220 key publications

• Koopman, S. (2010). Discussion of `Particle Markov chain Monte Carlo methods – C. Andrieu, A. Doucet and R. Holenstein’ [Review of: Particle Markov chain Monte Carlo methods] Journal of the Royal Statistical Society. Series B. Statistical Methodology, 72:269--342.

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  Boswijk, H., Franses, P. and van Dijk, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159.

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  Koopman, S., Shephard, N. and Creal, D. (2009). Testing the assumptions behind importance sampling Journal of Econometrics, 149:2--11.

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  Blasius, J., Greenarcre, M., Groenen, P. and van de Velden, M. (2009). Special issue on correspondence analysis and related methods Computational Statistics and Data Analysis, 53(8):3103--3106.

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  Donkers, B., van Diepen, M. and Franses, P.H. (2009). Dynamic and Competitive Effects of Direct Mailings: A Charitable Giving Application Journal of Marketing Research, 46(1):120--133.

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  Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173.

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  Paap, R., Segers, R. and van Dijk, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528--543.

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  Prins, R., Verhoef, P. and Franses, P.H. (2009). The impact of adoption timing on new service usage and early disadoption International Journal of Research in Marketing, 26(4):304--313.

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  van de Velden, M., Groenen, P. and Poblome, J. (2009). Seriation by constrained correspondence analysis: A simulation study Computational Statistics and Data Analysis, 53(8):3129--3138.

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  van Diepen, M., Donkers, B. and Franses, P.H. (2009). Does Irritation Induced by Charitable Direct Mailings Reduce Donations? International Journal of Research in Marketing, 26(3):180--188.

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  Koopman, S., Lucas, A. and Monteiro, A. (2008). The Multi-state Latent Factor Intensity Model for Credit Rating Transitions Journal of Econometrics, 142:399--424.

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  Koopman, S. and Lucas, A. (2008). A Non-Gaussian Panel Time series Model for Estimating and Decomposing Default Risk Journal of Business and Economic Statistics, 26(4):510--525.
• Banachewicz, K., van der Vaart, A.W. and Lucas, A. (2008). Modeling portfolio defaults using Hidden Markov Models with covariates Econometrics Journal, 11:155--171.

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  van Dijk, B. and Paap, R. (2008). Explaining individual response using aggregated data Journal of Econometrics, 146(1):1--9.

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  van Nierop, E., Fok, D. and Franses, P.H. (2008). Interaction between shelf layout and marketing effectiveness and its impact on optimizing shelf arrangements Marketing Science, 27(6):1065--1082.

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  van Dijk, D., Franses, P. and Boswijk, H. (2007). Absorption of shocks in nonlinear autoregressive models Computational Statistics and Data Analysis, 51(9):4206--4226.

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  Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216.

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  Fok, D. and Franses, P.H. (2007). Modeling the diffusion of scientific publications Journal of Econometrics, 139(2):376--390.

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  Fok, D., Franses, P.H. and Paap, R. (2007). Seasonality and non-linear price effects in scanner-data based market-response models Journal of Econometrics, 138(1):231--251.

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  Geweke, J., Groenen, P., Paap, R. and van Dijk, H. (2007). Computational techniques for applied econometric analysis of macroeconomic and financial processes. Computational Statistics and Data Analysis, 51(7):3506--3507.