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Details about Franz C. Palm

Homepage:http://www.personeel.unimaas.nl/f.palm/
Workplace:Vakgroep Kwantitatieve Economie (Department of Quantitative Economics), School of Business and Economics, Maastricht University, (more information at EDIRC)

Access statistics for papers by Franz C. Palm.

Last updated 2019-04-22. Update your information in the RePEc Author Service.

Short-id: ppa461


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Working Papers

2019

  1. A dynamic factor model approach to incorporate Big Data in state space models for official statistics
    Papers, arXiv.org Downloads

2016

  1. On the Univariate Representation of BEKK Models with Common Factors
    Post-Print, HAL View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) Downloads View citations (4)

    See also Journal Article in Journal of Time Series Econometrics (2016)
  2. Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
    Post-Print, HAL View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2016)

2014

  1. Microeconometric Evidence of Financing Frictions and Innovative Activity
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) (2012) Downloads
    CIRANO Working Papers, CIRANO (2012) Downloads

2013

  1. Dynamic Models of R&D, Innovation and Productivity: Panel Data Evidence for Dutch and French Manufacturing
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (1)
    CESifo Working Paper Series, CESifo Group Munich (2013) Downloads View citations (1)
    MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) (2013) Downloads View citations (1)

    See also Journal Article in European Economic Review (2015)
  2. Microeconometric evidence of financing frictions and innovative activity - a revision
    MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) Downloads
  3. Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
    Post-Print, HAL
    Also in Working Papers, HAL (2012) Downloads View citations (3)
  4. Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes
    SOEPpapers on Multidisciplinary Panel Data Research, DIW Berlin, The German Socio-Economic Panel (SOEP) Downloads
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2012) Downloads View citations (7)
  5. Stock Markets, Banks and Long Run Economics Growth: A Panel Cointegration-Based Analysis
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in CREPP Working Papers, Centre de Recherche en Economie Publique et de la Population (CREPP) (Research Center on Public and Population Economics) HEC-Management School, University of Liège (2011) Downloads View citations (1)

    See also Journal Article in De Economist (2014)

2011

  1. Common intraday periodicity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (9)
    See also Journal Article in Journal of Financial Econometrics (2011)
  2. Modelling Financial Crises Mutation
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans Downloads
  3. On the Univariate Representation of Multivariate Volatility Models with Common Factors
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)

2010

  1. Banking and Debt Crisis in Europe: The Dangerous Liaisons?
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (6)
    See also Journal Article in De Economist (2010)

2009

  1. Central bank FOREX interventions assessed using realized moments
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2003) Downloads View citations (6)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) Downloads View citations (5)

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2009)
  2. Innovative Sales, R&D and Total Innovation Expenditures: Panel Evidence on their Dynamics
    CIRANO Working Papers, CIRANO Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2009) Downloads View citations (5)
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2009) Downloads View citations (4)
    MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) (2009) Downloads View citations (3)

2008

  1. Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (14)
    See also Journal Article in Journal of Econometrics (2011)
  2. Financial Constraints and Other Obstacles: Are they a Threat to Innovation Activity?
    MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) Downloads View citations (51)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (48)

    See also Journal Article in De Economist (2008)
  3. Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2009)

2007

  1. A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (4)
    See also Journal Article in Econometric Theory (2010)
  2. Central Bank intervention and exchange rate volatility: its continuous and jump components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (31)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) Downloads View citations (39)

    See also Journal Article in International Journal of Finance & Economics (2007)
  3. Financial Constraint and R&D Investment: Evidence from CIS
    MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) Downloads View citations (18)
  4. Macro-panels and Reality
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads
    See also Journal Article in Economics Letters (2008)
  5. On the information value of (un)embedded network ties
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)
  6. Studying Co-movements in Large Multivariate Models Without Multivariate Modelling
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (6)
  7. The Behavior of the Maximum Likelihood Estimator of Dynamic Panel Data Sample Selection Models
    MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) Downloads View citations (5)
    Also in CESifo Working Paper Series, CESifo Group Munich (2007) Downloads View citations (5)
    CIRANO Working Papers, CIRANO (2007) Downloads View citations (5)

