Interim Report for the Quality Assessment of Research



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Documentation per programme


Strategic and Cooperative Decision Making (2002-2004)
Programme Description
This programme focuses on situations involving at least two interacting decision makers with possibly diverging interests. In competitive or strategic situations decision makers can negotiate what to do, but enforceable binding agreements are not possible. Non cooperative game theory provides a framework to analyse such situations of strategic decision making. Applications include auction theory, strategic voting, trade and quota negotiations, signaling and reputation. In cooperative situations enforceable binding agreements between the decision makers are possible. In such situations the main issue is to obtain a reasonable distribution of the joint revenues from co-operation. Such allocation problems can be modelled by cooperative games. Applications include cost allocation problems, allocation of bankruptcy deficits, optimal assignment problems, water distribution problems and matching opportunities. Cooperative game theory also provides useful tools to solve problems in social choice theory and multi-criteria analysis.
1. Leadership
Programme coordinator:

Prof.dr.ir. G. van der Laan


2. Strategy and Policy
The programme aims on fundamental research in economic theory and its applications. The research agenda focuses on cooperative and non-cooperative game theory. Besides that also research in general equilibrium theory, social choice theory and relevant fundamental mathematical methods is part of the programme.
The ongoing research in cooperative game theory has been deepened by Dr. Van den Brink, who joined the programme in September 2001. An important objective is to design new solution concepts for cooperative games and to characterize these solutions, in particular for games with hierarchically structured players. In the last few years the research has been directed to share functions and Harsanyi dividends. The concepts of share functions yield a new tool to obtain attractive solutions for cooperative games in coalition structure. The concept of Harsanyi dividends has appeared to be of particular interest for network or hierarchical games (games in graph structure).
Within the field of non-cooperative game theory, a lot of attention has been paid to bargaining theory during the period 1996-2000, in particular Dr. Houba and Dr. Bolt (former PhD student) obtained many results in this area. Since both researchers got other positions (Bolt in 1998, Houba in 2001) this research has not been continued during the current period. Recently (March 2005) Houba rejoined the programme, which yields a renewed interest in this area. In cooperation with Prof. Wen (Vanderbilt University), already interesting new results have been obtained.
The third line of research concerns the development of relevant mathematical tools. In the international literature, recently there is a remarkable interest in the existence of zero points for higher dimensional functions on a discrete space or discontinuous functions on Euclidean space. Within this area some promising results have been obtained, one paper has been accepted by Mathematical Programming, and some others have been submitted to high quality journals in mathematics. These existence results are of interest for research on general equilibrium models with indivisible commodities, to which the programme also contributed.
Programme members published also in high quality journals in mathematics, which are not put on the journals list of the Faculty of Economics and Business Administration, such as SIAM Journal of Control and Optimization, Journal of Combinatorial Theory, Annals of Operations Research, and Discrete mathematics. In table 6, these publications are counted under ‘Other’.
3. Academic Reputation
Within the framework of Dutch-Russian cooperation, NWO has approved the research exchange programme “Axiomatic Approach to the Elaboration of Cooperative Game Solutions: Theory and Applications” for the period 1/7/2000-1/7/2004, submitted by Driessen (Universiteit Twente, main applicant), van der Laan Vrije Universiteit, Yanovskaya (St. Petersburg) and Vasil’ev (Novosibirsk).

In 2005 a new three-year exchange programme for Dutch-Russian cooperation, “Game-theoretic Methods for Cooperative Decision-making and their Applications in Economics and Social Sciences”, submitted Van der Laan (main applicant), Driessen, Talman (UvT). Yanovskaya, Vasil’ev and Koshevoy (Moskow), has been approved by NWO (Euro 145.000).


4. Research Staff


Name and present title




2001

2002

2003

2004

Full Professors

Prof.dr.ir. G. van der Laan

0.53

0.53

0.54

0.51

Associate professors

Dr. B. Hanzon

0.53

-

-

-

Assistant professors

Dr. J.R. van den Brink

0.13

0.36

0.36

0.34




Dr. H.E.D. Houba

0.22

-

-

-

Total tenured staff




1.41

0.89

0.90

0.85

Non tenured staff

Dr. A.F. Tieman

0.00

0.00

-

-

PhD students

Drs. V. Pruzhansky

0.23

0.70

0.70

0.47




Drs. J.J. Kamphorst

0.70

0.70

0.70

0.47




Drs. C.M. van Veelen

0.70

0.70

0.00

-

Total non tenured staff




1.63

2.10

1.40

0.94

Total research staff




3.04

2.99

2.30

1.79



5. Resources, funding and facilities
Funding at programme level


Funding

2001

2002

2003

2004

Direct funding fte’s

100%

100%

100%

100%

Research funds

0%

0%

0%

0%

Contracts

0%

0%

0%

0%

Other

0%

0%

0%

0%

total

100%

100%

100%

100%


6. Overview of the Results
Programme results: Outcome numbers








2001

2002

2003

2004

Total

1. Academic Publications



















In Journals


A

B

Other

-

5

1



2

3

3



-

3

2



-

-

3



2

11

9

Book Chapters

B

Other

2


-

2


-

2


-

1


-

7

Total




8

10

7

4

29

2. Books / Monographs

A

B

Other

-

-

-



1

-

-



-

-

1



1

-

-



2

-

1

3. Ph.D. Thesis




-

-

-

1

1

4. Professional Publications and Products




11

7

5

10

33



Key Publications
1. Brink, J.R. van den & Laan, G. van der (2001). A class of consistent share functions for cooperative games in coalition structure, TI Discussion Paper 044/1, Games and Economic Behavior 51, (2005), 193-212.

2. Brink, J.R. van den (2001). An axiomatization of the Shapley value using a fairness property, International Journal of Game Theory, 30, 309-319.

3. Laan, G. van der, Talman, A.J.J. & Yang, Z. (2002). Existence and welfare properties of equilibrium in an exchange economy with multiple divisible, indivisible commodities and linear production technologies. Journal of Economic Theory, 103, 411-428.

