Details about Herman K. van Dijk

E-mail:
Homepage:	https://personal.eur.nl/hkvandijk/
Workplace:	Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC) Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)

Access statistics for papers by Herman K. van Dijk.

Last updated 2021-10-29. Update your information in the RePEc Author Service.

Short-id: pva325

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Working Papers

2021

1. A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Working Paper series, Rimini Centre for Economic Analysis (2020) View citations (3)
2. Bayes estimates of multimodal density features using DNA and Economic Data
   Tinbergen Institute Discussion Papers, Tinbergen Institute
3. Quantifying time-varying forecast uncertainty and risk for the real price of oil
   Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2021)
   Working Paper, Norges Bank (2021)

2019

4. Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
   Also in Working Paper, Norges Bank (2019) View citations (1)
5. Partially Censored Posterior for Robust and Efficient Risk Evaluation
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Working Paper, Norges Bank (2019)
   See also Journal Article in Journal of Econometrics (2020)

2018

6. Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
   Also in Working Paper, Norges Bank (2018) View citations (3)
   See also Journal Article in Journal of Econometrics (2019)
7. Learning to Average Predictively over Good and Bad: Comment on: Using Stacking to Average Bayesian Predictive Distributions
   Tinbergen Institute Discussion Papers, Tinbergen Institute
8. The Evolution of Forecast Density Combinations in Economics
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)

2017

9. Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
   Also in Working Paper, Norges Bank (2017) View citations (4)
10. Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    Also in Working Paper, Norges Bank (2015) View citations (14)
11. The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference
    Working Paper, Norges Bank View citations (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2017) View citations (5)
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) View citations (1)
    See also Journal Article in Journal of Statistical Software (2017)

2016

12. Parallelization Experience with Four Canonical Econometric Models using ParMitISEM
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2016) View citations (6)
    See also Journal Article in Econometrics (2016)
13. Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)

2015

14. Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Applied Econometrics (2016)
15. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (19)
    Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) View citations (5)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (2)
    See also Journal Article in Journal of Statistical Software (2015)

2014

16. Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute
17. Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute
18. Combined Density Nowcasting in an Uncertain Economic Environment
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Working Paper, Norges Bank (2014) View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2018)
19. Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in Working Paper, Norges Bank (2013) View citations (8)
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2014) View citations (4)
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2014) View citations (5)
20. On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
21. Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article in Econometrics (2016)

2013

22. Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
23. Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2014)
24. Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (12)
25. Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)

2012

26. A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (37)
    See also Journal Article in Journal of Econometrics (2012)
27. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article in Econometric Reviews (2014)
28. Combination schemes for turning point predictions
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (33)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
    Working Paper, Norges Bank (2012) View citations (33)
    See also Journal Article in The Quarterly Review of Economics and Finance (2012)
29. Combining predictive densities using Bayesian filtering with applications to US economic data
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (2)
    Also in Working Paper, Norges Bank (2010) View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (6)
30. Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article in International Economic Review (2013)
31. Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
32. The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
33. Time-varying Combinations of Predictive Densities using Nonlinear Filtering
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article in Journal of Econometrics (2013)

2011

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

2010

40. A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
41. Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2010)

2009

42. Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
    Also in Working Paper, Norges Bank (2009) View citations (1)
    See also Journal Article in Journal of Forecasting (2010)
43. Robust Optimization of the Equity Momentum Strategy
    Tinbergen Institute Discussion Papers, Tinbergen Institute
44. To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)

2008

45. Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Statistical Software (2009)
46. Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
47. Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article in International Journal of Forecasting (2010)
48. Bayesian near-boundary analysis in basic macroeconomic time series models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (18)
49. Distributional Dynamics using Quartic-based State-Space models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Post-Print, HAL (2008)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
    Post-Print, HAL (2008)
50. Possibly Ill-behaved Posteriors in Econometric Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
51. The AdMit Package
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (10)

2007

52. Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (9)
    Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia View citations (9)
53. Note on neural network sampling for Bayesian inference of mixture processes
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
54. On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (54)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2005) View citations (2)
    See also Journal Article in Journal of Econometrics (2007)
55. Predictive gains from forecast combinations using time-varying model weights
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (13)
56. Simulation based Bayesian econometric inference: principles and some recent computational advances
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2007)