2006

  1. Bootstrap unit root tests: comparison and extensions
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2008)
  2. Persistence of Innovation in Dutch Manufacturing: Is it Spurious?
    MERIT Working Papers, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT) Downloads View citations (9)
    Also in CIRANO Working Papers, CIRANO (2006) Downloads View citations (9)
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2006) Downloads View citations (10)
    CESifo Working Paper Series, CESifo Group Munich (2006) Downloads View citations (13)

    See also Journal Article in The Review of Economics and Statistics (2010)

2005

  1. Innovation in Enterprise Clusters: Evidence from Dutch Manufacturing
    Research Memorandum, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT) Downloads
    Also in CIRANO Working Papers, CIRANO (2005) Downloads

    See also Chapter (2006)
  2. Panel Cointegration Testing in the Presence of Common Factors
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (9)

2004

  1. An Empirically-Based Taxonomy of Dutch Manufacturing: Innovation Policy Implications
    CIRANO Working Papers, CIRANO Downloads View citations (8)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2004) Downloads View citations (4)
    CESifo Working Paper Series, CESifo Group Munich (2004) Downloads View citations (9)
    Research Memorandum, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT) (2004) Downloads View citations (7)
  2. Have sequential interventions of Central Banks in foreign exchange been effective ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
  3. Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (18)
    See also Journal Article in Econometric Reviews (2010)

2002

  1. Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (20)
    See also Journal Article in Econometric Reviews (2002)
  2. Survival in a Concentrating Industry: The Case of Daily Newspapers in the Netherlands
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (2)

2001

  1. Testing for Common Cyclical Features in Var Models with Cointegration
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (29)

2000

  1. Testing for Common Cyclical Features in Nonstationary Panel Data Models
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (5)

1998

  1. Life Expectancy of Daily Newspapers in the Netherlands: The Period 1848 - 1997
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads

1996

  1. Labor market dynamics when effort depends on wage growth comparisons
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (1)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (1996) Downloads

    See also Journal Article in Empirical Economics (2000)
  2. Stochastic implications of the life cycle consumption model under rational habit formation
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (1)

1993

  1. A Dynamic Contracting Model for Wages and Employment in three European Economies
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
    See also Journal Article in European Economic Review (1996)
  2. Asymmetric adjustment costs in non-linear labour demand models for the Netherlands and U.K. manufacturing sectors
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (7)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1992) Downloads View citations (6)

    See also Journal Article in Review of Economic Studies (1993)
  3. Inflation Differentials and Excess Returns in the European Monetary System
    CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX. View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (1997)
  4. Premia in forward foreign exchange as unobserved components
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (18)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads View citations (2)
    Working Papers, Tilburg - Center for Economic Research (1991) View citations (2)
  5. The dynamics of investment and labour demand: Theoretical issues and an application to the Dutch manufacturing industry
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

1992

  1. To Combine or not to Combine? Issues of Combining Forecasts
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (8)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1991) View citations (10)

1991

  1. Generalized least squares estimation of linear models containing rational future expectations
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1989) Downloads
    Working Papers, Tilburg - Center for Economic Research (1989)

    See also Journal Article in International Economic Review (1991)
  2. Interrelation, Structural Changes and Cointegration in a Model for Manufacturing Demand in the Netherlands
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (1)
  3. Recent Developments in Modeling Volatility in Financial Data
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads

1990

  1. ASYMETRIC ADJUSTMENT COSTS IN LABOUR DEMAND MODELS WITH EMPIRICAL EVIDENCE FOR THE DUTCH AN U.K. MANUFACTURING SECTORS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
  2. Parameter identification in ARMA-processes in the presence of regular but incomplete sampling
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (6)
    See also Journal Article in Journal of Time Series Analysis (1990)
  3. Predictive accuracy gain from disaggregate sampling in ARIMA models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (18)
    Also in Research Memorandum, Tilburg University, School of Economics and Management (1987) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (1990)

