Prof. dr. H.K. (Herman) van Dijk

Erasmus School of Economics (ESE)
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.

Publications

  • Academic (50)
    • Kontoghiorghes, EJ., Dijk, H., Belsley, D., Bollerslev, T., Diebold, FX., Dufour, JM., Engle, R., Harvey, AC., Koopman, SJ., Pesaran, MH., Philips, PCB., Smith, R., West, M., Yao, Q., Amendola, A., Billio, M., Chen, CWS., Chiarella, C., Colubi, A., ... Maheu, J. (2014). CFEnetwork: The Annals of computational and financial econometrics: 2nd issue. Computational Statistics & Data Analysis, 76, 1-3. https://doi.org/10.1016/j.csda.2014.04.006

    • Zellner, A., Ando, T., Basturk, N., Hoogerheide, LF., & Dijk, H. (2014). Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo. Econometric Reviews, 33(1-4), 3-35. https://doi.org/10.1080/07474938.2013.807094

    • Basturk, N., Cakmakli, C. C., Ceyhan, P., & Dijk, H. (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. https://doi.org/10.1002/jae.2411

    • Timmerman, A., & Dijk, H. (2013). Dynamic econometric modeling and forecasting in the presence of instability. Journal of Econometrics, 177(2), 131-133. https://doi.org/10.1016/j.jeconom.2013.04.001

    • Strachan, RW., & Dijk, H. (2013). Evidence on features of a dsge business cycle model from bayesian model averaging. International Economic Review, 54(1), 385-402. https://doi.org/10.1111/j.1468-2354.2012.00737.x

    • Bilio, M., Casarin, R., Ravazzolo, F., & Dijk, H. (2013). Time-varying combinations of predictive densities using nonlinear filtering. Journal of Econometrics, 177(2), 213-232. https://doi.org/10.1016/j.jeconom.2013.04.009

    • Hoogerheide, LF., Ravazzolo, F., & Dijk, H. (2012). Forecast rationality tests based on multi-horizon bounds: Comment. Journal of Business and Economic Statistics, 30(1), 30-33. https://doi.org/10.1080/07350015.2012.634348

    • Billio, M., Casarin, R., Ravazzolo, F., & Dijk, H. (2012). Combination schemes for turning point predictions. Quarterly Review of Economics and Finance, 52(4), 402-412. https://doi.org/10.1016/j.qref.2012.08.002

    • Amendola, A., Belsley, D., Kontoghiorghes, EJ., Dijk, H., Omori, Y., & Zivot, E. (2010). Special issue on statistical and computational methods in finance. Computational Statistics & Data Analysis, 52(6), 2842-2845. https://doi.org/10.1016/j.csda.2007.12.010

    • Ardia, D. D., Hoogerheide, LF., & Dijk, H. (2009). 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. https://doi.org/10.18637/jss.v029.i03

    • Ardia, D., Hoogerheide, LF., & Dijk, H. (2009). AdMit: adaptive mixtures of student-t distributions. The R Journal, 1(1), 25-30.

    • Belsley, D., Davidson, R., Kontoghiorghes, EJ., & Dijk, H. (2009). Editorial of the fourth special issue on Computional Econometrics. Computational Statistics & Data Analysis, 53, 1923-1924. https://doi.org/10.1016/j.csda.2009.01.012

    • Chesher, A., Dhaene, GFM. G., & Dijk, H. (2007). Endogeneity, Instruments and Identification, Guest Editorial. Journal of Econometrics, 139(1), 1-3. https://doi.org/10.1016/j.jeconom.2006.06.001

    • Koop, G., & Dijk, H. (2007). Editors' introduction to the special issue of econometric reviews on Bayesian dynamic econometrics. Econometric Reviews, 26(2-4), 107-112. https://doi.org/10.1080/07474930701220675

    • Hoogerheide, LF., Kaashoek, JF. J., & Dijk, H. (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. https://doi.org/10.1016/j.jeconom.2006.06.009

    • Harvey, AC., Trimbur, TM., & Dijk, H. (2007). Trends and cycles in economic time series: a Bayesian approach. Journal of Econometrics, 140(2), 618-649. https://doi.org/10.1016/j.jeconom.2006.07.006

