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Herman K. van Dijk

Personal Details

First Name:Herman
Middle Name:K.
Last Name:van Dijk
Suffix:
RePEc Short-ID:pva325
https://personal.eur.nl/hkvandijk/
Terminal Degree:1984 Econometrisch Instituut; Faculteit der Economische Wetenschappen; Erasmus Universiteit Rotterdam (from RePEc Genealogy)

Affiliation

(95%) Tinbergen Instituut

Amsterdam, Netherlands
http://www.tinbergen.nl/
RePEc:edi:tinbenl (more details at EDIRC)

(05%) Rimini Centre for Economic Analysis (RCEA)

Waterloo, Canada
http://www.rcea.world/
RePEc:edi:rcfeaca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books Editorship

Working papers

  1. Knut Are Aastveit & Jamie Cross & Herman K. Djik, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Working Papers No 03/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  2. Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2021. "Bayes estimates of multimodal density features using DNA and Economic Data," Tinbergen Institute Discussion Papers 21-017/III, Tinbergen Institute.
  3. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2020. "A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance," Working Paper series 20-27, Rimini Centre for Economic Analysis.
  4. Roberto Casarin & Stefano Grassi & Francesco Ravazzollo & Herman K. van Dijk, 2019. "Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 19-025/III, Tinbergen Institute.
  5. Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman van Dijk, 2019. "Partially Censored Posterior for Robust and Efficient Risk Evaluation," Tinbergen Institute Discussion Papers 19-057/III, Tinbergen Institute.
  6. Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2018. "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Working Paper 2018/10, Norges Bank.
  7. Lennart (L.F.) Hoogerheide & Herman (H.K.) van Dijk, 2018. "Learning to Average Predictively over Good and Bad: Comment on: Using Stacking to Average Bayesian Predictive Distributions," Tinbergen Institute Discussion Papers 18-063/III, Tinbergen Institute.
  8. Knut Are Aastveit & James Mitchell & Francesco Ravazzolo & Herman van Dijk, 2018. "The Evolution of Forecast Density Combinations in Economics," Tinbergen Institute Discussion Papers 18-069/III, Tinbergen Institute.
  9. Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2017. "Bayesian analysis of boundary and near-boundary evidence in econometric models with reduced rank," Working Paper 2017/11, Norges Bank.
  10. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2016. "Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance," Tinbergen Institute Discussion Papers 15-084/III, Tinbergen Institute, revised 03 Jul 2017.
  11. Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Parallelization Experience with Four Canonical Econometric Models using ParMitISEM," Tinbergen Institute Discussion Papers 16-005/III, Tinbergen Institute.
  12. Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2016. "Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies," Tinbergen Institute Discussion Papers 16-099/III, Tinbergen Institute.
  13. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2015. "Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode," Tinbergen Institute Discussion Papers 15-111/III, Tinbergen Institute.
  14. Nalan Basturk & Stefano Grassi & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2015. "The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference," Tinbergen Institute Discussion Papers 15-042/III, Tinbergen Institute, revised 04 Jul 2017.
  15. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
  16. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an uncertain economic environment," Working Paper 2014/17, Norges Bank.
  17. Nalan Basturk & Pinar Ceyhan & Herman K. van Dijk, 2014. "Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data," Tinbergen Institute Discussion Papers 14-119/III, Tinbergen Institute, revised 14 Sep 2014.
  18. Lukasz Gatarek & Lennart Hoogerheide & Herman K. van Dijk, 2014. "Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Tinbergen Institute Discussion Papers 14-039/III, Tinbergen Institute.
  19. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series," Tinbergen Institute Discussion Papers 13-011/III, Tinbergen Institute.
  20. Roberto Casarin & Stefano Grassi & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox," Working Papers 2013:08, Department of Economics, University of Venice "Ca' Foscari".
  21. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
  22. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers 1321, Koc University-TUSIAD Economic Research Forum.
