Details about Herman K. van Dijk
This author is deceased (2025-01-24). Access statistics for papers by Herman K. van Dijk.
Last updated 2025-04-06. Update your information in the RePEc Author Service.
Short-id: pva325
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Working Papers
2024
- Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School 
- Asymmetric Gradualism in US Monetary Policy
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Taylor Rules with Endogenous Regimes
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2024) View citations (1)
- Time-Varying Factor Model Components for Effective Momentum Strategy
Tinbergen Institute Discussion Papers, Tinbergen Institute
2023
- BayesMultiMode: Bayesian Mode Inference in R
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Bayesian Mode Inference for Discrete Distributions in Economics and Finance
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2023)
See also Journal Article Bayesian mode inference for discrete distributions in economics and finance, Economics Letters, Elsevier (2024) View citations (4) (2024)
- Monetary policy shocks and exchange rate dynamics in small open economies
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
2022
- A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods
Tinbergen Institute Discussion Papers, Tinbergen Institute
- A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods
Tinbergen Institute Discussion Papers, Tinbergen Institute
See also Journal Article A flexible predictive density combination for large financial data sets in regular and crisis periods, Journal of Econometrics, Elsevier (2023) View citations (7) (2023)
2021
- 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 (5)
- Bayes estimates of multimodal density features using DNA and Economic Data
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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 Working Paper, Norges Bank (2021)
Tinbergen Institute Discussion Papers, Tinbergen Institute (2021)
See also Journal Article Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (7) (2023)
2019
- Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
Also in Working Paper, Norges Bank (2019) View citations (1)
- 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 Partially censored posterior for robust and efficient risk evaluation, Journal of Econometrics, Elsevier (2020) View citations (3) (2020)
2018
- Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies
Working Paper, Norges Bank View citations (3)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2018) View citations (5)
See also Journal Article Forecast density combinations of dynamic models and data driven portfolio strategies, Journal of Econometrics, Elsevier (2019) View citations (19) (2019)
- Learning to Average Predictively over Good and Bad: Comment on: Using Stacking to Average Bayesian Predictive Distributions
Tinbergen Institute Discussion Papers, Tinbergen Institute
- The Evolution of Forecast Density Combinations in Economics
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
2017
- Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
Also in Working Paper, Norges Bank (2017) View citations (8)
- 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)
- 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 The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference, Journal of Statistical Software, Foundation for Open Access Statistics (2017) View citations (5) (2017)
2016
- Parallelization Experience with Four Canonical Econometric Models using ParMitISEM
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2016) View citations (10)
See also Journal Article Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM, Econometrics, MDPI (2016) View citations (6) (2016)
- Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
2015
- 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 Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (34) (2016)
- Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (23)
Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2013) View citations (6)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (3)
See also Journal Article Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox, Journal of Statistical Software, Foundation for Open Access Statistics (2015) View citations (23) (2015)
2014
- Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- 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 Combined Density Nowcasting in an Uncertain Economic Environment, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (42) (2018)
- 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 (9)
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)
- On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- 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 Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices, Econometrics, MDPI (2016) View citations (1) (2016)
2013
- Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
- 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 POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (22) (2014)
- 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)
- 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
- 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 (40)
See also Journal Article A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation, Journal of Econometrics, Elsevier (2012) View citations (40) (2012)
- 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 Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo, Econometric Reviews, Taylor & Francis Journals (2014) View citations (17) (2014)
- Combination schemes for turning point predictions