4. Brink, J.R. van den (2002). The apex power measure for direted networks, Social Choice and Welfare, 19, 845-867.

5. Houba, H.E.D. & Bolt, W. (2002). Credible Threats in Negotiations, a Game Theoretic Approach. Dordrecht: Kluwer Academic Publishers, 319 pp.
2001
Academic Publications
In Journals
Brink, J.R. van den & Laan, G. van der (2001). Core concepts for share vectors. Social Choice and Welfare, 18, 759-784.

Fase, M.M.G. & Tieman, A.F. (2001). Wage moderation, innovation and labour productivity: myths and facts revisited. De Economist, 149, 115-127.

Hanzon, B. & Ober, R.J. (2001). A state-space calculus for rational probability density functions and applications to non-Gaussian filtering. SIAM Journal of Control and Optimization, 40, 724-740.

Houba, H.E.D. & Lomwell, G. van (2001). Counter intuitive results in a simple model of wage negotiations. Economic Theory, 17, 81-99.

Laan, G. van der, Talman, A.J.J. & Yang, Z. (2001). Existence of balanced simplices on polytopes. Journal of Combinatorial Theory, 96(Serie A), 288-232.

Tieman, A.F., Laan, G. van der & Houba, H.E.D. (2001). Bertrand price competition in a social environment. De Economist, 149, 33-51.


Book Chapters
Brink, J.R. van den & Laan, G. van der (2001). A class of consistent share functions for cooperative games in coalition structure. In Yanovskaya, E.B. (Ed.), Proceedings of International Conference Logic, Game Theory and Social Choice (pp. 43-47). St. Petersburg/Russia: Publishing Council of the St. Petersburg State University.

Vasil'ev, V. & Laan, G. van der (2001). The Harsanyi set for cooperative TU-games. In Yanovskaya, E.B. (Ed.), Proceedings of International Conference Logic, Game Theory and Social Choice (pp. 228-231). St. Petersburg/Russia: Publishing Council of the St. Petersburg State University.


Professional Publications

Algaba, E., Bilbao, J.M., Brink, J.R. van den & Jimenez-Losada, A. (2001). Axiomatizations of the shapley value for cooperative games on antimatroids. CenTER Discussion Paper (Ext. r. no. 2001-99). Tilburg: Tilburg University, 16 pp.

Brink, J.R. van den & Laan, G. van der (2001). A class of consistent share functions for cooperative games in coalition structure. TI Discussion Paper (Int. r. no. 2001-044/1). Econometrie (ECTRIE), 23 pp.

Frijters, P. & Tieman, A.F. (2001). The pre-commitment advantage of having a slow legislative systeem. TI Discussion Paper (Int. r. no. 2001-008/3). Econometrie (ECTRIE), 7 pp.

Herings, P.J.J., Laan, G. van der & Talman, A.J.J. (2001). Measuring the power of nodes in digraphs. TI Discussion Paper (Int. r. no. 2001-096/1). Econometrie (ECTRIE), 19 pp.

Herings, P.J.J., Laan, G. van der & Talman, A.J.J. (2001). Quantity Constrained Equilibria. TI Discussion Paper (Int. r. no. 2001-116/1). Econometrie (ECTRIE), 27 pp.

Houba, H.E.D. (2001). Bargaining Theory with Applications. [Bespreking van: Muthoo, A., Bargaining Theory with Applications Uitg.: Cambridge University Press, Cambridge (1999)]. In: Journal of Economic Literature, 39, 128-130.

Houba, H.E.D. (2001). Game Theory Evolving: a Problem-centered Introduction to Modeling Stratgeic Behavior. [Bespreking van: Gintis, H., Game Theory Evolving: a Problem-centered Introduction to Modeling Strategic Behavior Uitg.: Princeton University Press, Princeton (2000)]. In: Economic Journal, online.

Houba, H.E.D. & Tieman, A.F. (2001). Idiosyncartic and aggregate time-varying mutation rates in coordination games. TI (Int. r. no. 2001-041/1). Econometrie (ECTRIE), 20 pp.

Laan, G. van der, Ruys, P. & Talman, A.J.J. (2001). Optimal provision of infrastructure using public-private partnership contracts. TI Discussion Paper (Int. r. no. 2001-011/1). Econometrie (ECTRIE), 29 pp.

Vasil'ev, V. & Laan, G. van der (2001). The Harsanyi set for cooperative TU-games. TI Discussion Paper (Int. r. no. 2001-004/1). Econometrie (ECTRIE), 27 pp.

Veelen, C.M. van (2001). Evolution in games with a continous action space. TI Discussion Paper (Int. r. no. 2001/068/1). Econometrie (ECTRIE), 28 pp.


2002
Academic publications
In Journals
Borm, P., Brink, J.R. van den & Slikker, M. (2002). An iterative procedure for evaluating digraph competitions. Annals of Operations Research, 109, 61-75.

Brink, J.R. van den (2001). An Axiomatization of the Shapley value using a fairness property. International Journal of Game Theory, 30, 309-319.

Brink, J.R. van den (2002). The apex power measure for directed networks. Social Choice and Welfare, 19, 845-867.

Laan, G. van der & Brink, J.R. van den (2002). A Banzhaf share function for cooperative games in coalition structure. Theory and Decision, 53, 61-86.

Laan, G. van der, Talman, A.J.J. & Yang, Z. (2002). Existence and welfare properties of equilibrium in an exchange economy with multiple divisible, indivisible commodities and linear production technologies. Journal of Economic Theory, 103, 411-428.

Laan, G. van der & Houba, H.E.D. (2002). One-Seller/Two-Buyer markets with buyer externalities and (im) perfect competition. International Game Theory Review, 4, 141-164.

Vasilev, V.A. & Laan, G. van der (2002). The Harsanyi set for cooperative TU-games. Siberian Advances in Mathematics, 12, 97-125.

Veelen, C.M. van (2002). An impossibility theorem concerning multilateral international comparison of volumes. Econometrica, 369-375.


Book Chapters
Laan, G. van der & Talman, A.J.J. (2002). Dynamic adjustment of supply-constrained disequilibria to Walrasian equilibrium. In Hommes, C.H., Ramer, R. & Withagen, C.A. (Ed.), Equilibrium, Markets and Dynamics. Berlin: Springer, 103-116.

