Geert Mesters

Vrije Universiteit Amsterdam, School of Business and Economics

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

SCHOLARLY PAPERS

5

DOWNLOADS

503

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (5)

1.

Detecting Granular Time Series in Large Panels

Number of pages: 71 Posted: 22 Sep 2017 Last Revised: 31 Jul 2018
Christian T. Brownlees and Geert Mesters
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 234 (160,924)
Citation 3

Abstract:

Loading...

Granularity, Network Models, Factor Models, Panel Data, Industrial Production, CDS Spreads

2.

A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-Standard Monetary Policy in the Euro Area

Tinbergen Institute Discussion Paper 14-071/III
Number of pages: 44 Posted: 21 Jun 2014
Geert Mesters, Bernd Schwaab and Siem Jan Koopman
Vrije Universiteit Amsterdam, School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 90 (344,539)
Citation 7

Abstract:

Loading...

dynamic Nelson-Siegel models, Central bank asset purchases, non-Gaussian, state space methods, importance sampling, European Central Bank

3.

Generalized Dynamic Panel Data Models with Random Effects for Cross-Section and Time

Tinbergen Institute Discussion Paper No. 12-009/4
Number of pages: 54 Posted: 07 Feb 2012
Geert Mesters and Siem Jan Koopman
Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 80 (369,959)
Citation 3

Abstract:

Loading...

panel data, non-Gaussian, importance sampling, random effects, Student's t, economic growth

4.

Empirical Bayes Methods for Dynamic Factor Models

Tinbergen Institute Discussion Paper 14-061/III
Number of pages: 45 Posted: 25 May 2014
Siem Jan Koopman and Geert Mesters
Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 55 (449,824)
Citation 1

Abstract:

Loading...

Importance sampling, Kalman filtering, Likelihood-based analysis, Posterior modes, Rao-Blackwellization, Shrinkage

5.

Crime, Employment and Social Welfare: An Individual-Level Study on Disadvantaged Males

Tinbergen Institute Discussion Paper 14-091/III
Number of pages: 35 Posted: 23 Jul 2014
Vrije Universiteit Amsterdam, School of Business and Economics, VU University Amsterdam and University of Amsterdam - Faculty of Law
Downloads 44 (494,239)
Citation 2

Abstract:

Loading...

dynamic discrete choice, strain, social control, state dependence, reciprocal, unobserved heterogeneity