Articles

“Long-term strategic asset allocation: An out-of-sample evaluation”, with Diris, B. and P. Schotman, 2014, forthcoming in Management Science, with an online supplement.

“Stock markets, banks and long run economic growth”, with Cavenaile, L., and C. Gengenbach, 2013, forthcoming in De Economist.

“Multivariate dynamic probit models : an application to financial crises mutation”, with Candelon, B., Dumitrescu, E.-I., and C. Hurlin, Advances in Econometrics 32, 2013, 395-427.

“Common intraday periodicity”, with Hecq, A. and S. Laurent, Journal of Financial Econometrics 10, 2012, 325-353.

“The information value of R&D alliances : The preference for local or distant ties”, with Hagedoorn, J., and W. Letterie, Strategic Organizations 9, 2011, 283-309.

“Cross-sectional dependence robust block bootstrap panel unit root tests”, with Smeekes, S., and J.-P. Urbain, Journal of Econometrics 163, 2011, 85-104.

“Introduction to Factor Structures in Multivariate Time Series and Panel Data”, with Urbain, J.-P., Journal of Econometrics 163, 2011, 1-3.

“Persistence of innovation in Dutch manufacturing: Is it spurious?”, with Raymond, W., Mohnen, P., and S. Schim van der Loeff, Review of Economics and Statistics 92, 2011, 495-504.

“Banking and debt crises in Europe : The dangerous liaisons?”, with Candelon, B., De Economist 158, 2010, 81-99.

“A sieve bootstrap test for cointegration in a conditional error correction model”, with Smeekes, S. and J.-P. Urbain, Econometric Theory 26, 2010, 647 – 681.

“Panel unit root tests in the presence of cross-sectional dependencies: Comparison and implications for modelling”, with Gengenbach, C. and J.-P. Urbain, Econometric Reviews 29, 2010, 111-145.

“Editors’ introduction to heavy tails and Paretian distributions in empirical finance – a volume honoring Benoît Mandelbrot”, with Dufour, J.-M. and J.-R. Kurz-Kim, Journal of Empirical Finance 17, 2010, 177-179.

“Studying co-movements in large multivariate models prior to multivariate modelling”, with Cubadda, G., and A. Hecq, Journal of Econometrics 148, 2009, 22-35.

“Central bank FOREX market interventions assessed using realized moments”, with Beine, M. and S. Laurent, Journal of International Financial Markets,  Institutions and Money 19, 2009, 112-127.

“Macro-panels and reality”, with Cubadda, G., and A. Hecq, Economics Letters  99, 2008, 537-540.

“Regret aversion and annuity risk in defined contribution pension plans”, with Frehen, R., Hoevenaars, R., and P. Schotman, Insurance:  Mathematics and Economics  42, 2008, 1050-1061.

“Financial constraints and other obstacles: Are they a threat to innovations?’, with Mohnen, P., Schim van der Loeff, S., and A. Tiwari, CESifo Working Papers No. 2204, 2008,  De Economist  156, 2008, 201-214.

“Bootstrap unit root tests: Comparisons and extensions”, with Smeekes, S. and J.-P. Urbain, Journal  of Time Series Analysis 29, 2008, 371-401.

“Martin M.G. Fase retires from the Board of Editors”, De Economist 156, 2008, 1-2.

Information gathering through alliances”, jointly with Letterie, W., Hagedoorn, J., and H. van Kranenburg, Journal of Economic Behavior and Organization 66, 2008, 176-194.

“Central bank intervention and exchange rate volatility, its continuous and jump components”, with Beine, M., J. Lahaye, S. Laurent, and C.J. Neely, International Journal of Finance and Economics 12, 2007, 201-223.

“Cointegration testing in panels with common factors”, with Gengenbach, C.  and J.-P. Urbain, Oxford Bulletin of Economics and Statistics 68, 2006, 683-719.

“Introduction to the special issue on International Finance”, with Werner, I.M. and C.C.P. Wolff, Journal of Empirical Finance 13, 2006, 393-395.

“A classification of Dutch manufacturing based on a model of innovation”, with Raymond, W., Mohnen, P., and S. Schim van der Loeff, De Economist 154, 2006, 85-105.

“Testing for common cyclical features in VAR models with cointegration”, with Hecq, A. and J.P. Urbain, Journal of Econometrics 132, 2006, 117-141.

