Prof.dr. F.C. Palm
Head of the section Econometrics
Telephone: ++ 31 43 388 38 33
Fax:
++ 31 43 388 20 00
E-mail:
f.palm@maastrichtuniversity.nl
SHORT CURRICULUM VITAE
In 2005 Franz C. Palm has been appointed Academy Professor in Econometrics by the Royal Netherlands Academy of Arts and Sciences.
Since 1985 he is professor of econometrics at Maastricht University. He has been dean of the Faculty of Economics and Business Administration, Maastricht University, 1986-1989, 1998-2001, and 2004-2006. He has been professor of econometrics at the Free University, Amsterdam, 1980-1985.
He holds a PhD. from CORE (1975) and an MA degree in economics/econometrics from the University of Louvain.
Before being appointed at the Free University, he has been a research associate at CORE, 1971-1972 and at the Graduate School of Business, University of Chicago, 1972-1974.
Franz C. Palm has been a visiting professor at the University of Louvain and at the Graduate School of Business of the University of Chicago, and a visiting fellow at Harvard University and at Université de Montréal.
He is a fellow of the American Statistical Association, the Journal of Econometrics, the European Economic Association and of CESifo, and a foreign member of the Royal Netherlands Academy of Arts and Sciences, Humanities and Social Sciences Division.
Franz C. Palm is founding co-editor of the Journal of Empirical Finance, an associate editor of the Journal of Econometrics, former member of the editorial board of De Economist and a former associate editor of the Journal of Economic and Business Statistics and the European Economic Review.
In 2009, he has been awarded a doctorate honoris causa by Université de Fribourg/Universität Freiburg (Switzerland).
RESEARCH INTERESTS
Time series methods and dynamic panel data models in econometrics.
Financial econometrics, in particular multifactor asset pricing models, measuring value-at-risk, modeling high frequency data in finance.
R&D investment, innovation activity and its financing.
Information value and strategic networks.
PUBLICATIONS
1. Books
The Structural Econometric Time Series Analysis Approach, with Arnold Zellner, eds., Cambridge, Cambridge University Press, 2004.
Economic Modelling and Policy Applications, with H.P. Smit, Aldershot, Gower Publishing Group, 1991, reprinted 1993.
2. Editor of
special issues
"Factor Structures in Multivariate Time Series and Panel Data", with J.-P. Urbain, Journal of Econometrics 193, 2011. nr. 1.
"Heavy Tails and Paretian Distributions in Empirical Finance, A Volume Honoring Benoît Mandelbrot", with J.-M. Dufour and J.-R. Kurz-Kim, Journal of Empirical Finance 17, 2010, nr. 2.
"International Finance", with I. M. Werner and C.C.P. Wolff, Journal of Empirical Finance 13, 2006, nrs. 4-5.
"Behavioral Finance", with W. De Bondt and C.C.P. Wolff, Journal of Empirical Finance 11, 2004, nr. 4.
"Measuring Inflation for Monetary Purposes", with M.M.G. Fase, De Economist 149, 2001, nr. 4.
"Risk Management", with C. Koedijk and C.C.P. Wolff, Journal of Empirical Finance 7, 2000, nrs. 3-4.
"Market Dynamics", with Th. van de Klundert, De Economist 146, 1998, nr. 3.file:///D:/Homepage Franz Palm/MVEWS0609.pdf
3. Articles
"Multivariate dynamic probit models : an application to financial crises mutation", with Candelon, B., Dumitrescu, E.-I., and C. Hurlin, Maastricht University, WP, July 2012. Forthcoming in Advances in Econometrics, Vol. 31. See PDF-file.
"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.
4.
Contributions to books
"From banking to sovereign debt crisis in Europe", with Candelon, B., in Kolb, R.W. (ed.),
Sovereign Debt : From Safety to Default, Hoboken N.J., J. Wiley &
Sons, 2010, 387-392.
"Financial constraint and R&D investment: Evidence from CIS", with Tiwari, A. K., Mohnen, P., and S. Schim van der Loeff, in: Kleinknecht, A., Ott, R., van Beers, C., and R. Verburg (eds.), Determinants of Innovative Behaviour: A Firm’s Internal Practices and Its External Environments, London, Palgrave Publishers, 2008, 217-248.
"Innovation in enterprise clusters: Evidence for Dutch manufacturing", with Diederen, B., Mohnen, P., Raymond, W., and S. Schim van der Loeff, in Earl, L., and F. Gault, eds., National Innovation Indicators and Policy, Edward Elgar Publ. Ltd., 2006, 71-83.
