Econometric Institute Research Papers

From Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
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1588: A primal-dual decomposition based interior point approach to two-stage stochastic linear programming

Arjan Berkelaar, Cees Dert, K.P.B. Oldenkamp and Shuzhong Zhang

1587: Testing for converging deterministic seasonal variation in European industrial production

Philip Hans Franses and Robert Kunst

1586: The Joint Estimation of Term Structures and Credit Spreads

Patrick Houweling, Jaap Hoek and Frank Kleibergen

1569: Neural network analysis of varying trends in real exchange rates

Johan Kaashoek and Herman van Dijk

1567: On SETAR non- linearity and forecasting

Michael Clements, Philip Hans Franses and Jeremy Smith

1566: LQ control without Ricatti equations: deterministic systems

David Yao, Stephen Zhang and Xun Yu Zhou

1564: An adaptive optimal estimate of the tail index for MA(1) time series

Jaap Geluk and Liang Peng

1563: Capacity planning of prisons in the Netherlands

R. Korporaal, Ad Ridder, P. Kloprogge and Rommert Dekker

1562: Do the US and Canada have a common nonlinear cycle in unemployment?

Richard Paap and Philip Hans Franses

1561: Cointegration in a periodic vector autoregression

Frank Kleibergen and Philip Hans Franses

1560: Testing common deterministic seasonality

Philip Hans Franses and Robert Kunst

1559: How to deal with intercept and trend in pratical cointegration analysis?

Philip Hans Franses

1558: Unit root tests and assymmetric adjustment

Robert-Paul Berben and Dick van Dijk

1557: Analytic central path, sensitivity analysis and parametric linear programming

A.G. Holder, J.F. Sturm and Shuzhong Zhang

1556: Long memory and level shifts: re-analysing inflation rates

Philip Hans Franses, Marius Ooms and Charles Bos

1555: Does the absence of cointegration explain the typical findings in long horizon regressions?

Robert-Paul Berben and Dick van Dijk

1554: Conic convex programming and self-dual embedding

Z-Q. Luo, J.F. Sturm and Shuzhong Zhang

1553: Forecasting volatility with switching persistence GARCH models

Philip Hans Franses, Jack Neele and Dick van Dijk

1552: On the role of seasonal intercepts in seasonal cointegration

Philip Hans Franses and Robert Kunst

1551: Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration

Frank Kleibergen and Richard Paap

1550: Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces

Luc Bauwens, Charles Bos and Herman van Dijk

1548: On data transformations and evidence of nonlinearity

Paul de Bruin and Philip Hans Franses

1547: Second order regular variation and the domain of attraction of stable distributions

Jaap Geluk and Liang Peng

1546: Stock rationing in a continuous review two-echelon inventory model

Sven Axsäter, Marcel Kleijn and Ton de Kok

1545: Trade liberalization and the allocation over domestic and foreign supplies: a case study for Spanish manufacturing

Paul de Boer, C. Martinez and R. Harkema

1544: Global error bounds for convex conic problems

Shuzhong Zhang

1543: Estimation of factor models by realization-based and approximation methods

Wolfgang Scherrer and Christiaan Heij

1542: Nonlinearities and outliers: robust specification of STAR models

Alvaro Escribano, Philip Hans Franses and Dick van Dijk

1541: Quadratic maximization and semidefinite relaxation

Shuzhong Zhang

1540: Bayesian and classical approaches to instrumental variable regression

Frank Kleibergen and Eric Zivot

1538: Inventory rationing in an (s, Q) inventory model with lost sales a two demand classes

Ph. Melchiors, Rommert Dekker and Marcel Kleijn

1537: The Level Set Method Of Joó And Its Use In Minimax Theory

Hans Frenk and G. Kassay

1536: A Deterministic Inventory/Production Model with General Inventory Cost Rate Function and Concave Production Costs

Ilker Birbil, Hans Frenk and Pelin Bayindir

1535: A Multi-Item Inventory Model With Joint Setup And Concave Production Costs

Pelin Bayindir, Ilker Birbil and Hans Frenk

1534: An overview of inventory systems with several demand classes

Marcel Kleijn and Rommert Dekker

1533: Modeling asymmetric volatility in weekly Dutch temperature data

Philip Hans Franses, Jack Neele and Dick van Dijk

1532: Censored latent effects autoregression, with an application to US unemployment

Philip Hans Franses and Richard Paap

1530: A seasonal periodic long memory model for monthly river flows

Marius Ooms and Philip Hans Franses

1529: An alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators

Frank Kleibergen

1528: Minimax results and finite dimensional separation

Hans Frenk and G. Kassay

1527: Inventory control and regenerative processes

Emö Bazsa-Oldenkamp, Hans Frenk and P. den Iseger

1526: Conformism and diversity under social learning

Sanjeev Goyal and V. Bala

1525: Modelling asymmetric persistence over the business cycle

Philip Hans Franses and Richard Paap

1524: Conditional densities in econometrics

Frank Kleibergen

1523: A simple strategy to prune neural networks with an application to economic time series

Johan Kaashoek and Herman van Dijk

1522: Media planning by optimizing contact frequencies

Nanda Piersma, S. Kapsenberg, P. Kloprogge and Albert Wagelmans

1521: Improved dynamic programs for batching problems with maximum lateness criterion

Albert Wagelmans and A.E. Gerodimos

1515: Analyzing the effects of past prices on reference price formation

Rutger van Oest and Richard Paap

1513: Simple heuristics for push and pull remanufacturing policies

Erwin van der Laan and Ruud Teunter

1488: On the efficiency of optimal algorithms for the joint replenishment problem: a comparative study

Eric Porras Musalem and Rommert Dekker