dhr. prof. dr. J.G. de Gooijer

Lijst

Faculteit Economie en Bedrijfskunde
Sectie Econometrie & Statistiek
Valckenierstraat 65
1018 XE Amsterdam
J.G.deGooijer@uva.nl

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Publicaties
Nevenwerkzaamheden

Positions

Professor of Economic Statistics

Research programme

UvA-Econometrics

Research interests

Nonlinear Time Series Analysis; Change Point Problems; Forecasting; Model Identification, Nonparametric and semi-parametric statistics.

Education

M.Sc. in Mathematics and Statistics, Technical University Delft (1975);
Ph.D. in Economics, Free University Amsterdam (1984)

UvA-Econometrics

See: www.fee.uva.nl/ke/UvA-Econometrics

Dissertation title

Contributions to Univariate Time Series with an Application to Dutch Stock Market Prices

Prizes and honours

Honorary Fellow of the International Institute of Forecasters (2008) Elected Fellow International Statistical Institute

Curriculum Vitae

Contributions (lectures) to conferences, workshops, seminars, summer schools

Detecting change-points in multidimensional stochastic processes, Department of Economics, University of Umeå, Sweden, October 7, 2005. (invited presentation)
On the geometric conditional quantile, Joint Statistical Meetings, Toronto, Ontario, Canada, August 10, 2004.
Multivariate conditional prediction, 24th International Symposium on Forecasting, Sydney, Australia, July 7, 2004 (invited presentation)
Nonparametric multivariate conditional quantile prediction, 21st International Symposium on Forecasting, Pine Mountain, Georgia, USA, June 19, 2003.
Modelling vector nonlinear time series using POLYMARS, Dipartimento di Scienze Economische e Statistische, Universita di Trieste, Italy, April 29, 2002 (invited presentation)
On additive conditional quantiles with high-dimensional covariates, Conference: Current Advances and Trends in Nonparametric Statistics, Crete, Greece, July 19, 2002.
Forecasting threshold cointegrated systems, Conference: Blending Theory and Practice in Research and the Evalaution of Economic Policy, Theil Memorial Conference, Amsterdam, The Netherlands, August 16, 2002 (invited presentation)
Forecasting threshold cointegrated systems, Department of Economics, George Washington University, Washington DC, USA, September 26, 2002.
Forecasting threshold cointegrated systems, McDonough School of Business, Georgetown University, Washington, DC, USA, September 25, 2002.
Cross-validation criteria for selecting covariance structures and SETAR models, Department of Statistics and Actuarial Science, University of Stellenbosch, South Africa, March 28, 2001 (invited presentation)
Multivariate conditional quantile prediction, Annual Meeting South-African Statistical Society, Stellenbosch, South Africa, March 30, 2001 (invited presentation)
Modeling vector nonlinear time series using PMARS, UvA-Econometrics Weekly Lunch Seminar, Amsterdam, The Netherlands, December 3, 2001.
Nonparametric Forecasting, School of Humanities and Social Sciences, Nanyang Technological University, Singapore, January 11, 2007 (invited presentation).
Time Series Forecasting: A Kind of (Historical) Overview , School of Humanities and Social Sciences, Nanyang Technological University, Singapore, January 15, 2007 (invited presentation).
Semiparametric Regression with Kernel Error Model , 7th World Congres in Probability and Statistics, Singapore, July 16, 2008.
Parametric and Nonparametric Granger Causality Testing , 28th International Symposium on Forecasting, Nice, France, June 23, 2008.
Nonparametric Portmanteau Tests for Detecting Nonlinearities in High Dimensions, Institute for Advanced Studies, Vienna, March 22, 2012 (invited presentation).

