Details about Jan R. Magnus
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Short-id: pma753
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Working Papers
2020
- Sampling properties of the Bayesian posterior mean with an application to WALS estimation
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
Also in EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2020)
- The Jacobian of the exponential function
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
- The perception of climate sensitivity: Revealing priors from posteriors
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Zero-diagonality as a linear structure
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
2019
- Posterior moments and quantiles for the normal location model with Laplace prior
EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (3)
2018
- Comments on “Unobservable Selection and Coefficient Stability-Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right”
EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) 
See also Journal Article Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right”, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (1) (2019)
- Earthquake risk embedded in property prices: Evidence from five Japanese cities
Tinbergen Institute Discussion Papers, Tinbergen Institute
2017
- Adaptation for mitigation
Discussion papers, Graduate School of Economics , Kyoto University 
Also in Working Papers, Fondazione Eni Enrico Mattei (2014) View citations (1) Climate Change and Sustainable Development, Fondazione Eni Enrico Mattei (FEEM) (2014) View citations (7) Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (1)
See also Journal Article Adaptation for Mitigation, Environmental & Resource Economics, Springer (2020) View citations (4) (2020)
- Grade Expectations: Rationality and Overconfidence
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
- Weighted-Average Least Squares Estimation of Generalized Linear Models
Tinbergen Institute Discussion Papers, Tinbergen Institute 
Also in EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2017) View citations (1)
See also Journal Article Weighted-average least squares estimation of generalized linear models, Journal of Econometrics, Elsevier (2018) View citations (18) (2018)
2016
- The forecast combination puzzle: a simple theoretical explanation
Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven 
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (5)
See also Journal Article The forecast combination puzzle: A simple theoretical explanation, International Journal of Forecasting, Elsevier (2016) View citations (117) (2016)
2015
- On the Ambiguous Consequences of Omitting Variables
Tinbergen Institute Discussion Papers, Tinbergen Institute 
Also in EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2015)
2014
- Expected Utility and Catastrophic Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
2013
- Practical use of sensitivity in econometrics with an illustration to forecast combinations
Working Papers, University of Sydney Business School, Discipline of Business Analytics
2012
- Concept-Based Bayesian Model Averaging and Growth Empirics
Discussion Paper, Tilburg University, Center for Economic Research View citations (5)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2012) View citations (1)
See also Journal Article Concept-Based Bayesian Model Averaging and Growth Empirics, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (16) (2014)
- WALS Prediction
Discussion Paper, Tilburg University, Center for Economic Research
2011
- Bayesian Integration of Large Scale SNA Data Frameworks with an Application to Guatemala
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
- Bayesian Model Averaging and Weighted Average Least Squares: Equivariance, Stability, and Numerical Issues
Discussion Paper, Tilburg University, Center for Economic Research View citations (96)
See also Journal Article Bayesian model averaging and weighted-average least squares: Equivariance, stability, and numerical issues, Stata Journal, StataCorp LLC (2011) View citations (96) (2011)
- Global Warming and Local Dimming: The Statistical Evidence
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (14)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2011) View citations (16)
See also Journal Article Global Warming and Local Dimming: The Statistical Evidence, Journal of the American Statistical Association, American Statistical Association (2011) View citations (17) (2011)
- On the Choice of Prior in Bayesian Model Averaging
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (10)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2011) View citations (11)
- Peer Reporting and the Perception of Fairness
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Discussion Paper, Tilburg University, Center for Economic Research (2011) View citations (1)
See also Journal Article Peer Reporting and the Perception of Fairness, De Economist, Springer (2012) View citations (2) (2012)
- WALS estimation and forecasting in factor-based dynamic models with an application to Armenia
