Interim Report for the Quality Assessment of Research 2001-2004

Analysis, perspectives and expectations for the faculty 15 Section B: Documentation per programme 17 Strategic and Cooperative Decision Making 18 Regional Economics and Networks 76 Opera

Interim Report for the

Quality Assessment of Research

2001-2004

Economics and Business Administration

Amsterdam, October 2005

vrije Universiteit amsterdam

Faculty of Economics and Business Administration

Table of Contents page

Section A: Research profile of the faculty 4

4 Researchers and other personnel 7

5 Resources, funding and facilities 10

6 Processes in research, internal and external collaboration 11

9 Analysis, perspectives and expectations for the faculty 15

Section B: Documentation per programme 17

Strategic and Cooperative Decision Making 18

Regional Economics and Networks 76

Operations Research and Information Technology 170

Accounting and Decision Making 177

Dynamic Organisations and Markets 193

Information Systems for Organisational Networks 230

Transition and Development in International Perspective 249

Appendices

Appendix I: Fellows of Tinbergen Institute 266

Appendix II: Journals and publishers list of the faculty 268

This report contains the documentation of the Faculty of Economics and Business Administration at the Vrije Universiteit Amsterdam, as required for the 2005

Assessment of the research quality of the disciplines of ‘Economics and

Econometrics’ and ‘Management and Business Administration’ The chosen format agrees with the demands of the 2003-2009 Standard Evaluation Protocol for Public Research Organisations as published by the VSNU

The documentation presents an overview of the research activities of the faculty in theperiod 2001-2004

The Faculty of Economics of the Vrije Universiteit was established in 1948 In 1987 the Faculty merged with the Faculty of Actuarial Science and Econometrics to form the Faculty of Economics, Business Administration and Econometrics Currently the Faculty is referred to as FEWEB (which stands for the Dutch equivalent of Faculty of Economics and Business Administration)

FEWEB is a medium-sized faculty, with approximately 3000 students, 1200

postgraduate students and about 400 academic and non-academic members of staff

Section A

Research Profile of the Faculty

1 Mission statement

The Faculty of Economics and Business Administration (FEWEB) aims at theoretical and applied research of high quality in the various fields of economics, econometrics and business administration In this light it maintains a policy of a balanced division

of research and educational tasks among staff, such that students are taught by staff members with strong research qualifications and the practice of teaching is fed by the latest insights from research In addition to covering the various fields of education bystrong research groups, the faculty aims at hosting some excellent research groups in fields that do not necessarily have a strong representation in education Examples are the research groups in labour economics, regional and environmental economics, and development economics

In line with current developments within the discipline, FEWEB invests a fair amount of energy in the creation of networks with regard to multidisciplinary

research Important networks include among others the Amsterdam Institute for International Development, which was created by the two Amsterdam universities, and the co-operation between the FEWEB Information Technology group and

researchers from the Faculty of Science Within the fields of environmental

economics and regional economics ties have been established with the Institute for Environmental Studies (IVM-VU), Faculty of Spatial Sciences, University of Utrecht and the Research Institute for Housing, Urban and Mobility Studies, Delft University

of Technology

The Faculty attaches considerable importance to the societal relevance of its research, next to theory development A focus on current and latent social issues can

go hand in hand with the development of fundamental insights Compelling examples

of this merger can be found among the publications by researchers from labour economics, regional economics, development economics and business economics The double focus on applied research and theory development has attracted numerous sources of external funding (notably within the research institutes connected with FEWEB), and programmes sponsored by the Netherlands Organisation for Scientific Research (NWO) The faculty will continue to encourage its researchers to seek both types of funding

2 Leadership

The Board of Faculty is the most important administrative instrument of the faculty All the important decisions are taken by this Board The Board consists of the dean of the faculty, the research director, the teaching director, and a student (non-voting member) The board is assisted by the management director of the faculty, who is alsodirecting the faculty’s office The board is accountable to the Executive Board of the

Vrije Universiteit (College van Bestuur)

Director of Faculty: Drs F.A.M Snijders

Board of Faculty:

 Prof dr H Verbruggen, dean

 Prof dr J.W Gunning, research

 Drs P Sneep, teaching

 Drs F.A.M Snijders, director

 K Anev, student

The Faculty of Economics and Business Administration has 7 departments and each department has at least one head of department

