H.K. (Herman) van Dijk

Herman K. van Dijk is a professor of econometrics and holds a Personal Chair at Erasmus School of Economics (ESE).

Herman K. van Dijk is director of the Tinbergen Institute. He is listed in the Econometricians Hall of Fame by the Journal Econometric Theory as one of the top ten econometricians in Europe.

His research interests lie in the area of Bayesian inference using simulation techniques, time series econometrics, neural networks, and income distributions.

He is the author of more than 120 international scientific journal papers and reports and a number of books. An honorary fellow of the Tinbergen Institute, he serves on the editorial board of the major journals in econometrics.

Professor van Dijk is the former director of the Econometric Institute. He has extensive experience as managing, co-managing and coordinating research initiatives and conferences.

He has been a visiting fellow and visiting professor at Cambridge University in the UK, the Catholic University of Louvain in Belgium, Harvard University in the US, Duke University in the UK, Cornell University in the UK, and the University of New South Wales in Australia.

He received the Savage Prize for his PhD dissertation.

• Articles (50)
  • Billio, M., Casarin, R., Ravazzolo, F. & Dijk, H.K. van (2012). Combination schemes for turning point predictions. Quarterly Review of Economics and Finance, 52(4), 402-412.
  • Amendola, A., Belsley, D., Kontoghiorghes, E.J., Dijk, H.K. van, Omori, Y. & Zivot, E. (2010). Special issue on statistical and computational methods in finance. Computational Statistics & Data Analysis, 52(6), 2842-2845.
  • Ardia, D., Hoogerheide, L.F. & Dijk, H.K. van (2010). Adaptive mixture of student-t distribution as a flexible candidate distribution for efficient simulation: the R package AdMit. Journal of Statistical Software, 29(3), 1-32.
  • Hoogerheide, L.F. & Dijk, H.K. van (2010). Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling. International Journal of Forecasting, 26(2), 231-247.
  • Ardia, D., Hoogerheide, L.F. & Dijk, H.K. van (2009). AdMit: adaptive mixtures of student-t distributions. The R Journal, 1(1), 25-30.
  • Ardia, D., Hoogerheide, L.F. & Dijk, H.K. van (2009). Adaptive mixture of student-t distributions as a flexible candidate distribution for efficient simulation: the R package admit. Journal of Statistical Software, 29(3), 1-32.
  • Belsley, D., Davidson, R., Kontoghiorghes, E.J. & Dijk, H.K. van (2009). Editorial of the fourth special issue on Computional Econometrics. Computational Statistics & Data Analysis, 53, 1923-1924.
  • Chesher, Andrew, Dhaene, G.F.M. & Dijk, H.K. van (2007). Endogeneity, Instruments and Identification, Guest Editorial. Journal of Econometrics, 139(1), 1-3.
  • Geweke, J.F., Groenen, P.J.F., Paap, R. & Dijk, H.K. van (2007). Computational techniques for applied econometric analysis of macroeconomic and financial processes. Computational Statistics & Data Analysis, 51(7), 3506-3507.
  • Harvey, A.C., Trimbur, T.M. & Dijk, H.K. van (2007). Trends and cycles in economic time series: a Bayesian approach. Journal of Econometrics, 140(2), 618-649.
  • Hoogerheide, L.F., Kaashoek, J.F. & Dijk, H.K. van (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.
  • Hoogerheide, L.F., Kleibergen, F.R. & Dijk, H.K. van (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. & Dijk, H.K. van (2007). Note on Neural network sampling for Bayesian inference of mixture processes. In Bulletin of the International Statistical Institute.
  • Koop, G. & Dijk, H.K. van (2007). Editors' introduction to the special issue of econometric reviews on Bayesian dynamic econometrics. Econometric Reviews, 26(2-4), 107-112.
  • Dijk, H.K. van, Kaashoek, J.F. & Wagelmans, A.P.M. (2006). Rotterdam econometrics: an analysis of publications of the Econometric Institute 1956-2004. Statistica Neerlandica, 60, 85-111.
  • Kleijn, R. & Dijk, H.K. van (2006). Bayes model averaging of cyclical decompositions in economic time series. Journal of Applied Econometrics, 21(2), 191-212.
  • Dijk, D.J.C. van, Dijk, H.K. van & 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. & Dijk, H.K. van (2004). Recent advances in Bayesian econometrics. Journal of Econometrics, 123(2), 197-199.
  • Bauwens, L., Bos, C.S., Dijk, H.K. van & Oest, R.D. van (2004). Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods. Journal of Econometrics, 123(2), 201-225.
  • Cornelisse, P.A., Dijk, H.K. van & Don, H. (2004). Economics with a purpose. (Tinbergen centennial issue). De Economist, 152(2), 161-165.