Membership editorial staff or referee activities

Associate Editor International Journal of Forecasting (till January 2012)
Associate Editor Empirical Economics (till January 2012).

refereed(49)
wetenschappelijk(21)
working papers / preprints(9)

2014

A. Yuan & J.G. de Gooijer (2014). Asymptotically informative prior for Bayesian analysis. Communications in Statistics: Theory and Methods, 43 (14), 3080-3094. doi: 10.1080/03610926.2012.694549

2012

K. Brännäs, J.G. de Gooijer, C. Lönnbark & A. Soultanaeva (2012). Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges. Studies in Nonlinear Dynamics and Econometrics, 16 (1):4. doi: 10.1515/1558-3708.1855[go to publisher's site]
J.G. de Gooijer, C.G.H. Diks & L.T. Gatarek (2012). Information flows around the globe: predicting opening gaps from overnight foreign stock price patterns. Central European Journal of Economic Modelling and Econometrics, 4 (1), 23-44.[go to publisher's site]

2011

J.G. de Gooijer & A. Yuan (2011). Kernel-smoothed conditional quantiles of correlated bivariate discrete data. Statistica Sinica, 21 (4), 1611-1638. doi: 10.5705/ss.2010.061
J.G. de Gooijer & A. Yuan (2011). Some exact tests for manifest properties of latent trait models. Computational Statistics and Data Analysis, 55 (1), 34-44. doi: 10.1016/j.csda.2010.04.022[go to publisher's site]
Y. Cheng, J.G. de Gooijer & D. Zerom (2011). Efficient estimation of an additive quantile regression model. Scandinavian Journal of Statistics, 38 (1), 46-62. doi: 10.1111/j.1467-9469.2010.00706.x

2009

Y. Cheng & J.G. de Gooijer (2009). Bahadur representation for the nonparametric M-estimator under α-mixing dependence. Statistics, 43 (5), 443-462.

2008

J.G. de Gooijer & A. Yuan (2008). MDL mean function selection in semiparametric kernel regression models. Communications in Statistics: Theory and Methods, 37 (14), 2237-2248.
J.G. de Gooijer & S. Sivarajasingham (2008). Parametric and nonparametric Granger causality testing: Linkages between international stock markets. Physica A : Statistical Mechanics and its Applications, 387 (11), 2547-2560.
J.G. de Gooijer (2008). Partial sums of lagged cross-products of AR residuals and a test for white noise. Test, 17, 567-584.

2007

J.G. de Gooijer (2007). Power of the Neyman smooth test for evaluating multivariate forecast densities. Journal of Applied Statistics, 34 (4), 371-382.
J.G. de Gooijer & A. Gannoun (2007). TR multivariate conditional median estimation. Communications in Statistics: Simulation and Computation, 36 (1), 165-176.
A. Yuan & J.G. de Gooijer (2007). Semiparametric regression with kernel error model. Scandinavian Journal of Statistics, 34 (4), 841-869.
Y. Cheng & J.G. de Gooijer (2007). On the u-th geometric conditional quantile. Journal of statistical planning and inference, 137 (6), 1914-1930.

2006

J.G. de Gooijer, A. Gannoun & D. Zerom (2006). A multivariate quantile predictor. Communications in Statistics: Theory and Methods, 35 (1), 133-147.
J.G. de Gooijer (2006). Detecting change-points in multidimensional stochatic processes. Computational Statistics and Data Analysis, 51 (3), 1892-1903. doi: 10.1016/j.csda.2005.12.004
J.G. de Gooijer & R.J. Hyndman (2006). 25 years of time series forecasting. International Journal of Forecasting, 22 (3), 443-473.

2005

J.G. de Gooijer & A. Vidiella-i-Anguera (2005). Estimating threshold cointegrated systems. Economics Bulletin, 3 (8), 1-7.

2004

J.G. de Gooijer & A. Vidiella-i-Anguera (2004). Forecasting threshold cointegrated systems. International Journal of Forecasting, 20 (2), 237-253.
J.G. de Gooijer & K. Brännäs (2004). Asymmetries in conditional mean variance: modelling stock returns by asMA-asQGARCH. Journal of Forecasting, 23 (3), 155-171.