    • Geweke, J., Groenen, P., Paap, R., & Dijk, H. (2007). Computational techniques for applied econometric analysis of macroeconomic and financial processes. Computational Statistics & Data Analysis, 51(7), 3506-3507. https://doi.org/10.1016/j.csda.2006.11.015

    • Hoogerheide, LF., Kleibergen, FR. F., & Dijk, H. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. Journal of Econometrics, 138(1), 63-103. https://doi.org/10.1016/j.jeconom.2006.05.015

    • Dijk, H., Kaashoek, JF. J., & Wagelmans, A. (2006). Rotterdam econometrics: an analysis of publications of the Econometric Institute 1956-2004. Statistica Neerlandica, 60, 85-111. https://doi.org/10.1111/j.1467-9574.2006.00320.x

    • Kleijn, R., & Dijk, H. (2006). Bayes model averaging of cyclical decompositions in economic time series. Journal of Applied Econometrics, 21(2), 191-212. https://doi.org/10.1002/jae.823

    • Dijk, D., Dijk, H., & Franses, P. H. (2005). On the dynamics of business cycle analysis; Editors' introduction. Journal of Applied Econometrics, 20(2), 147-150. https://doi.org/10.1002/jae.844

    • Cornelisse, P., Dijk, H., & Don, H. (2004). Economics with a purpose. (Tinbergen centennial issue). De Economist, 152(2), 161-165.

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

    • Bauwens, L., Bos, CS. C., Dijk, H., & van Oest, RD. R. (2004). Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods. Journal of Econometrics, 123(2), 201-225. https://doi.org/10.1016/j.jeconom.2003.12.002

    • Dijk, H. (2004). Twentieth century shocks, trends and cycles in industrialized nations. De Economist, 152(2), 211-232. https://doi.org/10.1023/B:ECOT.0000023257.44725.6d

    • Paap, R., & Dijk, H. (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. https://doi.org/10.1198/073500103288619296

    • Strachan, RW., & Dijk, H. (2003). Bayesian model selection with an uninformative prior. Oxford Bulletin of Economics and Statistics, 65(Supplement), 863-876. https://doi.org/10.1046/j.0305-9049.2003.00095.x

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

    • Kaashoek, JF. J., & Dijk, H. (2003). Long term values of euro/dollar and European exchange rates: A neural network analysis. Medium Econometrische Toepassingen, 10(4), 26-29.

    • Kaashoek, JF. J., & Dijk, H. (2002). Neural network pruning applied to real exchange rate analysis. Journal of Forecasting, 21, 559-577. https://doi.org/10.1002/for.835

    • Terui, N., & Dijk, H. (2002). Combined forecasts from linear and nonlinear time series models. International Journal of Forecasting, 18(3), 421-438. https://doi.org/10.1016/S0169-2070(01)00120-0

    • Geweke, J., Rust, J., & Dijk, H. (2000). Inference and decision making, Introduction. Journal of Applied Econometrics, 6, 545-546.

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

    • Paap, R., & Dijk, H. (1999). Posterior evidence on the Permanent Income Hypothesis. Bullettin EU & US Inflation and Macroeconomic Analysis, 58, 48-52.

    • Kleibergen, FR. F., Dijk, H., & 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. (1999). Some remarks on the simulation revolution in Bayesian econometric inference. Econometric Reviews, 18(1), 105-112.

    • Kleibergen, FR. F., & Dijk, H. (1998). Bayesian simultaneous equations analysis using reduced rank structures. Econometric Theory, 14, 701-743.

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

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

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

    • Kleibergen, FR. F., & Dijk, H. (1994). Direct cointegration testing in error-correction models. Journal of Econometrics, 63, 61-103.

    • Kleibergen, FR. F., & Dijk, H. (1994). On the shape of the likelihood/posterior of cointegration models. Econometric Theory, 10, 514-551.

