 Testing the impossible: identifying exclusion restrictions. To appear in The Journal of Econometrics.
 A critical appraisal of studies analyzing comovement of international stock markets with a focus on EastAsian indices (with Zhenxi Chen). Annals of Economics and Finance 19 (2018), 151196.
 Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models (with Milan Pleus and Rutger Poldermans). Econometrics, 5(1), 14 (54 pages), 2017; download. doi:10.3390/econometrics5010014
 The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation (with Milan Pleus). Econometrics and Statistics 2 (2017) 121. DOI: 10.1016/j.ecosta.2017.01.001 and here free of charge.
 Discriminating between (in)valid external instruments and (in)valid exclusion restrictions. Journal of Econometric Methods 6(1):19, 2017. DOI: 10.1515/jem20160005
 When is it really justifiable to ignore explanatory variable endogeneity in a regression model? Economics Letters 145 (2016) 192195. DOI: 10.1016/j.econlet.2016.06.021
 On the limiting and empirical distribution of IV estimators when some of the instruments are actually endogenous (with Jerzy Niemczyk), pp.425490 in Advances in Econometrics, Volume 33; Essays in Honor of Peter C.B. Phillips (Eds. Yoosoon Chang, Thomas B. Fomby, Joon Y. Park), Emerald Group Publishing Limited, Bingley, UK, 2014. DOI: 10.1108/S0731905320140000033013 ; for animations click the menu left of this text.
 Improved variance estimation of maximum likelihood estimators in stable firstorder dynamic regression models (with Garry D.A. Phillips). Journal of Computational Statistics & Data Analysis 2014, 76, 424448. DOI: 10.1016/j.csda.2013.09.021 [relevant Matlab software: documentation, function, program]
 Identification and inference in a simultaneous equation under alternative information sets and sampling schemes. The Econometrics Journal 2013, 16, S24S59. DOI: 10.1111/j.1368423X.2012.00386.x
 Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation (with Jerzy Niemczyk). Journal of Computational Statistics & Data Analysis, 2012, 56, 35673586.
 Higherorder asymptotic expansions of the leastsquares estimation bias in firstorder dynamic regression models (with Garry D.A. Phillips). Journal of Computational Statistics & Data Analysis, 2012, 56, 37053729.
 Monte Carlo Simulation for Econometricians, Foundations and Trends® in Econometrics, 2011, 5, 1181; also published separately as a monograph Monte Carlo Simulation for Econometricians by NOW Publishers, New York Delft. Links to: EViews programs , photo (for introduction see: MCSintro.pdf).
 Econometric Analysis of Panel Data: Editorial Introduction. Singapore Economic Review, 2009, 54, 313317.
 The asymptotic and finite sample distribution of OLS and simple IV in simultaneous equations (with Jerzy Niemczyk). Journal of Computational Statistics & Data Analysis, 2007, 51, 32963318.
 Judging contending estimators by simulation: tournaments in dynamic panel data models. in: The Refinement of Econometric Estimation and Test Procedures (eds.: G.D.A. Phillips and E. Tzavalis). pp. 282318, Cambridge University Press, 2007.
 The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models (with Maurice J.G. Bun), Journal of Econometrics, 2006, 132, 409444.
 Moment approximation for least squares estimators in dynamic regression models with a unit root (with Garry D.A. Phillips), The Econometrics Journal, 2005, 8, 115142.
 The Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks (with Agnes S. Joseph), Journal of Computational Statistics and Data Analysis, 2005, 49, 417444. There is a website annex to this paper showing computer animations.
 On the Diminishing Returns of HigherOrder Terms in Asymptotic Expansions of Bias (with M.J.G. Bun), Economics Letters, 2003, 79, 145152.
 How to Implement the Bootstrap in Static or Stable Dynamic Regression Models (with N.P.A. van Giersbergen), Journal of Econometrics, 2002, 108, 133156.
 The Bias of the 2SLS Variance Estimator (with G.D.A. Phillips), Economics Letters, 2000, 66, 715.
 Alternative Bias Approximations in First Order Dynamic Reduced Form Models, (with G.D.A. Phillips and B. Schipp), Journal of Economic Dynamics and Control, 1999, 23, 909928.
 Expectations of Expansions for Estimators in a Dynamic Panel Data Model: Some Results for WeaklyExogenous Regressors, in: C. Hsiao, K. Lahiri, LF Lee and M.H. Pesaran (eds), Analysis of Panels and Limited Dependent Variables, Cambridge University Press, Cambridge (pages 199225), 1999.
 Degrees of Freedom Adjustment for Disturbance Variance Estimators in Dynamic Regression Models, (with G.D.A. Phillips), The Econometrics Journal, 1998, 1, 4470.