2003

J.G. de Gooijer & B.K. Ray (2003). Modeling vector nonlinear time series using POLYMARS. Computational Statistics and Data Analysis, 42, 73-90.
J.G. de Gooijer & D. Zerom Godefay (2003). On conditional density estimation. Statistica Neerlandica, 57, 159-176.
J.G. de Gooijer & D. Zerom Godefay (2003). On additive conditional quatiles with high-dimensional covariates. Journal of the American Statistical Association, 98, 135-146. doi: 10.1198/016214503388619166
J.G. de Gooijer & A. Vidiella-i-Anguera (2003). Nonlinear stochastic inflation modelling using SEASETARs. Insurance: Mathematics & Economics, 32, 3-18. doi: 10.1016/S0167-6687(02)00190-7

2002

J.G. de Gooijer, A. Gannoun & D. Zerom Godefay (2002). Mean squared error properties of the kernel-based multi-stage median predictor for time series. Statistics & Probability Letters, 56, 51-56.
J.G. de Gooijer, A. Gannoun & I. Larramendy (2002). Nonparametric regression with serially correlated errors. Pub. Inst. Stat. Univ. Paris, XXXXVI (1-2), 17-41.

2001

J.G. de Gooijer & N.M. Laan (2001). Change point analysis: Elision in Euripides' Orestes. Computer and the Humanities, 35 (2), 167-191.
J.G. de Gooijer, A. Gannoun & D. Zerom Godefay (2001). Multi-stage kernel-based conditional quantile prediction in time series. Communications in Statistics: Theory and Methods, 30, 2499-2515.
J.G. de Gooijer (2001). Cross-validation criteria for SETAR model selection. Journal of Time Series Analysis, 22, 267-281.

2000

J.G. de Gooijer & D. Zerom Godefay (2000). Kernel-based multistep-ahead predictions of the US short-term interest rate. Journal of Forecasting, 335-353.
J.G. de Gooijer & D. Zerom Godefay (2000). Nonparametric conditional predictive regions for time series. Computational Statistics and Data Analysis, 259-275. doi: 10.1016/S0167-9473(99)00056-0

1999

J.G. de Gooijer & M. Knotters (1999). TARSO modeling of water table depths. Water Resources Research, 695-705.
J.G. de Gooijer & I.B. Macneill (1999). Lagged regression residuals and serial-correlation tests. Journal of Business & Economic Statistics, 236-247.

1998

J.G. de Gooijer, K. Brännäs & T. Teräsvirta (1998). Testing linearity against nonlinear moving average models. Communications in Statistics: Theory and Methods, 27, 2025-2035.
J.G. de Gooijer (1998). On threshold moving-average models. Journal of Time Series Analysis, 19, 1-18.
J.G. de Gooijer, E. Matzner-Lober & A. Gannoun (1998). Nonparametric forecasting: a comparison of three kernel-based methods. Communications in Statistics: Theory and Methods, 27, 1593-1617.
J.G. de Gooijer, B.K. Ray & H. Kräger (1998). Forecasting exchange rates using TSMARS. Journal of international Money and Finance, 17, 513-534. doi: 10.1016/S0261-5606(98)00017-5
J.G. de Gooijer & P.T. de Bruin (1998). On forecasting SETAR processes. Statistics & Probability Letters, 37, 7-14.

1997

J.G. de Gooijer & P.H. Franses (1997). Forecasting and seasonality. International Journal of Forecasting, 13, 303-305. doi: 10.1016/S0169-2070(97)00018-6
P.H.F.M. van Casteren & J.G. de Gooijer (1997). Model selection by maximum entropy. Advances in Econometrics, 12, 135-161.

1996

I. Akman & J.G. de Gooijer (1996). Component extraction analysis of multivariate time series. Computational Statistics and Data Analysis, 21, 487-499. doi: 10.1016/0167-9473(95)00031-3
A.A.B. Klein & J.G. de Gooijer (1996). Cumulated prediction errors of multivariate time series models. Random Operators and Stochastic Equations, 4, 111-117.

1995

J.G. de Gooijer & K. Brannas (1995). Inverbility of nonlinear time series models. Communications in Statistics: Theory and Methods, 24, 2701-2714.
J.G. de Gooijer (1995). Cross-validation criteria for covariance structures. Communications in Statistics: Simulation and Computation, 24, 1-16.

