Research

Recent Working Papers

► “CCE Estimation of Factor-Augmented Regression Models with more Factors than Observables”, 2014, GSBE Research Memorandum RM/14/07 , Maastricht University (with Hande Karabiyik and Joakim Westerlund) – submitted

► “A Multivariate Invariance Principle for Modified Wild Bootstrap Methods with an Application to Unit Root Testing”, 2014,  GSBE Research Memorandum RM/14/008. (with Stephan Smeekes) -   Gauss code available on Stephan Smeekes homepage - under revision

 

Published or forthcoming journal articles and contributions to edited volumes

►”Error Correction Testing in Panels with Common Stochastic Trends,” Journal of Applied Econometrics, 201x, forthcoming ,  (with Christian Gengenbach and Joakim Westerlund)

► “Combining Forecasts from Successive Data Vintages: An Application to U.S. Growth,  International Journal of Forecasting, 2016,  32 (1), 61-74, (with Thomas Goetz and Alain Hecq) .

► “Cross Sectional Averages or Principal Components?”,   Journal of Econometrics, 2015, 185 (2), 372-377,  (with Joakim Westerlund)

► “Forecasting Mixed Frequency Time Series with ECM-MIDAS Models”, Journal of Forecasting,  2014, 33 (3), 198-213 (with Thomas Goetz and Alain Hecq) 

► “Air quality combination forecasting with an application to Bogota.”, Athmospheric Environement, 2014, 89, 22-28 (with Joakim Westerlund and Jorge Bonilla) – [for AE subscribers]

► “On the Applicability of the Sieve Bootstrap in Time Series Panels”, Oxford Bulletin of Economics and Statistic, 2014, 76 (1), 139-151. (with Stephan Smeekes)

►”Testing for Common Cycles in Non-Stationary VARs with Varied Frequency data, in: Thomas B. Fomby, Lutz Kilian, Anthony Murphy (ed.) VAR Models in Macroeconomics. New Developments and Applications: Essays in Honor of Christopher A. Sims.  Advances in Econometrics, Volume 32, Emerald Group Publishing Limited, 361-393. (with Thomas Goetz and Alain Hecq)

► “On the Implementation and Use of Factor-Augmented Regressions in panel Data” Journal of Asian Economics, 2013, 28, 3-11 (with Joakim Westerlund)

► “On the Estimation and Inference in Factor-Augmented Panel Regressions with correlated loadings” Economics Letters, 2013, 119, 247-250 (with Joakim Westerlund)

► “Alternative Representations for Cointegrated Panels with Global Stochastic Trends” Economics Letters, 2013, 118, 485-488 (with Christian Gengenbach and Joakim Westerlund)

►”Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests”, Journal of Econometrics, 2011, 163 (1), 85-104. (with Franz C. Palm and Stephan Smeekes) [for JoE subscribers], -   Gauss code available on Stephan Smeekes homepage.

►”Factor Structures for panel and Multivariate Time Series Data” (guest editorial), Journal of Econometrics, 2011, 163 (1), 1-3. (with Franz C. Palm), [for JoE subscribers],

►”Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends”, Oxford Bulletin of Economics and Statistics, 2011, 73, 119-139 (with Joakim Westerlund) [ for OBES subscribers] .

►”A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model”, Econometric Theory, 2010, 26 (3), 647-681. (with Franz C. Palm and Stephan Smeekes) [for ET subscribers, detailed proofs, additional simulations,   Gauss code available on Stephan Smeekes homepage.

►"Panel Unit Root Tests in the Presence of cross-sectional Dependencies: Comparison and Implications for Modelling", Econometric Reviews, 2010, 29, 11-145, (with C. Gengenbach and F.C. Palm), [for ER subscribers + Tables]

►”A Cautious Note on the Use of Panel Models to Predict Financial Crises”, Economics Letters, 2008, 101, 80-83 (with Jeroen van den Berg and Bertrand Candelon) [for EcLet subscribers]

►”Bootstrap Unit Root Tests: comparison and extensions”, Journal of Time Series Analysis , 2008, 29, 371–401 (with Franz C. Palm and Stephan Smeekes) [for JTSA subscribers, Additional tables and graphs]  Gauss code available on Stephan Smeekes homepage.

►”Cointegration Testing in Panels with Common Factors”, Oxford Bulletin of Economics and Statistics, 2006, 683-719 (with C. Gengenbach and F.C. Palm)[for OBES subscribers]

►”Causality and Exogeneity in Econometrics” (Editors’ introduction), Journal of Econometrics, 2006, 132, 305-309 (with L. Bauwens and H.P. Boswijk) [for JoE subscribers]

►”Testing for Common Cyclical Features in VAR Models with Cointegration’, Journal of Econometrics, 2006, 132, 117-141 (with A. Hecq and F.C. Palm) [for JoE subscribers]

►”Bridging the Gap Between Ox and Gauss using OxGauss”, Journal of Applied Econometrics, 2005, 20, 131-139 (with S. Laurent) + Download Appendix + package M@ximize 1.0

►”Corporate control concentration measurement and firm performance”, in: J. Batten and T. Fetherston (eds.), Social Responsibility: Corporate Governance Issues, Research in International Business and Finance (Volume 17), JAI Press, 2003. (with Y. Crama, L. Leruth and L. Renneboog)

►”Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features”, Econometric Reviews, 2002, 21, 273-307. (with A. Hecq and F.C. Palm).