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Discussion Paper, Tilburg University, Center for Economic Research (2011) View citations (1)
See also Journal Article WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia, International Econometric Review (IER), Econometric Research Association (2012) View citations (3) (2012)
2010
- Burr Utility
Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
- Climate Change, Economic Growth, and Health
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
- Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model
Discussion Paper, Tilburg University, Center for Economic Research View citations (16)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2010) View citations (12)
See also Journal Article Expected utility and catastrophic risk in a stochastic economy–climate model, Journal of Econometrics, Elsevier (2020) View citations (16) (2020)
- Resource Abundance and Resource Dependence in China
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (6)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2010) View citations (6)
- Scrap Value Functions in Dynamic Decision Problems
Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2010) View citations (2)
- The Perception of Small Crime
Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2010) 
See also Journal Article The perception of small crime, European Journal of Political Economy, Elsevier (2011) View citations (13) (2011)
2009
- Maximum Likelihood Estimation of the Multivariate Normal Mixture Model
MPRA Paper, University Library of Munich, Germany View citations (30)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2009) View citations (29)
See also Journal Article Maximum Likelihood Estimation of the Multivariate Normal Mixture Model, Journal of the American Statistical Association, American Statistical Association (2009) View citations (30) (2009)
2008
- A Comparison of Two Averaging Techniques with an Application to Growth Empirics
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (6)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2008) View citations (45)
- De kans om een tenniswedstrijd te winnen: Federer-Nadal in de finale van Wimbeldon 2007
Other publications TiSEM, Tilburg University, School of Economics and Management
2007
- On some definitions in matrix algebra
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (8)
- On the estimation of a large sparse Bayesian system: the Snaer program
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (5)
See also Journal Article On the estimation of a large sparse Bayesian system: The Snaer program, Computational Statistics & Data Analysis, Elsevier (2008) View citations (7) (2008)
- The asymptotic variance of the pseudo maximum likelihood estimator
CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo View citations (1)
See also Journal Article THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR, Econometric Theory, Cambridge University Press (2007) View citations (1) (2007)
2006
- Are Economic Agents Successful Optimizers? An Analysis Through Strategy in Tennis
Discussion Paper, Tilburg University, Center for Economic Research
- Are Economic Agents Successful Optimizers? An Analysis through Service Strategy in Tennis
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Records in Athletics through Extreme-Value Theory
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2006) View citations (1)
See also Journal Article Records in Athletics Through Extreme-Value Theory, Journal of the American Statistical Association, American Statistical Association (2008) View citations (16) (2008)
- Von Hamburg nach Berlin im sommer 1841: Emma Isler berichtet
Other publications TiSEM, Tilburg University, School of Economics and Management
2005
- On Theils' errors
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Discussion Paper, Tilburg University, Center for Economic Research (2003)  Other publications TiSEM, Tilburg University, School of Economics and Management (2003) 
See also Journal Article On Theil's errors, Econometrics Journal, Royal Economic Society (2005) View citations (1) (2005)
2004
- Local Sensitivity and Diagnostic Tests
Discussion Paper, Tilburg University, Center for Economic Research 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2004) 
See also Journal Article Local sensitivity and diagnostic tests, Econometrics Journal, Royal Economic Society (2007) View citations (14) (2007)
2003
- Normal's deconvolution and the independence of sample mean and variance (problem 03.4.1)
Other publications TiSEM, Tilburg University, School of Economics and Management
- The central limit theorem for student's distribution (problem 03.6.1)
Other publications TiSEM, Tilburg University, School of Economics and Management
2002
- Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Discussion Paper, Tilburg University, Center for Economic Research (2002) View citations (15)
- Forecast Accuracy after Pretesting with an Application to the Stock Market
Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2002) View citations (2)
See also Journal Article Forecast accuracy after pretesting with an application to the stock market, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (6) (2004)
