Research output per year
Research output per year
Personal profile
Personal information
Janneke van Brummelen is an Assistant Professor (Tenure-Track) at the department of Econometrics and Data Science. Her research interests are Econometric Methodology, Econometric Theory, and Time Series Econometrics.
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Research output
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Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions
Blasques, F., van Brummelen, J., Gorgi, P. & Koopman, S. J., Jan 2024, In: Journal of Econometrics. 238, 1, 22 p., 105575.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
Maximum likelihood estimation for score-driven models
Blasques, F., van Brummelen, J., Koopman, S. J. & Lucas, A., Apr 2022, In: Journal of Econometrics. 227, 2, p. 325-346 22 p.Research output: Contribution to Journal › Article › Academic › peer-review
Open AccessFile540 Downloads (Pure) -
A robust Beveridge–Nelson decomposition using a score-driven approach with an application
Blasques, F., van Brummelen, J., Gorgi, P. & Koopman, S. J., Mar 2024, In: Economics Letters. 236, p. 1-5 5 p., 111588.Research output: Contribution to Journal › Article › Academic › peer-review
Open Access -
Score-driven time-varying parameter models with spline-based densities
van Brummelen, J., Gorgi, P. & Koopman, S. J., 16 Feb 2025, Tinbergen Institute, (TI Discussion Paper Series; no. 25-011/III).Research output: Working paper / Preprint › Working paper › Professional
Open Access -
Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
Blasques, F., van Brummelen, J., Gorgi, P. & Koopman, S. J., 27 Sept 2024, Tinbergen Institute, (TI Discussion Paper Series; no. 24-062/III).Research output: Working paper / Preprint › Working paper › Professional
Open Access