Ruys, P., Laan, G. van der & Talman, A.J.J. (2002). Efficiente en effectieve financiering van infrastructurele projecten door middel van een licentiesysteem. In Peeters, L., Mattyssens, P. & Verbeek, L. (Ed.), Stakeholder Synergie, Referatenboek Vlaams Wetenschappelijk Economisch Congres 2002. Antwerpen: Garant Uitgevers.


Books / Monographs
Houba, H.E.D. & Bolt, W. (2002). Credible Threats in Negotiations, a Game Theoretic Approach. Dordrecht: Kluwer Academic Publishers, 319 pp.
Professional publications
Algaba, E., Bilbao, J.M. & Brink, J.R. van den (2002). An axiomatization of the Banzhaf value for cooperative games on antimatroids. Tinbergen Discussion Paper (Int. r. no. TI-02-110). Econometrie (ECTRIE), 19 pp.

Brink, J.R. van den (2002). Scoreregels voor sporttoernooien: een zoektocht. AEnorm, 9(34), 27-30.

Derks, J., Laan, G. van der & Vasilev, V.A. (2002). On Harsanyi payoff vectors and the Weber set. Tinbergen Discussion Paper (Int. r. no. TI-02-105). Econometrie (ECTRIE), 20 pp.

Laan, G. van der (2002). Politieke macht en verdeling van kosten. AEnorm, 9(36), 38-43.

Laan, G. van der (2002). Strategic Foundations of General Equilibrium. [Bespreking van: , , Strategic Foundations of General Equilibrium, Dynamic Matching and Bargaining Games Uitg.: ]. In: De Economist, 150.

Laan, G. van der, Talman, A.J.J. & Yang, Z. (2002). Perfection and stability of stationary points with applications to noncooperative games. Tinbergen Discussion Paper (Int. r. no. TI-02-126). Econometrie (ECTRIE), 23 pp.

Veelen, C.M. van (2002). Altruism, fairness and evolution: the case for repeated stochastic games. Tinbergen Discussion Paper (Int. r. no. TI-02-111). Econometrie (ECTRIE), 35 pp.
2003
Academic Publications
In Journals
Brink, J.R. van den, Algaba, E., Bilbao, J.M. & Jimenez-Losada, A. (2003). Axiomatizations of the Shapley Value for Cooperative Games on Antimatroids. Mathematical Methods of Operations Research, 75, 49-65.

Brink, J.R. van den & Borm, P. (2002). Digraph Competitions and Cooperative Games. Theory and Decision, 53, 327-342.

Brink, J.R. van den & Gilles, R.P. (2003). Ranking by Outdegree for Directed Graphs. Discrete Mathematics, 271, 261-270.

Laan, G. van der & Withagen, C.A.A.M. (2003). General equilibrium in economies with infinite dimensional commodity spaces. Journal of Economic Dynamics and Control, 27, 423-444.

Pruzhansky, V. (2003). On Finding Curb Sets in Extensive Games. International Journal of Game Theory, 32, 205-210.
Book Chapters
Brink, J.R. van den (2003). Positiegerelateerde lonen, cultuur en bedrijfsstructuur. In Brink, J.R. van den & Gilles, R.P. (Ed.), Wiskundig Economische Perspectieven, opstellen aangeboden aan prof.dr. Pieter H.M. Ruys. (pp. 107-121). Tilburg: VAET.

Laan, G. van der & Talman, A.J.J. (2003). Publiek-private samenwerking. In Brink, R. van den & Gilles, R.P. (Ed.), Wiskundig Economische Perspectieven, opstellen aangeboden aan prof.dr. Pieter H.M. Ruys. (pp. 195-206). Tilburg: VAET.


Books / Monographs
Brink, J.R. van den & Gilles, R.P. (2003). Wiskundig Economische Perspectieven, opstellen aangeboden aan prof.dr. Pieter H.M. Ruys. Tilburg: VAET.
Professional Publications
Brink, J.R. van den (2003). Axiomatizations of Permission Values for Games with a Hierarchical Permission Structure using Split Neutrality. Discussion Papers (Int. r. no. TI03-100/1). Tinbergen Instituut (TI), 41 pp.

Brink, J.R. van den & Gilles, R.P. (2003). Explicit and Latent Authority in Hierachical Organisations. Discussion Papers (Int. r. no. TI03-102/1). Tinbergen Instituut (TI), 39 pp.

Brink, J.R. van den, Laan, G. van der & Vasil'ev, V. (2003). Harsanyi solutions in line-graph games. Discussion Papers (Int. r. no. TI03-76/1). Tinbergen Instituut (TI), 33 pp.

Pruzhansky, V. (2003). Maximin Play in Two-Person Bimatrix Games. Discussion Paper (Int. r. no. TI-03-101/). Tinbergen Instituut (TI), 17 pp.

Pruzhansky, V. (2003). On Finding Curb Sets in Extensive Games. Discussion Papers (Int. r. no. TI-03-98/1). Tinbergen Instituut (TI), 8 pp.
2004:
Dissertation
Veelen, C.M. van (20-04-2004). Survival of the fair. Modelling the Evolution of Altruism, Fairness and Morality. Vrije Universiteit Amsterdam. ((Co-)promot.: prof.dr.ir. G. van der Laan).

Academic Publications
In Journals
Algaba, E., Bilbao, J.M., Brink, J.R. van den & Jimenez-Losada, A. (2004). An Axiomatization of the Banzhaf Value for Cooperative Games on Antimatroids. Mathematical Methods of Operations Research, 59, 147-166.

Algaba, E., Bilbao, J.M., Brink, J.R. van den & Jimenez-Losada, A. (2004). Cooperative Games on Antimatroids. Discrete Mathematics, 282, 1-15.