2006

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

2005

66. Bayesian approaches to cointegratrion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2004) View citations (8)
67. Improper priors with well defined Bayes Factors
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004) View citations (3)
68. Trends and cycles in economic time series: A Bayesian approach
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (8)
    See also Journal Article in Journal of Econometrics (2007)
69. Weakly informative priors and well behaved Bayes factors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)

2004

70. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (13)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (1)
    See also Journal Article in Journal of Econometrics (2004)
71. Bayes estimates of the cyclical component in twentieth centruy US gross domestic product
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
72. Bayesian Model Selection with an Uninformative Prior
    Keele Economics Research Papers, Centre for Economic Research, Keele University
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
73. Cyclical components in economic time series: A Bayesian approach
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (8)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations (3)
74. Exceptions to Bartlett’s Paradox
    Keele Economics Research Papers, Centre for Economic Research, Keele University
75. Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
76. The Value of Structural Information in the VAR Model
    Keele Economics Research Papers, Centre for Economic Research, Keele University
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (1)
77. Twentieth century shocks, trends and cycles in industrialized nations
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    See also Journal Article in De Economist (2004)
78. Valuing structure, model uncertainty and model averaging in vector autoregressive processes
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (12)

2003

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

2002

83. Adaptive Polar Sampling
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (7)
84. Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
85. Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2003)
86. Cyclical components in economic time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
87. Efficient Sampling from Non-Standard Distributions Using Neural NetworkApproximations
    Computing in Economics and Finance 2002, Society for Computational Economics
88. Functional approximations to posterior densities: a neural network approach to efficient sampling
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
89. On Bayesian structural inference in a simultaneous equation model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)

2001

90. A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001) View citations (5)
91. Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
92. Daily Exchange Rate Behaviour and Hedging of Currency Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (20)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (19)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2000)
93. Neural networks as econometric tool
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000)
94. On the Variation of Hedging Decisions in Daily Currency Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (2)

2000

95. ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (14)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (14)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (16)
96. Combined Forecasts from Linear and Nonlinear Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (50)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (12)
    See also Journal Article in International Journal of Forecasting (2002)

1999

97. Neural network analysis of varying trends in real exchange rates
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
98. Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (8)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) View citations (3)

1998

99. A simple strategy to prune neural networks with an application to economic time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997)
100. Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces
     Tinbergen Institute Discussion Papers, Tinbergen Institute
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
101. Bayesian Simultaneous Equations Analysis using Reduced Rank Structures
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (80)
     Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1997) View citations (2)
     See also Journal Article in Econometric Theory (1998)

1997

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

1996

103. Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

1991

104. On Bayesian routes to unit roots
     Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (85)
     See also Journal Article in Journal of Applied Econometrics (1991)

1990

105. POSTERIOR ANALYSIS OF POSSIBLY INTEGRATED TIME SERIES WITH AN APPLICATION TO REAL GNP
     Econometric Institute Archives, Erasmus University Rotterdam View citations (3)

1989

106. A BAYESIAN ANALYSIS OF THE UNIT ROOT HYPOTHESIS
     Econometric Institute Archives, Erasmus University Rotterdam View citations (1)
107. A BAYESIAN ANALYSIS OF THE UNIT ROOT IN REAL EXCHANGE RATES
     Econometric Institute Archives, Erasmus University Rotterdam
     See also Journal Article in Journal of Econometrics (1991)

1988

108. BAYESIAN SPECIFICATION ANALYSIS AND ESTIMATION OF SIMULTANEOUS EQUATION MODELS USING MONTE CARLO METHODS
     Working Papers, Southern California - Department of Economics View citations (31)
     Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1988) View citations (28)
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1987)
     See also Journal Article in Journal of Econometrics (1988)

1987

109. A product of multivariate T densities as upper bound for the posterior kernel of simultaneous equation model parameters
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
     Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1986)
110. SOME ADVANCES IN BAYESIAN ESTIMATION METHODS USING MONTE CARLO INTEGRATION
     Econometric Institute Archives, Erasmus University Rotterdam View citations (3)
     Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1987)