Working Paper, Norges Bank View citations (34)
Also in Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2012) View citations (34)
Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
See also Journal Article Combination schemes for turning point predictions, The Quarterly Review of Economics and Finance, Elsevier (2012) View citations (34) (2012)
- 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 Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (6)
Working Paper, Norges Bank (2010) View citations (4)
- 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 EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2013) View citations (12) (2013)
- 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 View citations (1)
- 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)
- Time-varying Combinations of Predictive Densities using Nonlinear Filtering
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
See also Journal Article Time-varying combinations of predictive densities using nonlinear filtering, Journal of Econometrics, Elsevier (2013) View citations (109) (2013)
2011
- 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)
- 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)
- Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- Divergent Priors and well Behaved Bayes Factors
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
See also Journal Article Divergent Priors and Well Behaved Bayes Factors, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2014) View citations (3) (2014)
- 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
- 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 A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood, Computational Statistics & Data Analysis, Elsevier (2012) View citations (41) (2012)
- 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
- 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 (4)
See also Journal Article Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (42) (2010)
- Robust Optimization of the Equity Momentum Strategy
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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
- 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 Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit, Journal of Statistical Software, Foundation for Open Access Statistics (2009) View citations (19) (2009)
- 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)
- 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 Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling, International Journal of Forecasting, Elsevier (2010) View citations (32) (2010)
- 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 (19)
See also Chapter Bayesian near-boundary analysis in basic macroeconomic time-series models, Advances in Econometrics, Emerald Group Publishing Limited (2008) (2008)
- Distributional Dynamics using Quartic-based State-Space models
Post-Print, HAL View citations (1)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) View citations (1)
Post-Print, HAL (2008) View citations (1)
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) View citations (1)
- Possibly Ill-behaved Posteriors in Econometric Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
- The AdMit Package
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (10)
2007
- 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 (11)
Also in MRG Discussion Paper Series, School of Economics, University of Queensland, Australia View citations (9)
- 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
- 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 (55)
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 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, Elsevier (2007) View citations (62) (2007)
- 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)
- 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
- "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 ‘Rotterdam econometrics’: an analysis of publications of the Econometric Institute 1956–2004, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2006) (2006)
- "Rotterdam econometrics": publications of the econometric institute 1956-2005
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
- 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)
- Gibbs sampling in econometric practice
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
- Jan Tinbergen (1903-1994)
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
- 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 (6)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2006) View citations (4)
- Modelling option prices using neural networks
Computing in Economics and Finance 2006, Society for Computational Economics
- 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 Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data, Journal of Econometrics, Elsevier (2007) View citations (33) (2007)
- 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
- 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)
- 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)
- 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 (7)
See also Journal Article Trends and cycles in economic time series: A Bayesian approach, Journal of Econometrics, Elsevier (2007) View citations (78) (2007)
- 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
- 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 Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, Journal of Econometrics, Elsevier (2004) View citations (20) (2004)
- 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)
- Bayesian Model Selection with an Uninformative Prior
Keele Economics Research Papers, Centre for Economic Research, Keele University