Borm, P., Brink, J.R. van den, Levinsky, R. & Slikker, M. (2004). On two New Social Choice Correspondences. Mathematical Social Sciences, 47, 51-68.
Book Chapters
Laan, G. van der (2004). Game theory. In C. van Montfort, & J.R. van den Brink, (Ed.), Quantitative Business Analysis. (pp. 55-84). Edinburgh: Pearson Education Limited.
Books / Monographs
Montfort, C.A.G.M. van & Brink, J.R. van den (2004). Quantitative Business Analysis. Edinburgh: Pearson Education Limited, 240 pp.
Professional Publications
Brink, J.R. van den & Funaki, Y. (2004). Axiomatizations of a class of Equal Surplus Sharing Solutions for Cooperative Games with Transferable Utility. Ti-discussion paper (Int. r. no. 2004-136/1). Tinbergen Instituut (TI), 28 pp.

Brink, J.R. van den, Laan, G. van der & Pruzhansky, V. (2004). Harsanyi Power Solutions for Graph-Restricted Games. TI discussion paper (Int. r. no. 2004-095/1). Tinbergen Instituut (TI), 33 pp.

Brink, J.R. van den (2004). Null or Zero Players: The Difference between the Shapley Value and the Egalitarian Solution. TI discussion paper (Int. r. no. 2004-127/1). Tinbergen Instituut (TI), 14 pp.

Brink, R. van den, Laan, G. van der & Vasil'ev, V. (2004). On the Extreme Points of Two Polytopes associated with a Digraph and Applications to Cooperative Games. TI discussion paper (Int. r. no. 2004-069/1). Tinbergen Instituut (TI), 20 pp.

Herings, P.J.J., Laan, G. van der & Talman, A.J.J. (2004). The socially stable core in structured transferable utility games. TI discussion paper (Int. r. no. 2004-043/1). Tinbergen Instituut (TI), 20 pp.

Kamphorst, J.J.A. & Laan, G. van der (2004). Network formation under heterogeneous costs: the multiple group model. TI discussion paper (Int. r. no. 2004-006/1). Tinbergen Instituut (TI), 54 pp.

Laan, G. van der & Pruzhansky, V. (2004). Demand adjustment in coalitional games. TI discussion paper (Int. r. no. 2004-121/1). Tinbergen Instituut (TI), 12 pp.

Laan, G. van der, Talman, A.J.J. & Yang, Z. (2004). Solving discrete zero point problems. TI discussion paper (Int. r. no. 2004-112/1). Tinbergen Instituut (TI), 12 pp.

Pruzhansky, V. (2004). A Discussion of Maximin. TI discussion paper (Int. r. no. 2004-028/1). Tinbergen Instituut (TI), 22 pp.

Pruzhansky, V. (2004). Honesty in a Signaling Model of Tax Evasion. TI discussion paper (Int. r. no. 2004-022/1). Tinbergen Instituut (TI), 24 pp.


Awards and Nominations 2001-2004
See Academic Reputation
7. Analysis, perspectives and expectations for the research programme
The programme realised publications in highly-qualified journals in economics, (applied) mathematics and game theory. Although not a key publication within the scope of the programme, the publication of former Ph.D student Van Veelen in Econometrica (2002) provides a good indication of the high level of quality within the programme.

Within the period of evaluation, three PH-D dissertations have been realised. The Ph.D research of Van Veelen (2004) is about the consequences of boundedly rational behavior by individual agents on altruistic behavior. The aim of this thesis is to find evolutionary explanations for the presence of behavior that deviates from the selfish alternative.

The Ph.D research of Pruzhansky (defended in March 2005) is devoted to different aspects of strategic decision making. Ranging from recommending an optimal mode of behavior in conflict situations to the analysis of social conventions. Part of the research has been published in International Journal of Game Theory (2003).

The Ph.D research of Kamphorst (to be defended in November 2005) is on network formation and evolutionary learning. On both topics promising results has been obtained, part of the research has been accepted for publication in Games and Economic Behavior.


In the near future the programme will focus the three lines of research mentioned above under Strategy and Policy. At the moment the group consists of only three researchers with a total amount of only 1.48 research time (van der Laan, van den Brink and Houba, who is back since 2005). To keep the group viable, a lot of cooperation takes places with researchers of other institutions. Moreover, to intensify the ongoing joint research, for the near future several long-term visits by foreign research to our department are planned. These visits concern Prof. Gilles (VPI, Blacksburgh, USA, January-June 2006), Prof. Yamamoto (Tsukuba University, Tsukuba, Japan, February-March 2006), Prof. Wen (Vanderbilt University, Nashville, USA, March-April 2006), and Prof. Funaki (Waseda University, Tokyo, Japan, September 2006-April 2007). Moreover, several Russian participants in the joint exchange programme will visit the Department, in particular this involves Prof. Vasil’ev (Novisibirsk).
In the past high quality research has been done by Ph.D students. To enlarge the possibilities that new Ph.D students join the programme in the near future, it is intended to submit NWO-proposals.

