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Home | People | Herman van Dijk
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Herman van Dijk

Honorary Fellow

University
Erasmus University Rotterdam
Research field
Econometrics

Key publications

List of publications

Basturk, N., Cakmakli, C., Ceyhan, S.P. and van Dijk, H.K. (2014). Posterior-predictive evidence on US inflation using extended New Keynesian Phillips Curve models with non-filtered data Journal of Applied Econometrics, 29(7):1164--1182.

Zellner, A., Ando, T., Basturk, N., Hoogerheide, L.F. and van Dijk, H.K. (2014). Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo Econometric Reviews, 33(1-4):3--35.

Bilio, M., Casarin, R., Ravazzolo, F. and van Dijk, H.K. (2013). Time-varying combinations of predictive densities using nonlinear filtering Journal of Econometrics, 177(2):213--232.

Strachan, R.W. and van Dijk, H.K. (2013). Evidence on features of a dsge business cycle model from bayesian model averaging International Economic Review, 54(1):385--402.

Timmerman, A. and van Dijk, H.K. (2013). Dynamic econometric modeling and forecasting in the presence of instability Journal of Econometrics, 177(2):131--133.

Hoogerheide, L.F., Ravazzolo, F. and van Dijk, H.K. (2012). Forecast rationality tests based on multi-horizon bounds: Comment Journal of Business and Economic Statistics, 30(1):30--33.

Chesher, Andrew, Dhaene, G.F.M. and van Dijk, H.K. (2007). Endogeneity, Instruments and Identification, Guest Editorial Journal of Econometrics, 139(1):1--3.

Harvey, A.C., Trimbur, T.M. and van Dijk, H.K. (2007). Trends and cycles in economic time series: a Bayesian approach Journal of Econometrics, 140(2):618--649.

Hoogerheide, L.F., Kleibergen, F.R. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103.

Hoogerheide, L.F., Kaashoek, J.F. and van Dijk, H.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, 139(1):154--180.

Koop, G. and van Dijk, H.K. (2007). Editors' introduction to the special issue of econometric reviews on Bayesian dynamic econometrics Econometric Reviews, 26(2-4):107--112.

Kleijn, R. and van Dijk, H.K. (2006). Bayes model averaging of cyclical decompositions in economic time series Journal of Applied Econometrics, 21(2):191--212.

van Dijk, D.J.C., van Dijk, H.K. and Franses, P.H.B.F. (2005). On the dynamics of business cycle analysis; Editors' introduction Journal of Applied Econometrics, 20(2):147--150.

Bauwens, L., Lubrano, M. and van Dijk, H.K. (2004). Recent advances in Bayesian econometrics Journal of Econometrics, 123(2):197--199.

Cornelisse, P.A., van Dijk, H.K. and Don, H. (2004). Economics with a purpose. (Tinbergen centennial issue) De Economist, 152(2):161--165.

Bos, C., Bauwens, L., van Dijk, H.K. and van Oest, R.D. (2004). Adaptive Radial-based Direction Sampling: Some Flexible and Robust Monte Carlo Integration Methods Journal of Econometrics, 123(2):201--225.

van Dijk, H.K. (2004). Twentieth century shocks, trends and cycles in industrialized nations De Economist, 152(2):211--232.

Haldrup, N., Hendry, D.F. and van Dijk, H.K. (2003). Introduction: Time series concepts for conditional distributions Oxford Bulletin of Economics and Statistics, 65(Supplement):681--688.

Paap, R. and van Dijk, H.K. (2003). Bayes estimates of Markov trends in possibly cointegrated series: an application to U.S. consumption and income Journal of Business and Economic Statistics, 21(4):547--563.

Strachan, R.W. and van Dijk, H.K. (2003). Bayesian model selection with an uninformative prior Oxford Bulletin of Economics and Statistics, 65(Supplement):863--876.

Kaashoek, J.F. and van Dijk, H.K. (2002). Neural network pruning applied to real exchange rate analysis Journal of Forecasting, 21:559--577.

Terui, N. and van Dijk, H.K. (2002). Combined forecasts from linear and nonlinear time series models International Journal of Forecasting, 18(3):421--438.

Geweke, J.F., Rust, J. and van Dijk, H.K. (2000). Inference and decision making, Introduction Journal of Applied Econometrics, 6:545--546.

Koop, G. and van Dijk, H.K. (2000). Testing for integration using evolving trend and seasonals model: a Bayesian approach Journal of Econometrics, 97:261--291.

van Dijk, H.K. (1999). Some remarks on the simulation revolution in Bayesian econometric inference Econometric Reviews, 18(1):105--112.

Kleibergen, F.R. and van Dijk, H.K. (1998). Bayesian simultaneous equations analysis using reduced rank structures Econometric Theory, 14:701--743.

Paap, R. and van Dijk, H.K. (1998). Distribution and mobility of wealth of nations European Economic Review, 42:1269--1293.

Bauwens, L., Polasek, W. and van Dijk, H.K. (1996). Bayes, Bernoullis and Basel, editors' introduction Journal of Econometrics, 75:1--5.

Hoek, H., Lucas, A. and van Dijk, H.K. (1995). Classical and Bayesian aspects of robust unit root inference Journal of Econometrics, 69:27--59.

Kaashoek, J.F. and van Dijk, H.K. (1994). A neural network applied to the calculation of Lyapunov exponents Econometric Reviews, 13(1):123--137.

Kaashoek, J.F. and van Dijk, H.K. (1994). Evaluation and application of numerical procedures to calculate Lyapunov exponents Econometric Reviews, 13:123--137.

Kiviet, J.F. and van Dijk, H.K. (1994). Structure and dynamics in econometrics (editors' introduction) Journal of Econometrics, 63:1--5.

Kleibergen, F.R. and van Dijk, H.K. (1994). Direct cointegration testing in error-correction models Journal of Econometrics, 63:61--103.

Kleibergen, F.R. and van Dijk, H.K. (1994). On the shape of the likelihood/posterior of cointegration models Econometric Theory, 10:514--551.

Kleibergen, F.R. and van Dijk, H.K. (1994). On the shape of the likelihood/posterior in cointegration models Econometric Theory, 10:514--551.

Ooms, M. and van Dijk, H.K. (1994). Comment on estimating systems of trending variables: estimating pushing trends and pulling equilibra Econometric Reviews, 13(3):395--423.

Phillips, P.C.B. and van Dijk, H.K. (1994). Bayes methods and unit roots, editors' introduction Econometric Theory, 10:453--460.

Schotman, P.C. and van Dijk, H.K. (1991). On Bayesian routes to unit roots Journal of Applied Econometrics, 6:387--401.

Kooiman, P., van Dijk, H.K. and Thurik, A.R. (1985). Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services Journal of Econometrics, 29(1-2):121--148.