    • Kiviet, JF., & Dijk, H. (1994). Structure and dynamics in econometrics, editor's introduction. Journal of Econometrics, 63, 1-5. https://doi.org/10.1016/0304-4076(93)01558-4

    • Kaashoek, JF. J., & Dijk, H. (1994). Evaluation and application of numerical procedures to calculate Lyapunov exponents. Econometric Reviews, 13, 123-137.

    • Phillips, PCB., & Dijk, H. (1994). Bayes methods and unit roots, editors' introduction. Econometric Theory, 10, 453-460.

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

    • Kaashoek, JF. J., & Dijk, H. (1994). A neural network applied to the calculation of Lyapunov exponents. Econometric Reviews, 13(1), 123-137.

    • Kleibergen, FR. F., & Dijk, H. (1994). On the shape of the likelihood/posterior in cointegration models. Econometric Theory, 10, 514-551.

    • Schotman, PC., & Dijk, H. (1991). On Bayesian routes to unit roots. Journal of Applied Econometrics, 6, 387-401.

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

  • Professional (1)
    • Dijk, H. (2003). On shocks, trends and cycles in industrialized countries in the Twentieth Century. Tinbergen Magazine, 7, 12-15.

  • Academic (2)
    • Heij, C., Boer, P., Franses, P. H., Kloek, T., & Dijk, H. (2004). Solutions Manual for Econometric Methods with Applications in Business and Economics. Oxford University Press.

    • Heij, C., Boer, P., Franses, P. H., Kloek, T., & Dijk, H. (2004). Econometric Methods with Applications in Business and Economics. Oxford University Press.

  • Academic (2)
    • Dijk, H., Harkema, R., Kooiman, P., & Schotman, PC. (1997). Kritisch & Constructief, 40 jaar grensverkenningen in de econometrie. Erasmus Universiteit Rotterdam (EUR). 681

    • Dijk, H., Monfort, A., & Brown, BW. (1995). Econometric Inference using Simulation Techniques. John Wiley & Sons Inc.

  • Academic (11)
    • de Pooter, MD., Ravazzolo, F., Segers, R., & Dijk, H. (2009). Bayesian Near-Boundary Analysis in Basic Macroeconomic Time-Series Models. In S. Chib, W. Griffiths, G. Koop, & D. Terrell (Eds.), Advances in Econometrics (pp. 331-402). JAI Press. Bayesian Econometrics Vol. 23

    • Paap, R., & Dijk, H. (2008). Distribution and Mobility of Wealth of Nations. In D. Chotikapanich (Ed.), Modeling Income Distributions and Lorenz Curves (pp. 71-94). Springer.

    • Harvey, AC., Trimbur, TM., & Dijk, H. (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 (pp. 76-89). Palgrave Macmillan. Palgrave

    • Koop, G., Strachan, R., Dijk, H., & Villani, M. (2006). Bayesian approaches to cointegration. In T. C. Mills, & K. Patterson (Eds.), Handbook of Econometrics Vol. 1 (pp. 871-898). Palgrave Macmillan.

    • Dijk, H. (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 University Press.

    • Kaashoek, JF. J., & Dijk, H. (2003). Neural networks: an econometric tool. In D. E. A. Giles (Ed.), Computer-aided econometrics (pp. 351-384). Marcel Dekker, Inc..

    • Bos, CS. C., Mahieu, RJ., & Dijk, H. (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). European Communities.

    • Dijk, H. (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 (pp. 87-99). EUR. NUGI Vol. 681

    • Koop, G., & Dijk, H. (1997). Testing for Integration using Evolving Trend Models. In A. A.S. (Ed.), Proceedings of the Section on Bayesian Statistical Science (pp. 232-237). American Statistical Association.

    • Montfort, A., & Dijk, H. (1995). Simulation-based econometrics. In H. K. van Dijk, A. Montfort, & B. W. Brown (Eds.), Econometric Inference using Simulation Techniques (pp. 1-20). John Wiley & Sons Inc..

    • Kleibergen, FR. F., & Dijk, H. (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). John Wiley & Sons Inc..

  • Academic (3)
    • Harvey, AC., Trimbur, TM., & Dijk, H. (2004). Bayes estimates of the cyclical component in twentieth century us gross domestic product.