Time Series Econometrics (2002-)
Programme Description
The programme mainly concerns the development of classical and Bayesian methods for the analysis of time series, with the objective to apply them to empirical problems in economics and finance. The programme also focusses on the implementation of econometric methods in programming environments. The research involves further the development of new econometric methods that can based on the manipulation of standard techniques or on new developments such as simulation techniques. The new developments are integrated in the work on empirical applications such as volatility modelling, detecting relationships between economic variables and crime, measuring business cycles, seasonal adjustment and modelling of electricity spot prices. The main objective is to publish state- of-the-art theoretical results and their applications in high-quality international journals in the fields of econometrics, statistics and time series analysis.
1. Leadership
Programme coordinator: Prof.dr. S.J. Koopman
2. Strategy and Policy
The development of time series methods for estimation, signal extraction and forecasting is an active field of research. Theoretical advances in statistics, econometrics and numerical mathematics make it possible to analyse more intricate time series models that are motivated by economic and finance theory. Theoretical developments in economics and finance need to be empirically validated. The analysis of a specific phenomenon can often only be carried out in an effective way by formulating a multivariate nonlinear non-Gaussian time series model with unobserved components (parameter-driven models).
Examples are business cycle analysis that needs to take account of nonlinear features in the economy, estimation of parameters in models for the term-structure of interest rates, estimation of financial risk factors that are latent and time-varying, and the measurement of volatility in financial markets to support the pricing of options. In all these cases it is evident that standard linear Gaussian time series models are not appropriate. Furthermore, the theoretical motivation of these topics of interest in econometrics is well established and it is not surprising that they generate an active research field.
Although we are currently active in this research field, we plan to continue to do so by developing more advanced methods for estimation, signal extraction and forecasting. Various ideas are in a developing stage and look promising. A team with postdoc Dr. Charles Bos and the PhD students Kai Ming Lee, Borus Jungbacker and Soon Yip Wong, under the supervision of Professor Siem Jan Koopman, are working on different topics in this research field. Collaboration with the Finance department (in particular, Professor Andre Lucas, Dr. Albert J. Menkveld and Dr. Roman Kräussl together with the PhD students Andre Monteiro and Michel van der Wel) has been, and will be, very useful.
We are further actively engaged in developing time series methods related to the modelling of seasonal and periodic dynamics in economic time series. Practitioners usually take seasonal factors as nuisance that need to be removed from the data. However, it can be argued that methodologically it is better to work with data that is not adjusted for seasonal effects and to incorporate seasonal and periodic features in the model. It is planned to develop this modelling approach further in the context of analysing, modelling and forecasting hourly electricity load and prices, crime rates, unemployment series and other economic time series, daily tax revenues, etc. A team with Dr. Marius Ooms, PhD students Suncica Vujic and Irma Hindrayanto, and Professor Siem Jan Koopman are actively engaged in this research project.
A relatively new research field is dynamic panel data. Both theoretical and empirical contributions have been made in the literature on this topic. Most of this work concentrates on so-called observation-driven models. It is planned to investigate theoretical and empirical aspects of parameter-driven dynamic panel data models. In particular, the case of having a high-dimensional panel that is observed for a relatively small number of time points will lead to a number of interesting research questions. A team with Dr. Marius Ooms, Dr. Kees van Montfort, postdoc Phillip Gould, external PhD student Frits Bijleveld and Professor Siem Jan Koopman are currently working on a number of such questions.
Finally, an on-going activity within this programme concentrates on Bayesian inference. Various new results have been obtained and will be reported in the PhD thesis of Marc Francke (external PhD student) that is written under the supervision of Dr. Aart de Vos and Professor Siem Jan Koopman.
3. Academic Reputation
Professor Siem Jan Koopman is co-Editor of Econometrics Journal since 2002, a member of the Editorial Board of the Journal of Applied Econometrics since 1999 and co-Editor of Journal of Forecasting since 2005. Dr. Marius Ooms is Editor of the online Econometric Links of the Econometrics Journal. In 2004 we have received a PhD scholarship for Borus Jungbacker of the NWO and in 2005 Dr. Charles Bos has been awarded a VENI grant from NWO. The four internal PhD students are participating within the Tinbergen Institute.
In 2002, Professor Siem Jan Koopman has visited the US Bureau of the Census in Washington DC as an ASA/NSF/US Census/BLS Research Fellow. Furthermore, he is an associate member of Nuffield College, Oxford since 2000, a member of the Research Council of the Tinbergen Institute since 2001 and a member of the Board of the Netherlands Society for Statistics (VVS) since 2001. Finally he was a member of the Scientific Committee “Seasonal Adjustment” of Eurostat in Luxembourg during 2003-4.
The international connections of our group are reflected by the close cooperation with colleagues from Cambridge and Oxford universities and London School of Economics, from governmental bodies in the U.S. and Europe and from the European Central Bank and various central banks in Europe.
4. Research Staff


Name and present title




2001

2002

2003

2004

Full Professors

Prof.dr. S.J. Koopman

0.53

0.53

0.54

0.51

Associate professors

Dr.ir. C.A.G.M. van Montfort

0.27

0.27

0.36

0.34




Dr. A.F. de Vos

0.22

0.22

0.36

0.34

Assistant professors

Dr. C.P.J. Burger

0.08

-

-

-




Dr. M. Ooms

0.18

0.18

0.46

0.43

Other tenured staff

Dr. M.P. Pradhan

0.09

-

-

-

Total tenured staff




1.37

1.20

1.72

1.62

Non tenured staff

Dr. C.S. Bos

0.33

1.00

1.00

1.00




Dr. R.E. Luginbuhl

-

-

0.36

0.34

PhD students

Drs. I. Hindrayanto

-

-

0.23

0.70




Drs. P.J.M. Hoonhout

0.70

-

-

-




Drs. B.M.J.P. Jungbacker

-

-

-

0.12




Drs. K.M. Lee

0.23

0.70

0.70

0.70




Drs. R.E. Luginbuhl

0.18

0.18

-

-




Drs. S. Vujic

0.70

0.70

0.70

0.70




Drs. S.Y. Wong

-

-

-

0.23

Total non tenured staff




2.14

2.58

2.76

3.79

Total research staff




3.51

3.78

4.48

4.41


5. Resources, funding and facilities
Funding at programme level


Funding

2001

2002

2003

2004

Direct funding fte’s

100%

100%

100%

96%

Research funds

0%

0%

0%

4%

Contracts

0%

0%

0%

0%

Other

0%

0%

0%

0%

total

100%

100%

100%

100%


6. Overview of the Results
Programme results: Outcome numbers








2001

2002

2003

2004

Total

1. Academic Publications



















In Journals


A

B

Other

-

1

5



1

4

5



-

5

2



2

3

6



3

13

18



Book Chapters

B

Other

-

1


-

4


1

2


1

3


2

10


Total




7

13

10

15

46

2. Books / Monographs

A

B

Other

1

-

-



-

-

-



-

-

-



-

2

1



1

2

1



3. Ph.D. Thesis




2

-

1

-

3

4. Professional Publications and Products




9

9

14

3

35


Key Publications
1. Koopman, S.J. & Durbin, J. (2001). Time Series Analysis by State Space Methods New Edition. Oxford Statiscal Science Series, 019-961199. Oxford: Oxford University Press, 253 pp.

