Recent publications:

Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve, 2009, Journal of Business and Economic Statistics, (Invited Paper), 27, 293-311 (with S. Mavroeidis).

Comment by Fabio Canova, 2009, Journal of Business and Economic Statistics, 27, 311-315.

Comment by John Chao and Norman Swanson, 2009, Journal of Business and Economic Statistics, 27, 316-318.

Comment by Jean-Marie Dufour, 2009, Journal of Business and Economic Statistics, 27, 318-321.

Comment by Anna Mikuseva, 2009, Journal of Business and Economic Statistics, 27, 322-323.

Comment by John Wright, 2009, Journal of Business and Economic Statistics, 27, 323-326.

Comment by Motohiro Yogo, 2009, Journal of Business and Economic Statistics, 27, 326-328.

Comment by Eric Zivot and Saraswata Chaudhuri, 2009, Journal of Business and Economic Statistics, 27, 328-331.

Rejoinder by Frank Kleibergen and Sophocles Mavroeidis, 2009, Journal of Business and Economic Statistics, 27, 331-339.

Tests of Risk Premia in Linear Factor Models , 2009, Journal of Econometrics, 149, 149-173.

Natural Conjugate Priors for the Instrumental Variables Regression Model applied to the Angrist-Krueger data , 2007, Journal of Econometrics, 138, 63-103 (with L. Hoogerheide and H.K. van Dijk).

Generalized Reduced Rank Tests using the Singular Value Decomposition, 2007, Journal of Econometrics, 139, 181-216 (with R. Paap)

Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics, 2007, Journal of Econometrics, 133, 97-126.

Testing Parameters in GMM without assuming that they are identified, 2005, Econometrica, 73, 1103-1124

Testing, Forthcoming in the New Palgrave Dictionay of Economics, 2005.

Testing Subsets of Structural Parameters in the IV Regression Model, 2004, Review of Economics and Statistics, 86, 418-423

Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox, 2004, Journal of Econometrics, 123, 227-258

Finite Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic, 2003, Econometric Theory, 19, 744-753 (with P. Bekker)

Likelihood Based Cointegration Analysis in Panels of Vector Error Correction Models, 2003, Journal of Business and Economic Statistics, 21, 295-318 (with J. Groen)

Bayesian and Classical Approaches to Instrumental Variable Regression, 2003, Journal of Econometrics, 114, 29-72 (with E. Zivot)

Pivotal Statistics for testing Structural Parameters in Instrumental Variables Regression, 2002, Econometrica, 70, 1781-1804

Priors, Posterior Odds and Bayes Factors in Bayesian Analyses of Cointegration, 2002, Journal of Econometrics, 111, 223-249 (with R. Paap)

The Joint Estimation of Term Structures and Credit Spreads, 2001 Journal of Empirical Finance, 8, 297-323 (with P. Houweling and J. Hoek)

Oil Price Shocks and long Run Price and Import Demand Behavior, 1999, Annals of the Institute of Statistical Mathematics, 51, 399-417 (with J.P. Urbain and H.K. van Dijk)

Bayesian Simultaneous Equation Analysis using Reduced Rank Structures, 1998, Econometric Theory, 14, 699-744 (with H.K. van Dijk)

Reduced Rank Regression using GMM, 1998, in L. Matyas, editor, Generalised Method of Moments Estimation, Cambridge University Press

Bayesian Simultaneous Equations Analysis using Equality Restricted Random Variables, 1997 Proceedings of the Section on Bayesian Statistical Science, 141-147, American Statistical Association, 1998

Unit Roots in the Nelson-Plosser data : Do they matter for forecasting?, 1996, International Journal of Forecasting, 12, 283-288 (with P.H. Franses)

Nonstationarity in GARCH models : A Bayesian analysis, 1995, in: H.K. van Dijk, A. Montfort and B.W. Brown, eds., Econometric Inference using Simulation Techniques, Wiley (with H.K. van Dijk)

Identifiability and Nonstationarity in Classical and Bayesian Econometrics, 1994, Tinbergen Institute Research Series, 77, Thesis Publishers, Amsterdam)

Direct Cointegration Testing in Error Correction Models, 1994, Journal of Econometrics, 63, 61-103 (with H.K. van Dijk)

On the Shape of the Likelihood/Posterior in Cointegration models, 1994, Econometric Theory, 10, 514-551 (with H.K. van Dijk)

Nonstationarity in GARCH models : A Bayesian analysis, 1993, Journal of Applied Econometrics, 8, s41-s61 (with H.K. van Dijk)

Efficient computer generation of matric-variate t drawings with an application to Bayesian estimation of simple market models, 1993, Statistics & Computing : Computer Intensive Methods in Statistics, 30-46 (with H.K. van Dijk)