Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2022). Maximum likelihood estimation for score-driven models Journal of Econometrics, 227(2):325--346.
238 key publications
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Juodis, A. and Sarafidis, V. (2022). An incidental parameters free inference approach for panels with common shocks Journal of Econometrics, 229(1):19--54. -
Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84. -
König, M., Storesletten, K., Song, Z. and Zilibotti, F. (2022). From Imitation to Innovation: Where Is All That Chinese R&D Going? Econometrica, 90(4):1615--1654. -
Juodis, A. and Sarafidis, V. (2022). A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors Journal of Business and Economic Statistics, 22(1):1--15. -
Juodis, A. and Reese, S. (2022). The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation Journal of Business and Economic Statistics, 40(3):1191--1203. -
Qin, X. and Zhou, C. (2021). Systemic risk allocation using the asymptotic marginal expected shortfall Journal of Banking and Finance, 126.
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Jacobs, B., Fok, D. and Donkers, B. (2021). Understanding Large-Scale Dynamic Purchase Behavior Marketing Science, 40(5):844--870. -
Dorotic, M., Fok, D., Verhoef, PeterC. and Bijmolt, TammoH.A. (2021). Synergistic and cannibalization effects in a partnership loyalty program Journal of the Academy of Marketing Science, 49(5):1021--1042. -
Kleibergen, F. (2021). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, 221(1):78--96. -
Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, 224(1):161--180. -
Blasques, F., Gorgi, P. and Koopman, S.J. (2021). Missing observations in observation-driven time series models Journal of Econometrics, 221(2):542--568. -
Einmahl, JohnH.J., Yang, F. and Zhou, C. (2021). Testing the Multivariate Regular Variation Model Journal of Business and Economic Statistics, 39(4):907--919. -
Juodis, A., Karabiyik, H. and Westerlund, J. (2021). On the robustness of the pooled CCE estimator Journal of Econometrics, 220(2):325--348. -
Karabiyik, H. and Westerlund, J. (2021). Forecasting using cross-section average-Augmented time series regressions Econometrics Journal, 24(2):315--333.
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Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550. -
Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, 214(1):46--66. -
Bräuning, F. and Koopman, S.J. (2020). The dynamic factor network model with an application to international trade Journal of Econometrics, 216(2):494--515. -
Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372. -
Borowska, A., Hoogerheide, L., Koopman, S.J. and van Dijk, HermanK. (2020). Partially censored posterior for robust and efficient risk evaluation Journal of Econometrics, 217(2):335--355.