2. Bos, C.S. Bauwens, L.J., 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, 201-225.

3. Koopman, S.J. & Bos, C.S. (2004). State space models with a common stochastic variance, Journal of Business and Economic Statistics 22, 346-357.

4. Koopman, S.J. and Harvey, A.C. (2003). Computing observation weights for signal extraction and filtering, Journal of Economic Dynamic Control 27, 1317-1333.

5. Durbin J. & Koopman, S.J. (2002). A simple and efficient simulation smoother for state space time series analysis. Biometrika 89, 603-616.
2001
Dissertations
Bos, C.S. (13-09-2001). Time Varying Parameter Models for Inflation and Exchange Rates. Erasmus Universiteit, 165 pp. (Rotterdam: Tinbergen Instituut). ((Co-)promot.: prof.dr. H. K. van Dijk & dr P. H. Franses).

Luginbuhl, R.E. (02-03-2001). Modeling the business cycle in unobserved component time series models using markov switching in growth. Vrije Universiteit, 239 pp. (Amsterdam: Vrije Universiteit). ((Co-)promot.: prof. dr S. J. Koopman & dr A. F. de Vos).


Academic Publications
In Journals
Dorsman, A.B., Montfort, C.A.G.M. van & Vink, I. (2001). An augmented Lintner dividend model tested with data from the Netherlands. International Journal of Management, 18(2), 221-231.

Koopman, S.J. & Butter, F.A.G. den (2001). Interaction between permanent and temporary shocks in production and employment. Weltwirtschaftliches Archiv, 137, 273-296.

Montfort, C.A.G.M. van & Ridder, G. (2001). On the identification of the censored regression model with a stochastic and unobserved threshold. Kwantitatieve Methoden, 22(66), 43-50.

Montfort, C.A.G.M. van & Stuivenberg, A. (2001). Prestatiemeting van beleggingsfondsen. VBA Journaal, 17(april), 9-14.

Ooms, M. & Franses, P.H. (2001). A Seasonal Periodic Long Memory Model for Monthly River flows. Environmental Modelling & Software, 16, 559-569.

Ronner, A.E. & Blok, M.J. (2001). Hedging Foreign Currency Exposure: Consequences of FAS133. Journal of Applied Finance, 7-12.


Book Chapters
Koopman, S.J. (2001). State Space Methods. In El-Shaarawi, A.H. & Piegorsch, W.W. (Ed.), The Encyclopedia of Environmetrics. Chicester: Wiley and Sons.
Books / Monographs
Koopman, S.J. & Durbin, J. (2001). Time Series Analysis by State Space Methods New Edition. Oxford Statiscal Science Series, 019-961199. Oxford: Oxford University Press, 253 pp.
Professional Publications
Bos, C.S., Franses, P.H. & Ooms, M. (2001). Inflation, Forecast Intervals and Long Memory Regression Models. TI (Int. r. no. 2001-029/4). Econometrie (ECTRIE), 21 pp.

Doornik, J.A. & Ooms, M. (2001). Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models. Ecomomics Working Paper (Ext. r. no. 2001-W27). Oxford: Nuffield College Oxford University, 14 pp.

Durbin, J. & Koopman, S.J. (2001). A Simple and Efficient Simulation Smoother for State Space Time Series Analysis. LSE (Ext. r. no. 61). London: London School of Economics, -- pp.

Koopman, S.J. & Ooms, M. (2001). Time Series Modelling of Daily Tax Revenues. TI (Int. r. no. 2001-032/4). Econometrie (ECTRIE), 27 pp.

Koopman, S.J. & Franses, P.H. (2001). Constructing seasonally adjusted data with time-varying confidence intervals. Econometric Institute Reports (Ext. r. no. EI 2001-02). Rotterdam: Econometrisch Instituut, -- pp.

Koopman, S.J. & Durbin, J. (2001). Filtering and Smoothing of State Vector for Diffuse State Space Models. LSE (Ext. r. no. 62). London: London School of Economics, -- pp.

Montfort, C.A.G.M. van (01-02-2001). Econometrie gericht op toepassingen. Ecotribune, pp. 8-13.

Montfort, C.A.G.M. van (2001). Liever geen economen aan de WAO-poort. Economisch Statistische Berichten, 86(4317), 3-3.

Slotema, R.W., Leer, P.M. de & Keller, W.J. (2001). E-Commerce. De architectuur achter de webwinkel. Den Haag: Ten Hagen & Stam, 226 pp.
2002
Academic Publications
In Journals
Koopman, S.J. & Durbin, J. (2002). A simple and efficient simulation smoother for state space time series analysis. Biometrika, 89(3), 603-616.

Koopman, S.J. & Franses, P.H. (2002). Constructing seasonally adjusted data with time-varying confidence intervals. Oxford Bulletin of Economics and Statistics, 64, 509-526.

Koopman, S.J. (2002). Discussion of MCMC-based inference. Statistica Neerlandica, 55, 34-40.

Koopman, S.J. & Hol Uspensky, E. (2002). The Stochastic Volatility in Mean Model: Empirical evidence from international stock markets. Journal of Applied Econometrics, 17, 667-689.

Montfort, C.A.G.M. van & Fijn Van Draat, L.M. (2002). Index tracking door middel van geoptimaliseerde indexportefeuilles. Bedrijfskunde, 74(2), 85-91.

Montfort, C.A.G.M. van, Pijpers, G.M. & Bemelmans, T.M.A. (2002). Senior executives' use of information technology. Information and Software Technology, 44(1), 39-51.

Montfort, C.A.G.M. van & Kleinknecht, A.H. (2002). The non-trivial choice between innovation indicators. Economics of innovation and new technology, 11(2), 109-121.

Ooms, M., Bos, C.S. & Franses, P.H. (2002). Inflation, Forecast Intervals and Long Memory Regression Models. International Journal of Forecasting, 18(2), 243-264.

Pijpers, G.M. & Montfort, C.A.G.M. van (2002). Acceptatie van ICT: theorie en veldonderzoek onder topmanagers. Bedrijfskunde, 74(3), 94-102.