  • Dijk, H.K. van (2004). Twentieth century shocks, trends and cycles in industrialized nations. De Economist, 152(2), 211-232.
  • Harvey, A.C., Trimbur, T.M. & Dijk, H.K. van (2004). Bayes estimates of the cyclical component in twentieth century us gross domestic product. In Procedings of the 4th Eurostat and DGECFIN colloquim on Modern Tools for Business Cycle Analysis. EUROSTAT.
  • Bauwens, L., Bos, C.S., Dijk, H.K. van & Oest, R.D. van (2003). Explaining adaptive radial-based direction sampling. In Proceedings of the Section on Bayesian Statistical Science. American Statistical Association.
  • Haldrup, N., Hendry, D.F. & Dijk, H.K. van (2003). Introduction: Time series concepts for conditional distributions. Oxford Bulletin of Economics and Statistics, 65(Supplement), 681-688.
  • Hoogerheide, L.F., Kaashoek, J.F. & Dijk, H.K. van (2003). Neural network approximations to posterior densities: an analytical approach. In Proceedings of the Section on Bayesian Statistical Science. American Statistical Association.
  • Kaashoek, J.F. & Dijk, H.K. van (2003). Long term values of euro/dollar and European exchange rates: A neural network analysis. Medium Econometrische Toepassingen, 10(4), 26-29.
  • Paap, R. & Dijk, H.K. van (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. & Dijk, H.K. van (2003). Bayesian model selection with an uninformative prior. Oxford Bulletin of Economics and Statistics, 65(Supplement), 863-876.
  • Kaashoek, J.F. & Dijk, H.K. van (2002). Neural network pruning applied to real exchange rate analysis. Journal of Forecasting, 21, 559-577.
  • Terui, N. & Dijk, H.K. van (2002). Combined forecasts from linear and nonlinear time series models. International Journal of Forecasting, 18(3), 421-438.
  • Geweke, J.F., Rust, J. & Dijk, H.K. van (2000). Inference and decision making, Introduction. Journal of Applied Econometrics, 6, 545-546.
  • Koop, G. & Dijk, H.K. van (2000). Testing for integration using evolving trend and seasonals model: a Bayesian approach. Journal of Econometrics, 97, 261-291.
  • Dijk, H.K. van (1999). Some remarks on the simulation revolution in Bayesian econometric inference. Econometric Reviews, 18(1), 105-112.
  • Kleibergen, F.R., Dijk, H.K. van & Urbain, J-P. (1999). Oil price shocks and long run price and important demand behavior. Annals of the Institute of Statistical Mathematics (Tokyo), 51(3), 399-417.
  • Paap, R. & Dijk, H.K. van (1999). Posterior evidence on the Permanent Income Hypothesis. Bullettin EU & US Inflation and Macroeconomic Analysis, 58, 48-52.
  • Kleibergen, F.R. & Dijk, H.K. van (1998). Bayesian simultaneous equations analysis using reduced rank structures. Econometric Theory, 14, 701-743.
  • Paap, R. & Dijk, H.K. van (1998). Distribution and mobility of wealth of nations. European Economic Review, 42, 1269-1293.
  • Paap, R. & Dijk, H.K. van (1998). Distribution and mobility of wealth of nations. European Economic Review, 42, 1269-1293.
  • Bauwens, L., Polasek, W. & Dijk, H.K. van (1996). Bayes, Bernoullis and Basel, editors' introduction. Journal of Econometrics, 75, 1-5.
  • Hoek, H., Lucas, A. & Dijk, H.K. van (1995). Classical and Bayesian aspects of robust unit root inference. Journal of Econometrics, 69, 27-59.
  • Kaashoek, J.F. & Dijk, H.K. van (1994). A neural network applied to the calculation of Lyapunov exponents. Econometric Reviews, 13(1), 123-137.
  • Kaashoek, J.F. & Dijk, H.K. van (1994). Evaluation and application of numerical procedures to calculate Lyapunov exponents. Econometric Reviews, 13, 123-137.
  • Kiviet, J.F. & Dijk, H.K. van (1994). Structure and dynamics in econometrics, editor's introduction. Journal of Econometrics, 63, 1-5.
  • Kleibergen, F.R. & Dijk, H.K. van (1994). Direct cointegration testing in error-correction models. Journal of Econometrics, 63, 61-103.
  • Kleibergen, F.R. & Dijk, H.K. van (1994). On the shape of the likelihood/posterior in cointegration models. Econometric Theory, 10, 514-551.
  • Kleibergen, F.R. & Dijk, H.K. van (1994). On the shape of the likelihood/posterior of cointegration models. Econometric Theory, 10, 514-551.
  • Ooms, M. & Dijk, H.K. van (1994). Comment on estimating systems of trending variables: estimating pushing trends and pulling equilibra. Econometric Reviews, 13(3), 395-423.
  • Phillips, P.C.B. & Dijk, H.K. van (1994). Bayes methods and unit roots, editors' introduction. Econometric Theory, 10, 453-460.
  • Schotman, P.C. & Dijk, H.K. van (1991). On Bayesian routes to unit roots. Journal of Applied Econometrics, 6, 387-401.
  • Kooiman, P., Dijk, H.K. van & 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.