1992

J.G. de Gooijer & K. Kumar (1992). Some recent developments in non-linear time series modelling, testing, and forecasting. International Journal of Forecasting, 8 (2), 135-156. doi: 10.1016/0169-2070(92)90115-P
P.C.M. Molenaar, J.G. de Gooijer & B. Schmitz (1992). Dynamic factor analysis of nonstationary multivariate time series. Psychometrika, 57 (3), 333-349. doi: 10.1007/BF02295422
R.J.M.M. Does & J.G. de Gooijer (1992). Statistische kwaliteitsbeheersing binnen de Nederlandse industrie. Sigma, 92 (6), 23-25.
J.G. de Gooijer & A.A.B. Klein (1992). On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes. International Journal of Forecasting, 7 (4), 501-513. doi: 10.1016/0169-2070(92)90034-7

1989

J.G. de Gooijer & A.A.B. Klein (1989). Forecasting the Antwerp Maritime Steel Traffic Flow: A case study. Journal of Forecasting, 8 (4), 381-398. doi: 10.1002/for.3980080404

2010

Y. Cheng, J.G. de Gooijer & D. Zerom (2010). Efficient estimation of an additive quantile regression model. (intern rapport, UvA-Econometrics discussion paper, no 2010/05). Amsterdam: Amsterdam School of Economics, Department of Quantitative Economics.
J.G. de Gooijer & A. Yuan (2010). Some exact tests for manifest properties of latent trait models. (extern rapport, Tinbergen Institute discussion paper, no TI 2010-044/4). Amsterdam: Tinbergen Institute.

2009

Y. Cheng, J.G. de Gooijer & D. Zerom (2009). Efficient estimation of an additive quantile regression model. (intern rapport, Tinbergen Institute Discussion Paper, no TI 2009-104/4). Amsterdam: Faculteit Economie en Bedrijfskunde.[go to publisher's site]

2008

J.G. de Gooijer & A. Yuan (2008). Exact tests for some latent traits. (intern rapport, UvA-Econometrics discussion papers, no 2008/01). onbekend: Afdeling Kwantitatieve Economie.
J.G. de Gooijer & S. Sivarajasingham (2008). Parametric and nonparametric Granger causality testing: linkages between international stock markets. In Proceedings of the 28th International Symposium on Forecasting (pp. 1-22). Nice, France.

2006

J.G. de Gooijer & A. Yuan (2006). Semiparametric regression with kernel error model. (intern rapport, Tinbergen Institute Discussion Paper, no 06-058/4). Amsterdam: Faculteit Economie en Bedrijfskunde.
J.G. de Gooijer (2006). Power of the Neyman smooth test for evaluating multivariate forecast densities. (intern rapport, UvA-Econometrics Working Paper, no 2006/05). Amsterdam: Faculteit Economie en Bedrijfskunde.

2005

J.G. de Gooijer, A. Garcia-Ferrer, P. Poncela & E. Ruiz (2005). Introduction to nonlinearities, business cycles, and forecasting. International Journal of Forecasting, 21, 623-625.
Y. Cheng & J.G. de Gooijer (2005). On the geometric conditional quantile. In Proceedings of the Joint Statistical meetings proceedings of the joint statistical meetings (pp. 1971-1974).

2002

J.G. de Gooijer (2002). Introduction to forecasting decisions in conflict situations. International Journal of Forecasting, 18, 319-320.
J.G. de Gooijer (2002). Editorial transition. International Journal of Forecasting, 18, 1-3.

2001

J.G. de Gooijer, A. Gannoun & D. Zerom Godefay (2001). Multi-stage conditional quantile prediction. In Proceedings of the Statistical Computing Section and the Section on Statistical Graphics of the American Statistical Association 2000 meeting (pp. 32-37).

1999

J.G. de Gooijer, A. Gannoun & I. Larramendy (1999). Nonparametric regression with serially correlated errors. Discussion paper - Tinbergen Institute, TI99-063/4.
J.G. de Gooijer & D. Zerom Godefay (1999). Kernel-based multistep-ahead predictions of the U.S. short-term interest rate. Discussion paper - Tinbergen Institute, TI99-015/4.

