Publications

  • A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices (with Zhenxi Chen). To appear in Annals of Economics and FinanceNTU EGC working paper 2016/6 (latest update 5/02/2016).
  • Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models (with Milan Pleus and Rutger Poldermans). Econometrics 20175(1), 14 (54 pages); 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) 1-21. 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):1-9, 2017. DOI: 10.1515/jem-2016-0005
  • When is it really justifiable to ignore explanatory variable endogeneity in a regression model? Economics Letters 145 (2016) 192-195. 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.425-490 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/S0731-905320140000033013 ; for animations click the menu left of this text.
  • Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models (with Garry D.A. Phillips). Journal of Computational Statistics & Data Analysis 2014, 76, 424-448. 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, S24-S59. DOI: 10.1111/j.1368-423X.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, 3567-3586. 
  • Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models (with Garry D.A. Phillips). Journal of Computational Statistics & Data Analysis, 2012, 56, 3705-3729. 
  • Monte Carlo Simulation for Econometricians, Foundations and Trends® in Econometrics, 2011, 5, 1-181; 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, 313-317. 
  • 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, 3296-3318.
  • 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. 282-318, 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, 409-444.
  • Moment approximation for least squares estimators in dynamic regression models with a unit root (with Garry D.A. Phillips), The Econometrics Journal, 2005, 8, 115-142.
  • 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, 417-444. There is a web-site annex to this paper showing computer animations.
  • On the Diminishing Returns of Higher-Order Terms in Asymptotic Expansions of Bias (with M.J.G. Bun), Economics Letters, 2003, 79, 145-152.
  • How to Implement the Bootstrap in Static or Stable Dynamic Regression Models (with N.P.A. van Giersbergen), Journal of Econometrics, 2002, 108, 133-156.
  • The Bias of the 2SLS Variance Estimator (with G.D.A. Phillips), Economics Letters, 2000, 66, 7-15.
  • 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, 909-928.
  • Expectations of Expansions for Estimators in a Dynamic Panel Data Model: Some Results for Weakly-Exogenous Regressors, in: C. Hsiao, K. Lahiri, L-F Lee and M.H. Pesaran (eds), Analysis of Panels and Limited Dependent Variables, Cambridge University Press, Cambridge (pages 199-225), 1999.
  • Degrees of Freedom Adjustment for Disturbance Variance Estimators in Dynamic Regression Models, (with G.D.A. Phillips), The Econometrics Journal, 1998, 1, 44-70.
  • Exact Inference in First-Order Autoregressive Distributed Lag Models, (with J-M. Dufour), Econometrica, 1998, 66, 79-104.
  • Exact Tests in Single Equation Autoregressive Distributed Lag Models, (with J-M. Dufour), Journal of Econometrics, 1997, 80, 325-353.
  • The Bias of the Oridinary Least Squares Estimator in Simultaneous Equation Models, (with G.D.A. Phillips), Economics Letters, 1996, 53, 161-167.
  • Bootstrapping a Stable AD Model: Weak versus Strong Exogeneity, (with N.P.A. van Giersbergen), Oxford Bulletin of Economics and Statistics, 1996, 58, 4, 631-656; reprinted in The Econometrics of Economic Policy, edited by A. Banerjee and D.F. Hendry, Blackwell, Oxford, 1997, 61-86.
  • Exact Tests for Structural Change in First-Order Dynamic Models, (with J-M. Dufour), Journal of Econometrics, 1996, 70, 39-68.
  • Neglected Dynamics in Dynamic Panel Data Models; Consequences and Detection in Finite Samples, (with I.T. van den Doel), Statistica Neerlandica, 1995, 49, 343-361.
  • 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, 241-266.
  • 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, 329-356.
  • On Bias, Inconsistency and Efficiency of Various Estimators in Dynamic Panel Data Models, Journal of Econometrics, 1995, 68, 53-78.
  • Bias Assessment and Reduction in Linear Error-Correction Models, (with G.D.A. Phillips), Journal of Econometrics, 1994, 63, 215-243.
  • Editors' Introduction; Structure and Dynamics in Econometrics, (with H.K. van Dijk), Journal of Econometrics, 1994, 63, 1-5.
  • Asymptotic Consequences of Neglected Dynamics in Individual Effects Models, (with I.T. van den Doel), Statistica Neerlandica, 1994, 48, 71-85.
  • Exact Similar Tests for the Root of a First-Order Autoregressive Regression Model, (with G.D.A. Phillips), Acta Universitatis Lodziensis Folia Oeconomica, 1993, 132, 65-97.
  • Alternative Bias Approximations in Regressions with a Lagged Dependent Variable, (with G.D.A. Phillips), Econometric Theory, 9, 1993, 62-80.
  • Bias in s2 in the Linear Regression Model with Correlated Errors, (with W. Krämer), Review of Economics and Statistics, 1992, 362-365.
  • Exact Similar Tests for Unit Roots and Cointegration, (with G.D.A. Phillips), Oxford Bulletin of Economics and Statistics, 54, 3 (1992), 349-367.
  • True vs. Nominal Size of the F-test 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.) Springer-Verlag, Berlin, 1991, 419-428.
  • 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.) Springer-Verlag, Berlin, 1991, 404-418.
  • The Null Distribution of the F-test in the Linear Regression Model with Autocorrelated Disturbances, (with W. Krämer and J. Breitung), Statistica, L, n.4, 1990, 503-509.
  • 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, 223-246.
  • 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, 237-269.
  • On the Rigour of Some Messpecification Tests for Modelling Dynamic Relationships, Review of Economic Studies, 1986, LIII, 241-261.
  • 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, 327-362.
  • 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, 353-358.
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Jan K,
Mar 10, 2017, 5:40 AM
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