Heads of departments:

 Prof.dr T.L.C.M Groot (Accounting)

 Prof.dr G van den Berg (Economics)

 Prof.dr.ir G van der Laan (Econometrics)

 Prof.dr M van der Nat (Finance)

 Prof.dr B Compaijen (BFS)

 Prof.dr A.R van Goor (as of September, 1 2005, Information systems and logistics)

 Prof.dr P.G.W Jansen (Management and Organisation Studies)

 Prof.dr R.T Frambach (Marketing)

 Prof.dr P Rietveld (Regional Economics)

Each department has one or more research programme, and each research programme has one or more programme leader Currently, the faculty has 13 research

programmes:

 Strategic and Co-operative Decision Making (Prof.dr.ir G van der Laan)

 Time Series Econometrics: methods, computations and applications (prof.dr S.J Koopman)

 Applied Labour Economics (prof.dr M Lindeboom)

 Farms and Firms: The Microeconomics of Poverty, Risk and Development (prof.dr J.W Gunning)

 Regional Economics and Networks (Prof.dr P Rietveld)

 Environmental Economics (prof.dr J.C.J.M van den Bergh and prof.dr C.A.A.M Withagen)

 Finance and Banking (prof.dr A Lucas)

 Operations Research and Information Technology (prof.dr H.C Tijms)

 Accounting and Decision Making (prof.dr T.L.C.M Groot)

 Strategy & Organization (Dr.Ir B.A.G Bossink)

 Marketing Strategy (Prof.dr R.T Frambach)

 Human Resources (prof.dr P.G.W Jansen)

 Information Systems for Organisational Networks (prof.dr Y.H Tan)

3 Strategy and Policy

The Faculty of Economics and Business Administration (FEWEB), aiming for high quality theoretical and applied research in economics, econometrics and business administration, maintains a policy in which the research and teaching tasks among staff members are well divided Both students are taught by staff members with strongresearch qualifications as well as the practice of teaching is fed by the latest insights from research

The latest research assessment was in August 2002 (Economics) and December 2002 (Business Administration and Management) Partly in response to these assessments

of research quality, nearly all the research programmes of the faculty were changed, both in content and in name.

The Research Programme “Transition and development in international perspective”, which was not very well evaluated during the last assessment in 2001, has been discontinued in 2002 Most of the researchers of this programme were able to fit in other research programmes

The following economic research programmes changed their names:

 Competition and Cooperation has become Strategic and Cooperative

Decision Making;

 Applied Econometrics has become Time Series Econometrics;

 Spatial Dynamics has become Regional Economics and Networks;

 Economic Dimensions of Sustainable Development has become

 Dynamic Organisations and Markets has been split into three programmes:

 Strategy and Organisation,

 Marketing Strategy, and

 Human Resources

 Information Technology and the Changing Organization has become

Information Systems for Organisational Networks;

 Financial Markets and Institutions has become Finance and Banking

Of these changes the most important one is the split of the “Dynamic Organisations and Markets” programme (which suffered from excessive heerogeneity) into three well-focused programmes This is considered a great improvement

A detailed description, and strategies and policy, and plans for the short and long termare given in the research programmes documentation section

4 Researchers and other personnel

The Faculty of Economics and Business Administration maintains a system of

assessment of the research output of its members of staff that enables the

(re)distribution of research funding according to individual achievements The systemcomprises the rating of the five best publications of a researcher over the five past years, based on a journals- and publishers list (see enclosures) It was faculty’s policy

to ask only for the five best publications, and not all the publications in order to give a

proper incentive to researchers

The periodic reallocation of research funding used to take place every five years Starting 2005, however, the procedure will be followed every three years, to allow more dynamics and to align with the national agenda for internal and external

research assessments

In 2003/2004 a new journals- and publishers list has been established The former list was created in 1992 and did no longer meet the requirements for accurate output assessment For the fields covered by the faculty's research school, the Tinbergen Institute, the TI journals list was adopted (In exceptual cases journals were added to

this list and the classification of the Journal of Urban Economics, a B-journal on the I

list, was changed to A As the fields covered by the TI list do not include the entire range of fields covered by the Faculty of Economics and Business Administration, it has been supplemented with the core journals for Business Administration and