  23. Lukasz Gatarek & Lennart Hoogerheide & Koen Hooning & Herman K. van Dijk, 2013. "Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation," Tinbergen Institute Discussion Papers 13-060/III, Tinbergen Institute, revised 06 Mar 2014.
  24. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers 2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
  25. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data," Tinbergen Institute Discussion Papers 13-090/III, Tinbergen Institute.
  26. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Time-varying Combinations of Predictive Densities using Nonlinear Filtering," Tinbergen Institute Discussion Papers 12-118/III, Tinbergen Institute.
  27. Nalan Basturk & Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation," Tinbergen Institute Discussion Papers 12-096/III, Tinbergen Institute.
  28. Rodney W. Strachan & Herman K. van Dijk, 2012. "Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," CAMA Working Papers 2012-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  29. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
  30. Rodney Strachan & Herman K. van Dijk, 2012. "Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging," Tinbergen Institute Discussion Papers 12-025/4, Tinbergen Institute.
  31. Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2012. "A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 12-026/4, Tinbergen Institute.
  32. Arnold Zellner (posthumously) & Tomohiro Ando & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2012. "Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo," Tinbergen Institute Discussion Papers 12-098/III, Tinbergen Institute.
  33. Lennart F. Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann," Tinbergen Institute Discussion Papers 11-131/4, Tinbergen Institute.
  34. Arnold Zellner & Tomohiro Ando & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2011. "Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo," Tinbergen Institute Discussion Papers 11-137/4, Tinbergen Institute.
  35. Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2011. "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 11-004/4, Tinbergen Institute.
  36. Rodney W. Strachan & Herman K. van Dijk, 2011. "Divergent Priors and well Behaved Bayes Factors," Tinbergen Institute Discussion Papers 11-006/4, Tinbergen Institute.
  37. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
  38. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index," Tinbergen Institute Discussion Papers 11-082/4, Tinbergen Institute.
  39. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2010. "Combining predictive densities using Bayesian filtering with applications to US economics data," Working Paper 2010/29, Norges Bank.
  40. David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2010. "A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood," Tinbergen Institute Discussion Papers 10-059/4, Tinbergen Institute.
  41. Rodney W. Strachan & Herman K. van Dijk, 2010. "Evidence on a Real Business Cycle model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," ANU Working Papers in Economics and Econometrics 2010-522, Australian National University, College of Business and Economics, School of Economics.
  42. David Ardia & Lennart Hoogerheide & Herman K. van Dijk, 2009. "To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods," Tinbergen Institute Discussion Papers 09-017/4, Tinbergen Institute.
  43. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast accuracy and economic gains from Bayesian model averaging using time varying weight," Working Paper 2009/10, Norges Bank.
  44. Arco van Oord & Martin Martens & Herman K. van Dijk, 2009. "Robust Optimization of the Equity Momentum Strategy," Tinbergen Institute Discussion Papers 09-011/4, Tinbergen Institute.
  45. Mohamad Khaled & Herman van Dijk, 2008. "Distributional Dynamics using Quartic-based State-Space models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00318144, HAL.
  46. Rodney W. Strachan & Herman K. van Dijk, 2008. "Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk," Tinbergen Institute Discussion Papers 08-096/4, Tinbergen Institute.
  47. David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, 2008. "Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation: the R Package AdMit," Tinbergen Institute Discussion Papers 08-062/4, Tinbergen Institute, revised 15 Dec 2008.
  48. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008.
  49. David, D. & Hoogerheide, L.F. & van Dijk, H.K., 2008. "The AdMit Package," Econometric Institute Research Papers EI 2008-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  50. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling," Tinbergen Institute Discussion Papers 08-092/4, Tinbergen Institute.
