests for manifest properties of latent trait models
    Computational Statistics & Data Analysis, 2011, 55, (1), 34-44 View citations (3)
    See also Working Paper Some Exact Tests for Manifest Properties of Latent Trait Models, Tinbergen Institute Discussion Papers (2010) (2010)

2008

14. Parametric and nonparametric Granger causality testing: Linkages between international stock markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (11), 2547-2560 View citations (11)
15. Partial sums of lagged cross-products of AR residuals and a test for white noise
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2008, 17, (3), 567-584

2007

16. Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities
    Journal of Applied Statistics, 2007, 34, (4), 371-381 View citations (5)
17. Semiparametric Regression with Kernel Error Model
    Scandinavian Journal of Statistics, 2007, 34, (4), 841-869 View citations (17)
    See also Working Paper Semiparametric Regression with Kernel Error Model, Tinbergen Institute Discussion Papers (2006) (2006)

2006

18. 25 years of time series forecasting
    International Journal of Forecasting, 2006, 22, (3), 443-473 View citations (187)
19. Detecting change-points in multidimensional stochastic processes
    Computational Statistics & Data Analysis, 2006, 51, (3), 1892-1903 View citations (6)

2005

20. Estimating threshold cointegrated systems
    Economics Bulletin, 2005, 3, (8), 1-7 View citations (2)
21. Introduction to nonlinearities, business cycles, and forecasting
    International Journal of Forecasting, 2005, 21, (4), 623-625 View citations (1)

2004

22. Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH
    Journal of Forecasting, 2004, 23, (3), 155-171 View citations (10)
    See also Working Paper ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH, Umeå Economic Studies (2000) View citations (7) (2000)
23. Editorial Announcement
    International Journal of Forecasting, 2004, 20, (4), 523-524
24. Forecasting threshold cointegrated systems
    International Journal of Forecasting, 2004, 20, (2), 237-253 View citations (27)

2003

25. Modeling vector nonlinear time series using POLYMARS
    Computational Statistics & Data Analysis, 2003, 42, (1-2), 73-90 View citations (3)
26. Nonlinear stochastic inflation modelling using SEASETARs
    Insurance: Mathematics and Economics, 2003, 32, (1), 3-18 View citations (2)
27. On Additive Conditional Quantiles With High Dimensional Covariates
    Journal of the American Statistical Association, 2003, 98, 135-146 View citations (37)
28. On Conditional Density Estimation
    Statistica Neerlandica, 2003, 57, (2), 159-176 View citations (19)
    See also Working Paper On Conditional Density Estimation, Tinbergen Institute Discussion Papers (2002) (2002)

2002

29. Introduction to forecasting decisions in conflict situations
    International Journal of Forecasting, 2002, 18, (3), 319-320
30. Mean squared error properties of the kernel-based multi-stage median predictor for time series
    Statistics & Probability Letters, 2002, 56, (1), 51-56 View citations (3)

2001

31. Cross‐validation Criteria for Setar Model Selection
    Journal of Time Series Analysis, 2001, 22, (3), 267-281 View citations (1)

2000

32. Nonparametric conditional predictive regions for time series
    Computational Statistics & Data Analysis, 2000, 33, (3), 259-275 View citations (16)

1999

33. Lagged Regression Residuals and Serial-Correlation Tests
    Journal of Business & Economic Statistics, 1999, 17, (2), 236-47 View citations (1)

1998

34. Forecasting exchange rates using TSMARS
    Journal of International Money and Finance, 1998, 17, (3), 513-534 View citations (8)
35. On forecasting SETAR processes
    Statistics & Probability Letters, 1998, 37, (1), 7-14 View citations (19)
36. On threshold moving‐average models
    Journal of Time Series Analysis, 1998, 19, (1), 1-18 View citations (3)

1997

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

1996

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

1995

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

1993

40. 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
41. 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 View citations (3)

1992

42. Dynamic factor analysis of nonstationary multivariate time series
    Psychometrika, 1992, 57, (3), 333-349 View citations (14)
43. On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes
    International Journal of Forecasting, 1992, 7, (4), 501-513 View citations (3)
44. Some recent developments in non-linear time series modelling, testing, and forecasting
    International Journal of Forecasting, 1992, 8, (2), 135-156 View citations (72)

1990

45. The role of time series analysis in forecasting: A personal view
    International Journal of Forecasting, 1990, 6, (4), 449-451 View citations (3)

1989

46. Testing non-linearities in world stock market prices
    Economics Letters, 1989, 31, (1), 31-35 View citations (5)

1980

47. 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 (7)

Chapters

1997

1. MODEL SELECTION BY MAXIMUM ENTROPY
   A chapter in Applying Maximum Entropy to Econometric Problems, 1997, pp 135-161