Econometrics For more information about the creation of the faculty’s list and the Tinbergen list, see the website of the faculty (http://www.feweb.vu.nl/link.asp?

itemnumber=4946) and the Tinbergen Institute (http://www.tinbergen.nl/home.html)

Measurement principles

Through its system of allocation of research funding (expressed in full time

equivalents) the Faculty of Economics and Business Administration seeks to

emphasise quality This policy has proven effective, as over the years an increasing number of researchers acceded to publishers and journals of international standard.The faculty also strives after transparency through objective rules and a clear

classification system that acknowledges the various fields covered by the faculty's research Both book and journal contributions are appreciated provided that they are based on research To enable easy access to research funding for junior staff,

dissertations are classified as B

The allocation of research funding

The research funding is meant for members of the scientific staff with an appointment

on the account of the university ("eerste geldstroom") or on a structural externally

funded position PhD students and post-docs are not entitled to research funding, otherthan the funding agreed upon at the start of their contract

Entitlements to research funding are expressed in percentages of full time equivalents

A maximum of 60 per cent can be allocated The percentage obtained ought to be multiplied with the employment factor (wtf) and reduced by possible budget cuts, to arrive at the number of working hours to be dedicated to research

Until January, 1 2005, Assistant professors (UD) who did not yet defended their PhD

and whose manuscript drawn near completion were able to request an allowance of 20% maximum to be dedicated to the writing of their thesis The allowance were granted for the period of one year, to be extended twice (at the most) for six months following a written request and a progress report

Tenure Track

On January, 1 2005 a tenure track system has been introduced This system will

guarantee new members of staff a minimum of hours to be dedicated to research

In order to increase the quality of the scientific staff of FEWEB and to further the career possibilities of young talented scientists within our faculty, young scientists will get the opportunity to spend 0,4 fte of their full-time position to do research during a period of 5 years This allotment of research time will make it easier for them

to make a next move in their career, which could be a permanent appointment as

assistant professor 1 or as associate professor (tenure) The career move depends on performance during the five-year period.

PhD students and Research Fellows

PhD students are recruited on the basis of open competition; a decisive selection criterion is the academic quality of the candidates Once accepted, the graduate students and their supervisors write a plan with regard to their training and

supervision, covering the four years of their contract Progress reports are written at least once a year, allowing the Tinbergen Institute and the faculty to monitor the process of writing and the academic development of the students The students are encouraged to participate in conferences, to publish their results in international scientific journals and to develop relevant networks of professional contacts After graduation, the faculty explicitly seeks to hold on to promising researchers by offeringcareer perspectives The allocation of research funds is based among others on the principle that productive researchers should be allowed room to exploit their talents

In most cases they can be offered a tenure position after a few years of temporary post-doc contracts

As of 2005 PhD students (Eerste Geldstroom) in economics and econometrics are

recruited from the Tinbergen Institute (M.Phil programme) The M.Phil programme

is a two-year research master in economics, econometrics, and finance, and is an excellent preparation for Ph.D thesis research in these fields The M.Phil programme

is taught by the best researchers of the three economics departments participating in the institute and by internationally renowned guest lecturers Students are carefully selected from a large international pool of applicants Each year at most 30 students are admitted and thorough selection is part of the admission procedure The M.Phil programme has been accredited by the Dutch and Flemish Accreditation Organisationfor higher education (NVAO) and leads to a Master of Philosophy in Economics degree

PhD students in business administration and management will continue to be recruited

on the basis of open competition

As of 2004 PhD students are given opportunities to teach and are advised to do so Teaching is important for career development The maximum teaching load is 10%.Table 1

Research staff at institutional level in fte

The changes in research staff are mostly due to changes in research funds (2e

geldstroom) en contracts (3e geldstroom) As of 2005, the allocation in direct funding (1e geldstroom) has been raised from 27.99 to 31.28

For research staff at research programme level: See documentation regarding the level

of the research programme

5 Resources, funding and facilities

Total funding 11.663 100,0% 13.086 100,0% 13.825 100,0% 15.105 100,0%

Total expenditure

Expenditure research 5.230 43,3% 5.794 44,5% 5.575 39,5% 5.709 37,9% Expenditure teaching 6.849 56,7% 7.226 55,5% 8.532 60,5% 9.364 62,1%