See also Journal Article Bayesian Model Selection with an Uninformative Prior*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (10) (2003)
- 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)
- Exceptions to Bartlett’s Paradox
Keele Economics Research Papers, Centre for Economic Research, Keele University
- 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 (3)
- The Value of Structural Information in the VAR Model
Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (1)
Also in Keele Economics Research Papers, Centre for Economic Research, Keele University (2004)
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (1)
- 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 Twentieth Century Shocks, Trends and Cycles in Industrialized Nations, De Economist, Springer (2004) View citations (1) (2004)
- 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 (13)
2003
- 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 Bayes model averaging of cyclical decompositions in economic time series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (3) (2006)
- 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)
- Explaining Adaptive Radial-Based Direction Sampling
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
- Neural network approximations to posterior densities: an analytical approach
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
2002
- Adaptive Polar Sampling
Computing in Economics and Finance 2002, Society for Computational Economics View citations (7)
- 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 (5)
- 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 Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (49) (2003)
- Cyclical components in economic time series
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
- Efficient Sampling from Non-Standard Distributions Using Neural NetworkApproximations
Computing in Economics and Finance 2002, Society for Computational Economics
- 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 (4)
- 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
- 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)
- 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 (4)
- Daily Exchange Rate Behaviour and Hedging of Currency Risk
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 (19)
Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (25)
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (1)
Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (1)
See also Journal Article Daily exchange rate behaviour and hedging of currency risk, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2000) View citations (21) (2000)
- 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)
- 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
- 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 Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (16)
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (16)
Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (14)
- Combined Forecasts from Linear and Nonlinear Time Series Models
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (54)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (12)
See also Journal Article Combined forecasts from linear and nonlinear time series models, International Journal of Forecasting, Elsevier (2002) View citations (45) (2002)
1999
- 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)
- 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
- 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)
- 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)
- 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 BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES, Econometric Theory, Cambridge University Press (1998) View citations (85) (1998)
1997
- 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 Oil Price Shocks and Long Run Price and Import Demand Behavior, Annals of the Institute of Statistical Mathematics, Springer (1999) View citations (1) (1999)
1996
- 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
- On Bayesian routes to unit roots
Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (84)
See also Journal Article On Bayesian Routes to Unit Roots, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1991) View citations (83) (1991)
1990
- POSTERIOR ANALYSIS OF POSSIBLY INTEGRATED TIME SERIES WITH AN APPLICATION TO REAL GNP
Econometric Institute Archives, Erasmus University Rotterdam View citations (3)
1989
- A BAYESIAN ANALYSIS OF THE UNIT ROOT HYPOTHESIS
Econometric Institute Archives, Erasmus University Rotterdam View citations (1)
- A BAYESIAN ANALYSIS OF THE UNIT ROOT IN REAL EXCHANGE RATES
Econometric Institute Archives, Erasmus University Rotterdam
See also Journal Article A Bayesian analysis of the unit root in real exchange rates, Journal of Econometrics, Elsevier (1991) View citations (86) (1991)
1988
- BAYESIAN SPECIFICATION ANALYSIS AND ESTIMATION OF SIMULTANEOUS EQUATION MODELS USING MONTE CARLO METHODS
Working Papers, Southern California - Department of Economics View citations (36)
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1987)
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1988) View citations (28)
See also Journal Article Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods, Journal of Econometrics, Elsevier (1988) View citations (37) (1988)
1987
- 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)
- 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
- AN ALGORITHM FOR THE COMPUTATION OF POSTERIOR MOMENTS AND DENSITIES USING SIMPLE IMPORTANCE SAMPLING
Econometric Institute Archives, Erasmus University Rotterdam View citations (4)