- On the sensitivity of the t-statistic
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
2001
- Forecasting the Winner of a Tennis Match
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
Also in Discussion Paper, Tilburg University, Center for Economic Research (2001) View citations (1)
See also Journal Article Forecasting the winner of a tennis match, European Journal of Operational Research, Elsevier (2003) View citations (31) (2003)
- Notation in Econometrics: A Proposal for a Standard
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Discussion Paper, Tilburg University, Center for Economic Research (2001) 
See also Journal Article Notation in econometrics: a proposal for a standard, Econometrics Journal, Royal Economic Society (2002) View citations (38) (2002)
- On the Harm that Pretesting Does
Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2001) View citations (4)
- Some properties of a generalized two-error components matrix (problem 01.5.1)
Other publications TiSEM, Tilburg University, School of Economics and Management
2000
- How to reduce the service dominance in tennis? Empirical results from four years at Wimbledon
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
- Least squares autoregression with near-unit root
Other publications TiSEM, Tilburg University, School of Economics and Management
- The maximum number of omitted variables, Problem 00.2.2
Other publications TiSEM, Tilburg University, School of Economics and Management
1999
- Macro accounts estimation using indicator ratios
Other publications TiSEM, Tilburg University, School of Economics and Management
- Optimal taxation for the reduction of nitrogen surplus in Dutch dairy farms, 1975 to 1989
Other publications TiSEM, Tilburg University, School of Economics and Management
1998
- On the Independence and Identical Distribution of Points in Tennis
Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1998) View citations (3)
1997
- Design of the experiment
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
See also Journal Article Design of the Experiment, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1997) View citations (4) (1997)
- On the sensitivity of the usual t-and f-tests to AR(1) misspecification
Discussion Paper, Tilburg University, Center for Economic Research 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1997)
- Organization of the experiment
Other publications TiSEM, Tilburg University, School of Economics and Management 
See also Journal Article Organization of the Experiment, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1997) (1997)
- Testing some common hypotheses: Four years at Wimbledon
Other publications TiSEM, Tilburg University, School of Economics and Management
- The data: A brief description
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
See also Journal Article The Data: A Brief Description, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1997) View citations (2) (1997)
- Wat tenniscommentatoren niet weten: Een analyse van vier jaar Wimbledon
Other publications TiSEM, Tilburg University, School of Economics and Management
1996
- A classical problem in linear regression or how to estimate the mean of a univariate normal distribution with known variance
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Discussion Paper, Tilburg University, Center for Economic Research (1996)
- Testing some common tennis hypotheses: Four years at Wimbledon
Discussion Paper, Tilburg University, Center for Economic Research 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1996)
- Testing the Sensitivity of OLS when the Variance Maxtrix is (Partially) Unknown
Discussion Paper, Tilburg University, Center for Economic Research 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1996)
1995
- An experiment in applied econometrics
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
- On tests and significance in econometrics
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (24)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1994)  Other publications TiSEM, Tilburg University, School of Economics and Management (1994) 
See also Journal Article On tests and significance in econometrics, Journal of Econometrics, Elsevier (1995) View citations (24) (1995)
- The significance of testing in econometrics
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (5)
1994
- On levies to reduce the nitrogen surplus: The case of Dutch pig farms
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (12)
See also Journal Article On levies to reduce the nitrogen surplus: The case of Dutch pig farms, Environmental & Resource Economics, Springer (1994) View citations (14) (1994)
1993
- Evaluation of moments of quadratic forms and ratios of quadratic forms in normal variables: background, motivation and examples
Other publications TiSEM, Tilburg University, School of Economics and Management
- The evaluation of cumulants and moments of quadratic forms in normal variables (CUM): Technical description
Other publications TiSEM, Tilburg University, School of Economics and Management