    • Hoogerheide, LF., Kaashoek, JF. J., & Dijk, H. (2003). Neural network approximations to posterior densities: an analytical approach.

    • Bauwens, L., Bos, CS. C., Dijk, H., & van Oest, RD. R. (2003). Explaining adaptive radial-based direction sampling.

  • Academic (1)
    • Hoogerheide, LF., & Dijk, H. (2007). Note on Neural network sampling for Bayesian inference of mixture processes. In -

  • Academic (68)
    • Hoogerheide, LF., Opschoor, A. A., & Dijk, H. (2012). A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation. (EI reprint serie EI-1578 ed.) Econometric Institute. EI reprint serie Vol. EI-1578

    • Paap, R., & Dijk, H. (2009). Distribution and Mobility of Wealth of Nations. (EI reprint serie EI-1503 ed.) Econometrics. EI reprint serie Vol. EI-1503

    • de Pooter, MD., Ravazzolo, F., Segers, R., & Dijk, H. (2009). Bayesian Near-Boundary Analysis in Basic Macroeconomic Time-series Models. (EI reprint serie EI-1504 ed.) Econometrics. EI reprint serie Vol. EI-1504

    • Ardia, D., Hoogerheide, LF., & Dijk, H. (2009). Adaptive mixture of student-t distributions as a flexible candidate distribution for efficient simulation: the R package admit. (EI reprint reeks EI-1517 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1517

    • Ardia, D., Hoogerheide, LF., & Dijk, H. (2009). AdMit: adaptive mixtures of student-t distributions. (EI reprint reeks EI-1516 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1516

    • Hoogerheide, LF., Dijk, H., & van Oest, RD. R. (2009). Simulation-based Bayesian econometric inference: principles and some recent computational advances. (EI reprint reeks EI-1521 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1521

    • Oord, A., Martens, MPE., & Dijk, H. (2009). Robust Optimization of the Equity Momentum Strategy. (Tinbergen Institute Discussion Paper 2009-011/4 ed.) Econometrics. Tinbergen Institute Discussion Paper Vol. 2009-011/4

    • Ardia, D., Hoogerheide, LF., & Dijk, H. (2009). To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods. (Tinbergen Institute Discussion Paper 2009-0917/4 ed.) Econometrics. Tinbergen Institute Discussion Paper Vol. 2009-0917/4

    • de Pooter, MD., Ravazzolo, F., Segers, R., & Dijk, H. (2008). Bayesian near-boundary analysis in basic macroeconomic time series models. (EI report serie EI 2008-13 ed.) Econometrics. EI report serie Vol. EI 2008-13

    • Ardia, D., Hoogerheide, LF., & Dijk, H. (2008). The AdMit package. (EI-Report reeks EI 2008-17 ed.) Econometrics. EI-Report reeks Vol. EI 2008-17

    • Hoogerheide, LF., & Dijk, H. (2008). Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling. (Tinbergen Institute Discussion Paper 2008-0924 ed.) Econometrics. Tinbergen Institute Discussion Paper Vol. 2008-0924

    • Cornelisse, P., & Dijk, H. (2008). Tinbergen, Jan (1903-1994). (EI rerpint reeks EI-1476 ed.) Econometrics. EI rerpint reeks Vol. EI-1476

    • Geweke, J., Groenen, P., Paap, R., & Dijk, H. (2007). Computational techniques for applied econometric analysis of macroeconomic and financial processes. (Econometric Institute Reprint EI-1437 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1437

    • Hoogerheide, LF., Kleibergen, FR. F., & Dijk, H. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. (Econometric Institute Reprint EI-1443 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1443

    • Hoogerheide, LF., & Dijk, H. (2007). Note on neural network sampling for Bayesian inference of mixture processes. (Econometric Institute Report EI 2007-15 ed.) Econometrics. Econometric Institute Report Vol. EI 2007-15

    • Hoogerheide, LF., Kaashoek, JF. J., & Dijk, H. (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. (EI Reprint Reeks EI-1450 ed.) Econometrics. EI Reprint Reeks Vol. EI-1450

    • Harvey, AC., Trimbur, TM., & Dijk, H. (2007). Trends and cycles in economic time series: a Bayesian approach. (Econometric Institute Reprint EI-1460 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1460