1985
- 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 Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services, Journal of Econometrics, Elsevier (1985) View citations (4) (1985)
- 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 Posterior moments computed by mixed integration, Journal of Econometrics, Elsevier (1985) View citations (14) (1985)
1983
- EXPERIMENTS WITH SOME ALTERNATIVES FOR SIMPLE IMPORTANCE SAMPLING IN MONTE CARLO INTEGRATION
Econometric Institute Archives, Erasmus University Rotterdam View citations (5)
1982
- MONTE CARLO ANALYSIS OF SKEW POSTERIOR DISTRIBUTIONS: AN ILLUSTRATIVE ECONOMETRIC EXAMPLE
Econometric Institute Archives, Erasmus University Rotterdam View citations (1)
- POSTERIOR MOMENTS OF THE KLEIN-GOLDBERGER MODEL
Econometric Institute Archives, Erasmus University Rotterdam View citations (4)
1980
- FURTHER EXPERIENCE IN BAYESIAN ANALYSIS USING MONTE CARLO INTEGRATION
Econometric Institute Archives, Erasmus University Rotterdam View citations (52)
See also Journal Article Further experience in Bayesian analysis using Monte Carlo integration, Journal of Econometrics, Elsevier (1980) View citations (50) (1980)
1978
- POSTERIOR ANALYSIS OF KLEIN'S MODEL
Econometric Institute Archives, Erasmus University Rotterdam View citations (1)
1976
- 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 Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo, Econometrica, Econometric Society (1978) View citations (223) (1978)
- PREDICTIVE MOMENTS OF SIMULTANEOUS ECONOMETRIC MODELS A Bayesian Approach
Econometric Institute Archives, Erasmus University Rotterdam View citations (2)
1975
- BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Unorthodox Application of Monte Carlo
Econometric Institute Archives, Erasmus University Rotterdam View citations (4)
Journal Articles
2024
- Bayesian mode inference for discrete distributions in economics and finance
Economics Letters, 2024, 235, (C) View citations (4)
See also Working Paper Bayesian Mode Inference for Discrete Distributions in Economics and Finance, Working Papers (2023) (2023)
- Challenges and Opportunities for Twenty First Century Bayesian Econometricians: A Personal View
Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (2), 155-176
2023
- A flexible predictive density combination for large financial data sets in regular and crisis periods
Journal of Econometrics, 2023, 237, (2) View citations (7)
See also Working Paper A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods, Tinbergen Institute Discussion Papers (2022) (2022)
- Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Journal of Business & Economic Statistics, 2023, 41, (2), 523-537 View citations (7)
See also Working Paper Quantifying time-varying forecast uncertainty and risk for the real price of oil, Working Papers (2021) (2021)
2020
- 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
- Partially censored posterior for robust and efficient risk evaluation
Journal of Econometrics, 2020, 217, (2), 335-355 View citations (3)
See also Working Paper Partially Censored Posterior for Robust and Efficient Risk Evaluation, Tinbergen Institute Discussion Papers (2019) (2019)
2019
- Forecast density combinations of dynamic models and data driven portfolio strategies
Journal of Econometrics, 2019, 210, (1), 170-186 View citations (19)
See also Working Paper Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies, Working Paper (2018) View citations (3) (2018)
2018
- Combined Density Nowcasting in an Uncertain Economic Environment
Journal of Business & Economic Statistics, 2018, 36, (1), 131-145 View citations (42)
See also Working Paper Combined Density Nowcasting in an Uncertain Economic Environment, Tinbergen Institute Discussion Papers (2014) View citations (2) (2014)
2017
- Econometrics and Statistics
Econometrics and Statistics, 2017, 1, (C), 1-1 View citations (12)
- 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 The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference, Working Paper (2017) View citations (5) (2017)
2016
- Computational Complexity and Parallelization in Bayesian Econometric Analysis
Econometrics, 2016, 4, (1), 1-3
- 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 (34)
See also Working Paper Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode, Tinbergen Institute Discussion Papers (2015) (2015)
- Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM
Econometrics, 2016, 4, (1), 1-20 View citations (6)
See also Working Paper Parallelization Experience with Four Canonical Econometric Models using ParMitISEM, Tinbergen Institute Discussion Papers (2016) View citations (10) (2016)
- 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 Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices, Tinbergen Institute Discussion Papers (2014) View citations (3) (2014)
2015
- Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox
Journal of Statistical Software, 2015, 068, (i03) View citations (23)
See also Working Paper Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox, Tinbergen Institute Discussion Papers (2015) View citations (23) (2015)
2014
- 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 Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo, Tinbergen Institute Discussion Papers (2012) View citations (3) (2012)
- 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 Divergent Priors and well Behaved Bayes Factors, Tinbergen Institute Discussion Papers (2011) View citations (2) (2011)
- INTRODUCTION TO RECENT ADVANCES IN METHODS AND APPLICATIONS FOR DSGE MODELS
Journal of Applied Econometrics, 2014, 29, (7), 1029-1030
- 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 (22)