Rijken, H.A. & Montfort, C.A.G.M. van (2002). Determinanten van Overnamepremies: de waarde van zeggenschap en beschermingsconstructies ten tijde van overnames. Bedrijfskunde, 74, 85-92.


Book Chapters
Bos, C.S. (2002). A comparison of marginal likelihood computation methods. In Computational Statistics 2002 – Proceedings in Computational Statistics (pp. 111-117). Berlin, Germany.

Montfort, C.A.G.M. van, Masurel, E. & Nijkamp, P. (2002). Entrepreneurship and innovation in the SME sector. In Acs, Z.J. & Nijkamp, P. (Ed.), The Emergence of the Knowledge Economy: A Regional Perspective. New York (USA): Springer Verlag.

Montfort, C.A.G.M. van, Ridder, G. & Kleinknecht, A.H. (2002). The Innovation decision and fixed costs. In Acs, Z. & Nijkamp, P. (Ed.), The Emergence of the Knowledge Economy. New York (USA): Springer Verlag.

Zivot, E., Wang, J. & Koopman, S.J. (2002). State Space Modeling. In Zivot, E. & Wang, J. (Ed.), Modeling Financial Time Series with S-PLUS. Seattle (USA): Springer.


Professional Publications
Bos, C.S. (2002). A Comparison of Marginal Likelihood Computation Methods. Tinbergen Discussion Paper (Int. r. no. TI02-084/4). Econometrie (ECTRIE), 8 pp.

Koopman, S.J., Lucas, A. & Klaassen, P. (2002). Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation. Tinbergen Discussion Paper (Int. r. no. TI02-107/2). Econometrie (ECTRIE), 24 pp.

Koopman, S.J. & Hol Uspensky, E. (2002). Stock Index Volatility Forecasting with High Frequency Data. Tinbergen Discussion Paper (Int. r. no. TI02-068/4). Econometrie (ECTRIE), 23 pp.

Koopman, S.J. & Shephard, N. (2002). Testing the assumptions behind the use of importance sampling. Nuffield College/Oxford (Int. r. no. ). Econometrie (ECTRIE), -- pp.

Koopman, S.J. & Bos, C.S. (2002). Time series models with a common stochastic variance for analysing economic time series. Tinbergen Discussion Paper (Int. r. no. TI02-113/4). Econometrie (ECTRIE), 34 pp.

Montfort, C.A.G.M. van & Masurel, E. (2002). Innovatie en ondernemersschap in de MKB-sector. AEnorm, 36, 13-16.

Ooms, M. & Doornik, J.A. (28-08-2002). Outlier detection in GRACH models. Venice, Italy, European Meeting Econometric Society.

Pijpers, G.M., Bemelmans, T.M.A. & Montfort, C.A.G.M. van (2002). Het gebruik van IT door het topmanagement. Management en Informatie, 10, 14-24.


Other
Koopman, S.J. (2002). Seasonal Adjustment. Tinbergen Institute Magazine, Spring.
2003
Dissertations
Wille, F.J. (07-10-2003). Auditing using Bayesian Decision Analysis. Vrije Universiteit. ((Co-)promot.: prof. J. H. Blokdijk, prof. dr G. T. Timmer & dr A. F. de Vos).


Academic Publications
In Journals
Koopman, S.J. & Durbin, J. (2003). Filtering and smoothing of stae vector for diffuse state space models. Journal of Time Series Analysis, 24, 85-98.

Koopman, S.J. & Harvey, A.C. (2003). Computing Observation Weights for Signal Extraction and Filtering. Journal of Economic Dynamics Control, 27(7), 1317-1333.

Koopman, S.J. & Ooms, M. (2003). Time Series Models of Daily Tax Revenues. Statistica Neerlandica, 57(4), 439-469.

Luginbuhl, R.E. & Vos, A.F. de (2003). A Bayesian analysis of US GDP. Empirical Economics, 28, 365-386.

Montfort, C.A.G.M. van, Butter, F.A.G. den & Weitenberg, G. (2003). Unemployment dynamics, and propagation of aggregate and reallocation shocks in the Netherlands. De Economist, 151(3), 253-270.

Ooms, M. & Doornik, J.A. (2003). Computational aspects of maximum likelihood of autoregressive fractionally integrated moving average models. Computational Statistics and Data Analysis, 42(3), 333-348.

Ooms, M., Gras, H. & Franses, P.H. (2003). Did Men Taste and Civilization Save the stage? Theatre-going in Rotterdam, 1860-1916, A Statistical Analysis of Ticket Sales. Journal of Social History, 36(3), 615-655.
Book Chapters
Bos, C.S., Bauwens, L.J., Dijk, H.K. van & Oest, R.D. van (2003). Explaining Adaptive Radial-based Direction Sampling. In -- (Ed.), JSM 2003 Proceedings. Alexandria(US): American Statistical Association.

Montfort, C.A.G.M. van & Florax, R.J.G.M. (2003). Estimation strategies for meta-regression models with heterogeneity and publication bias. In Ader, H.J. & Mellenbergh, G.J. (Ed.), Proceedings of the Second Workshop for Research Methodology. (pp. 43-47). Amsterdam: Academic Press.

Mooijaart, A. & Montfort, C.A.G.M. van (2003). Statistical power in PATH models for small sample sizes. In Montfort, K. van, Oud, J. & Satorra, A. (Ed.), Recent developments on structural equations models. (pp. 1-12). Dordrecht: Kluwer Academic Publishers.
Professional Publications
Aston, J. & Koopman, S.J. (2003). The Non-Gaussian Airline Model for Robust Seasonal. Census (Ext. r. no. 24-07-2003). Washington D.C.: The US Bureau of Census, -- pp.

Azevedo, J.M., Koopman, S.J. & Rua, A. (2003). Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area. Discussion Papers (Int. r. no. 03-069/4). Tinbergen Instituut (TI), 24 pp.

Bos, C.S., Bauwens, L.J., Dijk, H.K. van & Oest, R.D. van (2003). Adaptive radial-based direction sampling: Some flexible and robust Monte Carlo integration methods. Erasmus Universiteit Rotterdam (Int. r. no. EI2003-32). Econometrie (ECTRIE), 22 pp.