1989

  1. The effectiveness of the international coffee agreement: a simulation study using a quarterly model of the world coffee market
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1988

  1. Consistent estimation of regression models with incompletely observed exogenous variables
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (1)
    Also in Research Memorandum, Tilburg University, School of Economics and Management (1987) Downloads

    See also Journal Article in Annals of Economics and Statistics (1988)
  2. Efficiency gains due to using missing data procedures in regression models
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (2)
    Also in Research Memorandum, Tilburg University, School of Economics and Management (1986) Downloads

1987

  1. The life cycle consumption model under structural changes in income and moving planning horizons
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1986

  1. A short run econometric analysis of the international coffee market
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (2)
    See also Journal Article in European Review of Agricultural Economics (1986)
  2. Consistent estimation of rational expectation models
    Research Memorandum, Tilburg University, School of Economics and Management Downloads
  3. The stochastic life cycle consumption model: theoretical results and empirical evidence
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (1)

1985

  1. An econometric analysis of the short-run demand for coffee
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  2. Computing wald criteria for nested hypotheses
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (1)
  3. On econometric modelling of incomplete data
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
  4. Séries temporelles incomplètes en modélisation macroéconomique
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
  5. The construction and use of approximations for missing quarterly observations: A model-based approach
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    See also Journal Article in Journal of Business & Economic Statistics (1986)

1984

  1. Consistent estimation using proxy-variables in models with unobserved variables
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  2. Missing observations in a quarterly model for the aggregate labor market in the Netherlands
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  3. Missing observations in the dynamic regression model
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (22)
    Also in Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1982) Downloads

    See also Journal Article in Econometrica (1984)

1983

  1. Consistent estimation using proxy-variables in models with missing observations
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1982

  1. Computing wald criteria for nested hypotheses with Econometric Applications
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (1)
  2. Linear regression using both temporally aggregated and temporally disaggregated data
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (3)
    Also in Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics (1981) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (1982)

1981

  1. Some econometric applications of the exact distribution of the ratio of two quadratic forms in normal variates
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
  2. Structural econometric modelling and time series analysis towards an integrated approach
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (1)
  3. Structural econometric modelling and time series analysis: an integrated approach
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (1)

1980

  1. Efficient estimation of the geometric distributed lag model: some Monte Carlo results on small sample properties
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
    See also Journal Article in International Economic Review (1984)

1979

  1. The aggregate demand for money in the Netherlands: a new look at a study of the Bank of the Netherlands
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads

1978

  1. Large sample estimation and testing procedures for dynamic equation systems
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads
    See also Journal Article in Journal of Econometrics (1981)

1977

  1. On univariate time series methods and simultaneous equation econometric models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (1977)

1976

  1. Analyse chronologique. Spécification de modèles dynamiques à équations simultanées
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  2. Testing the dynamic specification of an econometric model with an application to Belgian data
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in European Economic Review (1976)

1975

  1. Time series and structural analysis of monetary models of the U.S. economy
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)

1974

  1. Time series analysis and simultaneous equation econometric models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (18)
    See also Journal Article in Journal of Econometrics (1974)

1972

  1. La demande d'engrais chimiques en Belgique: une approche bayésienne
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Undated

  1. Central bank intervention in the foreign exchange markets assessed using realized moments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads

Journal Articles

2017

  1. Multilevel hierarchical Bayesian versus state space approach in time series small area estimation: the Dutch Travel Survey
    Journal of the Royal Statistical Society Series A, 2017, 180, (4), 1281-1308 Downloads

2016

  1. Multivariate state space approach to variance reduction in series with level and variance breaks due to survey redesigns
    Journal of the Royal Statistical Society Series A, 2016, 179, (2), 377-402 Downloads View citations (2)
  2. On the Univariate Representation of BEKK Models with Common Factors
    Journal of Time Series Econometrics, 2016, 8, (2), 91-113 Downloads View citations (5)
    See also Working Paper (2016)
  3. Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach
    Computational Statistics & Data Analysis, 2016, 100, (C), 383-400 Downloads View citations (5)
    See also Working Paper (2016)