    • Ravazzolo, F., Dijk, H., & Verbeek, M. (2007). Predictive gains from forecast combinations using time-varying model weights. (Econometric Institute Report EI 2007-26 ed.) Econometrics. Econometric Institute Report Vol. EI 2007-26

    • Strachan, RW., & Dijk, H. (2007). Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan. (Econometric Institute Report EI 2007-11 ed.) Econometrics. Econometric Institute Report Vol. EI 2007-11

    • Hoogerheide, LF., Dijk, H., & van Oest, RD. R. (2007). Simulation based Bayesian econometric inference: principles and some recent computational advances. (Econometric Institute Report EI 2007-03 ed.) Econometrics. Econometric Institute Report Vol. EI 2007-03

    • Hoogerheide, LF., Kleibergen, FR. F., & Dijk, H. (2006). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. (Econometric Institute Report EI 2006-02 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-02

    • de Pooter, MD., Segers, R., & Dijk, H. (2006). Gibbs sampling in econometric practice. (Econometric Institute Report EI 2006-13 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-13

    • Dijk, H., Kaashoek, JF. J., & Wagelmans, A. (2006). "Rotterdam econometrics": publications of the Econometric Institute 1956-2005. (Econometric Institute Report EI 2006-00 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-00

    • Dijk, H., Kaashoek, JF. J., & Wagelmans, A. (2006). "Rotterdam econometrics": An analysis of publications of the Econometric Institute 1956-2004. (Econometric Institute Report EI 2006-01 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-01

    • Hoogerheide, LF., & Dijk, H. (2006). A reconsideration of de Angrist-Krueger analysison returns to eduction. (Econometric Institute Report EI 2006-15 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-15

    • Strachan, RW., & Dijk, H. (2006). Model uncertainty and Bayesian Model averaging in vector autoregressive processes. (Econometric Institute Report EI 2006-08 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-08

    • Cornelisse, P., & Dijk, H. (2006). Jan Tinbergen (1903-1994). (Econometric Institute Report EI 2006-09 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-09

    • Koop, G., Strachan, RW., Dijk, H., & Villani, M. (2006). Bayesian approaches to cointegration. (Economic Institute Reprint 1 ed.) Econometrics. Economic Institute Reprint Vol. 1

    • Dijk, H., Kaashoek, JF. J., & Wagelmans, A. (2006). Rotterdam econometrics: an analysis of publications of the Econometric Institute 1956-2004. (Econometric Institute Reprint EI-1401 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1401

    • Kleijn, R., & Dijk, H. (2006). Bayes model averaging of cyclical decompositions in economic time series. (Econometric Institute Reprint EI-1396 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1396

    • de Pooter, MD., Segers, R., & Dijk, H. (2006). On the practice of Bayesian inference in basic economic time series models using gibbs sampling. (Tinbergen Institute Discussion Paper 2006-076/4 ed.) Econometrics. Tinbergen Institute Discussion Paper Vol. 2006-076/4

    • Strachan, RW., & Dijk, H. (2005). Weakly informative priors and well behaved Bayes Factors. (Econometric Institute Report Serie EI2005-40 ed.) DEPARTMENT OF ECONOMETRICS. Econometric Institute Report Serie Vol. EI2005-40

    • Harvey, AC., Trimbur, TM., & Dijk, H. (2005). Trends and Cycles in Economic Time Series: A Bayesian Approach. (Econometric Institute Report Serie EI2005-27 ed.) DEPARTMENT OF ECONOMETRICS. Econometric Institute Report Serie Vol. EI2005-27

    • Koop, G., Strachan, R., & Dijk, H. (2005). Bayesian approaches to cointegration. (Econometric Institute Report Serie 2005-13 ed.) DEPARTMENT OF ECONOMETRICS. Econometric Institute Report Serie Vol. 2005-13

    • Hoogerheide, LF., Kaashoek, JF. J., & Dijk, H. (2005). 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. (Econometric Report Serie 2005-12 ed.) DEPARTMENT OF ECONOMETRICS. Econometric Report Serie Vol. 2005-12