"Bachelor-Masters avant la lettre", in: Procee, H., Meijer, H., Timmerman, P. en R. Tuinsma, red., Bij die wereld wil ik horen, Amsterdam, Boom, 2004, 110-112.
"Comments on P. Ormerod, 'Predictability and economic time series'", in : Heij, C., Schumacher, J.M., Hanzon, B., and C. Praagman, eds., System Dynamics in Economic and Financial Models, Chichester, J. Wiley and Sons, 1997, 90-93.
"GARCH models of volatility", in Rao, C.R., and G.S. Maddala, eds., Handbook of Statistics: Statistical Methods in Finance 14, Amsterdam, North-Holland Publ.Co, 1996, 209-240.
"Comments on ‘Convergence and divergence in long-term growth in open economies" by G. Dosi, S. Fabiani, C. Freeman, and R. Aversi, in Silverberg J. and L. Soete, eds., The Economics of Growth and Technical Change, E. Elgar Publ. Co., 1994, 147-150.
"Empirical analysis op optimal firm behaviour : Asymmetric adjustment of labour and capital demand in the manufacturing sector in the Netherlands and the U.K.", with Pfann, G.A., in Schneeweiss, H., and K.F. Zimmermann, eds., Applied Econometrics, Heidelberg, Physica-Verlag, 1993, 182-213.
"Comments on 'Asymmetric adjustment costs and the estimation of Euler equations for employment : an application to U.K. panel data' by F. Schiantarelli and A. Sembenelli", in van Ours, J.C., G.A. Pfann, and G. Ridder, eds., Labor Demand and Equilibrium Wage Formation, Amsterdam, North-Holland Publ.Co., 1993, 162-165.
"Recent developments in modeling volatility in financial data", with Nijman, T.E., in De Zeeuw, A., ed., Advanced Lectures in Quantitative Economics II, London, Academic Press Ltd, 1993, 153-183.
"Mean reversion, conditional heteroskedasticity and jumps in the EMS" with Vlaar, P.J.G., Tinbergen Institute Research Bulletin 4, 1992, 221-230.
"The effectiveness of the World Coffee Agreement : A simulation study using a quarterly model of the world coffee market", with Vogelvang, E., in Gueven, O., Labys, W.C., and J.-B. Lesourd, eds., International Commodity Market Modelling, Advances in Methodology and Applications, London, Chapman and Hall, 1991, 103-120.
"Comments on 'Unemployment in the Netherlands and modelling macroeconomic employment policy'", in De Neubourg, C., ed., The Art of Full Employment, North-Holland Publ. Co., Amsterdam, 1991, 219- 224.
"Dynamic econometric modeling of decisions under uncertainty", in van der Ploeg, R., ed., Advanced Lectures in Quantitative Economics, London, Academic Press Ltd., 1990, 531-556.
"Diffusie van technologie, veranderingen in werkgelegenheid en beroepenstructuur : een modelmatige analyse", with Bartels, C.P.A., P.J.M. Diederen, R.P.M. Kemp, J. Muysken, and A.H. Webbink, in Zegveld, W.C.L. and J.W.A. van Dijk, eds., Technologie en Economie, Licht op een black box ?, Van Gorcum, Assen, 1989, 211-233.
"Comments on 'Labour market flexibility: an analysis with the DMS-model' by L. Bloch, and on 'Unemployment and fiscal activism in a small open economy', by J. Bradley", in Muysken, J. and C. de Neubourg, eds., Unemployment in Europe, 1989, MacMillan, London, 418-421.
"Comments on 'Macroeconomic models and econometrics' by T. Kloek", in Driehuis W., M.M.G. Fase, and H. den Hertog, eds., Challenges for Macroeconomic Modelling, 1988, Amsterdam, North-Holland Publ. Co., 389-397.
"On incomplete samples in dynamic regression models, with Nijman, T.E., in Florens, J.P. et al., eds., Alternative Approaches to Time Series Analysis, Publications des Facultés Universitaires Saint-Louis, Bruxelles, 1984, 161-168.
"Structural econometric modeling and time series analysis - an integrated approach" (with discussion), in Zellner A., ed., ASA-CENSUS-NBER Proceedings of the Conference on Applied Time Series Analysis of Economic Data, Washington, October 1981, U.S. Department of Commerce, Bureau of the Census, 1983, 199-239, reprinted in Zellner and Palm, eds., 2004, 96-174.