- The evaluation of moments of ratios of quadratic forms in normal variables and related statistics (QRMOM): Technical description
Other publications TiSEM, Tilburg University, School of Economics and Management
1992
- On the fundamental bordered matrix of linear estimation
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (2)
1991
- The bias of forecasts from a first-order autoregression
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (5)
See also Journal Article The Bias of Forecasts from a First-Order Autoregression, Econometric Theory, Cambridge University Press (1991) View citations (5) (1991)
1990
- A note on instrumental variables and maximum likelihood estimation procedures
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1988) View citations (5)
See also Journal Article A Note on Instrumental Variables and Maximum Likelihood Estimation Procedures, Annals of Economics and Statistics, GENES (1988) View citations (8) (1988)
- EVALUATION OF MOMENT OF QUADRATIC FORMS IN NORMAL VARIABLES
Working Papers, Tilburg - Center for Economic Research
Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (1) Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)
- EVALUATION OF MOMENTS OF RATIOS OF QUADRATIC FORMS IN NORMAL VARIABLES AND RELATED STATISTICS
Working Papers, Tilburg - Center for Economic Research View citations (4)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (2) Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (2)
- FORECASTING, MISSPECIFICATION AND UNIT ROOTS: THE CASE OF AR(1) VERSUS ARMA (1,1)
Working Papers, Tilburg - Center for Economic Research
Also in Discussion Paper, Tilburg University, Center for Economic Research (1990)  Other publications TiSEM, Tilburg University, School of Economics and Management (1990)
- On certain moments relating to ratios of quadratic forms in normal variables: Further results
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (4)
- On the maximum likelihood estimation of multivariate regression models containing serially correlated error components
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1988) View citations (3)
See also Journal Article On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1988) View citations (3) (1988)
- Separability and aggregation
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)
- The exact multi-period mean-square forecast error for the first-order autoregressive model
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1988) View citations (22)
See also Journal Article The exact multi-period mean-square forecast error for the first-order autoregressive model, Journal of Econometrics, Elsevier (1988) View citations (19) (1988)
- The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
Other publications TiSEM, Tilburg University, School of Economics and Management 
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1989) View citations (10)
See also Journal Article The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept, Journal of Econometrics, Elsevier (1989) View citations (11) (1989)
1988
- The bias of forecasts from a first-order autoregression (Revised version)
Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
1987
- A representation theorem for (trAp)1/p
Other publications TiSEM, Tilburg University, School of Economics and Management
- Inter-fuel substitution in Dutch manufacturing
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (7)
- The ET interview: Professor J. Tinbergen
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (8)
1986
- Asymptotic normality of maximum likelihood estimators obtained from normally distributed but dependent observations
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (8)
See also Journal Article Asymptotic Normmality of Maximum Likelihood Estimators Obtained from Normally Distributed but Dependent Observations, Econometric Theory, Cambridge University Press (1986) View citations (5) (1986)
- Consistent maximum-likelihood estimation with dependent observations: the general (non-normal) case and the normal case
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (8)
Also in University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business (1985) 
See also Journal Article Consistent maximum-likelihood estimation with dependent observations: The general (non-normal) case and the normal case, Journal of Econometrics, Elsevier (1986) View citations (13) (1986)
- On the first-order efficiency and asymptotic normality of maximum likelihood estimators obtained from dependent observations
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (7)
Also in University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business (1984)  University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business (1983) 
See also Journal Article ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (1986) View citations (4) (1986)
- Symmetry, 0-1 matrices and Jacobians: A review
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (21)
Also in University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business (1985) 
See also Journal Article Symmetry, 0-1 Matrices and Jacobians: A Review, Econometric Theory, Cambridge University Press (1986) View citations (27) (1986)