  51. de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  52. Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M., 2007. "Predictive gains from forecast combinations using time-varying model weights," Econometric Institute Research Papers EI 2007-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  53. Hoogerheide, L.F. & van Dijk, H.K., 2007. "Note on neural network sampling for Bayesian inference of mixture processes," Econometric Institute Research Papers EI 2007-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  54. HOOGERHEIDE, Lennart F. & VAN DIJK, Herman K. & VAN OEST, Rutger D., 2007. "Simulation based Bayesian econometric inference: principles and some recent computational advances," LIDAM Discussion Papers CORE 2007015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  55. Hoogerheide, L.F. & Kleibergen, F.R. & van Dijk, H.K., 2006. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Econometric Institute Research Papers EI 2006-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  56. L.F. Hoogerheide & H.K. van Dijk, 2006. "Modelling option prices using neural networks," Computing in Economics and Finance 2006 78, Society for Computational Economics.
  57. Rodney W. Strachan & Herman K. van Dijk, 2006. "Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes," Discussion Papers in Economics 06/5, Division of Economics, School of Business, University of Leicester.
  58. Cornelisse, P.A. & van Dijk, H.K., 2006. "Jan Tinbergen (1903-1994)," Econometric Institute Research Papers EI 2006-09, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  59. de Pooter, M.D. & Segers, R. & van Dijk, H.K., 2006. "Gibbs sampling in econometric practice," Econometric Institute Research Papers EI 2006-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  60. Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute.
  61. Hoogerheide, L.F. & van Dijk, H.K., 2006. "A reconsideration of the Angrist-Krueger analysis on returns to education," Econometric Institute Research Papers EI 2006-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  62. van Dijk, H.K. & Kaashoek, J.F. & Wagelmans, A.P.M., 2006. ""Rotterdam econometrics": publications of the econometric institute 1956-2005," Econometric Institute Research Papers EI 2006-00, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  63. van Dijk, H.K. & Kaashoek, J.F. & Wagelmans, A.P.M., 2006. ""Rotterdam Econometrics": an analysis of publications of the econometric institute 1956-2004," Econometric Institute Research Papers EI 2006-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  64. Strachan, R.W. & van Dijk, H.K., 2005. "Weakly informative priors and well behaved Bayes factors," Econometric Institute Research Papers EI 2005-40, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  65. Rodney W. Strachan & Herman K. van Dijk, 2005. "Improper priors with well defined Bayes Factors," Discussion Papers in Economics 05/4, Division of Economics, School of Business, University of Leicester.
  66. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2005. "Trends and cycles in economic time series: A Bayesian approach," Econometric Institute Research Papers EI 2005-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  67. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," LIDAM Discussion Papers CORE 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  68. van Dijk, H.K., 2004. "Twentieth century shocks, trends and cycles in industrialized nations," Econometric Institute Research Papers EI 2004-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  69. Herman K. van Dijk & Andrew Harvey & Thomas Trimbur, 2004. "Cyclical components in economic time series: A Bayesian approach," Econometric Society 2004 Australasian Meetings 105, Econometric Society.
  70. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2004. "Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models," Econometric Institute Research Papers EI 2004-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  71. Gary Koop & Rodney Strachan & Herman van Dijk & Mattias Villani, 2004. "Bayesian Approaches to Cointegration," Discussion Papers in Economics 04/27, Division of Economics, School of Business, University of Leicester.
  72. Rodney W. Strachan & Herman K. van Dijk, 2004. "Bayesian Model Selection with an Uninformative Prior," Keele Economics Research Papers KERP 2004/01, Centre for Economic Research, Keele University.
  73. Rodney W. Strachan & Herman K. van Dijk, 2004. "Exceptions to Bartlett’s Paradox," Keele Economics Research Papers KERP 2004/03, Centre for Economic Research, Keele University.