Total expenditure 12.079 100,0% 13.020 100,0% 14.107 100,0% 15.073 100,0%

Funding research

Direct funding 3.995 77,8% 3.266 72,5% 4.204 80,4% 4.785 81,9% Research funds 758 14,8% 936 20,8% 531 10,1% 592 10,1% Contracts 158 3,1% 139 3,1% 347 6,6% 279 4,8% Other 223 4,3% 163 3,6% 154 2,9% 189 3,2%

As from the year 2002 the university introduced a new allocation model IVVU

(Intern Verdeelmodel VU) that is used by the university to determine the direct

funding of the research and the teaching activities for the different faculties of the university Although the total direct funding of the faculty was initially not influenced

by this new model, the share of research funding in the total funding decreased enormously from 44,0% in 2001 to 34,4% in 2002 For faculties with teaching

activities leading to the Master degree, the policy of the university is to allocate approximately 35% of the direct funding for research activities The remaining 65% isthen used for teaching activities

Over the years 2001-2004 the total of activities of the faculty has increased due to the start of Business Administration During this period, the faculty has adjusted the expenditure in research and teaching activities according to the policy of the

university

6 Processes in research, internal and external collaboration

Through its system of allocation of research funding (expressed in full time

equivalents) the Faculty of Economics and Business Administration seeks to

emphasise quality This policy has proven effective, as over the years an increasing number of researchers acceded to publishers and journals of international standard

To stimulate internal and external collaboration, the Faculty of Economics and

Business Administration participates in several research schools and research

institutes, such as:

Tinbergen Institute

The Faculty of Economics and Business Administration participates in the Tinbergen Institute, a graduate and research school in economics, econometrics and finance FEWEB PhD students participate in the graduate school and 36 research fellows of our faculty participate in the research institute These fellows are selected on the basis

of their publication records A list of research fellows of the Tinbergen Institute is provided in the enclosures (Appendix I)

ARCA

The Research by the Department of Accounting is organized through the Amsterdam Research Center in Accounting (ARCA) The scope of ARCA also includes research into auditing and accounting information systems This center provides organizationalsupport, funding and is a platform for organizing courses for Ph.D.-students and other researchers

ESI / AMBER

The Economic and Social Institute (ESI) was founded in 1954 as a foundation

operating under the auspices of the Faculty of Economics, Business Administration and Econometrics of the Vrije Universiteit of Amsterdam It is therefore almost fifty years since ESI began conducting contract and fundamental academic research, and almost fifty years since it offered its first trainee research assistant placements

On April 1 2005, the Economic and Social Institute has changed its name in AMBER,Amsterdam Institute for Business and Economic Research

Amber is a research center serving diverse domestic and international clients, both in the public and the private sector Amber has two research divisions: Economics and Business Administration

SOW

The Centre for World Food Studies (Dutch acronym SOW-VU for "Stichting

Onderzoek Wereldvoedsel-voorziening van de Vrije Universiteit"), founded in 1977,

is a research institute that provides support, at both national and international levels,

to the formulation of food and agricultural policies and policies aiming at poverty reduction The Centre is engaged in applied and quantitative research It co-operates with scientists and policy makers from developing countries so as to ensure that policy formulation and capacity building evolve together The Centre also contributes

to debates and policy dialogues on food related issues

Above participation in these institutes, the faculty seeks participation in a graduate and research school in management and business administration

7 Academic Reputation

Researchers of the faculty perform well They won several prizes for papers,

dissertations and for other contributions to research Van Ommeren, and Gautier received a VIDI-scholarship from the Netherlands Organisation for Scientific

Research Menkveld and Siegmann received a VENI-scholarship from the

Netherlands Organisation for Scientific Research The scholarship will allow them to perform a three-year research programme

The Royal Shell Prize 2002 was awarded to Jeroen van den Bergh, professor of environmental economics He received the prize for his research in the field of

sustainable development, the environment, and natural resources He was

unanimously chosen by the members of the jury and received the amount of 100,000 Euro