Several short contributions to Encyclopedie van de Bedrijfseconomie, Kluwer, Deventer, 1983.
"Econometric specification analysis - an application to the aggregate demand for money in the Netherlands", with Blommestein, H.J., in Deistler, M., et al., eds., Games, Economic Dynamics, Time Series Analysis, 1982, Physica-Verlag, Wien-Würzburg, 359-383.
"De betekenis voor beleid en theorievorming van enige recente ontwikkelingen in de econometrie", Inaugural lecture, Vrije Universiteit, Amsterdam, 1978, 16 pp.
"Time series
analysis and simultaneous equation models", with Zellner, A., American
Statistical Association, Proceedings of the Business and Economic
Statistics Section, 1973, 647.
REPORTS
“Microeconometric evidence of financing frictions and innovative activity”, with
Tiwari, A., Mohnen, P., and S. Schim van der Loeff, WP, Maastricht University,
September 2012.
See PDF-file
“R&D, innovation and productivity in Dutch and French manufacturing: A panel data analysis”, with Raymond, W., Mairesse, J., and P. Mohnen, paper presented at the Panel Data Conference, July 2-4, 2010, Amsterdam.
“Asymptotic theory of pooled nonlinear least squares estimation for panel co-summable regressions”, with Urbain, J.-P. and L. Wan, WP, Maastricht University, June 2012.
“Nonlinear least squares dummy variables estimation for independent co-summable panels with fixed effects”, with Urbain, J.-P., and L. Wan, June 2012.
“Risk preferences and occupational sorting: Combining survey and top-coded administrative wage data”, with Dohmen, T., and D. Pollmann, Maastricht University, WP, August 2011.
"Stock markets, banks and the long run economic
growth : A panel cointegration-based analysis", with Cavenaile, L. and C.
Gengenbach, University of Liège, CREPP 2011-02, 2011.
See PDF-file
"Testing for jumps in GARCH models, a robust
approach", with Laurent, S. and C. Lecourt, Maastricht University, Working
Paper, June 2011.
See
PDF-file
"On the univariate representation of BEKK models with common factors" with Hecq, A. and S. Laurent, invited
paper presented at the Workshop on "Semiparametric Modelling of Multivariate
Economic Time Series with Changing Dynamics", January 17-23, 2010, Oberwolfach.
See PDF-file
"Banking and debt crises in Europe : The dangerous
liaisons?", with B. Candelon, CESifo Working Paper No. 3001, 2010.
See PDF-file
"Innovative sales, R&D and total innovation
expenditures: Panel evidence on their dynamics", with Raymond, W., Mohnen, P.
and S. Schim van der Loeff, CESifo Working Paper No. 2716, 2009.
See PDF-file
"Long-term
strategic asset
allocation: An out-of-sample evaluation", with Diris, B. and P. Schotman, paper
presented at ESEM Milano.
See
PDF-file
"A sieve bootstrap test for
cointegration in a conditional error correction model", with Smeekes, S. and J.-P. Urbain, Maastricht University, Research Memorandum 07/054, 2007.
RM version with detailed proofs:
See PDF-file
Revised version with condensed proofs:
See PDF-file
Additional simulations:
See
PDF-file
"The
behavior of the maximum likelihood estimator of dynamic panel data sample
selection models", with Raymond, W., Mohnen, P. and S. Schim van der Loeff,
Maastricht University, paper presented at the ESEM in Vienna, August 2006,
CESifo Working Paper No. 1992, May 2007.
See
PDF-file
"Bootstrap unit root tests:
Comparisons and extensions", with Smeekes, S. and J.-P. Urbain, Maastricht
University, Research Memorandum 06/015, 2006, additional results.
See PDF-file
"Panel
unit root tests in the presence of cross-sectional dependencies: comparison and
implications for modelling" with Gengenbach, C. and J.-P. Urbain, Maastricht University,
Research Memorandum 04/039, revised version: November 2006.
See PDF-file1
See PDF-file2
"Cointegration
testing in panel with common factors", with Gengenbach, C. and J.-P. Urbain,
Maastricht University, Working Paper, March 2005.
See PDF-file
"Common trends and transitory components of stock price volatility", with J.-P. Urbain, paper presented at the Econometric Society 7th World Congress in Tokyo, August 22-29, 1995.
| Updated 15-10-2012 |