  74. Strachan, R.W. & van Dijk, H.K., 2004. "Valuing structure, model uncertainty and model averaging in vector autoregressive processes," Econometric Institute Research Papers EI 2004-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  75. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2004. "Bayes estimates of the cyclical component in twentieth centruy US gross domestic product," Econometric Institute Research Papers EI 2004-45, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  76. Rodney W. Strachan & Herman K. van Dijk, 2004. "The Value of Structural Information in the VAR Model," Keele Economics Research Papers KERP 2004/02, Centre for Economic Research, Keele University.
  77. Kleijn, R.H. & van Dijk, H.K., 2003. "Bayes model averaging of cyclical decompositions in economic time series," Econometric Institute Research Papers EI 2003-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  78. Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2003. "Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods," Econometric Institute Research Papers EI 2003-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  79. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2003. "Neural network approximations to posterior densities: an analytical approach," Econometric Institute Research Papers EI 2003-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  80. Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2003. "Explaining Adaptive Radial-Based Direction Sampling," Econometric Institute Research Papers EI 2003-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  81. Strachan, R.W. & van Dijk, H.K., 2003. "Bayesian model selection for a sharp null and a diffuse alternative with econometric applications," Econometric Institute Research Papers EI 2003-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  82. van Dijk, H.K., 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Research Papers EI 2002-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  83. Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2002. "Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods," Econometric Institute Research Papers EI 2002-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  84. Harvey, A.C. & Trimbur, T.M. & van Dijk, H.K., 2002. "Cyclical components in economic time series," Econometric Institute Research Papers EI 2002-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  85. Lennart F. Hoogerheide & Johan F. Kaashoek & Herman K. van Dijk, 2002. "Efficient Sampling from Non-Standard Distributions Using Neural NetworkApproximations," Computing in Economics and Finance 2002 248, Society for Computational Economics.
  86. Luc Bauwens & Charles S. Bos & Herman K. van Dijk & Rutger D. van Oest, 2002. "Adaptive Polar Sampling," Computing in Economics and Finance 2002 307, Society for Computational Economics.
  87. Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2002. "Functional approximations to posterior densities: a neural network approach to efficient sampling," Econometric Institute Research Papers EI 2002-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  88. Paap, R. & van Dijk, H.K., 2002. "Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income," Econometric Institute Research Papers EI 2002-42, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  89. Kleijn, R.H. & van Dijk, H.K., 2001. "A Bayesian analysis of the PPP puzzle using an unobserved components model," Econometric Institute Research Papers EI 2001-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  90. Hoogerheide, L.F. & van Dijk, H.K., 2001. "Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration," Econometric Institute Research Papers EI 2001-04, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  91. Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 2000. "On the variation of hedging decisions in daily currency risk management," Econometric Institute Research Papers EI 2000-20/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  92. Kaashoek, J.F. & van Dijk, H.K., 2000. "Neural networks as econometric tool," Econometric Institute Research Papers EI 2000-31/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  93. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
  94. K. Van Dijk & Luc Bauwens & Charles Bos, 2000. "Adaptive Polar Sampling With An Application To A Bayes Measure Of Value-At-Risk," Computing in Economics and Finance 2000 145, Society for Computational Economics.