- The exact moments of a ratio of quadratic forms in normal variables
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (46)
See also Journal Article The Exact Moments of a Ratio of Quadratic Forms in Normal Variables, Annals of Economics and Statistics, GENES (1986) View citations (43) (1986)
1985
- MATRIX DIFFERENTIAL CALCULUS AND STATIC OPTIMIZATION part II- differentials: Theory
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
- Matrix differential calculus and static optimization Part III- differentials: Practice
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
- Matrix differential calculus with applications to simple, Hadamard, and Kronecker products
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (20)
- ON THE FIRST-ORDER EFFICIENCY AN DASYMPTOTIC NORMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR OBTAINED FROM DEPENDENT OBSERVATIONS
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
- On differentiating eigenvalues and eigenvectors
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (43)
See also Journal Article On Differentiating Eigenvalues and Eigenvectors, Econometric Theory, Cambridge University Press (1985) View citations (44) (1985)
1983
- ASYMPTOTIC NORMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE NONLINEAR REGRESSION MODEL WITH NORMAL ERRORS
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
- CONSISTENT MAXIMUM LIKELIHOOD ESTIMATION OF THE NONLINEAR REGRESSION MODEL WITH NORMAL ERRORS
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
- Consistency of Maximum Likelihood Estimators When Observations Are Dependent
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
- L-structured matrices and linear matrix equations
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
- On the Asymptotic Normality of the Maximum Likelihood Estimator With Dependent Observations
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
1982
- Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (40)
See also Journal Article Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood, Journal of Econometrics, Elsevier (1982) View citations (42) (1982)
1981
- Substitution between energy and other inputs in the Netherlands, with contributions to related econometric problems
Other publications TiSEM, Tilburg University, School of Economics and Management
1980
- On the unbiasedness of iterated GLS estimators
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
Also in University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business (1977)
- The elimination matrix: Some lemmas and applications
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (40)
1979
- Substitution between energy and non-energy inputs in the Netherlands, 1950-1976
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (48)
See also Journal Article Substitution between Energy and Non-Energy Inputs in the Netherlands, 1950-1976, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1979) View citations (51) (1979)
- The commutation matrix: Some properties and applications
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (103)
- The expectation of products of quadratic forms in normal variables: The practice Statistica Neerlandica
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (7)
1978
- Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (47)
Also in University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business (1977) 
See also Journal Article Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix, Journal of Econometrics, Elsevier (1978) View citations (49) (1978)
- The moments of products of quadratic forms in normal variables
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (22)
See also Journal Article The moments of products of quadratic forms in normal variables*, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (1978) View citations (23) (1978)
1977
- Asyptopic Properties of Maximum Likelihood Estimators in a Nonlinear Regression Model with Unknown Parameters in the Disturbance Convariance Matrix
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
- The commutation matrix: some theorems and applications
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
1976
- Substitution between energy and non-energy inputs in the Netherlands, 1950-1974
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
1974
- Benzine is al eens duurder geweest
Other publications TiSEM, Tilburg University, School of Economics and Management
Journal Articles
2020
- Adaptation for Mitigation
Environmental & Resource Economics, 2020, 75, (3), 457-484 View citations (4)
See also Working Paper Adaptation for mitigation, Discussion papers (2017) (2017)
- Expected utility and catastrophic risk in a stochastic economy–climate model
Journal of Econometrics, 2020, 214, (1), 110-129 View citations (16)
See also Working Paper Expected Utility and Catastrophic Risk in a Stochastic Economy-Climate Model, Discussion Paper (2010) View citations (16) (2010)
2019
- Comments on “Unobservable Selection and Coefficient Stability: Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right”
Journal of Business & Economic Statistics, 2019, 37, (2), 217-222 View citations (1)