2015

  1. Dynamic models of R & D, innovation and productivity: Panel data evidence for Dutch and French manufacturing
    European Economic Review, 2015, 78, (C), 285-306 Downloads View citations (16)
    See also Working Paper (2013)
  2. Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation
    Management Science, 2015, 61, (9), 2185-2202 Downloads View citations (4)

2014

  1. Stock Markets, Banks and Long Run Economic Growth: A Panel Cointegration-Based Analysis
    De Economist, 2014, 162, (1), 19-40 Downloads View citations (6)
    See also Working Paper (2013)

2011

  1. Common Intraday Periodicity
    Journal of Financial Econometrics, 2011, 10, (2), 325-353 Downloads View citations (3)
    See also Working Paper (2011)
  2. Cross-sectional dependence robust block bootstrap panel unit root tests
    Journal of Econometrics, 2011, 163, (1), 85-104 Downloads View citations (25)
    See also Working Paper (2008)
  3. Factor structures for panel and multivariate time series data
    Journal of Econometrics, 2011, 163, (1), 1-3 Downloads View citations (1)
  4. Obituary
    Journal of Empirical Finance, 2011, 18, (1), 1-1 Downloads

2010

  1. A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL
    Econometric Theory, 2010, 26, (03), 647-681 Downloads View citations (8)
    See also Working Paper (2007)
  2. Banking and Debt Crises in Europe: The Dangerous Liaisons?
    De Economist, 2010, 158, (1), 81-99 Downloads View citations (21)
    See also Working Paper (2010)
  3. Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot
    Journal of Empirical Finance, 2010, 17, (2), 177-179 Downloads View citations (1)
  4. Erratum to: Banking and Debt Crises in Europe: The Dangerous Liaisons?
    De Economist, 2010, 158, (3), 337-340 Downloads View citations (17)
  5. Panel Unit Root Tests in the Presence of Cross-Sectional Dependencies: Comparison and Implications for Modelling
    Econometric Reviews, 2010, 29, (2), 111-145 Downloads View citations (31)
    See also Working Paper (2004)
  6. Persistence of Innovation in Dutch Manufacturing: Is It Spurious?
    The Review of Economics and Statistics, 2010, 92, (3), 495-504 Downloads View citations (106)
    See also Working Paper (2006)

2009

  1. Central bank FOREX interventions assessed using realized moments
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (1), 112-127 Downloads View citations (14)
    See also Working Paper (2009)
  2. Studying co-movements in large multivariate data prior to multivariate modelling
    Journal of Econometrics, 2009, 148, (1), 25-35 Downloads View citations (18)
    See also Working Paper (2008)

2008

  1. Bootstrap Unit-Root Tests: Comparison and Extensions
    Journal of Time Series Analysis, 2008, 29, (2), 371-401 Downloads View citations (33)
    See also Working Paper (2006)
  2. Financial Constraints and Other Obstacles: are they a Threat to Innovation Activity?
    De Economist, 2008, 156, (2), 201-214 Downloads View citations (55)
    See also Working Paper (2008)
  3. Information gathering through alliances
    Journal of Economic Behavior & Organization, 2008, 66, (2), 176-194 Downloads View citations (15)
  4. Macro-panels and reality
    Economics Letters, 2008, 99, (3), 537-540 Downloads View citations (5)
    See also Working Paper (2007)
  5. Martin M.G. Fase Retires from the Board of the Editors
    De Economist, 2008, 156, (1), 1-2 Downloads
  6. Regret aversion and annuity risk in defined contribution pension plans
    Insurance: Mathematics and Economics, 2008, 42, (3), 1050-1061 Downloads

2007

  1. Central bank intervention and exchange rate volatility, its continuous and jump components
    International Journal of Finance & Economics, 2007, 12, (2), 201-223 Downloads View citations (25)
    See also Working Paper (2007)

