Herman J. Bierens

Conferences and Invited Seminars

• Invited seminars

  • Netherlands: Free University; University of Amsterdam; Erasmus University; University of Maastricht; Tilburg University; Tinbergen Institute, Rotterdam.
  • USA: University of Minnesota; University of Chicago; University of California, San Diego; University of California, Berkeley; Yale University; Harvard University-M.I.T; University of Southern California; Southern Methodist University; Texas A&M University; University of Houston - Rice University; California Institute of Technology; University of Illinois at Urbana-Champaign; Cornell University; North Carolina State University; University of Virginia; University of Texas, Austin; Pennsylvania State University; University of Pennsylvania; New York University; University of Maryland; Ohio State University; Johns Hopkins University; University of Michigan; Michigan State University; Indiana University; University of Rochester; University of Pittsburgh; University of Kansas.
  • Canada: Queen's University; University of Western Ontario; University of Toronto; University of Guelph; University of British Columbia, Vancouver; York University; Joint econometrics seminar of the universities in Montreal.
  • Germany: University of Dortmund; Humboldt University, Berlin.
  • Poland: University of Lodz.
  • Denmark: University of Arhus.
  • UK: University of Manchester.
  • Belgium: CORE, Universite Catholique, Louvain-la-Neuve.
  • France: Universite des Sciences Sociales de Toulouse.
  • Mexico: ITAM.
  • Brazil: Universidade Federal do Ceara.

• Presentation of invited papers at conferences

  • 1978: "Estimation of Nonlinear Regression Models with Momentless Distributed Errors", ESEM, Geneva.
  • 1985: "Kernel Estimators of Regression Functions", Invited Symposium on Nonparametric and Robust Estimation, Fifth World Congress of the Econometric Society, Cambridge, MA.
  • 1994: "Testing the Unit Root Hypothesis Against Nonlinear Trend Stationarity", EC2 meeting, Berlin.
  • 1995: "Nonparametric Cointegration Analysis", ERNSI Econometrics Workshop, Oud Poelgeest, the Netherlands.
  • 1998: "The Econometric Consequences of the Ceteris Paribus Condition in Economic Theory", Conference on Principles of Econometrics, Madison, Wisconsin.
  • 2001: "Complex Unit Roots and Business Cycles: Are They Real?", York's Annual One-Day Meeting in Econometrics, U.K.

• Presentation of contributed papers at Econometric Society Meetings

  • 1972: Winter Symposium of the Econometric Society 1972, Le Breau, France.
  • 1982: Summer Meeting of the Econometric Society, Ithaca, NY.
  • 1984: ESEM, Madrid.
  • 1986-1989: ESEM, Budapest, Copenhagen, Bologna, Munich.
  • 1990: World Congress of the Econometric Society, Barcelona.
  • 1992-1997: ESEM, Brussels, Uppsala, Maastricht, Istanbul, Toulouse.
  • 1999: ESEM, Santiago de Compostela.
  • 2000: World Congress of the Econometric Society, Seattle.
  • 2001-2003: ESEM, Lausanne, Venice, Stockholm.

• Presentation of contributed papers at other conferences

  • 1984: Ecozoek Meeting, Amsterdam.
  • 1986: CAMP Econometrics, Lake Arrowhead, CA
  • 1986: INSEE Conference on Heterogeneity in Econometrics, Paris;
  • 1992: Bayesian and Classical Econometric Modeling of Time Series, Marseille
  • 1996: Texas Econometrics Camp.
  • 1999: Texas Econometrics Camp
  • 1999: Cowles Foundation Econometrics Conference
  • 2000: Conference on Economic Applications of Quantile Regression, Konstanz, Germany
  • 2001: 10th Annual Meeting, Midwest Econometrics Group, Chicago.

Teaching Experience and Supervision of Dissertations

• Teaching

  • Junior high school: Mathematics
  • Undergraduate: Microeconomics (UA, SMU); Mathematical economics (VU); Econometrics (VU, UCSD, PSU)
  • Graduate: Linear Algebra (SMU); Mathematical Statistics (UCSD, SMU, PSU); Econometrics (VU, SMU, PSU); Advanced Econometrics (VU, SMU, PSU); Applied Econometrics (SMU); Measure and Probability (SMU, PSU, UFC); Time series econometrics (PSU).