  95. Kaashoek, J.F. & van Dijk, H.K., 1999. "Neural network analysis of varying trends in real exchange rates," Econometric Institute Research Papers EI 9915-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  96. Terui, N. & van Dijk, H.K., 1999. "Combined forecasts from linear and nonlinear time series models," Econometric Institute Research Papers EI 9949-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  97. Koop, G. & van Dijk, H.K., 1999. "Testing for integration using evolving trend and seasonal models: A Bayesian approach," Econometric Institute Research Papers EI 9934/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  98. Bauwens, L. & Bos, C.S. & van Dijk, H.K., 1998. "Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces," Econometric Institute Research Papers EI 9822, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  99. Kaashoek, J.F. & van Dijk, H.K., 1998. "A simple strategy to prune neural networks with an application to economic time series," Econometric Institute Research Papers EI 9854, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  100. Kleibergen, F.R. & Urbain, J-P. & van Dijk, H.K., 1997. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Econometric Institute Research Papers EI 9709-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  101. Kleibergen, F.R. & van Dijk, H.K., 1997. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Econometric Institute Research Papers EI 9714/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  102. BAUWENS, L. & POLASEK, W. & van DIJK, H. K., 1996. "Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics," LIDAM Reprints CORE 1232, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  103. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  104. Schotman, P. & van Dijk, H. K., 1990. "Posterior Analysis Of Possibly Integrated Time Series With An Application To Real Gnp," Econometric Institute Archives 272482, Erasmus University Rotterdam.
  105. Schotman P. & van Dijk, H. K., 1989. "A Bayesian Analysis Of The Unit Root In Real Exchange Rates," Econometric Institute Archives 272390, Erasmus University Rotterdam.
  106. Schotman, P. & van Dijk, H. K., 1989. "A Bayesian Analysis Of The Unit Root Hypothesis," Econometric Institute Archives 272385, Erasmus University Rotterdam.
  107. Zellner, A. & Bauwnes, L. & Van Dijk, H.K., 1988. "Bayesian Specification Analysis And Estimation Of Simultaneous Equation Models Using Monte Carlo Methods," Papers m8804, Southern California - Department of Economics.
  108. VAN DIJK, Herman K., 1987. "Some advances in Bayesian estimations methods using Monte Carlo Integration," LIDAM Reprints CORE 783, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  109. van Dijk, H. K. & Hop, J. P. & Louter, A. S., 1986. "An Algorithm For The Computation Of Posterior Moments And Densities Using Simple Importance Sampling," Econometric Institute Archives 272354, Erasmus University Rotterdam.
  110. van DIJK, H.K., 1986. "A product of multivariate T densities as upper bound for the posterior kernel of simultaneous equation model parameters," LIDAM Discussion Papers CORE 1986050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  111. van Dijk, H. K. & Kloek, T. & Boender, C. G. E., 1985. "Posterior Moments Computed By Mixed Integration," Econometric Institute Archives 272291, Erasmus University Rotterdam.
  112. Kooiman, Peter & van Dijk, Herman K. & Thurik, A. Roy, 1985. "Likelihood Diagnostics And Bayesian Analysis Of A Micro-Economic Disequilibrium Model For Retail Services," Econometric Institute Archives 272289, Erasmus University Rotterdam.
  113. van Dijk, H. K. & Kloek, T., 1983. "Experiments With Some Alternatives For Simple Importance Sampling In Monte Carlo Integration," Econometric Institute Archives 272281, Erasmus University Rotterdam.
  114. van Dijk, H. K. & Kloek, T., 1982. "Posterior Moments Of The Klein-Goldberger Model," Econometric Institute Archives 272269, Erasmus University Rotterdam.
  115. van Dijk, H. K. & Kloek, T., 1982. "Monte Carlo Analysis Of Skew Posterior Distributions: An Illustrative Econometric Example," Econometric Institute Archives 272268, Erasmus University Rotterdam.
  116. van Dijk, H. K. & Kloek, T., 1980. "Further Experience In Bayesian Analysis Using Monte Carlo Integration," Econometric Institute Archives 272261, Erasmus University Rotterdam.
  117. van Dijk, H. K. & Kloek, T., 1978. "Posterior Analysis Of Klein'S Model," Econometric Institute Archives 272173, Erasmus University Rotterdam.
  118. Kloek, T. & van Dijk, H. K., 1976. "BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo," Econometric Institute Archives 272139, Erasmus University Rotterdam.
  119. van Dijk, H. K. & Kloek, T., 1976. "PREDICTIVE MOMENTS OF SIMULTANEOUS ECONOMETRIC MODELS A Bayesian Approach," Econometric Institute Archives 272131, Erasmus University Rotterdam.
  120. Kloek, T. & van Dijk, H. K., 1975. "BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Unorthodox Application of Monte Carlo," Econometric Institute Archives 272074, Erasmus University Rotterdam.
  121. Rodney Strachan & Herman K. van Dijk, "undated". "Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan," MRG Discussion Paper Series 1407, School of Economics, University of Queensland, Australia.