 Exact Inference in FirstOrder Autoregressive Distributed Lag Models, (with JM. Dufour), Econometrica, 1998, 66, 79104.
 Exact Tests in Single Equation Autoregressive Distributed Lag Models, (with JM. Dufour), Journal of Econometrics, 1997, 80, 325353.
 The Bias of the Oridinary Least Squares Estimator in Simultaneous Equation Models, (with G.D.A. Phillips), Economics Letters, 1996, 53, 161167.
 Bootstrapping a Stable AD Model: Weak versus Strong Exogeneity, (with N.P.A. van Giersbergen), Oxford Bulletin of Economics and Statistics, 1996, 58, 4, 631656; reprinted in The Econometrics of Economic Policy, edited by A. Banerjee and D.F. Hendry, Blackwell, Oxford, 1997, 6186.
 Exact Tests for Structural Change in FirstOrder Dynamic Models, (with JM. Dufour), Journal of Econometrics, 1996, 70, 3968.
 Neglected Dynamics in Dynamic Panel Data Models; Consequences and Detection in Finite Samples, (with I.T. van den Doel), Statistica Neerlandica, 1995, 49, 343361.
 The Bias of OLS, GLS and ZEF Estimators in Dynamic Seemingly Unrelated Regression Models, (with G.D.A. Phillips and B. Schipp), Journal of Econometrics, 1995, 69, 241266.
 Almost Unbiased Estimation in Dynamic Simultaneous Equations Through a Small Disturbance Correction, (with G.D.A. Phillips), Proceedings of the Osaka Econometrics Conference (edited by C. R. McKenzie), 1995, 329356.
 On Bias, Inconsistency and Efficiency of Various Estimators in Dynamic Panel Data Models, Journal of Econometrics, 1995, 68, 5378.
 Bias Assessment and Reduction in Linear ErrorCorrection Models, (with G.D.A. Phillips), Journal of Econometrics, 1994, 63, 215243.
 Editors' Introduction; Structure and Dynamics in Econometrics, (with H.K. van Dijk), Journal of Econometrics, 1994, 63, 15.
 Asymptotic Consequences of Neglected Dynamics in Individual Effects Models, (with I.T. van den Doel), Statistica Neerlandica, 1994, 48, 7185.
 Exact Similar Tests for the Root of a FirstOrder Autoregressive Regression Model, (with G.D.A. Phillips), Acta Universitatis Lodziensis Folia Oeconomica, 1993, 132, 6597.
 Alternative Bias Approximations in Regressions with a Lagged Dependent Variable, (with G.D.A. Phillips), Econometric Theory, 9, 1993, 6280.
 Bias in s2 in the Linear Regression Model with Correlated Errors, (with W. Krämer), Review of Economics and Statistics, 1992, 362365.
 Exact Similar Tests for Unit Roots and Cointegration, (with G.D.A. Phillips), Oxford Bulletin of Economics and Statistics, 54, 3 (1992), 349367.
 True vs. Nominal Size of the Ftest in the Linear Regression Model with Autocorrelated Errors, (with W. Krämer and J. Breitung), in: Econometric Decision Models: New Methods of Modelling and Applications (editor: Gruber, J.) SpringerVerlag, Berlin, 1991, 419428.
 Tighter Bounds for the Effects of ARMA Disturbances on Tests for Regression Coefficients, in: Econometric Decision Models: New Methods of Modelling and Applications (editor: Gruber, J.) SpringerVerlag, Berlin, 1991, 404418.
 The Null Distribution of the Ftest in the Linear Regression Model with Autocorrelated Disturbances, (with W. Krämer and J. Breitung), Statistica, L, n.4, 1990, 503509.
 On the Rationale for and Scope of Regression Models in Econometrics, (with G. Ridder), in: The Practice of Econometrics: Studies on Demand, Forecasting, Money and Income (editors: Heymans, R.D.H. and H. Neudecker), Kluwer Academic Publishers, Dordrecht, 1987, 223246.
 Testing Linear Econometric Models, Ph.D. Thesis, University of Amsterdam, 1987.
 Testing Strategies for Model Specification, (with G.D.A. Phillips), Applied Mathematics and Computation, 1986, 20, 237269.
 On the Rigour of Some Messpecification Tests for Modelling Dynamic Relationships, Review of Economic Studies, 1986, LIII, 241261.
 Model Selection Test Procedures in a Single Linear Equation of a Dynamic Simultaneous System and Their Defects in Small Samples, Journal of Econometrics, 1985, 28, 327362.
 Effects of ARMA Errors on Tests for Regression Coefficients: Comments on Vinod's Paper; Improved and Additional Results, Journal of the American Statistical Association, 1980, 75, 353358.

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Ċ Jan K, Mar 10, 2017, 5:40 AM