“Have sequential interventions of central banks in foreign exchange markets been effective?”, with Beine, M. and S. Laurent, De Economist 152, 2004, 297-308.

“Editorial – Introduction to the special issue on behavioral finance”, with De Bondt, W.F.M. and C.C.P. Wolff, Journal of Empirical Finance 11, 2004, 423-427.

“Editors’ Introduction”, with Zellner, A., The Structural Econometric Time  Series Analysis Approach, Cambridge, Cambridge University Press, September 2004, pp. xiii-xv.

“Exit and survival in a concentrating industry: The case of newspapers in the  Netherlands”, with van Kranenburg, H.L. and G.A. Pfann, Review of Industrial Organization 21, 2002, 283-303.

“The tail fatness of FX returns reconsidered”, with Huisman, R., K. Koedijk, and C. Kool, De Economist 150, 2002, 299-312.

“Separation,weak exogeneity and P-T decompositions in cointegrated VAR systems with common features”,with Hecq, A. and J.-P. Urbain, Econometric Reviews 21, 2002, 273-307.

“Tail-index estimates in small samples”, with Huisman, R., K. Koedijk, and C. Kool, Journal of Business and Economic Statistics 19, 2001, 208-216.

“Editors’ Introduction to Measuring Inflation for Monetary Purposes”, with Fase, M.M.G., De Economist 149, 2001, 401-403.

“Editors’ Introduction to Risk Management”, with Koedijk, C. and C.C.P. Wolff, Journal of Empirical Finance 7, 2000, v-vi.

“Comovements in international stock markets: What can we learn from a common trend-common cycle analysis?”, with Hecq, A. and J.-P. Urbain, De Economist 148, 2000, 395-406.

“Testing for serial correlation common features in nonstationary panel data models”, with Hecq, A. and J.-P. Urbain, in Baltagi, B.H. (ed.), Nonstationary Panels, Panel Cointegration and Dynamic Models, Advances In Econometrics 15, 2000, Elsevier Science, 131-160.

“Permanent-transitory decompositions in VAR models with cointegration and common cycles”, with Hecq, A. and J.-P. Urbain, Oxford Bulletin of Economics and Statistics 62, 2000, 545-566.

“Correction: ‘Cointegration and dynamic simultaneous equations models’ by Hsiao, C.”, with Zellner, A., Econometrica  68, 2000, 1293.

“Labor market dynamics when effort depends on wage growth”, with de la Croix, D. and J.-P. Urbain, Empirical Economics 25, 2000, 393-419.

“Pooling in dynamic panel data models: An application to forecasting GDP growth rates”, with Hoogstrate, A.J. and G.A. Pfann, Journal of Business and Economic Statistics 18, 2000, 274-283, reprinted in Zellner and Palm, eds., 2004, 590-611.

“Some reflections on: The Euro and competition in European financial markets”, De Economist 146, 1998, 347-356.

“Market dynamics: Introduction”, with van de Klundert, Th., De Economist 146, 1998, 387-390.

“The life cycle of daily newspapers in The Netherlands: 1948-1997″, with van Kranenburg, H.L. and G.A. Pfann, De Economist 146, 1998, 475-494.

“Statistical demand functions for food in the USA and The Netherlands”(with discussion), with de Crombrugghe, D. and J.-P. Urbain, Journal of Applied Econometrics 12, 1997, 615-645, reprinted in Magnus, J.R., and M.S. Morgan, eds., Methodology and Tacit Knowledge, Chichester, J. Wiley Publ. Co., 1999, 205-235.

“Sources of asymmetry in production factor dynamics”, with Pfann, G.A., Journal of Econometrics 82, 1997, 361-392.

“Simple diagnostic procedures for modeling financial time series”, with Vlaar, P.J.G., Allgemeines Statistisches Archiv 81, 1997, 85-101.

“Inflation differentials and excess returns in the European Monetary System”,  with Vlaar, P.J.G., Journal of International Financial Markets, Institutions  and Money 7, 1997, 1-20.

“The European exchange rate mechanism and the European Monetary Union”, De Economist 144, 1996, 305-324.

“Stochastic implications of the life cycle consumption model under rational habit formation”, with Winder, C.C.A., Recherches Economiques de Louvain, Special issue on Modelling Macroeconomic Dynamics: Recent Developments 62, 1996, 403-412.