The economics and econometrics research received a positive evaluation at the national research assessment Two out of eight programmes were labelled "world class quality"

The department of Spatial Economics received a research grant worth one million Euro It is a large EU project called STELLA (Sustainable Transport in Europe and Links and Liaisons with America)

Gerard J van den Berg is joint Managing Editor of The Economic Journal 2004), as the first non-UK based editor in the history of this top journal

(2001-Many researchers of the faculty are member of the editorial board of national and international journals and are member of important scientific committees (such as NWO-committees)

For more details on the academic reputation of the researchers: see section research programmes

As a rough indicator of the impact of the faculty’s research, table 3 is given the number of citations for the five most cited publications of the programme leaders, according to Google Scholar (http://scholar.google.com/) and ISI Web of Science ((S)SCI) The Tinbergen Institute published a similar list of all the research fellows who participate in the Tinbergen Institute as part of the accreditation of the research school This list is published on the TI website We restricted us to give the citation scores of the programme leaders who are in general also the leading researchers in their research field Of course there are other researchers in the faculty who have also high citations scores (e.g Nijkamp (232 and 222), van den Berg (437 and 163), and Verhoef (176 and 111) Comparison with the TI website shows that in general the VUscores very well on impact A very healthy development is that high impact is no longer limited to a few programmes but is now achieved by many programmes

Google Scholar ISI Web of Science

8 Overview of the results

In table 4 an overview of all the research output of the faculty is given The research output per programme is given in the programme section

Table 4: Aggregated results of the faculty

1 Academic

Publications

In Journals

ABOther

9 43168

15 46138

14 42111

20 41 90

58 172 507 Book

Chapters

BOther

19 93

9167

11115

17 94

56 469

3 2 30

4 21

3 9 24

9 18 94

During the last output assessment in December 2004, it was possible to make

exceptions for articles in journals that were not listed because the field they cover fell outside the scope of the FEWEB list If both the quality and the subject matter of the article were such that it might also have been published in a listed journal it was classified accordingly If the quality criterion was satisfied, but the subject matter criterion was not, exceptions were made only for articles in journals of undisputed

top-quality (e.g Nature, The Lancet) In either case the number of exceptions

remained limited Judgements were made by a temporary committee

In table 4, six A’s en 15 B’s (journal articles) were attained by using this exception claim

Table 5: Number of Dissertations and articles A/B by active programme

of A/B articles per fte

Regional Economics and Networks 20 4 34 29.25 1.3Environmental Economics 4 2 27 12.55 2.3

Operations Research and

Information Technology 2 1 7 6.44 1.2Accounting and Decision Making 3 1 4 11.84 0.4Strategy and Organisation 2 - 2 3.42 0.6

A striking feature of table 4 is the very high number of completed dissertations of the programme Regional Economics and Networks This programme accounted for one

third of the total number of dissertations completed in the period considered Another notable result is the very high number of publications in A-journals by the labour economics group (many of these publications appeard in “supertop”, the 5 journals classified as AA by the Tinbergen Institute) As a rough indicator of quality the table shows the number of articles in A or B journals (corrected for the size of the

programme) This indicator must be treated with some caution

The features of the programmes Strategy and Organisation, Marketing Strategy and Human Resources cover only 2 years (2003 and 2004) If we take also the features of the programme Dynamic Organisations and Markets (2001-2002), the precursor of these three programmes, into account, they have completed 11 dissertations in 4 yearswith rather small personnel input

Some of the programmes have published in high quality journals which do not occur

on the faculty’s list (and hence are not classified as A or B journals), because these journals are not economic journals This applies especially to the Regional Economicsand Networks programme (with many publications in transport or geography

journals), and the Strategic and Cooperative Decision Making programme (with manyarticles in mathematiacal journals) The results are therefore not entirely comparable Keeping this caveat in mind Table 4 indicates what has become increasingly clear in the last few years: that high quality results are now attained over a very broad range ofvery different fields This is a striking change: not very long ago only a few of the research programmes regularly succeeded in publishing in the very good and the top journals This has now become standard

For other recommendable results, see awards and nominations at the section research programmes