    repec:fri:dqewps:wp0009 is not listed on IDEAS
    repec:fri:dqewps:wp0010 is not listed on IDEAS

Articles

  1. Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K., 2020. "Partially censored posterior for robust and efficient risk evaluation," Journal of Econometrics, Elsevier, vol. 217(2), pages 335-355.
  2. David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2020. "Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4 , 14," Econometrics, MDPI, vol. 8(1), pages 1-1, February.
  3. Baştürk, N. & Borowska, A. & Grassi, S. & Hoogerheide, L. & van Dijk, H.K., 2019. "Forecast density combinations of dynamic models and data driven portfolio strategies," Journal of Econometrics, Elsevier, vol. 210(1), pages 170-186.
  4. Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2018. "Combined Density Nowcasting in an Uncertain Economic Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 131-145, January.
  5. Baştürk, Nalan & Grassi, Stefano & Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2017. "The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 79(i01).
  6. Kontoghiorghes, Erricos & Van Dijk, Herman K. & Colubi, Ana, 2017. "Econometrics and Statistics," Econometrics and Statistics, Elsevier, vol. 1(C), pages 1-1.
  7. Nalan Baştürk & Stefano Grassi & Lennart Hoogerheide & Herman K. Van Dijk, 2016. "Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM," Econometrics, MDPI, vol. 4(1), pages 1-20, March.
  8. David Ardia & Lukasz T. Gatarek & Lennart Hoogerheide & Herman K. Van Dijk, 2016. "Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices," Econometrics, MDPI, vol. 4(1), pages 1-19, March.
  9. Nalan Baştürk & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Computational Complexity and Parallelization in Bayesian Econometric Analysis," Econometrics, MDPI, vol. 4(1), pages 1-3, February.
  10. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
  11. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2015. "Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 68(i03).
  12. Fabio Canova & Frank Schorfheide & Herman van Dijk, 2014. "Introduction To Recent Advances In Methods And Applications For Dsge Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1029-1030, November.
  13. Nalan Baştürk & Cem Çakmakli & S. Pinar Ceyhan & Herman K. Van Dijk, 2014. "Posterior‐Predictive Evidence On Us Inflation Using Extended New Keynesian Phillips Curve Models With Non‐Filtered Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1164-1182, November.
  14. Arnold Zellner & Tomohiro Ando & Nalan Baştük & Lennart Hoogerheide & Herman K. van Dijk, 2014. "Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 3-35, June.
  15. Rodney W. Strachan & Herman K. van Dijk, 2014. "Divergent Priors and Well Behaved Bayes Factors," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(1), pages 1-31, March.
  16. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
  17. Rodney W. Strachan & Herman K. Van Dijk, 2013. "Evidence On Features Of A Dsge Business Cycle Model From Bayesian Model Averaging," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(1), pages 385-402, February.
  18. Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012. "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, vol. 171(2), pages 101-120.
  19. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  20. Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K., 2012. "A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3398-3414.
  21. Lennart Hoogerheide & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 30-33, September.
  22. Hoogerheide, Lennart & van Dijk, Herman K., 2010. "Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling," International Journal of Forecasting, Elsevier, vol. 26(2), pages 231-247, April.
  23. Belsley, David A. & Duchesne, Pierre & Kapetanios, George & John Kontoghiorghes, Erricos & Paolella, Marc & van Dijk, Herman K., 2010. "The Fifth Special Issue on Computational Econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2359-2359, November.
  24. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
  25. Belsley, David A. & Davidson, Russell & Kontoghiorghes, Erricos John & MacKinnon, James G. & van Dijk, Herman K., 2009. "The fourth special issue on Computational Econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1923-1924, April.
  26. Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2009. "Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 29(i03).
  27. Geweke, John & Groenen, Patrick J.F. & Paap, Richard & van Dijk, Herman K., 2007. "Computational techniques for applied econometric analysis of macroeconomic and financial processes," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3506-3508, April.
  28. Chesher, Andrew & Dhaene, Geert & van Dijk, Herman, 2007. "Endogeneity, instruments and identification," Journal of Econometrics, Elsevier, vol. 139(1), pages 1-3, July.
  29. E. Van Kleef & J. R. Houghton & A. Krystallis & U. Pfenning & G. Rowe & H. Van Dijk & I. A. Van der Lans & L. J. Frewer, 2007. "Consumer Evaluations of Food Risk Management Quality in Europe," Risk Analysis, John Wiley & Sons, vol. 27(6), pages 1565-1580, December.
  30. Franses, Philip Hans & van Dijk, Herman K., 2007. "Progress and challenges in econometrics," Journal of Econometrics, Elsevier, vol. 138(1), pages 1-2, May.
  31. Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," Journal of Econometrics, Elsevier, vol. 139(1), pages 154-180, July.
  32. Hoogerheide, Lennart & Kleibergen, Frank & van Dijk, Herman K., 2007. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Journal of Econometrics, Elsevier, vol. 138(1), pages 63-103, May.
  33. Gary Koop & Herman K. van Dijk, 2007. "Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 107-112.