See also Working Paper Comments on “Unobservable Selection and Coefficient Stability-Theory and Evidence” and “Poorly Measured Confounders are More Useful on the Left Than on the Right”, EIEF Working Papers Series (2018) (2018)
- On Using the t -Ratio as a Diagnostic
Econometrics, 2019, 7, (2), 1-3
2018
- BALANCED VARIABLE ADDITION IN LINEAR MODELS
Journal of Economic Surveys, 2018, 32, (4), 1183-1200 View citations (18)
- Weighted-average least squares estimation of generalized linear models
Journal of Econometrics, 2018, 204, (1), 1-17 View citations (18)
See also Working Paper Weighted-Average Least Squares Estimation of Generalized Linear Models, Tinbergen Institute Discussion Papers (2017) (2017)
2016
- The forecast combination puzzle: A simple theoretical explanation
International Journal of Forecasting, 2016, 32, (3), 754-762 View citations (117)
See also Working Paper The forecast combination puzzle: a simple theoretical explanation, Working Papers of Department of Decision Sciences and Information Management, Leuven (2016) (2016)
- WEIGHTED-AVERAGE LEAST SQUARES (WALS): A SURVEY
Journal of Economic Surveys, 2016, 30, (1), 117-148 View citations (50)
- Weighted-Average Least Squares Prediction
Econometric Reviews, 2016, 35, (6), 1040-1074 View citations (8)
2015
- Expected utility and catastrophic consumption risk
Insurance: Mathematics and Economics, 2015, 64, (C), 306-312 View citations (11)
- Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations
International Journal of Forecasting, 2015, 31, (3), 769-781 View citations (3)
2014
- Concept-Based Bayesian Model Averaging and Growth Empirics
Oxford Bulletin of Economics and Statistics, 2014, 76, (6), 874-897 View citations (16)
See also Working Paper Concept-Based Bayesian Model Averaging and Growth Empirics, Discussion Paper (2012) View citations (5) (2012)
- Natural Resources, Institutional Quality, and Economic Growth in China
Environmental & Resource Economics, 2014, 57, (3), 323-343 View citations (47)
- The effect of health benefits on climate change mitigation policies
Climatic Change, 2014, 126, (1), 229-243 View citations (4)
2013
- Pareto utility
Theory and Decision, 2013, 75, (1), 43-57 View citations (11)
2012
- Peer Reporting and the Perception of Fairness
De Economist, 2012, 160, (3), 289-310 View citations (2)
See also Working Paper Peer Reporting and the Perception of Fairness, Other publications TiSEM (2011) (2011)
- WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia
International Econometric Review (IER), 2012, 4, (1), 40-58 View citations (3)
See also Working Paper WALS estimation and forecasting in factor-based dynamic models with an application to Armenia, Other publications TiSEM (2011) (2011)
2011
- Bayesian model averaging and weighted-average least squares: Equivariance, stability, and numerical issues
Stata Journal, 2011, 11, (4), 518-544 View citations (96)
See also Working Paper Bayesian Model Averaging and Weighted Average Least Squares: Equivariance, Stability, and Numerical Issues, Discussion Paper (2011) View citations (96) (2011)
- Global Warming and Local Dimming: The Statistical Evidence
Journal of the American Statistical Association, 2011, 106, (494), 452-464 View citations (17)
See also Working Paper Global Warming and Local Dimming: The Statistical Evidence, Other publications TiSEM (2011) View citations (14) (2011)
- Rejoinder
Journal of the American Statistical Association, 2011, 106, (494), 457-468
- The perception of small crime
European Journal of Political Economy, 2011, 27, (4), 749-763 View citations (13)
See also Working Paper The Perception of Small Crime, Discussion Paper (2010) View citations (2) (2010)
- Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
Computational Statistics & Data Analysis, 2011, 55, (3), 1331-1341 View citations (37)
2010
- A comparison of two model averaging techniques with an application to growth empirics
Journal of Econometrics, 2010, 154, (2), 139-153 View citations (247)
- On the concept of matrix derivative
Journal of Multivariate Analysis, 2010, 101, (9), 2200-2206 View citations (12)
- SPECIFICATION OF VARIANCE MATRICES FOR PANEL DATA MODELS
Econometric Theory, 2010, 26, (1), 301-310 View citations (1)
- The price of Moscow apartments
Applied Econometrics, 2010, 17, (1), 89-105 View citations (6)
2009
- Maximum Likelihood Estimation of the Multivariate Normal Mixture Model
Journal of the American Statistical Association, 2009, 104, (488), 1539-1549 View citations (30)
See also Working Paper Maximum Likelihood Estimation of the Multivariate Normal Mixture Model, MPRA Paper (2009) View citations (30) (2009)
- The efficiency of top agents: An analysis through service strategy in tennis
Journal of Econometrics, 2009, 148, (1), 72-85 View citations (18)
2008
- NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNG'S STATISTIC
Econometric Theory, 2008, 24, (5), 1443-1455 View citations (1)
- On the estimation of a large sparse Bayesian system: The Snaer program
Computational Statistics & Data Analysis, 2008, 52, (9), 4203-4224 View citations (7)