9 Analysis, perspectives and expectations for the faculty

In the report on the quality assessment of the research in Economics (August 2002) and in Business Administration and Management (December 2002), the general comments concerned especially the size of the groups and the recruitment of faculty and PhD students

The faculty of Economics and Business Administration has a large number of

research groups and some of them are rather small The review committee argued thatsome of these groups were too small, but the faculty does not agree with this

Research in our faculty does not involve fixed costs as is the case in some other faculties As a result of this small research groups are not more expensive than large research groups The faculty attaches great value to homogeneity concerning the content of the research which increases the quality of the research

To guarantee good quality research, it is important to recruit good quality researchers.The recruitment of researchers is improved by introducing the tenure track system as already indicated Beside of this the faculty is trying to hold on to his researchers to offer them a professorship Currently the faculty has more possibilities to offer

professorships than in previous times when the professorships were only structural

The existence and the high quality of the Tinbergen Institute, the graduate school in economics, econometrics and finance, facilitates the recruitment of PhD students TheTinbergen Institute offers a graduate programme consisting of two years of intensive graduate coursework in the institute’s Master of Philosophy in Economics programme(M.Phil.) and three years of Ph.D thesis research The Tinbergen Institute has been evaluated positively recently by an international review committee for the

accreditation for the Royal Netherlands Academy of Science (KNAW) next year The participation of the researchers and PhD students in Business Administration and Management in a good graduate school in the field has high priority within the faculty

at the moment Collaboration is sought with the University of Amsterdam and the Erasmus University of Rotterdam (in ERIM) The participation in such a graduate school will improve the recruitment of researchers and PhD students and will

stimulate high quality research in this field as it does at the Tinbergen Institute

Section B

Documentation per programme

Strategic and Cooperative Decision Making (2002-2004)

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 fewyears 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 Inthe 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 1/7/2004, submitted by Driessen (Universiteit Twente, main applicant), van der Laan Vrije Universiteit, Yanovskaya (St Petersburg) and Vasil’ev (Novosibirsk)

1/7/2000-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

Full Professors Prof.dr.ir G van der

Laan

0.53 0.53 0.54 0.51Associate professors Dr B Hanzon 0.53 - - -

Assistant professors Dr J.R van den Brink 0.13 0.36 0.36 0.34

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 0.47Drs C.M van Veelen 0.70 0.70 0.00 -

5 Resources, funding and facilities

Funding at programme level

6 Overview of the Results

Programme results: Outcome numbers

5 1

2 3 3

3 2

- 3

2 11 9 Book

- -

1 - -

- 1

1 - -

2 - 1

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

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.

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, 16pp

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

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.

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

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:

(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-)

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 unobservedcomponents (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 bydeveloping 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 relativelysmall number of time points will lead to a number of interesting research questions Ateam 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 andco-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 withcolleagues 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

Full Professors Prof.dr S.J Koopman 0.53 0.53 0.54 0.51Associate 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 0.34Assistant professors Dr C.P.J Burger 0.08 - - -

Other tenured staff Dr M.P Pradhan 0.09 - -

Non tenured staff Dr C.S Bos 0.33 1.00 1.00 1.00

Dr R.E Luginbuhl - - 0.36 0.34

Drs P.J.M Hoonhout 0.70 - - Drs B.M.J.P Jungbacker - - - 0.12Drs K.M Lee 0.23 0.70 0.70 0.70Drs R.E Luginbuhl 0.18 0.18 - -Drs S Vujic 0.70 0.70 0.70 0.70

5 Resources, funding and facilities

Funding at programme level

6 Overview of the Results

Programme results: Outcome numbers

1 5

1 4 5

5 2

2 3 6

313

18

Book

Chapters

B Other

1

4

1 2

1 3

210

2 Books /

Monographs

A B Other

1 - -

- -

- -

2 1

1 2 1

radial-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.

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)

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),

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 regression models with heterogeneity and publication bias In Ader, H.J &

meta-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

(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 based direction sampling: Some flexible and robust Monte Carlo integration

radial-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)

Radial-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.