    • Dijk, H. (2004). Twentieth century shocks, trends and cycles in industrialized nations. (Econometric Institute EI 2004-01 ed.) Econometric Institute Vol. EI 2004-01

    • Strachan, RW., & Dijk, H. (2004). Valuing structure, model uncertainty and model averaging in vector autoregressive processes. (Econometric Institute EI 2004-23 ed.) Econometric Institute Vol. EI 2004-23

    • Hoogerheide, LF., Kaashoek, JF. J., & Dijk, H. (2004). Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models. (Econometric Institute EI 2004-19 ed.) Econometric Institute Vol. EI 2004-19

    • Strachan, RW., & Dijk, H. (2004). Improper priors with well defined Bayes factors. (Econometric Institute EI 2004-18 ed.) Econometric Institute Vol. EI 2004-18

    • Bauwens, L., Bos, CS. C., Dijk, H., & van Oest, RD. R. (2003). Adaptive radial-based direction sampling - Some flexible and robust Monte Carlo integration methods. (Econometric Institute EI-2003-22 ed.) Econometric Institute Vol. EI-2003-22

    • Kleijn, RH., & Dijk, H. (2003). Bayes model averaging of cyclical decompositions in economic time series. (Econometric Institute EI 2003-48 ed.) Econometric Institute Vol. EI 2003-48

    • Strachan, RW., & Dijk, H. (2003). Bayesian model selection for a sharp null and a diffuse alternative with econometric applications. (Econometric Institute EI 2003-12 ed.) Econometric Institute Vol. EI 2003-12

    • Strachan, RW., & Dijk, H. (2003). The value of structural information in the VAR model. (Econometric Institute EI 2003-17 ed.) Econometric Institute Vol. EI 2003-17

    • Hoogerheide, LF., Kaashoek, JF. J., & Dijk, H. (2003). Functional approximations to posterior densities: a neural network approach to efficient sampling. (Econometric Institute EI 2002-48 ed.) Econometric Institute Vol. EI 2002-48

    • Bauwens, L., Bos, CS. C., Dijk, H., & van Oest, RD. R. (2002). Adaptive polar sampling: a class of flexible and robust Monte Carlo integration methods. (Econometric Institute EI 2002-27 ed.) Econometric Institute Vol. EI 2002-27

    • Paap, R., & Dijk, H. (2002). Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income. (Econometric Institute EI 2002-42 ed.) Econometric Institute Vol. EI 2002-42

    • Harvey, AC., Trimbur, TM., & Dijk, H. (2002). Cyclical components in economic time series: a Bayesian approach. (Econometric Institute EI 2002-20 ed.) Econometric Institute Vol. EI 2002-20

    • Dijk, H. (2002). On Bayesian structural inference in a simultaneous equation model. (Econometric Institute EI 2002-10 ed.) Econometric Institute Vol. EI 2002-10

    • Kleijn, R., & Dijk, H. (2001). A Bayesian analysis of the PPP puzzle using an unobserved components model. (Econometric Institute EI 2001-35 ed.) Econometric Institute Vol. EI 2001-35

    • Kaashoek, JF. J., & Dijk, H. (2001). Neural networks as econometric tool. (Econometric Institute EI 2001-05 ed.) Econometric Institute Vol. EI 2001-05

    • Hoogerheide, LF., & Dijk, H. (2001). Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration. (Econometric Institute EI 2001-04 ed.) Econometric Institute Vol. EI 2001-04

    • Bos, CS. C., Mahieu, RJ., & Dijk, H. (2000). On the variation of hedging decisions in daily currency risk managements. (Econometric Institute EI 2000-20 ed.) Econometric Institute Vol. EI 2000-20

    • Bos, CS. C., Mahieu, RJ., & Dijk, H. (2000). Daily exchange rate behaviour and hedging of currency risk. (Econometric Institute 2000-25/A ed.) Econometric Institute Vol. 2000-25/A

    • Bauwens, L., Bos, CS. C., & Dijk, H. (1999). Adaptive polar sampling with an application to a Bayes measure of Value-a-Risk. (Econometric Institute 9940/A ed.) Econometric Institute Vol. 9940/A