1986

111. AN ALGORITHM FOR THE COMPUTATION OF POSTERIOR MOMENTS AND DENSITIES USING SIMPLE IMPORTANCE SAMPLING
     Econometric Institute Archives, Erasmus University Rotterdam View citations (4)

1985

112. LIKELIHOOD DIAGNOSTICS AND BAYESIAN ANALYSIS OF A MICRO-ECONOMIC DISEQUILIBRIUM MODEL FOR RETAIL SERVICES
     Econometric Institute Archives, Erasmus University Rotterdam View citations (4)
     See also Journal Article in Journal of Econometrics (1985)
113. POSTERIOR MOMENTS COMPUTED BY MIXED INTEGRATION
     Econometric Institute Archives, Erasmus University Rotterdam View citations (14)
     Also in Econometric Institute Archives, Erasmus University Rotterdam (1983)
     See also Journal Article in Journal of Econometrics (1985)

1983

114. EXPERIMENTS WITH SOME ALTERNATIVES FOR SIMPLE IMPORTANCE SAMPLING IN MONTE CARLO INTEGRATION
     Econometric Institute Archives, Erasmus University Rotterdam View citations (5)

1982

115. MONTE CARLO ANALYSIS OF SKEW POSTERIOR DISTRIBUTIONS: AN ILLUSTRATIVE ECONOMETRIC EXAMPLE
     Econometric Institute Archives, Erasmus University Rotterdam View citations (1)
116. POSTERIOR MOMENTS OF THE KLEIN-GOLDBERGER MODEL
     Econometric Institute Archives, Erasmus University Rotterdam View citations (4)

1980

117. FURTHER EXPERIENCE IN BAYESIAN ANALYSIS USING MONTE CARLO INTEGRATION
     Econometric Institute Archives, Erasmus University Rotterdam View citations (50)
     See also Journal Article in Journal of Econometrics (1980)

1978

118. POSTERIOR ANALYSIS OF KLEIN'S MODEL
     Econometric Institute Archives, Erasmus University Rotterdam View citations (1)

1976

119. BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo
     Econometric Institute Archives, Erasmus University Rotterdam View citations (3)
     See also Journal Article in Econometrica (1978)
120. PREDICTIVE MOMENTS OF SIMULTANEOUS ECONOMETRIC MODELS A Bayesian Approach
     Econometric Institute Archives, Erasmus University Rotterdam View citations (2)

1975

121. BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Unorthodox Application of Monte Carlo
     Econometric Institute Archives, Erasmus University Rotterdam View citations (3)

Journal Articles

2020

1. Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4, 14
   Econometrics, 2020, 8, (1), 1-1
2. Partially censored posterior for robust and efficient risk evaluation
   Journal of Econometrics, 2020, 217, (2), 335-355
   See also Working Paper (2019)

2019

3. Forecast density combinations of dynamic models and data driven portfolio strategies
   Journal of Econometrics, 2019, 210, (1), 170-186 View citations (13)
   See also Working Paper (2018)

2018

4. Combined Density Nowcasting in an Uncertain Economic Environment
   Journal of Business & Economic Statistics, 2018, 36, (1), 131-145 View citations (35)
   See also Working Paper (2014)

2017

5. Econometrics and Statistics
   Econometrics and Statistics, 2017, 1, (C), 1-1 View citations (12)
6. The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
   Journal of Statistical Software, 2017, 079, (i01) View citations (5)
   See also Working Paper (2017)

2016

7. Computational Complexity and Parallelization in Bayesian Econometric Analysis
   Econometrics, 2016, 4, (1), 1-3
8. Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model
   Journal of Applied Econometrics, 2016, 31, (7), 1352-1370 View citations (30)
   See also Working Paper (2015)
9. Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
   Econometrics, 2016, 4, (1), 1-20 View citations (6)
   See also Working Paper (2016)
10. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
    Econometrics, 2016, 4, (1), 1-19 View citations (1)
    See also Working Paper (2014)

2015

11. Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
    Journal of Statistical Software, 2015, 068, (i03) View citations (19)
    See also Working Paper (2015)