  34. Harvey, Andrew C. & Trimbur, Thomas M. & Van Dijk, Herman K., 2007. "Trends and cycles in economic time series: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 140(2), pages 618-649, October.
  35. Richard Kleijn & Herman K. van Dijk, 2006. "Bayes model averaging of cyclical decompositions in economic time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 191-212.
  36. H. K. Van Dijk & J. F. Kaashoek & A. P. M. Wagelmans, 2006. "‘Rotterdam econometrics’: an analysis of publications of the Econometric Institute 1956–2004," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 60(2), pages 85-111, May.
  37. Philip Hans Franses & Herman K. van Dijk & Dick van Dijk, 2005. "On the dynamics of business cycle analysis: editors' introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 147-150.
  38. Bauwens, Luc & Lubrano, Michel & van Dijk, Herman K., 2004. "Recent advances in Bayesian econometrics," Journal of Econometrics, Elsevier, vol. 123(2), pages 197-199, December.
  39. H.K. van Dijk, 2004. "Twentieth Century Shocks, Trends and Cycles in Industrialized Nations," De Economist, Springer, vol. 152(2), pages 211-232, June.
  40. Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D., 2004. "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," Journal of Econometrics, Elsevier, vol. 123(2), pages 201-225, December.
  41. Niels Haldrup & David F. Hendry & Herman K. van Dijk, 2003. "Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 681-688, December.
  42. Rodney W. Strachan & Herman K. van Dijk, 2003. "Bayesian Model Selection with an Uninformative Prior," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 863-876, December.
  43. Paap, Richard & van Dijk, Herman K, 2003. "Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 547-563, October.
  44. Kaashoek, Johan F & van Dijk, Herman K, 2002. "Neural Network Pruning Applied to Real Exchange Rate Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(8), pages 559-577, December.
  45. Terui, Nobuhiko & van Dijk, Herman K., 2002. "Combined forecasts from linear and nonlinear time series models," International Journal of Forecasting, Elsevier, vol. 18(3), pages 421-438.
  46. John Geweke & John Rust & Herman K. Van Dijk, 2000. "Introduction: inference and decision making," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 545-546.
  47. Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696.
  48. H. K. Van Dijk, 1999. "Some remarks on the simulation revolution in bayesian econometric inference," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 105-112.
  49. Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain, 1999. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(3), pages 399-417, September.
  50. Paapaa, Richard & van Dijk, Herman K., 1998. "Distribution and mobility of wealth of nations," European Economic Review, Elsevier, vol. 42(7), pages 1269-1293, July.
  51. Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(6), pages 701-743, December.
  52. Bauwens, Luc & Polasek, Wolfgang & van Dijk, Herman K., 1996. "Editor's introduction," Journal of Econometrics, Elsevier, vol. 75(1), pages 1-5, November.
  53. Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
  54. Kleibergen, Frank & van Dijk, Herman K., 1994. "On the Shape of the Likelihood/Posterior in Cointegration Models," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 514-551, August.
  55. Kleibergen, Frank & van Dijk, Herman K., 1994. "Direct cointegration testing in error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 61-103, July.
  56. Phillips, Peter C.B. & Van Dijk, Herman K., 1994. "Bayes Methods and Unit Roots," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 453-460, August.
  57. Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 41-61, Suppl. De.
  58. C. G. E. Boender & H. K. van Dijk, 1993. "Bayes estimates of muIti‐criteria decision alternatives using Monte Carlo integration," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 47(2), pages 127-151, June.
  59. Van Dijk, Herman K., 1992. "International conference on econometric inference using simulation techniques," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 287-287.
  60. Hop, J Peter & Van Dijk, Herman K, 1992. "SISAM and MIXIN: Two Algorithms for the Computation of Posterior Moments and Densities Using Monte Carlo Integration," Computer Science in Economics & Management, Kluwer;Society for Computational Economics, vol. 5(3), pages 183-220, August.
  61. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238.
  62. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec..
  63. Zellner, Arnold & Bauwens, Luc & Van Dijk, Herman K., 1988. "Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 39-72.
  64. Van Dijk, Herman K. & Kloek, Teun & Boender, C. Guus E., 1985. "Posterior moments computed by mixed integration," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 3-18.
  65. Kooiman, Peter & Van Dijk, Herman K. & Thurik, A. Roy, 1985. "Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 121-148.
  66. Van Dijk, Herman K., 1985. "Editor's introduction," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 1-2.
  67. van Dijk, H. K. & Kloek, T., 1980. "Further experience in Bayesian analysis using Monte Carlo integration," Journal of Econometrics, Elsevier, vol. 14(3), pages 307-328, December.
  68. van Dijk, Herman K & Kloek, Teun, 1980. "Inferential Procedures in Stable Distributions for Class Frequency Data on Incomes," Econometrica, Econometric Society, vol. 48(5), pages 1139-1148, July.
  69. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
  70. Kloek, Teun & van Dijk, Herman K., 1978. "Efficient estimation of income distribution parameters," Journal of Econometrics, Elsevier, vol. 8(1), pages 61-74, August.