2006

  1. A Classification of Dutch Manufacturing based on a Model of Innovation
    De Economist, 2006, 154, (1), 85-105 Downloads View citations (6)
  2. Cointegration Testing in Panels with Common Factors
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 683-719 Downloads View citations (55)
  3. Common cyclical features analysis in VAR models with cointegration
    Journal of Econometrics, 2006, 132, (1), 117-141 Downloads View citations (41)
  4. Introduction to the special issue on International Finance
    Journal of Empirical Finance, 2006, 13, (4-5), 393-395 Downloads

2004

  1. Introduction to the special issue on behavioral finance
    Journal of Empirical Finance, 2004, 11, (4), 423-427 Downloads

2002

  1. Exit and Survival in a Concentrating Industry: The Case of Daily Newspapers in the Netherlands
    Review of Industrial Organization, 2002, 21, (3), 283-303 Downloads View citations (6)
  2. SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES
    Econometric Reviews, 2002, 21, (3), 273-307 Downloads View citations (22)
    See also Working Paper (2002)

2000

  1. Correction
    Econometrica, 2000, 68, (5), 1293-1294 View citations (1)
  2. Labor market dynamics when effort depends on wage growth comparisons
    Empirical Economics, 2000, 25, (3), 393-419 Downloads View citations (4)
    See also Working Paper (1996)
  3. Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles
    Oxford Bulletin of Economics and Statistics, 2000, 62, (4), 511-32 Downloads View citations (44)
  4. Pooling in Dynamic Panel-Data Models: An Application to Forecasting GDP Growth Rates
    Journal of Business & Economic Statistics, 2000, 18, (3), 274-83 View citations (20)

1998

  1. Sources of asymmetry in production factor dynamics
    Journal of Econometrics, 1998, 82, (2), 361-392 Downloads View citations (7)

1997

  1. Inflation differentials and excess returns in the European Monetary System
    Journal of International Financial Markets, Institutions and Money, 1997, 7, (1), 1-20 Downloads View citations (1)
    See also Working Paper (1993)
  2. Statistical Demand Functions for Food in the USA and the Netherlands
    Journal of Applied Econometrics, 1997, 12, (5), 615-37 Downloads View citations (15)
  3. Statistical Demand Functions for Food in the USA and the Netherlands: Reply
    Journal of Applied Econometrics, 1997, 12, (5), 643-45 Downloads View citations (11)

1996

  1. A dynamic contracting model for wages and employment in three European economies
    European Economic Review, 1996, 40, (2), 429-448 Downloads View citations (12)
    See also Working Paper (1993)

1995

  1. Bayesian model selection and prediction with empirical applications comments
    Journal of Econometrics, 1995, 69, (1), 333-335 Downloads View citations (1)
  2. Unraveling Trend and Stationary Components of Total Factor Productivity
    Annals of Economics and Statistics, 1995, (39), 67-92 Downloads View citations (1)

1993

  1. Adjustment Costs and Time-to-Build in Factor Demand in the U.S. Manufacturing Industry
    Empirical Economics, 1993, 18, (4), 639-71 View citations (8)
  2. Asymmetric Adjustment Costs in Non-linear Labour Demand Models for the Netherlands and U.K. Manufacturing Sectors
    Review of Economic Studies, 1993, 60, (2), 397-412 Downloads View citations (54)
    See also Working Paper (1993)
  3. Premia in Forward Foreign Exchange as Unobserved Components: A Note
    Journal of Business & Economic Statistics, 1993, 11, (3), 361-65 View citations (17)
  4. Statement by the editors
    Journal of Empirical Finance, 1993, 1, (1), 1-2 Downloads
  5. The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps
    Journal of Business & Economic Statistics, 1993, 11, (3), 351-60 View citations (90)

1992

  1. Report of the chairman of the standing committee for Students' Affairs
    European Economic Review, 1992, 36, (2-3), 730-730 Downloads

1991

  1. Generalized Least Squares Estimation of Linear Models Containing Rational Future Expectations
    International Economic Review, 1991, 32, (2), 383-89 Downloads View citations (1)
    See also Working Paper (1991)