Professional Publications

Vos, A.F de (2004) Door statistici veroordeeld? Nederlands Juristen Blad, 13,

686-688

Bos, C.S & Shephard, N (2004) Inference for adaptive time series models:

Stochastic voltatility and conditionally gaussian state space form Discussion

Paper Tinbergen Institute, T104-015/4

Koopman, S.J & Ooms, M (2004) Forecasting daily time series using periodic unobserved components time series models Discussion paper Tinbergen

Institute (No 2004-135/4) Tinbergen Institute

Awards and nominations 2001-2004

Dr G.E Bijwaard won the 2001 Dissertation Award for his dissertation entitled

"Rank Estimation of Duration Models", awarded by the W.E Upjohn Institute for Employment Research

Dr M Ooms is coordinator European Science Foundation Network: Econometric methods for the modeling of nonstationary data, policy analysis, and forecasting (2002-2004)

Editorship

Siem Jan Koopman:

Member of the editorial board of the Journal of Applied Econometrics (Since 1999) Editor of Econometrics Journal (Since 2002)

Marius Ooms is editor of Econometric Links of Econometrics Journal (since 1995).

7 Analysis, perspectives and expectations for the research programme

The programme has realised many publications in highly qualified journals in

econometrics, statistics and economics while a number of publications are

forthcoming in 2005 and 2006 (including Journal of Econometrics, Journal of

Banking and Finance and Journal of Forecasting) The group includes seven PhD

students and two postdocs It is therefore a young group but one that is actively engaged in challenging research questions The research involves theoretical,

computational and empirical work In the academic year 2005-6 we expect two or three PhD’s to defend their theses while we have a vacancy of one departmental PhD position and possibly one PhD position from the Tinbergen Institute Finally we also apply for PhD funding from the N.W.O

The research on nonlinear and non-Gaussian state space models has recently led to two promising results that are currently investigated in more detail In the next period,

we plan to write research papers on these results that will be submitted to good journals in statistics and econometrics These results can possibly lead to more

interesting empirical studies in economics and finance We plan to engage some of these studies in the fields of business cycles and financial risk

With respect to the research activities on seasonal and periodic dynamics and on dynamic panel data models, we are currently engaged in writing research papers that

report some newly developed results We expect that some of these papers will appear

in good journals

Applied Labour Economics (1995-)

Programme Description

The Applied Labour Economics programme is an empirically oriented programme Itsresearch is grounded in modern economic theories about the functioning of the labour market and related markets The research programme aims at high quality scientific research in different policy relevant areas of Labour Economics, Health Economics and Industrial Economics The programme focuses on three areas of research:

The first line of research seeks to bridge the gap between micro- and macroeconomic approaches in order to gain a better understanding of the working of the labour market This project takes the behaviour of all agents who are active on a given labourmarket as a starting point to assess the effect of the institutional setting (such as the social security system, the existence of minimum wages etc) on the functioning of thismarket A substantial part of this project is devoted to the adequate design and the evaluation of policy interventions on the labour market Keywords: equilibrium unemployment; social security system; effect of sanctions; programme evaluation

Innovative Activity and Productivity Growth is the main theme of the second

programme One of the main sources of productivity growth is technological

advancement brought about by innovative activity undertaken by individuals and organisations This sub programme attempts to delve deeper into the underlying sources The research is taken from a micro and market based perspective This is essential to understand the decisions of firms and workers that lead to innovative activity and productivity growth Keywords: Innovative activity, productivity, Job destruction, job creation, labour market institutions

The third line of research concerns the Economics of health, work and ageing Most OECD countries are ageing swiftly as a result of the post-war babyboom and low fertility- and mortality rates, with dramatic consequences for the organisation of our society and institutions like the Social Security- and the Health Care system This project focuses on issues where labour economics and health economics interact, such

as retirement, consumption and wealth; the dynamic interrelation between health, work and income; health inequality and socio-economic status; and the effect of economic conditions on mortality Keywords: Labour market behaviour, Health capital, Measurement of health, Morbidity, Mortality, Social Security, Health Care

1 Leadership

Programme Coordinator: Prof.dr M Lindeboom

2 Strategy and Policy

The Applied Labour Economics (ALERT) Programme has witnessed a steady

qualitative and quantitative growth during the past decade We are now well known across the world for our research in labor economics and applied econometrics, and

we are generally considered to be among the two or three best teams of labor

economists and micro-econometrics in Europe This can be read off e.g by the fact