Bos, C.S. (2003). Time Series Modelling using TSMod 3.24. Tinbergen Discussion Papers (Int. r. no. 03-091/4). Tinbergen Instituut (TI), 10 pp.

Carnero, A.M, Koopman, S.J. & Ooms, M. (2003). Periodic Heteroskedastic RegARFIMA for daily electricity spot prices. Discussion Papers (Int. r. no. 03-071/4). Tinbergen Instituut (TI), 38 pp.

Cohen, G., Montfort, C.A.G.M. van & Nijkamp, P. (2003). Modelling ICT perceptions and views of urban front liners. Tinbergen Discussion Papers (Int. r. no. 03-023/3). Tinbergen Instituut (TI), -- pp.

Doornik, J.A. & Ooms, M. (2003). Multimodality in the GARCH Regression Model. Economics Papers from Economics Group (No. 2003-W20). Nuffield College University of Oxford.

Koopman, S.J. & Azevedo, J.M. (2003) Measuring Synchronisation and Convergence of Business Cycles, Discussion Papers (Int. r. no. 03-052/4). Tinbergen Instituut (TI), -- pp.

Koopman, S.J. & Lucas, A. (2003). Business and Default Cycles for Credit Risk. Discussion Papers (Int. r. no. 03-062/2). Tinbergen Instituut (TI), -- pp.

Luginbuhl, R.E. & Koopman, S.J. (2003). Convergence in European GDP Series. Discussion Papers (Int. r. no. TI03-031/4). Tinbergen Instituut (TI), 29 pp.

Masurel, E. & Montfort, C.A.G.M. van (2003). SME Innovation and the Crucial Role of the Entrepeneur. Research Memorandum (Int. r. no. 2003-1). Econometrie (ECTRIE), -- pp.

Menkveld, A.J., Koopman, S.J. & Lucas, A. (2003). Round-the-Clock Price Discovery for Cross-Listed Stocks. Discussion Papers (Int. r. no. TI-03-37/2). Tinbergen Instituut (TI), -- pp.

Montfort, C.A.G.M. van, Cohen, G. & Nijkamp, P. (2003). Modelling ICT Perception and Views of Urban Front Liners. TI Discussion Paper (Int. r. no. TI03-023/3). Econometrie (ECTRIE), -- pp.

Sridharan, S., Koopman, S.J. & Vujic, S. (2003). Intervention Time Series Analysis of Crime Rates. Tinbergen Instituut (TI), 35 pp.


2004
Academic Publications
In Journals
Bos, C.S., Bauwens, L.J., 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.

Bos, C.S. (2004). Time Series Modelling using TSMod 3.24. International Journal of Forecasting, 20(3), 515-522.

Cohen, G., Nijkamp, P. & Montfort, C.A.G.M. van (2004). Modelling ICT Perceptions and Views of Urban Front Liners. Urban Studies, 41(13), 2647-2667.

Koopman, S.J. & Luginbuhl, RE. (2004). Convergence in European GDP Series. Journal of Applied Econometrics, 19(5), 611-636.

Koopman, S.J. & Lee, K.M. (2004). Estimating stochastic volatility models: a comparison of two importance samplers. Studies in Nonlinear Dynamics and Econometrics, 8(2), 1-22.

Koopman, S.J. & Bos, C.S. (2004). State space models with a common stochastic variance. Journal of Business and Economic Statistics, 22(3), 346-357.

Montfort, C.A.G.M. van & Bijleveld, C. (2004). Dynamic Analysis of Multivariate Panel Data with Nonlinear Transformations. Journal of Mathematical Psychology, 48(5), 322-333.

Montfort, C.A.G.M. van & Leeuw, J. de (2004). Factor Analyses for Non-normal Variables by Fitting Characteristic Functions. UCLA Statistics Electronic Publications.

Montfort, C.A.G.M. van (2004). Factor analyses for non-normal variables by fitting characteristic functions. Kwantitatieve Methoden, 69, 27-42.

Ooms, M., Hobijn, Bart, Hobijn, Frances & Philip, Hans (2004). Generalizations of the KPSS-test for stationarity. Statistica Neerlandica, 58(4), 483-502.

Ooms, M. & Doornik, J.A. (2004). Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation. Studies in Nonlinear Dynamics and Econometrics, 8(2).
Book Chapters
Koopman, S.J., Zivot, E. & Wang, J. (2004). State Space Modeling in Macroeconomics and Finance Using SsfPack in S+FinMetrics. In Harvey, A.C., Koopman, S.J. & Shepherd, N. (Eds.), State Space and Unobserved Component Models: Theory and Applications. Cambridge, UK: Cambridge University Press.

Masurel, E., Montfort, C.A.G.M. van & Nijkamp, P. (2004). Entrepreneurship and Innovation in the SME Sector. In P. Nijkamp (Ed.), Innovation, Space and Economics Development. (pp. 227-243). Nothampton, MA, USA: Edward Elgar.

Mooijaart, A. & Montfort, C.A.G.M. van (2004). Statistical power in PATH models for small sample sizes. In Van Montfort, K., Oud, J. Satorra, A. (Eds.), Recent developments on structural equations models: theory and applications. Dordrecht: Academic Publishers.

Vos, A.F. de (2004). Rekenen aan de zaak Lucy de B. In W.H. van Boom, M.J. Borge (Ed.), De rekenende rechter: Van 'ludex Non Calculat' naar actieve cijferaar? (pp. 163-174). Den Haag: Boom Juridische uitgevers.


Books / Monographs
Koopman, S.J., Harvey, A.C. & Shephard, N. (Ed(s).). (2004). State Space and Unobserved Component Models: Theory and Applications. Cambridge, UK: Cambridge University Press, 393 pp.

Montfort, C.A.G.M. van, Oud, J. & Satorra, A. (2004). Recent developments on structural equations models. Dordrecht: Kluwer Academic Publishers, 382 pp.

Montfort, C.A.G.M. van & Brink, J.R. van den (2004). Quantitative Business Analysis. Essex: Pearson Education, 248 pp.

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