1998

P.T. de Bruin & J.G. de Gooijer (1998). A comparison of ARMA and SETAR forecasts. AE-report, 6/98.

1996

K. Brannas, J.G. de Gooijer & T. Terasvirta (1996). Testing linearity against nonlinear moving average models. Report AE, 96 (8).
P.H.F.M. van Casteren & J.G. de Gooijer (1996). Model selection by maximum entropy (TI discussion paper, 96-160/7). Amsterdam: Tinbergen Institute.
A.A.B. Klein & J.G. de Gooijer (1996). Cumulated prediction errors of multivariate time series (TI discussion paper, 96-34/7). Amsterdam: Tinbergen Institute.

1995

I. Akman & J.G. de Gooijer (1995). Component extraction analysis of multivariate time series. (intern rapport, TI discussion paper, no TI 95-125). Amsterdam: vakgroep kwantitatieve methoden.

1992

P.C.M. Molenaar, J.G. de Gooijer & B. Schmitz (1992). Dynamic factor analysis of nonstationary multivariate time series. Psychometrika, 57, 333-349.

1988

P.C.M. Molenaar & J.G. de Gooijer (1988). On the identification of the latent covariance structure in dynamic nonstationary factor models. In M.G.H. Jansen & W.H. van Schuur (Eds.), The many faces of multivariate analysis (pp. 196-209). Groningen: Society for multivariate analysis in the behavioral sciences.

2011

A. Yuan & J.G. de Gooijer (2011). Asymptotically informative prior for Bayesian analysis. (Preprints, Tinbergen Institute discussion paper, no TI2011-130/4). Amsterdam: Tinbergen Institute.
J.G. de Gooijer & A. Yuan (2011). Kernel-smoothed conditional quantiles of correlated bivariate discrete data. (Preprints, Tinbergen Institute Discussion Paper, no TI2011-011/4). Amsterdam/Rotterdam: Tinbergen Institute.

2009

J.G. de Gooijer, C.G.H. Diks & L.T. Gatarek (2009). Information flows around the globe: predicting opening gaps from overnight foreign stock price patterns. (intern rapport, Tinbergen Institute discussion paper, no TI 2009-107/4). Amsterdam [etc.]: Tinbergen Institute.[go to publisher's site]
J.G. de Gooijer, C.G.H. Diks & L.T. Gatarek (2009). Information flows around the globe: predicting opening gaps from overnight foreign stock price patterns. (intern rapport, CeNDEF working paper, no 09-13). Amsterdam: CeNDEF.[go to publisher's site]
J.G. de Gooijer, C.G.H. Diks & L.T. Gatarek (2009). Information flows around the globe: predicting opening gaps from overnight foreign stock price patterns. (intern rapport, UvA-Econometrics discussion paper, no 2009/02). Amsterdam: Faculteit Economie en Bedrijfskunde.[go to publisher's site]

2008

K. Brännäs, J.G. de Gooijer, C. Lönnbark & A. Soultanaeva (2008). Simultaneity and asymmetry of returns and volatilities in the emerging Baltic stock exchanges. (extern rapport, Umeå Economic Studies, no 725). Umeå: Umeå University.

2007

J.G. de Gooijer (2007). Partial sums of lagged cross-products of AR residuals and a test for white noise. (intern rapport, UvA - Econometrics Working Paper, no 2007/02). Amsterdam: Faculteit Economie en Bedrijfskunde.

2000

J.G. de Gooijer & A. Vidiella-i-Anguera (2000). Modelling seasonalities in nonlinear inflation rates using SEASETER. (Preprints, no 098/4). : Discussion paper - Tinbergen Institute.
K. Brännäs & J.G. de Gooijer (2000). Asymmetries in conditional mean and variance: Modelling stock returns by asMA-asQGARCH. (Preprints, no 049/4). : Tinbergen Institute Discussion Paper.

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