Books

  1. Geweke, John & Koop, Gary & van Dijk, Herman (ed.), 2013. "The Oxford Handbook of Bayesian Econometrics," OUP Catalogue, Oxford University Press, number 9780199681334.
  2. Geweke, John & Koop, Gary & van Dijk, Herman (ed.), 2011. "The Oxford Handbook of Bayesian Econometrics," OUP Catalogue, Oxford University Press, number 9780199559084.
  3. Heij, Christiaan & de Boer, Paul & Franses, Philip Hans & Kloek, Teun & van Dijk, Herman K., 2004. "Econometric Methods with Applications in Business and Economics," OUP Catalogue, Oxford University Press, number 9780199268016.

Editorship

  1. Econometrics and Statistics, Elsevier.

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Statistics

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This author is among the top 5% authors according to these criteria:
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  22. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
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  27. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 80 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (43) 1999-10-04 1999-12-01 2002-02-14 2004-09-30 2005-03-13 2006-03-05 2006-09-16 2008-04-29 2008-07-05 2008-12-14 2008-12-14 2009-03-22 2009-07-03 2010-05-29 2011-01-16 2011-02-26 2011-02-26 2011-02-26 2011-10-09 2012-02-20 2012-04-03 2012-05-02 2013-04-27 2013-09-06 2013-11-16 2014-11-12 2015-01-26 2015-04-25 2015-04-25 2015-04-25 2015-08-01 2016-02-12 2016-11-27 2017-07-02 2017-07-23 2018-08-20 2018-09-17 2018-10-15 2019-04-22 2019-09-02 2021-01-04 2021-03-15 2021-06-21. Author is listed
  2. NEP-ETS: Econometric Time Series (26) 1999-05-10 1999-10-04 2000-01-31 2002-02-10 2003-01-12 2004-08-16 2004-09-30 2006-03-05 2006-09-16 2008-04-29 2009-03-28 2009-07-03 2011-01-16 2011-02-26 2011-09-05 2012-04-17 2012-10-13 2012-12-06 2015-04-25 2015-04-25 2015-09-26 2016-11-27 2018-08-20 2019-04-22 2019-09-02 2021-01-04. Author is listed
  3. NEP-FOR: Forecasting (24) 2006-03-05 2009-07-03 2009-08-16 2011-01-16 2011-02-26 2011-09-05 2012-04-17 2012-10-06 2012-10-13 2012-12-06 2013-01-26 2013-04-20 2013-04-27 2013-04-27 2013-11-16 2015-01-26 2015-04-25 2015-08-01 2015-08-13 2018-09-17 2020-09-14 2021-06-21 2021-07-12 2021-10-04. Author is listed
  4. NEP-ORE: Operations Research (21) 2008-12-14 2009-03-22 2009-07-03 2011-01-16 2012-10-13 2013-04-13 2013-04-20 2013-04-27 2013-04-27 2013-09-06 2014-12-29 2015-01-26 2015-08-01 2015-08-13 2015-09-26 2016-11-27 2019-04-22 2019-09-02 2021-01-04 2021-07-12 2021-10-04. Author is listed
  5. NEP-MAC: Macroeconomics (17) 2009-03-28 2009-07-03 2009-08-16 2013-08-31 2013-11-16 2014-11-17 2014-12-29 2015-01-26 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-08-01 2015-08-13 2015-09-26 2021-01-04 2021-03-15. Author is listed
  6. NEP-CMP: Computational Economics (10) 2011-02-26 2011-10-09 2013-04-13 2013-04-20 2013-04-27 2015-05-09 2016-02-12 2016-04-30 2017-07-23 2019-09-02. Author is listed
  7. NEP-RMG: Risk Management (9) 2008-12-14 2011-02-26 2015-04-25 2018-10-15 2019-09-02 2020-09-14 2021-06-21 2021-07-12 2021-10-04. Author is listed
  8. NEP-EEC: European Economics (5) 2011-09-05 2013-08-31 2013-09-06 2014-12-29 2015-09-26. Author is listed
  9. NEP-CBA: Central Banking (4) 2008-12-14 2011-09-05 2012-04-03 2015-04-25
  10. NEP-DGE: Dynamic General Equilibrium (4) 2010-05-29 2011-02-26 2012-02-20 2012-04-03
  11. NEP-IFN: International Finance (4) 1999-12-01 2001-05-02 2001-05-02 2002-02-10
  12. NEP-BEC: Business Economics (3) 2010-05-29 2012-02-20 2012-04-17
  13. NEP-ENE: Energy Economics (3) 2021-06-21 2021-07-12 2021-10-04
  14. NEP-SOG: Sociology of Economics (3) 2014-11-12 2015-04-25 2015-04-25
  15. NEP-BIG: Big Data (2) 2017-07-23 2018-08-20
  16. NEP-FMK: Financial Markets (2) 2001-05-02 2001-05-02
  17. NEP-HIS: Business, Economic and Financial History (2) 2014-11-12 2015-04-25
  18. NEP-CWA: Central and Western Asia (1) 2013-04-20
  19. NEP-EVO: Evolutionary Economics (1) 2018-10-15
  20. NEP-FIN: Finance (1) 1999-12-01
  21. NEP-HPE: History and Philosophy of Economics (1) 2015-04-25
  22. NEP-ISF: Islamic Finance (1) 2021-06-21
  23. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2006-09-16
  24. NEP-UPT: Utility Models and Prospect Theory (1) 2015-01-26

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