2014

12. Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
    Econometric Reviews, 2014, 33, (1-4), 3-35 View citations (17)
    See also Working Paper (2012)
13. Divergent Priors and Well Behaved Bayes Factors
    Central European Journal of Economic Modelling and Econometrics, 2014, 6, (1), 1-31 View citations (3)
    See also Working Paper (2011)
14. INTRODUCTION TO RECENT ADVANCES IN METHODS AND APPLICATIONS FOR DSGE MODELS
    Journal of Applied Econometrics, 2014, 29, (7), 1029-1030
15. POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA
    Journal of Applied Econometrics, 2014, 29, (7), 1164-1182 View citations (20)
    See also Working Paper (2013)

2013

16. EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING
    International Economic Review, 2013, 54, (1), 385-402 View citations (12)
    See also Working Paper (2012)
17. Time-varying combinations of predictive densities using nonlinear filtering
    Journal of Econometrics, 2013, 177, (2), 213-232 View citations (95)
    See also Working Paper (2012)

2012

18. A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
    Journal of Econometrics, 2012, 171, (2), 101-120 View citations (37)
    See also Working Paper (2012)
19. A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
    Computational Statistics & Data Analysis, 2012, 56, (11), 3398-3414 View citations (38)
    See also Working Paper (2010)
20. Combination schemes for turning point predictions
    The Quarterly Review of Economics and Finance, 2012, 52, (4), 402-412 View citations (34)
    See also Working Paper (2012)

2011

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

2010

22. Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
    International Journal of Forecasting, 2010, 26, (2), 231-247 View citations (28)
    See also Working Paper (2008)
23. Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
    Journal of Forecasting, 2010, 29, (1-2), 251-269 View citations (37)
    See also Working Paper (2009)
24. The Fifth Special Issue on Computational Econometrics
    Computational Statistics & Data Analysis, 2010, 54, (11), 2359-2359

2009

25. Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit
    Journal of Statistical Software, 2009, 029, (i03) View citations (17)
    See also Working Paper (2008)
26. The fourth special issue on Computational Econometrics
    Computational Statistics & Data Analysis, 2009, 53, (6), 1923-1924

2007

27. Computational techniques for applied econometric analysis of macroeconomic and financial processes
    Computational Statistics & Data Analysis, 2007, 51, (7), 3506-3508 View citations (1)
28. Consumer Evaluations of Food Risk Management Quality in Europe
    Risk Analysis, 2007, 27, (6), 1565-1580 View citations (7)
29. Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
    Econometric Reviews, 2007, 26, (2-4), 107-112
30. Endogeneity, instruments and identification
    Journal of Econometrics, 2007, 139, (1), 1-3 View citations (2)
31. Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
    Journal of Econometrics, 2007, 138, (1), 63-103 View citations (31)
    See also Working Paper (2006)
32. On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks
    Journal of Econometrics, 2007, 139, (1), 154-180 View citations (61)
    See also Working Paper (2007)
33. Progress and challenges in econometrics
    Journal of Econometrics, 2007, 138, (1), 1-2
34. Trends and cycles in economic time series: A Bayesian approach
    Journal of Econometrics, 2007, 140, (2), 618-649 View citations (76)
    See also Working Paper (2005)

2006

35. Bayes model averaging of cyclical decompositions in economic time series
    Journal of Applied Econometrics, 2006, 21, (2), 191-212
    Also in Journal of Applied Econometrics, 2006, 21, (2), 191-212 (2006) View citations (3)
    See also Working Paper (2003)
36. ‘Rotterdam econometrics’: an analysis of publications of the Econometric Institute 1956–2004
    Statistica Neerlandica, 2006, 60, (2), 85-111
    See also Working Paper (2006)

2005

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

2004

38. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    Journal of Econometrics, 2004, 123, (2), 201-225 View citations (17)
    See also Working Paper (2004)
39. Recent advances in Bayesian econometrics
    Journal of Econometrics, 2004, 123, (2), 197-199 View citations (2)
40. Twentieth Century Shocks, Trends and Cycles in Industrialized Nations
    De Economist, 2004, 152, (2), 211-232 View citations (1)
    See also Working Paper (2004)