• Dissertation committees

  • Committee member:
    • Netherlands:
      • University of Amsterdam
      • Free University
      • Erasmus University Rotterdam
      • Technical University Eindhoven
      • Technical University Twente
      • University of Maastricht
      • University of Groningen
      • Tilburg University
    • USA:
      • Southern Methodist University (Economics, Mathematics);
      • PennState University (Economics, Agricultural Economics, Marketing, Finance)
  • External advisor:
    • Andre Hoogstrate (University of Maastricht, 1998)
    • Roberto Ferreira (CAEN, Universidade Federal do Ceara, Brazil, January-August 2004)
  • Co-chair:
    • F.H. Don (University of Amsterdam, 1986)
    • J. Kool (Free University, 1990)
    • E. Kroon (Free University, 1990)
    • Weipeng Kong (PSU, Finance, 2004)
    • Edward Glidewell (PSU, Finance, 2004)
  • Acting co-chair:
    • Leola Ross (SMU, 1994)
    • Dale Boisso (SMU, 1996)
  • Chair:
    • Completed:
      • Lourens Broersma (Free University, 1992)
      • Robert M. de Jong (Free University, 1993)
      • Shengyi Guo (SMU, 1993)
      • Jose Carvalho (PSU, 2002)
      • Hung-Pin Lai (PSU, 2003)
      • Guang Guo (PSU, 2004)
      • Luis Martins (PSU, 2005)
    • In progress:
      • Li Wang
      • Hosin Song

Current Research Interest

1. Semi-nonparametric specification.
2. Econometric analysis of stochastic dynamic general equilibrium models.
3. Time series econometrics: unit roots, cointegration, and nonlinear time trends in macroeconomic time series.
4. Model (mis)specification analysis in econometrics, and its application in empirical research.

Work in Progress and/or Papers Submitted for Publication

• Under revision for publication

  • 2003: "An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects" (with Jing-zhi Huang and Weipeng Kong)
  • 2002: "A Competing Risk Analysis of Recidivism" (with Jose Carvalho)

• Submitted for publication

  • 2005: "Semi-Nonparametric Modeling of Densities on the Unit Interval, with Applications to Censored Mixed Proportional Hazard Models and Ordered Probability Models: Identification and Consistency Results."
  • 2005: "Modeling Inter-Regional Migration in Western Germany" (with Tom Kontuly)
  • 2005: "Are Property-Casuality Insurance Reserves Biased? A Non-Standard Random Effects Panel Data Analysis" (with David F. Bradford)

• Papers in progress

  • 2002: "Conditional Treatment and its Effect on Recidivism" (with Jose Carvalho)
  • 2004: "Analysis of Dynamic Stochastic General Equilibrium Models: Using a Cash-In-Advance Model as an Example" (with Hung-Pin Lai)
  • 2005: "Semi-Nonparametric Estimation of First-Price Auctions Using Simulated Method of Moments" (with Hosin Song)
  • 2005: "Time Varying Cointegration" (with Luis Martins)
  • 2005: "Forecasting Brazilian GDP Growth Rate With Linear and Nonlinear Diffusion Index Models" (with Roberto T. Ferreira and Ivan Castelar)

Software

EasyReg International: This is an comprehensive interactive econometrics software package for Windows, written in Visual Basic 5. It is freely downloadable from web site http://econ.la.psu.edu/~hbierens/EASYREG.HTM

Publications

• Monographs

  • 2004: Introduction to the Mathematical and Statistical Foundations of Econometrics, Cambridge University Press (xvii + 323 pages).
  • 1994: Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time Series Models, Cambridge University Press (xii + 258 pages).
  • 1981: Robust Methods and Asymptotic Theory in Nonlinear Econometrics, Springer-Verlag (ix + 198 pages).

• Edited books

  • 1997: Nonlinear Models, Vol. I and II, Edward Elgar Publishing (with A. Ronald Gallant).
  • 1980: Samenleving en Onderzoek (Society and Research), Stenfert Kroeze (with J.J.Klant, W.Driehuis, and A.Butter).