See also Working Paper On the estimation of a large sparse Bayesian system: the Snaer program, CIRJE F-Series (2007) View citations (5) (2007)
- Records in Athletics Through Extreme-Value Theory
Journal of the American Statistical Association, 2008, 103, (484), 1382-1391 View citations (16)
See also Working Paper Records in Athletics through Extreme-Value Theory, Discussion Paper (2006) View citations (1) (2006)
- USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
Econometric Theory, 2008, 24, (2), 553-579 View citations (3)
2007
- Local sensitivity and diagnostic tests
Econometrics Journal, 2007, 10, (1), 166-192 View citations (14)
See also Working Paper Local Sensitivity and Diagnostic Tests, Discussion Paper (2004) (2004)
- Some equivalences in linear estimation (in Russian)
Quantile, 2007, (3), 83-90 View citations (5)
- THE ASYMPTOTIC VARIANCE OF THE PSEUDO MAXIMUM LIKELIHOOD ESTIMATOR
Econometric Theory, 2007, 23, (5), 1022-1032 View citations (1)
See also Working Paper The asymptotic variance of the pseudo maximum likelihood estimator, CIRJE F-Series (2007) View citations (1) (2007)
- The Third Special Issue on Computational Econometrics
Computational Statistics & Data Analysis, 2007, 51, (7), 3258-viii View citations (1)
2005
- On Theil's errors
Econometrics Journal, 2005, 8, (1), 39-54 View citations (1)
See also Working Paper On Theils' errors, Other publications TiSEM (2005) (2005)
2004
- 03.6.1 The Central Limit Theorem for Student's Distribution—Solution
Econometric Theory, 2004, 20, (6), 1261-1263 View citations (2)
- Forecast accuracy after pretesting with an application to the stock market
Journal of Forecasting, 2004, 23, (4), 251-274 View citations (6)
See also Working Paper Forecast Accuracy after Pretesting with an Application to the Stock Market, Discussion Paper (2002) View citations (2) (2002)
- On the harm that ignoring pretesting can cause
Journal of Econometrics, 2004, 122, (1), 27-46 View citations (79)
2003
- 03.4.1. Normal's Deconvolution and the Independence of Sample Mean and Variance
Econometric Theory, 2003, 19, (4), 691-691
- 03.6.1. The Central Limit Theorem for Student's Distribution
Econometric Theory, 2003, 19, (6), 1195-1195
- Forecasting the winner of a tennis match
European Journal of Operational Research, 2003, 148, (2), 257-267 View citations (31)
See also Working Paper Forecasting the Winner of a Tennis Match, Other publications TiSEM (2001) View citations (1) (2001)
2002
- Estimation of the mean of a univariate normal distribution with known variance
Econometrics Journal, 2002, 5, (1), 225-236 View citations (37)
- Notation in econometrics: a proposal for a standard
Econometrics Journal, 2002, 5, (1), 76-90 View citations (38)
See also Working Paper Notation in Econometrics: A Proposal for a Standard, Other publications TiSEM (2001) (2001)
- Tolerance of Cheating: An Analysis Across Countries
The Journal of Economic Education, 2002, 33, (2), 125-135 View citations (27)
2001
- Are Points in Tennis Independent and Identically Distributed? Evidence From a Dynamic Binary Panel Data Model
Journal of the American Statistical Association, 2001, 96, 500-509 View citations (88)
2000
- NATIONAL ACCOUNTS ESTIMATION USING INDICATOR RATIOS
Review of Income and Wealth, 2000, 46, (3), 329-350 View citations (8)
- On the sensitivity of the usual t- and F-tests to covariance misspecification
Journal of Econometrics, 2000, 95, (1), 157-176 View citations (9)
1999
- Estimation of Regression Coefficients of Interest When Other Regression Coefficients Are of No Interest
Econometrica, 1999, 67, (3), 639-644 View citations (67)
- The final set in a tennis match: Four years at Wimbledon
Journal of Applied Statistics, 1999, 26, (4), 461-468 View citations (4)
- The sensitivity of OLS when the variance matrix is (partially) unknown
Journal of Econometrics, 1999, 92, (2), 295-323 View citations (16)
1998
- HANDBOOK OF MATRICES
Econometric Theory, 1998, 14, (3), 379-380
1997
- Design of the Experiment
Journal of Applied Econometrics, 1997, 12, (5), 459-65 View citations (4)
See also Working Paper Design of the experiment, Other publications TiSEM (1997) View citations (2) (1997)
- Organization of the Experiment
Journal of Applied Econometrics, 1997, 12, (5), 467-76 
See also Working Paper Organization of the experiment, Other publications TiSEM (1997) (1997)
- The Data: A Brief Description
Journal of Applied Econometrics, 1997, 12, (5), 651-61 View citations (2)
See also Working Paper The data: A brief description, Other publications TiSEM (1997) View citations (1) (1997)
1995
- Editors' introduction: The significance of testing in econometrics
Journal of Econometrics, 1995, 67, (1), 1-3 View citations (1)
- On tests and significance in econometrics
Journal of Econometrics, 1995, 67, (1), 5-24 View citations (24)
See also Working Paper On tests and significance in econometrics, Other publications TiSEM (1995) View citations (24) (1995)
1994
- On levies to reduce the nitrogen surplus: The case of Dutch pig farms
Environmental & Resource Economics, 1994, 4, (5), 455-478 View citations (14)
See also Working Paper On levies to reduce the nitrogen surplus: The case of Dutch pig farms, Other publications TiSEM (1994) View citations (12) (1994)