►”Permanent-Transitory Decomposition in VAR Models with Cointegration and Common Cycles”, Oxford Bulletin of Economics and Statistics, 2000, 4, 545-566. (with A. Hecq and F.C. Palm).

‘►”Labour Market Dynamics when Effort Depends on Wages Growth Comparison”, Empirical Economics, 2000, 3, 393-419, (with D. de la Croix and F.C. Palm).

‘►”Testing for Common Cyclical Features in Nonstationary Panel Data Models”, in B.H. Baltagi (editor) Advances in Econometrics: Nonstationary Panels, Panel Cointegration and Dynamic Panels, Vol. 15, JAI Press, 2000, 131-160, (with A. Hecq and F.C. Palm).

►”Comovements in International Stock Markets What can we Learn from a Common Trend-Common Cycle Analysis?”, De Economist, 2000, 148, 395-406, (with A. Hecq and F.C. Palm).

►”L’apport des modèles périodiques à longue mémoire pour la modélisation de l’effet jour sur la volatiltitédes séries financières”, in B. Jurion and P. Pestieau (ed.), Finances Publiques et Finances Privées, Presse Universitaire de Liège, 2000, 221-246, (with S. Laurent)

►”Oil Shock and Long Run Price and Import Demand”, Annals of the Institute of Statistical Mathematics, 1999, 51, 399-417, (with F. Kleibergen and H.K. van Dijk).

►”Intertemporal Substitution in Import Demand and Habit Formation”, Journal of Applied Econometrics, 1998, 13, 589-613, (with D. de la Croix).

►”Statistical Demand Functions for Foods in the USA and the Netherlands” (with comments and reply), Journal of Applied Econometrics, 1997, 12, 125-146, (with F.C. Palm and D. de Crombrughe).

►”Lagrange Multiplier Tests for Weak Exogeneity: a Synthesis”, Econometric Reviews, 1997, 16, 21-38 (with H.P. Boswijk).

►”Japanese Import Behavior and Cointegration: A Comment”, Journal of Policy Modeling, 1996, 16, 123-145.

►” To Fine or to Punish in the Late Middle Ages: some Insight from Times Series Analysis”, Applied Economics, 1996, 28, 1213-1224 (with D. de la Croix, and X. Rousseau).

►” Long Run Behavior of Pacific-Basin Stock Prices”, Applied Financial Economics, 1995, 12, 124-137 (with A. Corhay and A.Tourani Rad).

►” Partial versus Full System Modelling of Cointegrated Systems: An Empirical Illustration”, Journal of Econometrics, 1995, 69, 177-210.

►” Co-Movements and Dynamic Interrelationships in Pacific Basin Stock Markets”, in: Th. Bos and T. Fetherson (eds.) Research in International Business and Finance, 1994, Vol 11, JAI Press, 93-105 (with A. Corhay and A.Tourani Rad).

►”Misspecification Tests, Unit Roots and Level Shifts”, Economics Letters, 1993, 43, 129-135 (with A. Hecq).

►”Common Stochastic Trends in European Stock Markets”, Economics Letters, 1993, 42, 385-390 (with A. Corhay and A.Tourani Rad).

►”Structural Invariance and Super Exogeneity in Macroeconometric Model Building” Cahiers Economiques de Bruxelles, 1992, 134, 209-234 (with J.M. Lahaye).

►”On Weak Exogeneity in Error Correction Models”, Oxford Bulletin of Economics and Statistics, 1992, 54, 187-206.

►”Error Correction Models for Aggregate Imports” Chapter 11 in: M. Dagenais et P-A. Muet (eds.), International Trade Modelling, 1992, Chapman and Hall, London.

►” GARCH and Cointegration Models: Empirical Evidence for European Stock Markets Returns”, Chapter 11 in: E. Fatemi (ed.) Proceedings of the Third ITFA Meeting, 1992, Laredo State University Press( with A. Corhay and A.Tourani Rad).

►”Trend Analysis of Sulfate Fluxes Through the Compartments of a Spruce Catchment”, Proceedings of the 19th World Meeting of Forest Studies, University of Montreal, 1990, 121-127.(with A. Hambuckers and J. Remacle)

►”Modèles à Correction d’Erreur et Fonction de Demande d’Importations Agrégées”, Economie et Prévision, 1990, 94/95, 63-78

►”Model Selection Criteria and Granger Causality Tests” Economics Letters, 1989, 32, 156-162

 

Book

► Exogeneity in Error Correction Models , 1993, (Springer Verlag: Berlin). – out of print since May 1995.

 

Other Papers

►”Book Reviews: Eric Ghysels, Norman R. Swanson and Mark W.Watson, Essays in Econometrics, Collected Papers of Clive W.J. Granger, Volume II: Causality, Integration and Cointegration, and Long Memory, Cambridge University Press, Cambridge, 2001, De Economist, 2005, 153, 125 – 127.