This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development...

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...

This discussion paper led to an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2009). Vol. 71, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic...</p></i>

This discussion paper led to a publication in <A href="http://www.sciencedirect.com/science/article/pii/S0167947304001562">'Computational Statistics & Data Analysis'</A>, 49(2), 417-44.<P>We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an...</p></a>

This version has replaced the version of January 30, 2012.<P> A successful construction of an importance density for nonlinear non-Gaussian state space models is crucial when Monte Carlo simulation methods are used for likelihood evaluation, signal extraction of dynamic latent factors and...</p>

Accepted by the <Journal of Empirical Finance</I>.<P> We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to...</p></journal>

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this article it is argued that one...

This discussion paper led to a publication in the 'Journal of Applied Econometrics'</I>, 2014, 29(1), 65-90.<P> We propose a new approach to the modelling of the term structure of interest rates. We consider the general dynamic factor model and show how to impose smoothness restrictions on the factor...</p>

Spatial effects are endemic in models based on spatially referenced data. The increased awareness of the relevance of spatial interactions, spatial externalities and networking effects among actors, evoked the area of spatial econometrics. Spatial econometrics focuses on the specification and...

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less widespread. In this articleit is argued that one...