See also Working Paper Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data, Tinbergen Institute Discussion Papers (2013) View citations (3) (2013)
2013
- 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 Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging, Tinbergen Institute Discussion Papers (2012) View citations (2) (2012)
- Time-varying combinations of predictive densities using nonlinear filtering
Journal of Econometrics, 2013, 177, (2), 213-232 View citations (109)
See also Working Paper Time-varying Combinations of Predictive Densities using Nonlinear Filtering, Tinbergen Institute Discussion Papers (2012) View citations (10) (2012)
2012
- 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 (40)
See also Working Paper A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation, Tinbergen Institute Discussion Papers (2012) View citations (40) (2012)
- A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
Computational Statistics & Data Analysis, 2012, 56, (11), 3398-3414 View citations (41)
See also Working Paper A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood, Tinbergen Institute Discussion Papers (2010) View citations (3) (2010)
- 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 Combination schemes for turning point predictions, Working Paper (2012) View citations (34) (2012)
- Comment
Journal of Business & Economic Statistics, 2012, 30, (1), 30-33
2011
- Comment
Journal of Business & Economic Statistics, 2011, 30, (1), 30-33
2010
- Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling
International Journal of Forecasting, 2010, 26, (2), 231-247 View citations (32)
See also Working Paper Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling, Tinbergen Institute Discussion Papers (2008) View citations (1) (2008)
- Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
Journal of Forecasting, 2010, 29, (1-2), 251-269 View citations (42)
See also Working Paper Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights, Tinbergen Institute Discussion Papers (2009) View citations (8) (2009)
- The Fifth Special Issue on Computational Econometrics
Computational Statistics & Data Analysis, 2010, 54, (11), 2359-2359
2009
- 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 (19)
See also Working Paper Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit, Tinbergen Institute Discussion Papers (2008) (2008)
- The fourth special issue on Computational Econometrics
Computational Statistics & Data Analysis, 2009, 53, (6), 1923-1924
2007
- Computational techniques for applied econometric analysis of macroeconomic and financial processes
Computational Statistics & Data Analysis, 2007, 51, (7), 3506-3508 View citations (1)
- Consumer Evaluations of Food Risk Management Quality in Europe
Risk Analysis, 2007, 27, (6), 1565-1580 View citations (9)
- Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics
Econometric Reviews, 2007, 26, (2-4), 107-112
- Endogeneity, instruments and identification
Journal of Econometrics, 2007, 139, (1), 1-3 View citations (2)
- 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 (33)
See also Working Paper Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data, Econometric Institute Research Papers (2006) View citations (1) (2006)
- 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 (62)
See also Working Paper 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 (2007) View citations (55) (2007)
- Progress and challenges in econometrics
Journal of Econometrics, 2007, 138, (1), 1-2
- Trends and cycles in economic time series: A Bayesian approach
Journal of Econometrics, 2007, 140, (2), 618-649 View citations (78)
See also Working Paper Trends and cycles in economic time series: A Bayesian approach, Econometric Institute Research Papers (2005) View citations (7) (2005)
2006
- Bayes model averaging of cyclical decompositions in economic time series
Journal of Applied Econometrics, 2006, 21, (2), 191-212 View citations (3)
Also in Journal of Applied Econometrics, 2006, 21, (2), 191-212 (2006)
See also Working Paper Bayes model averaging of cyclical decompositions in economic time series, Econometric Institute Research Papers (2003) (2003)
- ‘Rotterdam econometrics’: an analysis of publications of the Econometric Institute 1956–2004
Statistica Neerlandica, 2006, 60, (2), 85-111
See also Working Paper "Rotterdam Econometrics": an analysis of publications of the econometric institute 1956-2004, Econometric Institute Research Papers (2006) (2006)
2005
- On the dynamics of business cycle analysis: editors' introduction
Journal of Applied Econometrics, 2005, 20, (2), 147-150 View citations (6)
Also in Journal of Applied Econometrics, 2005, 20, (2), 147-150 (2005)
2004
- Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
Journal of Econometrics, 2004, 123, (2), 201-225 View citations (20)
See also Working Paper Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, LIDAM Reprints CORE (2004) View citations (13) (2004)
- Recent advances in Bayesian econometrics
Journal of Econometrics, 2004, 123, (2), 197-199 View citations (2)
- Twentieth Century Shocks, Trends and Cycles in Industrialized Nations
De Economist, 2004, 152, (2), 211-232 View citations (1)
See also Working Paper Twentieth century shocks, trends and cycles in industrialized nations, Econometric Institute Research Papers (2004) View citations (1) (2004)
2003
- 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 Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income, Econometric Institute Research Papers (2002) View citations (6) (2002)
- 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 Bayesian Model Selection with an Uninformative Prior, Keele Economics Research Papers (2004) (2004)
- Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics
Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688
2002
- Combined forecasts from linear and nonlinear time series models
International Journal of Forecasting, 2002, 18, (3), 421-438 View citations (45)
See also Working Paper Combined Forecasts from Linear and Nonlinear Time Series Models, Tinbergen Institute Discussion Papers (2000) View citations (54) (2000)
- Neural Network Pruning Applied to Real Exchange Rate Analysis
Journal of Forecasting, 2002, 21, (8), 559-77 View citations (6)
2000
- 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 Daily Exchange Rate Behaviour and Hedging of Currency Risk, Tinbergen Institute Discussion Papers (2001) (2001)
- Introduction: inference and decision making
Journal of Applied Econometrics, 2000, 15, (6), 545-546 View citations (2)
1999
- 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 Oil Price Shocks and Long Run Price and Import Demand Behavior, Econometric Institute Research Papers (1997) (1997)
- Some remarks on the simulation revolution in bayesian econometric inference
Econometric Reviews, 1999, 18, (1), 105-112 View citations (5)
1998
- BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
Econometric Theory, 1998, 14, (6), 701-743 View citations (85)
See also Working Paper Bayesian Simultaneous Equations Analysis using Reduced Rank Structures, Tinbergen Institute Discussion Papers (1998) View citations (80) (1998)
- Distribution and mobility of wealth of nations
European Economic Review, 1998, 42, (7), 1269-1293 View citations (91)
1996
- Editor's introduction
Journal of Econometrics, 1996, 75, (1), 1-5 View citations (1)
1995
- Classical and Bayesian aspects of robust unit root inference
Journal of Econometrics, 1995, 69, (1), 27-59 View citations (20)
1994
- Bayes Methods and Unit Roots
Econometric Theory, 1994, 10, (3-4), 453-460 View citations (1)
- Direct cointegration testing in error correction models
Journal of Econometrics, 1994, 63, (1), 61-103 View citations (20)
- On the Shape of the Likelihood/Posterior in Cointegration Models
Econometric Theory, 1994, 10, (3-4), 514-551 View citations (76)
1993
- Bayes estimates of muIti‐criteria decision alternatives using Monte Carlo integration
Statistica Neerlandica, 1993, 47, (2), 127-151 View citations (1)
- Non-stationarity in GARCH Models: A Bayesian Analysis
Journal of Applied Econometrics, 1993, 8, (S), S41-61 View citations (35)
1992
- International conference on econometric inference using simulation techniques
Journal of Econometrics, 1992, 51, (1-2), 287-287
- 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 (6)
1991
- A Bayesian analysis of the unit root in real exchange rates
Journal of Econometrics, 1991, 49, (1-2), 195-238 View citations (86)
See also Working Paper A BAYESIAN ANALYSIS OF THE UNIT ROOT IN REAL EXCHANGE RATES, Econometric Institute Archives (1989) (1989)
- On Bayesian Routes to Unit Roots
Journal of Applied Econometrics, 1991, 6, (4), 387-401 View citations (83)
See also Working Paper On Bayesian routes to unit roots, Discussion Paper / Institute for Empirical Macroeconomics (1991) View citations (84) (1991)
1988
- Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
Journal of Econometrics, 1988, 38, (1-2), 39-72 View citations (37)
See also Working Paper BAYESIAN SPECIFICATION ANALYSIS AND ESTIMATION OF SIMULTANEOUS EQUATION MODELS USING MONTE CARLO METHODS, Working Papers (1988) View citations (36) (1988)
1985
- Editor's introduction
Journal of Econometrics, 1985, 29, (1-2), 1-2
- 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 LIKELIHOOD DIAGNOSTICS AND BAYESIAN ANALYSIS OF A MICRO-ECONOMIC DISEQUILIBRIUM MODEL FOR RETAIL SERVICES, Econometric Institute Archives (1985) View citations (4) (1985)
- Posterior moments computed by mixed integration
Journal of Econometrics, 1985, 29, (1-2), 3-18 View citations (14)
See also Working Paper POSTERIOR MOMENTS COMPUTED BY MIXED INTEGRATION, Econometric Institute Archives (1985) View citations (14) (1985)
1980
- Further experience in Bayesian analysis using Monte Carlo integration
Journal of Econometrics, 1980, 14, (3), 307-328 View citations (50)
See also Working Paper FURTHER EXPERIENCE IN BAYESIAN ANALYSIS USING MONTE CARLO INTEGRATION, Econometric Institute Archives (1980) View citations (52) (1980)
- Inferential Procedures in Stable Distributions for Class Frequency Data on Incomes
Econometrica, 1980, 48, (5), 1139-48 View citations (4)
1978
- Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
Econometrica, 1978, 46, (1), 1-19 View citations (223)
See also Working Paper BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo, Econometric Institute Archives (1976) View citations (3) (1976)
- Efficient estimation of income distribution parameters
Journal of Econometrics, 1978, 8, (1), 61-74 View citations (29)
Books
2004
- Econometric Methods with Applications in Business and Economics
OUP Catalogue, Oxford University Press View citations (127)
Edited books
2013
- The Oxford Handbook of Bayesian Econometrics
OUP Catalogue, Oxford University Press View citations (4)
2011
- The Oxford Handbook of Bayesian Econometrics
OUP Catalogue, Oxford University Press View citations (96)
Chapters
2008
- Bayesian near-boundary analysis in basic macroeconomic time-series models
A chapter in Bayesian Econometrics, 2008, pp 331-402
See also Working Paper Bayesian near-boundary analysis in basic macroeconomic time series models, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2008) View citations (19) (2008)
Editor
- Econometrics and Statistics
Elsevier
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