1990

  1. Asymptotic Least-Squares Estimation Efficiency Considerations and Applications
    Journal of Applied Econometrics, 1990, 5, (3), 229-43 Downloads View citations (39)
  2. Economic Theory and Structural Time Series Models for Aggregate Consumption
    Annals of Economics and Statistics, 1990, (18), 25-43 Downloads
  3. Interrelated Demand Rational Expectations Models for Two Types of Labour
    Oxford Bulletin of Economics and Statistics, 1990, 52, (1), 45-68 View citations (6)
  4. PARAMETER IDENTIFICATION IN ARMA PROCESSES IN THE PRESENCE OF REGULAR BUT INCOMPLETE SAMPLING
    Journal of Time Series Analysis, 1990, 11, (3), 239-248 Downloads
    See also Working Paper (1990)
  5. Predictive Accuracy Gain from Disaggregate Sampling in ARIMA Models
    Journal of Business & Economic Statistics, 1990, 8, (4), 405-15 View citations (19)
    See also Working Paper (1990)

1988

  1. Consistent Estimation of Regression Models with Incompletely Observed Exogenous Variables
    Annals of Economics and Statistics, 1988, (12), 151-175 Downloads
    See also Working Paper (1988)

1987

  1. A Parametric Test of the Negativity of the Substitution Matrix
    Journal of Applied Econometrics, 1987, 2, (3), 227-35 Downloads View citations (7)

1986

  1. A Short-run Econometric Analysis of the International Coffee Market
    European Review of Agricultural Economics, 1986, 13, (4), 451-76 View citations (4)
    See also Working Paper (1986)
  2. The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach
    Journal of Business & Economic Statistics, 1986, 4, (1), 47-58 View citations (7)
    See also Working Paper (1985)
  3. Wald Criteria for Jointly Testing Equality and Inequality Restriction s
    Econometrica, 1986, 54, (5), 1243-48 Downloads View citations (385)

1984

  1. Efficient Estimation of the Geometric Distributed Lag Model: Some Monte Carlo Results on Small Sample Properties
    International Economic Review, 1984, 25, (3), 579-601 Downloads
    See also Working Paper (1980)
  2. Missing Observations in the Dynamic Regression Model
    Econometrica, 1984, 52, (6), 1415-35 Downloads View citations (21)
    See also Working Paper (1984)

1982

  1. Linear regression using both temporally aggregated and temporally disaggregated data
    Journal of Econometrics, 1982, 19, (2-3), 333-343 Downloads View citations (3)
    See also Working Paper (1982)

1981

  1. Large sample estimation and testing procedures for dynamic equation systems
    Journal of Econometrics, 1981, 17, (1), 131-138 Downloads
    Also in Journal of Econometrics, 1980, 12, (3), 251-283 (1980) Downloads View citations (3)

    See also Working Paper (1978)

1977

  1. On univariate time series methods and simultaneous equation econometric models
    Journal of Econometrics, 1977, 5, (3), 379-388 Downloads View citations (11)
    See also Working Paper (1977)

1976

  1. Testing the dynamic specification of an econometric model with an application to Belgian data
    European Economic Review, 1976, 8, (3), 269-289 Downloads View citations (2)
    See also Working Paper (1976)

1974

  1. Time series analysis and simultaneous equation econometric models
    Journal of Econometrics, 1974, 2, (1), 17-54 Downloads View citations (137)
    See also Working Paper (1974)

Edited books

2011

  1. The Structural Econometric Time Series Analysis Approach
    Cambridge Books, Cambridge University Press

2004

  1. The Structural Econometric Time Series Analysis Approach
    Cambridge Books, Cambridge University Press View citations (14)

Chapters

2006

  1. Innovation in Enterprise Clusters: Evidence from Dutch Manufacturing
    Chapter 4 in National Innovation, Indicators and Policy, 2006 Downloads
    See also Working Paper (2005)

Editor

  1. Journal of Empirical Finance
    Elsevier
 
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