2003

41. Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income
    Journal of Business & Economic Statistics, 2003, 21, (4), 547-63 View citations (49)
    See also Working Paper (2002)
42. Bayesian Model Selection with an Uninformative Prior*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 863-876 View citations (10)
    See also Working Paper (2004)
43. Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688

2002

44. Combined forecasts from linear and nonlinear time series models
    International Journal of Forecasting, 2002, 18, (3), 421-438 View citations (38)
    See also Working Paper (2000)
45. Neural Network Pruning Applied to Real Exchange Rate Analysis
    Journal of Forecasting, 2002, 21, (8), 559-77 View citations (6)

2000

46. Daily exchange rate behaviour and hedging of currency risk
    Journal of Applied Econometrics, 2000, 15, (6), 671-696 View citations (21)
    See also Working Paper (2001)
47. Introduction: inference and decision making
    Journal of Applied Econometrics, 2000, 15, (6), 545-546 View citations (2)

1999

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

1998

50. BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
    Econometric Theory, 1998, 14, (6), 701-743 View citations (84)
    See also Working Paper (1998)
51. Distribution and mobility of wealth of nations
    European Economic Review, 1998, 42, (7), 1269-1293 View citations (87)

1996

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

1995

53. Classical and Bayesian aspects of robust unit root inference
    Journal of Econometrics, 1995, 69, (1), 27-59 View citations (19)

1994

54. Bayes Methods and Unit Roots
    Econometric Theory, 1994, 10, (3-4), 453-460 View citations (1)
55. Direct cointegration testing in error correction models
    Journal of Econometrics, 1994, 63, (1), 61-103 View citations (20)
56. On the Shape of the Likelihood/Posterior in Cointegration Models
    Econometric Theory, 1994, 10, (3-4), 514-551 View citations (73)

1993

57. Bayes estimates of muIti‐criteria decision alternatives using Monte Carlo integration
    Statistica Neerlandica, 1993, 47, (2), 127-151 View citations (1)
58. Non-stationarity in GARCH Models: A Bayesian Analysis
    Journal of Applied Econometrics, 1993, 8, (S), S41-61 View citations (34)

1992

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

1991

61. A Bayesian analysis of the unit root in real exchange rates
    Journal of Econometrics, 1991, 49, (1-2), 195-238 View citations (83)
    See also Working Paper (1989)
62. On Bayesian Routes to Unit Roots
    Journal of Applied Econometrics, 1991, 6, (4), 387-401 View citations (83)
    See also Working Paper (1991)

1988

63. Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
    Journal of Econometrics, 1988, 38, (1-2), 39-72 View citations (36)
    See also Working Paper (1988)

1985

64. Editor's introduction
    Journal of Econometrics, 1985, 29, (1-2), 1-2
65. Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services
    Journal of Econometrics, 1985, 29, (1-2), 121-148 View citations (4)
    See also Working Paper (1985)
66. Posterior moments computed by mixed integration
    Journal of Econometrics, 1985, 29, (1-2), 3-18 View citations (14)
    See also Working Paper (1985)

1980

67. Further experience in Bayesian analysis using Monte Carlo integration
    Journal of Econometrics, 1980, 14, (3), 307-328 View citations (49)
    See also Working Paper (1980)
68. Inferential Procedures in Stable Distributions for Class Frequency Data on Incomes
    Econometrica, 1980, 48, (5), 1139-48 View citations (4)

1978

69. Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
    Econometrica, 1978, 46, (1), 1-19 View citations (216)
    See also Working Paper (1976)
70. Efficient estimation of income distribution parameters
    Journal of Econometrics, 1978, 8, (1), 61-74 View citations (29)

Books

2004

1. Econometric Methods with Applications in Business and Economics
   OUP Catalogue, Oxford University Press View citations (122)

Edited books

2013

1. The Oxford Handbook of Bayesian Econometrics
   OUP Catalogue, Oxford University Press View citations (4)

2011

2. The Oxford Handbook of Bayesian Econometrics
   OUP Catalogue, Oxford University Press View citations (96)

Editor

1. Econometrics and Statistics
   Elsevier