• Refereed articles

  • 2005: "Econometric Analysis of Linearized Singular Dynamic Stochastic General Equilibrium Models", forthcoming in the Journal of Econometrics.
  • 2001: "Complex Unit Roots and Business Cycles: Are They Real?", Econometric Theory 17, 962-983.
  • 2001: "Integrated Conditional Moment Testing of Quantile Regression Models" (with Donna Ginther), Empirical Economics 26, 307-324.
  • 2001: "Unit Roots". Chapter 29 in: Badi H. Baltagi (ed.), A Companion to Theoretical Econometrics, Blackwell, 610-633.
  • 2000: "Nonparametric Nonlinear Co-Trending Analysis, with an Application to Inflation and Interest in the U.S.", Journal of Business & Economic Statistics 18, 323-337.
  • 2000: "The Econometric Consequences of the Ceteris Paribus Condition in Economic Theory" (with Norman R. Swanson), Journal of Econometrics 95, 223-253.
  • 1997: "Cointegration Analysis", in C. Heij, J.M. Schumacher, B. Hanzon and C. Praagman (Eds.), System Dynamics in Economic and Financial Models, John Wiley, 217-246.
  • 1997: "Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity, with an Application to the U.S. Price Level and Interest Rate", Journal of Econometrics 81, 29-64.
  • 1997: "Asymptotic Theory of Integrated Conditional Moment Tests", (with Werner Ploberger), Econometrica 65, 1129-1151.
  • 1997: "Nonparametric Cointegration Analysis", Journal of Econometrics 77, 379-404.
  • 1994: "On the Limit Behavior of a Chi-Square Type Test If the Number of Conditional Moments Tested Approaches Infinity", Econometric Theory 10, 70-90 (with Robert M. de Jong).
  • 1994: "Comment on 'Artificial Neural Networks: An Econometric Perspective'", Econometric Reviews 13, 93-97.
  • 1993: "The Relation Between Unemployment and Interest Rate: Some Empirical Evidence", Econometric Reviews 12, 217-256 (with Lourens Broersma).
  • 1993: "Higher-order Sample Autocorrelations and the Unit Root Hypothesis", Journal of Econometrics 57, 137-160.
  • 1993: "Testing Stationarity and Trend Stationarity Against the Unit Root Hypothesis", Econometric Reviews 12, 1-32 (with Shengyi Guo).
  • 1991: "Least Squares Estimation of Linear and Nonlinear ARMAX Models Under Data Heterogeneity", Annales d'Economie et de Statistique, 20/21, 143-169.
  • 1990: "Reply to Comments on 'Specification of Household Engel Curves by Nonparametric Regression'", Econometric Reviews 9, 203-210.
  • 1990: "Specification of Household Engel Curves by Nonparametric Regression (with discussion)", Econometric Reviews 9, 123-184 (with Hettie Pott-Buter)
  • 1990: "A Consistent Conditional Moment Test of Functional Form", Econometrica 58, 1443-1458.
  • 1990: "Model-Free Asymptotically Best Forecasting of Stationary Economic Time Series", Econometric Theory 6, 348-383.
  • 1990: "Testing the Recession Theory as an Explanation for the Migration Turnaround", Environment and Planning A, 22, 253-270 (with Tom Kontuly)
  • 1988: "Estimating a Hedonic Earnings Function with a Nonparametric Method", Empirical Economics 13, 267-294 (with Joop Hartog).
  • 1988: "Non-linear Regression with Discrete Explanatory Variables, with an Application to the Earnings Function", Journal of Econometrics 38, 269-299 (with Joop Hartog).
  • 1988: "Comment on 'Towards a Theory of Point Optimal Testing'", Econometric Reviews 6, 231-233.
  • 1988: "Reply to Comments on ARMA Memory Index Modeling of Economic Time Series", Econometric Theory 4, 70-76.
  • 1988: "ARMA Memory Index Modeling of Economic Time Series (with discussion)", Econometric Theory 4, 35-59.
  • 1987: "ARMAX Model Specification Testing, with an Application to Unemployment in the Netherlands", Journal of Econometrics 35, 161-190.
  • 1987: "Kernel Estimators of Regression Functions", in: Truman F.Bewley (ed.), Advances in Econometrics: Fifth World Congress, Vol.I, Cambridge University Press, 99-144.
  • 1985: "Population Forecasting at the City Level: An Econometric Approach", Urban Studies 22, 83-90 (with Roy Hoever).
  • 1984: "Model Specification Testing of Time Series Regressions", Journal of Econometrics 26, 323-353.
  • 1983: "Sample Moments Integrating Normal Kernel Estimators of Multivariate Density and Regression Functions", Sankhya Series B, 45 , 160-192.
  • 1983: "Uniform Consistency of Kernel Estimators of a Regression Function Under Generalized Conditions", Journal of the American Statistical Association 78, 699-707.
  • 1982: "Consistent Model Specification Tests", Journal of Econometrics 20, 105-134.
  • 1982: "A Uniform Weak Law of Large Numbers under phi-Mixing with Application to Nonlinear Least Squares Estimation", Statistica Neerlandica 36, 81-86.
  • 1980: "Consistent Selection of Explanatory Variables", Statistica Neerlandica 34, 141-150.