“A dynamic contracting model for wages and employment in three European economies”, with de la Croix, D. and G.A. Pfann, European Economic Review 40, 1996, 429-448.

“Unravelling trend and stationary components of total factor productivity”, with Pfann, G.A., Annales d’Economie et de Statistique 39, 1995, 67-92.

“Bayesian model selection and prediction with empirical applications : Comments”, Journal of Econometrics 69, 1995, 333-335.

“The determinants of individual unemployment and jobsearch duration in the    Netherlands”, with Kerckhoffs, C. and C. de Neubourg, De Economist 142, 1994, 21-42.

“Adjustment costs and time-to-build in factor demand in the U.S. manufacturing industry”, with Peeters, H.M.M. and G.A. Pfann, Empirical Economics 18, 1993, 639-371, reprinted in : Dufour, J.M. and B. Raj (eds.), New Developments in Time Series Econometrics, Heidelberg, Physica-Verlag, 1994, 83-115.

“Statement by the Editors” with Baillie, R.T., G.A. Pfann, T.J. Vermaelen and C.C.P. Wolff, Journal of Empirical Finance 1, 1993, 1-2.

“The message in weekly exchange rates in the European Monetary System : Mean reversion, conditional heteroske­dasticity and jumps”, with P. Vlaar, Journal of Business and Economic Statistics 11, 1993, 351-360.

“Premia in forward foreign exchange as unobserved components”, with Nijman, T.E. and C.C.P. Wolff, Journal of Business and Economic Statistics 11, 1993, 361-365.

“Asymmetric adjustment costs in non-linear labour demand models for the Netherlands and U.K. manufacturing sectors”, with Pfann, G.A., Review of Economic Studies 60, 1993, 297-312.

“To combine or not to combine ?  Issues of combining forecasts”, with Zellner, A., Journal of Forecasting 11, 1992, 687-701, reprinted in: Zellner, A., Bayesian Analysis in Econometrics and Statistics, Cheltenham, E. Elgar Publ. Co., 1997, 503-517.

“Interrelations, structural changes and cointegration in a model for manufacturing demand in the Netherlands”, with Pfann, G.A., Recherches Economiques de Louvain 57, 1991, 221-243.

“Generalized least squares estimation of linear models containing rational future expectations”, with Nijman, T.E., International Economic Review 32, 1991, 383-389.

“Predictive accuracy gain from disaggregate sampling in ARIMA models”, with Nijman, T.E., Journal of Business and Economic Statistics 8, 1990, 405-415.

“Economic theory and structural time series models for aggregate consumption”, with Winder, C.C.A., Annales d’Economie et de  Statistique 18, 1990, 25-43.

“Asymptotic least squares estimation: efficiency considerations and applications”, with Kodde, D.A. and G.A. Pfann, Journal of Applied Econometrics 5, 1990, 229-243.

“Interrelated demand rational expectations models for two types of labour”, with Pfann, G.A., Oxford Bulletin of Economics and Statistics 52, 1990, 45-68.

“Parameter identification in ARMA-processes in the presence of regular but incomplete sampling”, with Nijman, T.E., Journal of Time Series Analysis 11, 1990, 239-248.

“Intertemporal consumer behavior under structural changes in income” (with discussion), with Winder, C.C.A., Econometric Reviews 8, 1989, 1-87, 143-148.

“Efficiency gains due to using missing data procedures in regression models”, with Nijman, T.E., Statistical Papers 29, 1988, 249-256.

“Consistent estimation of regression models with incompletely observed exogenous variables”, with Nijman, T.E., Annales d’Economie et de Statistique 12, 1988, 151-175.

“Computing Wald criteria for nested hypotheses”, with Kodde, D.A., Statistical Papers 29, 1988, 169-190.

“Diffusie van technologie”, with Diederen P., R. Kemp, J. Muysken, K. Bartels, and I. Webbink, Tijdschrift voor Politieke Ekonomie 11, 1988, 84-96.

“Testing the stability of a linear model”, with Kodde, D.A., Statistische Hefte/Statistical Papers 28, 1987, 263-270.

“A parametric test of the negativity of the substitution matrix”, with Kodde, D.A., Journal of Applied Econometrics 2, 1987, 227-235.

