This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

This paper resulted in a publication in the <I>Journal of Econometrics</I> (2014). Volume 180, pages 127-140.<P> An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic panel data model with unobserved random individual-specific and time-varying...</p></i>

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

This discussion paper led to an article in the <I>Statistica Neerlandica</I> (2008). Vol. 62, issue 1, pages 104-130.<P> We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which...</p></i>

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...

Likelihood based inference for multi-state latent factor intensity models is hindered by the fact that exact closed-form expressions for the implied data density are not available. This is a common and well-known problem for most parameter driven dynamic econometric models. This paper reviews,...

This paper addresses heterogeneity in determinants of economic growth in a data-driven way. Instead of defining groups of countries with different growth characteristics a priori, based on, for example, geographical location, we use a finite mixture panel model and endogenous clustering to...

We test economic and sociological theories for the relationship between employment and crime, where social welfare is used as an identifying mechanism. We consider a sample of disadvantaged males from The Netherlands who are observed between ages 18 and 32 on a monthly time scale. We...

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

This discussion paper led to an article in <I>Statistica Neerlandica</I> (2003). Vol. 57, issue 4, pages 439-469.<P> The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this...</p></i>