• Books (4)
  • Heij, C., Boer, P.M.C. de, Franses, P.H.B.F., Kloek, T. & Dijk, H.K. van (2004). Econometric Methods with Applications in Business and Economics. Oxford: Oxford University Press.
  • Heij, C., Boer, P.M.C. de, Franses, P.H.B.F., Kloek, T. & Dijk, H.K. van (2004). Solutions Manual for Econometric Methods with Applications in Business and Economics. Oxford: Oxford University Press.
  • Dijk, H.K. van, Harkema, R., Kooiman, P. & Schotman, P.C. (Eds.). (1997). Kritisch & Constructief, 40 jaar grensverkenningen in de econometrie (681). Rotterdam: Erasmus Universiteit Rotterdam.
  • Dijk, H.K. van, Monfort, A. & Brown, B.W. (Eds.). (1995). Econometric Inference using Simulation Techniques. Chichester: John Wiley & Sons.

• Book contributions (11)
  • Pooter, M.D. de, Ravazzolo, F., Segers, R. & Dijk, H.K. van (2009). Bayesian Near-Boundary Analysis in Basic Macroeconomic Time-Series Models. In S. Chib, W Griffiths, G. Koop & D. Terrell (Eds.), Advances in Econometrics (Bayesian Econometrics, 23) (pp. 331-402). Bingley: JAI Press.
  • Paap, R. & Dijk, H.K. van (2008). Distribution and Mobility of Wealth of Nations. In D. Chotikapanich (Ed.), Modeling Income Distributions and Lorenz Curves (pp. 71-94). New York: Springer.
  • Harvey, A.C., Trimbur, T.M. & Dijk, H.K. van (2007). Bayes estimates of the cyclical component in twentieth century US gross domestic product. In G.L. Mazzi & G. Savio (Eds.), Growth and cycle in the Eurozone (Palgrave) (pp. 76-89). New York: Palgrave MacMillan.
  • Koop, G., Strachan, R., Dijk, H.K. van & Villani, M. (2006). Bayesian approaches to cointegration. In T.C. Mills & K. Patterson (Eds.), Handbook of Econometrics Vol. 1 (pp. 871-898). Basingstoke: Palgrave MacMillan.
  • Dijk, H.K. van (2003). On Bayesian structural inference in a simultaneous equation model. In B.P. Stigum (Ed.), Econometrics and the philosophy of economics (pp. 642-682). Princeton, New Jersey: Princeton University Press.
  • Kaashoek, J.F. & Dijk, H.K. van (2003). Neural networks: an econometric tool. In D.E.A. Giles (Ed.), Computer-aided econometrics (pp. 351-384). New York - Basel: Marcel Dekker, Inc..
  • Bos, C.S., Mahieu, R.J. & Dijk, H.K. van (2001). On the variation of hedging decisions in daily currency risk management. In I.E. George (Ed.), Bayesian methods with applications to science, policy and official statistics. Selected papers from ISBA 2000: The Sixth World Meeting of the International Society for Bayesian Analysis (pp. 31-40). Luxembourg: European Communities.
  • Dijk, H.K. van (1997). De econometrie van simultane modellen 1956-1997. In H.K. van Dijk, R. Harkema, P. Kooiman & P.C. Schotman (Eds.), Kritisch & Constructief, 40 jaar grensverkenningen in de econometrie (NUGI, 681) (pp. 87-99). Rotterdam: EUR.
  • Koop, G. & Dijk, H.K. van (1997). Testing for Integration using Evolving Trend Models. In A. A.S. (Ed.), Proceedings of the Section on Bayesian Statistical Science (pp. 232-237). Alexandria, VA: American Statistical Association.
  • Kleibergen, F.R. & Dijk, H.K. van (1995). Non-stationarity in GARCH models: a Bayesian analysis. In H.K. van Dijk, A. Monfort & B.W. Brown (Eds.), Econometric Inference using Simulation Techniques (pp. 57-77). Chichester: John Wiley & Sons.
  • Montfort, A. & Dijk, H.K. van (1995). Simulation-based econometrics. In H.K. van Dijk, A. Montfort & B.W. Brown (Eds.), Econometric Inference using Simulation Techniques (pp. 1-20). New York: Wiley.

• Professional publications
  • Dijk, H.K. van (2003). On shocks, trends and cycles in industrialized countries in the Twentieth Century. Tinbergen Magazine, 7, 12-15.

• Editorial position (4)

  Journal	Journal of Applied Econometrics
  Role	Co-Editor
  Start date	01-01-2000
  Journal	Journal of Econometrics
  Role	Associate Editor
  Start date	01-01-2001
  Journal	Econometric Reviews
  Role	Associate Editor
  Start date	01-01-2000
  Journal	Computational Economics
  Role	Associate Editor
  Start date	01-01-2000