• Book review

  • 1996: "Estimation, Inference and Specification Analysis", by Halbert White. Journal of the American Statistical Association 91, p.1373.

• Non-refereed articles

  • 1987: "Specificatie-analyse in de econometrie" (Specification Analysis in Econometrics), Kwantitatieve Methoden 27 (1988), 5-26.
  • 1984: "Testing Parameter Constancy of Linear Regressions", in: T.Dijkstra (ed.): Misspecification Analysis, New York: Springer-Verlag, 104-117.
  • 1981: "Een vergelijkend onderzoek naar de financiele structuur van Amsterdam, Rotterdam, Den Haag en Utrecht" (A comparative study of the financial structure of the municipalities of Amsterdam, Rotterdam, The Hague and Utrecht), Bank en Gemeente 8, 55-60 (with R.Stoffel).
  • 1980: "Specificatie en Misspecificatie van het Econometrische Model: Problemen en Oplossingen" (Specification and Misspecification of the Econometric Model: Problems and Solutions), in J.J.Klant, W.Driehuis, H.J.Bierens, A.Butter (ed.), Samenleving en Onderzoek, Stenfert Kroeze, 413-432.

• Consultancy reports of the Foundation for Economic Research (SEO)

  • 1985: Naar een binnengemeentelijk uitkeringsstelsel. (Towards an intra-municipal endowment allocation system), with J.M.Meijering.
  • 1984: De regionale vraag naar kantoorruimte op middellange termijn; een modelmatige benadering. (The medium-term regional demand for office buildings; an econometric approach), with K.J.Alsem.
  • 1983: Meerjarenbegroting Lelystad 1983-1987. (The medium-term budget of Lelystad for 1983-1987), with R.Giebels.
  • 1983: Financien van Almere op lange termijn. (Long-term finance of Almere), with A.E.M.Diderich.
  • 1982: Financiele perspectieven van de gemeente Lelystad tot het jaar 2000. (Financial perspectives of the municipality of Lelystad until the year 2000), with R.Giebels & C.Teulings.
  • 1982: Groei, voorzieningen en financien van de gemeente Hoorn in de periode 1981-2000. (Growth, provisions and finance of the municipality of Hoorn in the period 1981-2000), with R.Giebels, R.Hoever and W.de Ruyter.
  • 1981: Een nadere analyse van het totale ambtelijke apparaat bij gemeenten. (A further analysis of the total number of civil servants of municipalities).
  • 1980: Vergelijkend onderzoek naar de financiele structuur en het voorzieningenniveau van Amsterdam, Rotterdam, Den Haag en Utrecht. Deel 2: Structuur van uitgaven en inkomsten over de periode 1948-1974. (A comparative study of the financial structure and the provisions of the municipalities of Amsterdam, Rotterdam, The Hague and Utrecht. Vol. 2: Structure of expenditure and income in the period 1947-1974), with J. Poelert and R.Stoffel.
  • 1979: De invloed van de fasering van de woningbouw op de ontwikkeling van Hoorn. (The impact of the phasing of residential construction on the development of Hoorn), with H.Jesse, R.Giebels, H.ten Napel, A.Stam and R.Stofberg.
  • 1978: Wegonderhoud en bodemgesteldheid in Gouda en andere gemeenten. (Road maintenance and the condition of the soil in Gouda and other municipalities), with R.Giebels & J.Poelert.
  • 1977: De gemeentelijke activiteiten in middelgrote gemeenten; een modelmatige benadering. (The activities of medium-size municipalities: an econometric approach), with G.J.S. Uhl.
  • 1975: De financiele consequenties voor de gemeente Hoorn van het al dan niet bebouwen van de Kersenbogaard. (The financial consequences for the municipality of Hoorn of residential construction in the 'Kersenbogaard'), with P.Kramer, R.Stofberg and G.J.S.Uhl.
  • 1974: De financiele consequenties van de groei van de gemeente Capelle aan den IJssel. (The financial consequences of growth for the municipality of Capelle aan den IJssel), with G.J.S.Uhl.