1991
- The Bias of Forecasts from a First-Order Autoregression
Econometric Theory, 1991, 7, (2), 222-235 View citations (5)
See also Working Paper The bias of forecasts from a first-order autoregression, Other publications TiSEM (1991) View citations (5) (1991)
1989
- Estimation of Variance Components and Applications
Journal of the Royal Statistical Society Series A, 1989, 152, (2), 272-273
- The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
Journal of Econometrics, 1989, 42, (2), 157-179 View citations (11)
See also Working Paper The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept, Other publications TiSEM (1990) (1990)
1988
- A Note on Instrumental Variables and Maximum Likelihood Estimation Procedures
Annals of Economics and Statistics, 1988, (10), 121-138 View citations (8)
See also Working Paper A note on instrumental variables and maximum likelihood estimation procedures, Other publications TiSEM (1990) (1990)
- On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components
International Economic Review, 1988, 29, (4), 707-25 View citations (3)
See also Working Paper On the maximum likelihood estimation of multivariate regression models containing serially correlated error components, Other publications TiSEM (1990) (1990)
- The exact multi-period mean-square forecast error for the first-order autoregressive model
Journal of Econometrics, 1988, 39, (3), 327-346 View citations (19)
See also Working Paper The exact multi-period mean-square forecast error for the first-order autoregressive model, Other publications TiSEM (1990) (1990)
1986
- Asymptotic Normmality of Maximum Likelihood Estimators Obtained from Normally Distributed but Dependent Observations
Econometric Theory, 1986, 2, (3), 374-412 View citations (5)
See also Working Paper Asymptotic normality of maximum likelihood estimators obtained from normally distributed but dependent observations, Other publications TiSEM (1986) View citations (8) (1986)
- Consistent maximum-likelihood estimation with dependent observations: The general (non-normal) case and the normal case
Journal of Econometrics, 1986, 32, (2), 253-285 View citations (13)
See also Working Paper Consistent maximum-likelihood estimation with dependent observations: the general (non-normal) case and the normal case, Other publications TiSEM (1986) View citations (8) (1986)
- ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS
Statistica Neerlandica, 1986, 40, (3), 169-188 View citations (4)
See also Working Paper On the first-order efficiency and asymptotic normality of maximum likelihood estimators obtained from dependent observations, Other publications TiSEM (1986) View citations (7) (1986)
- Symmetry, 0-1 Matrices and Jacobians: A Review
Econometric Theory, 1986, 2, (2), 157-190 View citations (27)
See also Working Paper Symmetry, 0-1 matrices and Jacobians: A review, Other publications TiSEM (1986) View citations (21) (1986)
- The Exact Moments of a Ratio of Quadratic Forms in Normal Variables
Annals of Economics and Statistics, 1986, (4), 95-109 View citations (43)
See also Working Paper The exact moments of a ratio of quadratic forms in normal variables, Other publications TiSEM (1986) View citations (46) (1986)
1985
- On Differentiating Eigenvalues and Eigenvectors
Econometric Theory, 1985, 1, (2), 179-191 View citations (44)
See also Working Paper On differentiating eigenvalues and eigenvectors, Other publications TiSEM (1985) View citations (43) (1985)
1982
- Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood
Journal of Econometrics, 1982, 19, (2-3), 239-285 View citations (42)
See also Working Paper Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood, Other publications TiSEM (1982) View citations (40) (1982)
1979
- Substitution between Energy and Non-Energy Inputs in the Netherlands, 1950-1976
International Economic Review, 1979, 20, (2), 465-84 View citations (51)
See also Working Paper Substitution between energy and non-energy inputs in the Netherlands, 1950-1976, Other publications TiSEM (1979) View citations (48) (1979)
- The expectation of products of quadratic forms in normal variables: the practice
Statistica Neerlandica, 1979, 33, (3), 131-136 View citations (8)
1978
- Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
Journal of Econometrics, 1978, 7, (3), 281-312 View citations (49)
See also Working Paper Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix, Other publications TiSEM (1978) View citations (47) (1978)
- The moments of products of quadratic forms in normal variables*
Statistica Neerlandica, 1978, 32, (4), 201-210 View citations (23)
See also Working Paper The moments of products of quadratic forms in normal variables, Other publications TiSEM (1978) View citations (22) (1978)
Books
2018
- Statistics
Cambridge Books, Cambridge University Press
Also in Cambridge Books, Cambridge University Press (2018)
2014
- Analyzing Wimbledon: The Power of Statistics
OUP Catalogue, Oxford University Press View citations (12)
2005
- Matrix Algebra
Cambridge Books, Cambridge University Press View citations (79)
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