H.K. (Herman) van Dijk

Irregular Staff
Erasmus School of Economics
Erasmus University Rotterdam
Affiliate Member ERIM
Field: Finance & Accounting
Affiliated since 2001

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.

  • 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.[go to publisher's site]
  • 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 (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.
  • 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.[go to publisher's site]
  • 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • Chesher, Andrew, Dhaene, G.F.M. & Dijk, H.K. van (2007). Endogeneity, Instruments and Identification, Guest Editorial. Journal of Econometrics, 139(1), 1-3.
  • 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.
  • Dijk, H.K. van (2004). Twentieth century shocks, trends and cycles in industrialized nations. De Economist, 152(2), 211-232.
  • 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.
  • 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.
  • Cornelisse, P.A., Dijk, H.K. van & Don, H. (2004). Economics with a purpose. (Tinbergen centennial issue). De Economist, 152(2), 161-165.
  • 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.
  • 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.
  • 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.
  • 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.[go to publisher's site]
  • 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.
  • 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.
  • 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.
  • Dijk, H.K. van (1999). Some remarks on the simulation revolution in Bayesian econometric inference. Econometric Reviews, 18(1), 105-112.
  • Paap, R. & Dijk, H.K. van (1999). Posterior evidence on the Permanent Income Hypothesis. Bullettin EU & US Inflation and Macroeconomic Analysis, 58, 48-52.
  • 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.
  • Kleibergen, F.R. & Dijk, H.K. van (1998). Bayesian simultaneous equations analysis using reduced rank structures. Econometric Theory, 14, 701-743.
  • 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.
  • Kleibergen, F.R. & Dijk, H.K. van (1994). Direct cointegration testing in error-correction models. Journal of Econometrics, 63, 61-103.
  • 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). 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.
  • Kaashoek, J.F. & Dijk, H.K. van (1994). Evaluation and application of numerical procedures to calculate Lyapunov exponents. Econometric Reviews, 13, 123-137.
  • Phillips, P.C.B. & Dijk, H.K. van (1994). Bayes methods and unit roots, editors' introduction. Econometric Theory, 10, 453-460.
  • 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.
  • 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.
  • 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.
  • 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.
  • 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..
  • 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • Dijk, H.K. van (2003). On shocks, trends and cycles in industrialized countries in the Twentieth Century. Tinbergen Magazine, 7, 12-15.

Editorial positions

  • Journal of Applied Econometrics

    Co-Editor

  • Computational Economics

    Associate Editor

  • Journal of Econometrics

    Associate Editor

  • Econometric Reviews

    Associate Editor


Address

Visiting address

Office: H11-05
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Latest publication

Hoogerheide, L.F., Opschoor, A. & Dijk, H.K. van (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation. (EI reprint serie EI-1578). Rotterdam: Econometric Institute.