“Time series and econometric models with unobservables”, paper presented at the course “Recent advances in econometric modelling : causality, time series methods and computer applications” in Santa Margherita Ligure, 12-22 November 1984, Economic Notes, 1987, 22-38.

“Macroeconomic forecasting using pooled international data”, with Garcia-Ferrer, A., R.A. Highfield, and A. Zellner, Journal of Business and Economic Statistics 5, 1987, 53-67, reprinted in Zellner and Palm, eds., 2004,457-484.

“Structural econometric modeling and time series analysis”, Applied Mathematics and Computation 20, 1986, 349-364.

“Wald criteria for jointly testing equality and inequality restrictions”, with Kodde, D.A., Econometrica 54, 1986, 1243-1248.

“The construction and use of approximations for missing quarterly observations : a model-based approach”, with Nijman, T.E., Journal of Business and Economic Statistics 4, 1986, 47-58.

“A short-run econometric analysis of the international coffee market”, with Vogelvang, E., European Review of Agricultural Economics 13, 1986, 451-476.

“Séries temporelles incomplètes en modélisation macroéconomique”, with Nijman, T.E., Cahiers du Séminaire d’Econométrie 27, 1985, 141-168.

“On econometric modeling of incomplete data”, with Nijman, T.E., Methods of Operations Research 50, 1985, 359-370.

“Efficient estimation of a simple distributed lag model, some Monte Carlo results on small sample properties”, with Vogelvang, E. and D.A. Kodde, International Economic Review 25, 1984, 579-601.

“Significance tests and spurious correlation in regression models with  autocorrelated errors”, with Sneek, J.M., Statistische Hefte/Statistical Papers 25, 1984, 87-105.

“Missing observations in the dynamic regression model”, with Nijman, T.E.,  Econometrica 52, 1984, 1415-1435.

“Het genereren en evalueren van voorspellingen van omzet en netto winst”, with Kodde, D.A., Maandblad voor Accountancy en Bedrijfshuishoudkunde 6/7, 1982, 308-321.

“Linear regression using both temporally aggregated and temporally disaggregated data”, with Nijman, T.E., Journal of Econometrics 19, 1982, 333-344.

“Large sample estimation and testing procedures for dynamic equation systems – a rejoinder”, with Zellner, A., Journal of Econometrics 17, 1981, 131-138, reprinted in Zellner and Palm, eds., 2004, 233-240.

“Large sample estimation and testing procedures for dynamic equation systems”, with Zellner, A., Journal of Econometrics 12, 1980, 251-283, reprinted in Zellner and Palm, eds., 2004, 201-233.

“Utilisation du modèle de régression dans l’analyse des séries chronologiques”, Biométrie-Praximétrie 17, 1977, 35-48.

“On efficient estimation of the final equation form of a linear multiple time series process”, Cahiers du Centre d’Etudes de Recherche Opérationnelle 19, 1977, 297-308.

“On univariate time series methods and simultaneous equation models”, Journal of Econometrics 5, 1977, 379-388.

“Testing the dynamic specification of an econometric model with an application to Belgian data”, European Economic Review 8, 1976, 269-289.

“Analyse chronologique, spécification de modèles dynamiques à équations simultanées”, Recherches Economiques de Louvain 42, 1976, 37-52.

“Time series and structural analysis of monetary models of the U.S. economy”, with Zellner, A., Sankhya: The Indian Journal of Statistics, Series C, 37, 1975, Pt. 2, 12-56, reprinted in Zellner and Palm, eds., 2004, 243-287.

“Time series analysis and simultaneous equation econometric models”, with Zellner, A., Journal of Econometrics 2, 1974, 17-54, reprinted in: Harvey, A.C.,ed., Time Series I, Aldershot, E. Elgar, 1994, 420-457, reprinted in Hamouda, O.F. and J.C.R. Rowley, eds., Time Series Models, Causality and Exogeneity, Aldershot, Edward Elgar, 1997, 410-447, and partly reprinted in: Intriligator, M., Bodkin, R. and C. Hsiao, Econometric Models, Techniques, and Applications, Englewood Cliffs, Prentice-Hall, 1997, second edition, reprinted in Zellner and Palm, eds., 2004, 3-40.

“La demande d’engrais chimiques en Belgique : une approche bayesienne”, Recherches Economiques de Louvain 38, 1972, 157-173.