    • Kaashoek, JF. J., & Dijk, H. (1999). Neural networks analysis of varying trends in real exchange rates. (Econometric Institute 9915/A ed.) Econometric Institute Vol. 9915/A

    • Koop, G., & Dijk, H. (1999). Testing for integration using evolving trend and seasonal models: a Bayesian approach. (Econometric Institute 9934/A ed.) Econometric Institute Vol. 9934/A

    • Paap, R., & Dijk, H. (1999). Bayes estimates of Markov trends in possibly cointegrated series: An application to US consumption and income. (Econometric Institute Report 9911/A ed.) Econometric Institute Report Vol. 9911/A

    • Bos, CS. C., Mahieu, RJ., & Dijk, H. (1999). Daily exchange rate behaviour and hedging of currency risk. (Econometric Institute 9936/A ed.) Econometric Institute Vol. 9936/A

    • Terui, N., & Dijk, H. (1999). Combined forecasts from linear and nonlinear time series models. (Econometric Institute 9949/A ed.) Econometric Institute Vol. 9949/A

    • Kaashoek, JF. J., & Dijk, H. (1998). A simple strategy to prune neural networks with an application to economic time series. (Econometric Institute 9854 ed.) Econometric Institute Vol. 9854

    • Dijk, H. (1998). Some remarks on the simulation revolution in Bayesian econometric inference. (Econometric Institute 9843/A ed.) Econometric Institute Vol. 9843/A

    • Bauwens, L., Bos, CS. C., & Dijk, H. (1998). Adaptive polar sampling: a new MC technique for the analysis of ill-behaved surfaces. (Econometric Institute 9822 ed.) Econometric Institute Vol. 9822

    • Kleibergen, FR. F., & Dijk, H. (1997). Bayesian simultaneous equations analysis using reduced rank structures. (Econometric Institute 9714/A ed.) Econometric Institute Vol. 9714/A

    • Kaashoek, JF. J., & Dijk, H. (1997). A simple strategy to prune neural networks with an application to economic time series. (Econometric Institute 9750/B ed.) Econometric Institute Vol. 9750/B

    • Koop, G., Dijk, H., & Hoek, H. (1997). Testing for integration using revolving trend and seasonals models: a Bayesian approach. (Econometric Institute 9732/A ed.) Econometric Institute Vol. 9732/A

    • Kleibergen, FR. F., Urbain, J-P., & Dijk, H. (1997). Oil price shocks and long run price and import demand behavior. (Econometric Institute 9708/A ed.) Econometric Institute Vol. 9708/A

    • Koop, G., & Dijk, H. (1996). Bayesian analysis of stochastic trends in structural time series models. (Econometric Institute 9663/A ed.) Econometric Institute Vol. 9663/A

    • Draisma, G., Kaashoek, JF. J., & Dijk, H. (1995). A neural network applied to embedded economic data. (Discussion paper TI 95-20 ed.) Discussion paper Vol. TI 95-20

  • Academic (1)
    • Hoogerheide, LF., Kleijn, RH., Ravazzolo, F., Dijk, H., & Verbeek, M. (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Econometric Institute. EI reprint reeks Vol. EI-1538

  • Journal of Econometrics (Journal)

    Editorial work (Academic)

  • Computational Economics (Journal)

    Editorial work (Academic)

  • Econometric Reviews (Journal)

    Editorial work (Academic)

  • Journal of Applied Econometrics (Journal)

    Editorial work (Academic)

  • Role: Member Doctoral Committee
  • PhD Candidate: Anna Gutkowska
  • Time frame: 2001 - 2006
  • Role: Promotor
  • PhD Candidate: Arco van Oord
  • Time frame: 2006 - 2016
2014
June
13
2010
November
05
Lecture
As: Speaker
2010
November
05
2008
June
13
Research Workshop
As: Coordinator
2008
June
10
2007
November
22
Research Workshop
As: Coordinator
2007
May
30
2006
October
11
ERIM Grant Workshop
As: Speaker

Address

Visiting address

Office: Tinbergen Building H11-05
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands