avatar Universiteit van Amsterdam Services
  • Location: NOORD-HOLLAND 
  • Founded: 1632-01-01
  • Website:

Pages

  • Page 1

    Annual Report 2003 Research Institute in Economics & Econometrics RESEARCH INSTITUTE OF THE FACULTY OF ECONOMICS & ECONOMETRICS UNIVERSITEIT VAN AMSTERDAM


  • Page 2

    RESAM, Research Institute in Economics & Econometrics Universiteit van Amsterdam Roetersstraat 11 NL-1018 WB Amsterdam Director : Prof.dr. J. Hartog Office: Drs B.C. Bouten T: +31-20-5255261 F: +31-20-5254026 E: resam-fee@uva.nl


  • Page 3

    CONTENTS PART A – THE RESEARCH INSTITUTE Chapter 1 Institutional Review 3 1.1 Mission Statement 3 1.2 Allocating resources 3 1.3 Strategy and policy 5 Chapter 2 Input 7 2.1 Researchers and other personnel 7 2.2 Resources, funding and facilities 9 Chapter 3 Current state of affairs 13 3.1 Processes in research, internal and external collaboration 13 3.2 Academic reputation 14 3.3 Overview of results 16 Chapter 4 Analysis, perspectives and expectations for the institute 19 4.1 SWOT Director RESAM 19 4.2 Assessment Council of Programme Leaders 19 PART B – RESEARCH PROGRAMMES UvA-Econometrics – prof.dr. J.F. Kiviet 23 Operations Research – prof.dr. N.M. van Dijk 35 Equilibrium, Expectations & Dynamics – prof.dr. C.H. Hommes 41 Actuarial Science – prof.dr. R. Kaas 49 Other research quantitative economics 61 The Transformation of Europe – prof.dr. R.M.W.J. Beetsma 63 Human Capital – prof.dr. J. Hartog 75 History & Methodology of Economics – prof.dr. J.B. Davis & dr. G.A.T.M. Reuten 95 Experimental and Political Economics – prof.dr. F.A.A.M. van Winden 105 Other research economics 121 SEO Amsterdam Economics – prof.dr. H.A. Keuzenkamp 121 APPENDICES Appendix I List of persons, commissions and addresses 135 Appendix II Abbreviations 141


  • Page 4


  • Page 5

    A The Research Institute


  • Page 6


  • Page 7

    Chapter 1: Institutional review 1.1. Mission statement RESAM has the following mission statement. * RESAM aims for research results that significantly improve our understanding of the operation of economic systems, the behaviour of agents in the economy, and the effects of economic policies. * RESAM facilitates and promotes research by faculty members of the FEE to foster the academic ideal of intertwined university research and teaching. RESAM (Research in EconomicS and econometrics AmsterdaM), is one of the research institutes of the Faculty of Economics & Econometrics. It was established in 1998 after the MUB (Wet Modernisering Universitair Bestuur (law on the modernizing of university management)) came in effect and it covers the wide area of economics and econometrics as can be seen from the names of the two Departments that employs its researchers: Algemene Economie (AE, economics) and Kwantitatieve Economie (KE, Quantitative Economics). Embracing the academic ideal of intertwined research and teaching implies broad coverage of research fields and topics. There is no emphasis on research in topics not related to the Faculty’s teaching programme. Research is organised in Research Programmes, directed by experts with core positions in the curriculum. Stimulating research that significantly improves our understanding of the economy is meant as a focus on fundamental research. In many cases, the inspiration for research questions derives from practical problems in business and society as well as from pressing problems for government policies, as is only natural for a social science. But the research results should primarily be reported to the international academic community and assessed against the quality standards that apply there. Such permanent quality assessment feeds back into the quality of instruction and advice given to business and the government. Contributions to public debates should be a consequence of developing reliable knowledge about the economy rather than a primary goal. RESAM closely co-operates with the Tinbergen Institute, where many of RESAM’s researchers are appointed as fellow. The Tinbergen Institute also acts as the graduate school for RESAM Ph.D. students. 1.2. Allocating resources The total faculty time budget available in the FEE, after deducting time for administrative positions (department chairpersons, curriculum co-ordinators, institute directors), is divided between the two research Institutes, RESAM and AgBS-RI. In principle time is equally allocated to teaching and to research. The department (Afdeling) is compensated by the research institute (RESAM for AE and KE) and the teaching institute (OWI) for research and teaching tasks the department provides. Faculty members in the AE and KE departments are annually assigned time for research on the basis of their publication records in the past three years. In this way RESAM tries to stimulate faculty to increase the quality and quantity of their output. 3


  • Page 8

    Publications are graded by quality level of the outlet. For journals, RESAM distinguishes · A: excellent, international top level Publications in A level journals set directions for research, by approach and by method. They select topics and set standards for analytical and methodological level. · B: good international level Publications in B level journals meet high analytic and methodological standards but have far less influence on direction and standards for future research. · C: international refereed journals These journals satisfy the minimum norm of aiming for an international audience, applying blind refereeing, and publish in an accessible language. Analytical and methodological standards satisfy a generally accepted minimum level. · D: other, non-refereed and refereed RESAM has drawn up a list of rankings of publication outlets (journals, publishing houses, conference proceedings, see the RESAM website www.fee.uva.nl/resam). The minimum norm for adequate research performance is formulated as 100 points over the past three years. An A-level publication counts for 100 points, a B-level for 50 points, and a C-level for 25 points in 2000 and 2001. Individual authors of a publication with n authors each get a share of 2/(1+n) points of the publication. The weight for C-level publications is being linearly reduced in three steps, with a 4


  • Page 9

    resulting weight of zero for research published in 2004. The new system has become operational for the research time assignment of the calendar year 2004 which has been calculated in 2003 on the basis of points earned by output published in 2000-2001-2002, for in 2002 a C publication counted for 16.67 points (2/3*25) for the first time. The system will be fully implemented when research time is allocated for 2008, on the basis of results from 2004-2005-2006, three consecutive years in which a C publication does not yield points. Research time assigned to individuals is related to publication points over the past three years as follows: 100 or more : 0.5 fte 50-99 : 0.25 fte 1-49 : 0.125 fte 0 : 0 fte For faculty members with part-time positions, norms and research time are adjusted proportionally. Fellows of the Tinbergen Institute, the graduate research school in which UvA, EUR and VU co- operate, have a five year protection period of their research time at the maximum of 0.5 of their working hours. Admission as TI Fellow is based on A- and B-level publications only (TI has its own grading of publications). New appointees are alloted the maximum research time for a period of three years. Aggregate research time remaining after individual allocations have been made is divided among Research Programmes, on the basis of performance (A-level publications, dissertations, reputation in the international research community). RESAM stimulates concentration of the faculty’s research in Research Programmes also by other means (such as a financial bonus for each completed dissertation and an annual amount for conference visits and other academic activities to the research programmes). However, up to now no extra research time has been available for the programme components due to the poor financial situation of the Faculty. New Ph.D. projects are assigned to supervisors in an open competition on the basis of research proposals submitted to RESAM, after ranking of the proposals by a committee specifically appointed for this task. The total number of available positions is usually 27fte per annum. This is determined from the targets set at the aggregate FEE level and a subsequent division between RESAM and AgBS-RI. Assignment is based on quality and relevance of the proposal, the supervision record of the applicant, and a balanced division of Ph.D. positions across the research programmes. Several Ph.D. positions are earmarked as a bonus for external research funding or for newly hired professional staff. When only a few positions are available in a given year RESAM may choose not to have an open competition but to assign positions to professors on the basis of strategic considerations or performance of the research programme. At least once a year RESAM hosts a convocation of the Council of Programme Leaders to discuss the results of the past year and plans for the future. The Director of the research institute, furthermore, has contact with the Dean on a regular basis. 1.3. Strategy and policy After the VSNU Quality Assessment of Research in 1995, the Faculty started a process of realigning its research efforts by reducing the amount of research programmes. Before this assessment there were 25 programmes but in the next Quality Assessment (2001) only 14 programmes were submitted for evaluation. Several programmes in economics and econometrics were merged while research in the fields of marketing and management were discontinued. Thereafter the faculty has successfully focused its research programme even further. In 2002 the AgBS-RI (Amsterdam graduate Business 5


  • Page 10

    School Research Institute) was established to stimulate research in business studies (with the three former RESAM programmes of Accounting, Organisations and Society, Corporate Finance and Financial Systems and Information Management). RESAM continued with eight 1 research programme plus the SEO.2 RESAM aims to reach its goals by organising, stimulating and monitoring Research Programmes. Annually, Programme performance is assessed. Means are allocated to Programmes based on performance. Research coverage is not directed and controlled by the Faculties management, but develops in an open competitive environment. General policy issues are discussed at the annual convocation of the Council of Programme Directors. Research highlight: Arthur Schram. How to explain homo economicus’ cooperative behavior? M ost economic models and theories take self-int erest ed agent s as st art ing point f or explaining economic behavior. I n t he economic pract ice however, as st udied in economic experiment al laborat ories, economist s f ind many f orms of f ormal and inf ormal cooperat ion between people. The biologists M artijn Egas and M aus Sabelis, my colleague Arno Riedl and I try to find an explanation for this behavior in evolutionary biology. Economics has a reputation of abstract theories and game theoretical models. It is however, also an experiment al science. The models developed by experiment al economist s claim t o explain behavior observed in t he laborat ories bet t er t han ot her economic t heories. This kind of research is also conducted at the FEE, in the Center for Research in Experimental Economics and Political Decision-M aking (CREED). When you put a set of people in a laborat ory and give t hem money and some rules t hat make t hem dependent on each ot her, , very of t en some kind of cooperat ion develops; a group process in which self-int erest becomes subdued t o group int erest . People seem t o realize t hat self -int erest can be better served by not pushing it too much and by putting group interest first. Support of NWO will make it possible for this unique combination of economists and biologists to do large scale research on cooperat ive behavior and t o appoint a set of young researchers t o work on t his project . We are not only int erest ed in t he emergence of cooperat ion but also how it develops int o inst it ut ions and organizat ions. I n t he economy, inst it ut ions are cent ral: t he market , t he st ock market , banks and insurance companies, polit ical and ot her governance organizat ions, t hese are all inst it ut ionalized f orms of cooperat ion. As yet , however, t here are no sat isf act ory explanations for the emergence and existence of institutionalized social behavior. Our research group will investigate how and why social inst it ut ions emerge simult aneously wit h t he development of social behavior. We will simulat e sit uat ions in which a group of individuals can do much bet t er by each individual sacrif icing t he direct own int erest in f avor of t he group well-being. This way we hope to find explanations for the emergence of norms and values in the economy and for the influence of informal networks and f ormal inst it ut ions such as t he government and labor unions. Quest ions around cooperat ive behavior and inst it ut ions are import ant t hemes in evolut ionary biology. Cooperat ive behavior has under many species taken the form of some kind of institution. Think of t he organizat ion of a bee-hive wit h it s t ask division, f or inst ance. I n human societ y inst it ut ions are highly developed because of our communicat ion skills and t echniques. This makes humans very int erest ing ‘guinea pigs’ f or research on cooperat ive behavior. Six years ago t he biologist I ngrid Seinen st art ed her Ph.D. research at CREED on t he evolut ionary biological basis of cooperat ive behavior. This st art ed t he dialogue bet ween biologist s and economist s on a t opic t hat is really hot t oday. Since t he 1960’s biologist s had neglect ed group select ion. The at t ent ion had shif t ed t o t he evolut ionary advant age of individuals that free ride on the group. The question of why there is social and cooperative behavior at all could, however, not be explained. Biologist s now realize t hat cooperat ive behavior cannot be explained purely f rom kinship relat ions, indirect reciprocity seems the best alternative candidate explanation. 1 In 2004 a new research programme has been established: ENCORE. This small programme conducts research in the field of Industrial Organization, with an emphasis on issues of competition and regulation. 2 The SEO has a rather special status. It is a foundation for commercial contract research which seeks to benefit from interaction with academic research. By special agreement SEO is compensated for publication in the international academic community and is also considered as one of RESAMs research programmes. 6


  • Page 11

    Chapter 2: Input Personnel policy and human resource management is the domain of the department chair (Afdelingsvoorzitter). Although, using the system to allocate research time described above, RESAM encourages the department to hire good researchers and to stimulate faculty to increase the quality and quantity of academic publicatio ns, it cannot exert direct influence on personnel policy. 2.1. Researchers and other personnel The tables below give some information on RESAM faculty. Most faculty are in the ranks of professor and Ph.D. student. The number of post-docs has increased substantially, to 20, in 2002 and 19 in 2003. In 2000 only 11 postdocs worked at the FEE and their numbers were even less in the years before. The share of women in academic positions is still low in all categories except Ph.D. students although a slight decrease can be detected there. Only at SEO a rather balanced mix of male and female researchers can be found. The large share of women in ‘Other Scientific Staff’ can be mainly attributed to SEO. Although most researchers are paid through regular funding, about 40% are ‘tweede geldstroom’- researchers, showing the FEE has done well in attracting external funds. On the whole RESAM researchers have had no trouble to adapt to the stricter publication norms, in fact most have continued performing on a high level without needing to change their strategy. Table 1: Research staff at institutional level INPUT RESAM 2003 fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 21.44 24.12 24.03 WP 2 (second flow of funds, excl. Ph.D.'s) 7.60 12.75 14.90 WP 3 (third flow of funds, excl. Ph.D.'s) 26.67 26.18 26.33 Ph.D. students 15.95 17.28 18.69 Total Research staff 71.66 80.33 83.95 Support staff RESAM (bureau) 0.60 0.60 0.60 Total Staff 72.26 80.93 84.55 7


  • Page 12

    Table 2: Research staff at programme level UvA-Econometrics fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 3.96 3.73 4.14 WP 2 (second flow of funds, excl. Ph.D.'s) 0.50 1.75 1.80 WP 3 (third flow of funds, excl. Ph.D.'s) 0.00 0.00 0.00 Ph.D. students 1.40 1.15 1.80 Total Research staff 5.86 6.63 7.74 Operations Research fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 1.66 1.50 2.01 WP 2 (second flow of funds, excl. Ph.D.'s) 0.00 0.00 0.00 WP 3 (third flow of funds, excl. Ph.D.'s) 0.00 0.00 0.00 Ph.D. students 0.00 0.15 0.68 Total Research staff 1.66 1.65 2.69 Equilibrium, Expecatations & Dynamics fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 1.42 1.71 1.76 WP 2 (second flow of funds, excl. Ph.D.'s) 2.40 2.86 2.35 WP 3 (third flow of funds, excl. Ph.D.'s) 0.00 0.00 0.00 Ph.D. students 2.80 2.90 3.80 Total Research staff 6.62 7.47 7.91 Actuarial Science fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 0.95 0.79 1.26 WP 2 (second flow of funds, excl. Ph.D.'s) 0.00 0.65 0.80 WP 3 (third flow of funds, excl. Ph.D.'s) 0.27 0.27 0.37 Ph.D. students 0.20 0.82 0.96 Total Research staff 1.42 2.53 3.39 The Transformation of Europe fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 4.62 5.13 4.27 WP 2 (second flow of funds, excl. Ph.D.'s) 0.00 0.00 1.26 WP 3 (third flow of funds, excl. Ph.D.'s) 0.10 0.11 0.11 Ph.D. students 2.46 2.41 2.85 Total Research staff 7.18 7.65 8.49 Human Capital fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 4.51 5.66 4.59 WP 2 (second flow of funds, excl. Ph.D.'s) 4.40 6.69 7.89 WP 3 (third flow of funds, excl. Ph.D.'s) 0.53 0.90 1.04 Ph.D. students 4.11 5.65 5.35 Total Research staff 13.55 18.90 18.87 History & Methodology of Economics fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 1.72 1.72 1.65 WP 2 (second flow of funds, excl. Ph.D.'s) 0.00 0.00 0.00 WP 3 (third flow of funds, excl. Ph.D.'s) 0.00 0.00 0.11 Ph.D. students 1.33 0.85 0.00 Total Research staff 3.05 2.57 1.76 8


  • Page 13

    Table 2: Research staff at programme level (continued) Experimental & Political Economcis fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 2.60 3.88 4.35 WP 2 (second flow of funds, excl. Ph.D.'s) 0.30 0.80 0.80 WP 3 (third flow of funds, excl. Ph.D.'s) 1.07 0.20 0.00 Ph.D. students 2.65 2.35 2.45 Total Research staff 6.62 7.23 7.60 SEO fte 2001 2002 2003 WP 1 (first flow of funds, excl. Ph.D.'s) 0.00 0.00 0.00 WP 2 (second flow of funds, excl. Ph.D.'s) 0.00 0.00 0.00 WP 3 (third flow of funds, excl. Ph.D.'s) 24.70 24.70 24.70 Ph.D. students 1.00 1.00 0.80 Total Research staff 25.70 25.70 25.50 Table 3: ranks at programme level Research program Hgl Uhd Ud Oz Pdoc Ph.D. Guest/Other Total # fte # fte # fte # fte # fte # fte # fte # fte UvA- Econometrics 4 1.61 3 1.35 3 1.73 0 0.00 2 1.25 3 1.80 0 0.00 15 7.74 Operations research 2 0.45 1 0.35 3 1.21 0 0.00 0 0.00 2 0.68 0 0.00 8 2.69 Equilibrium, expectations & dynamics 1 0.50 1 0.50 3 0.76 1 0.15 5 3.00 5 3.00 1 0.00 17 7.91 Actuarial science 5 0.95 1 0.42 1 0.16 2 0.10 1 1.00 2 0.96 0 0.00 12 3.59 Other research quantitative economics 0 0.00 1 0.16 2 0.29 0 0.00 0 0.00 0 0.00 0 0.00 3 0.45 The Transformation of Europe 6 1.73 2 0.31 6 1.59 2 0.63 3 1.38 7 2.85 3 0.00 29 8.49 Human Capital 6 2.83 4 2.30 3 1.50 6 1.88 7 5.01 10 5.35 2 0.00 38 18.87 Methodology & History of Economics 4 0.46 2 0.90 1 0.40 0 0.00 0 0.00 0 0.00 2 0.00 9 1.76 Experimental & political economics 4 2.32 2 1.33 1 0.50 0 0.00 1 1.00 5 2.45 3 0.00 16 7.60 Other research economics 0 0.00 1 0.13 1 0.00 0 0.00 0 0.00 0 0.00 0 0.00 2 0.13 Foundation for economic research 5 2.58 0 0.00 0 0.00 25 22.12 0 0.00 2 0.80 0 0.00 32 25.50 Total 37 13.43 18 7.75 24 8.14 36 24.88 19 12.64 36 17.89 11 0.00 181 84.73 * hgl=professor, uhd=associate professor, ud=assistant professor, oz=researchers, pdoc=postdoctoral fellow 2.2. Resources, funding and facilities In 2003 RESAM had to deal with several cutbacks. The second research institute of the FEE, AgBS- RI, was formally established in 2002. Budget was first allocated for the fiscal year 2004. In 2003, however, the Dean decided to split the available non-staff budget between the two research institutes on the basis of fte. This meant that RESAM received approximately two-thirds of its original budget. This severely limited this institutes policy to fund research activities since well over 80% of all those who received funding (TI-fellow grants, grants for conference visits etc.) were RESAM researchers. I.e. this meant less money for equal responsibilities. Table 4: Budget 2003 RESAM RESAM (inM€) Budget 2002 Budget 2003 Realisation 2003 Realisation 2002 Incomes Government grant 4.3 5.3 5.3 5.5 External sources 1.5 1.3 2.0 1.3 Total 5.8 6.6 7.3 6.8 Expenditures Personnel (PL) 5.1 5.4 6.0 5.7 academic staff 4.2 5.3 4.9 administrative staff 0.7 0.7 0.7 others 0.2 0.0 0.1 Other (OL) 0.9 0.6 1.6 1.2 Total 6.0 6.0 7.6 6.9 9


  • Page 14

    Because of the overall poor financial situation of the FEE, cutbacks had to be made at every level. For RESAM this meant that the financial bonus for each completed dissertation to research programmes had to be withdrawn. In 2000, about € 110.000,- was reserved for this; a rather large sum compared to the overall other funds directly available to researchers (Fellow Budget, budgets for Conference Visits and Organisation). In addition to this, the Dean was forced to freeze all vacancies in 2003. This measure had the unfortunate consequence of diminishing the overall number of Ph.D. students working at the Faculty. Although beneficial to RESAM’s short-term financial situation it wasn’t without detriment to one of the institute’s core activities and might prove to have some negative financial consequences in the future since research institutes will be partially funded on the basis of the number of successfully defended theses. These budget-cuts notwithstanding, RESAM decided to pursue its policy of giving individual programmes their own budgets. The money reserved for Tinbergen Fellows, visits and organisation of conference and of the planned magazine was directly allocated to the Research Programmes on the basis of fte and relative performance. Detailed information can be found in the individual programme chapters under ‘resources and funding’, totals are shown in the second part of table 5, below. The main reason why programmes have only used two-thirds of the money allotted to them is because this was done fairy late in the year, and individual programmes needed time to make a model for internal allocation. Because the money carries over to the next year the funds will not be lost to the research programmes. Table 5.1: Funding and expenditure at institutional level: 1st flow of funds per 31 December 2003, in € Budget Exploitation %Budget COST CENTRES* 2003 2003 73001 Academic Staff 3,574,200- 3,588,960- 100.4 73002 Ph.D. students 1,156,800- 1,000,584- 86.5 73011 Non-academic staff RESAM 701,200- 696,578- 77.8 73036 Resam Quarterly 12,000- 73037 Inaugural lectures 7,900- 8,415- 106.5 73039 Bonus for Ph.D. students 19,000- 13,163- 69.3 73040 Other 2,000- 5,554- 277.7 73041 Tinbergen Research Institute 85,000- 102,220- 120.3 73042 Tinbergen Graduate School 153,000- 169,361- 110.7 73043 Tinbergen Fellows 30,000- 73044 Ph.D. networks 20,000- 15,958- 79.8 73045 Bonus for thesis supervisors 17,472- 73046 Conference visits 28,000- 264- 0.9 73047 Organisation of conferences 10,000- 73051 Scholar 6,807- 8,827- 129.7 73052 Other matching '2de geldstroom' 45,000- 73056 Data collection 10,000- 22,170- 221.7 73095 Income research institute 5,231,283 5,055,200 96.6 73099 Compensation research institute 108,900 108,900 100.0 Total profitcenter 520,724- 485,425- 93.2 * Several costs centres that now fall under AgBS-RI have been excluded. The actual total budget was € 9.076,- higher and the actual total exploitation € 7.023,- higher if these are included. 10


  • Page 15

    Table 5.2: 2003 funding and expenditure at programme level: 1st flow of funds Budget Exploitation % budget ORDERS: Programmes Eerste geldstroom 2010031 Empirical Econometric Methods 7,826 7,022- 89.7 2010032 Operations Research 3,782 4,442- 117.4 2010033 Actuarial Science 2,991 354- 11.8 2010034 Transformation of Europe 9,150 5,757- 62.9 2010035 Methodology, History of Econ. 2,286 2,411- 105.5 2010036 Human Capital 10,208 8,923- 87.4 2010037 Experimental Political Econ. 8,961 5,558- 62.0 2024002 CeNDEF** 6,223 - - 2010038 SEO Total 51,427 34,467- 67.0 ** CeNDEF programme funds were added to the ‘2de geldstroom’ matching of this NWO programme. RESAM researchers were very successful in securing external funding. Among the grants received in 2003 were, a major research grant (1.25 million euro, NWO-VICI) for the project “Licence auctions: theory, policy, and experiments” (Jacob Goeree, CREED), an NWO (post-doc) grant for the project “The co-evolution of social behavior and social institutions: a combined theoretical and experimental approach”, joint with biologists from the Universiteit van Amsterdam, in the NWO-program Evolution and Behaviour (Arthur Schram and Arno Riedl, CREED), and an NWO VIDI research grant for the proposal “Intergenerational mobility and the nature and nurture of economic outcomes” (Erik Plug, Human Capital). Furthermore Kees Jan van Garderen’s KNAW Research Fellowship was extended for the proposal on “Conditional Inference and Small Samples in Econometrics” (Van Garderen, UvA-Econometrics). 11


  • Page 16

    Research highlight: Hessel Oosterbeek. Explaining Wage Inequality. Wage inequalit y dif f ers subst ant ially across count ries, and is larger in t he U S t han in cont inent al European count ries. This is especially t he case at t he bot t om of t he wage distribution. Economists debate about the causes of these differences. Some argue that dif f erences in inst it ut ions across count ries are t he driving f orce, while ot hers make a case f or dif f erences in demand and supply f orces. According t o t he inst it ut ions-explanat ion, high minimum wages, employment prot ect ion and a dif f erent role f or unions are responsible f or t he relat ively f avorable labor market posit ion of t he low skilled in count ries like Sweden, Germany, Switzerland and the Netherlands. According to the demand and supply- explanat ion, relat ive wages of low skilled workers in t he U S are lower t han elsewhere as a result of an abundant supply of low skilled workers in t he U S. M easurement of skills such that they are comparable across countries complicates the testing of the demand and supply-explanat ion. I n an inf luent ial st udy Cornell U niversit y economist s Blau and K ahn measured skills as a composit e of years of schooling and years of work experience. 3 On t he basis of t his skill measure t hey divided t he U S workf orce int o t hree equally sized skill groups: low, int ermediat e and high. Employees in t en ot her count ries are t hen also assigned t o skill groups based on t he cut of f s bet ween t he skill groups in t he U S. The t est is relat ively st raight f orward: if t he average wage of low skilled workers compared t o int ermediat e skilled workers is lower in the U S than in Germany one would expect that low skilled workers are relatively more abundant (compared t o int ermediat e skilled workers) in t he U S t han in Germany. Based on t his procedure, Blau and K ahn dismissed the demand and supply explanation because t hey f ind no relat ion bet ween t he relat ive wage posit ion of a skill cat egory and its relative supply. I n our paper “Explaining int ernat ional dif f erences in male skill wage dif f erent ials by dif f erences in demand and supply of skill” (Edwin L euven, Hessel Oost erbeek and Hans van Ophem, published in t he Economic Journal 114 (April 2004), 466- 486) we argue t hat Blau and K ahn’s procedure breaks down because t he skill measure t hey const ruct implicit ly assumes t hat years of schooling and years of working exper ience are comparable across count ries. I t t heref ore ignores dif f erences in educat ion syst ems and post -school t raining syst ems across count ries, and will result s in wrong rankings if t hese dif f erences mat t er. To illust rat e t he issue, Blau and K ahn's numbers imply t hat half of t he German workf orce belong t o t he lowest third of the workforce in the U S. A conclusion that might be difficult to believe. I nst ead of using educat ion and t raining out comes, our paper relies on inf ormat ion f rom lit eracy and numeracy t ests that were developed with the explicit aim of being comparable across countries. Employees in fifteen different countries participated in the so-called I nt ernat ional Adult L it eracy Survey. Perf orming t he analysis using t his direct skill complet ely reverses the conclusion obtained by Blau and K ahn. A larger relative net supply of a skill group is associated with lower relative wages of that same skill group. M ore specifically, low skilled employees are relatively worse off in the U S than their counterpart s in continental Europe, not because they lack the protective labor market institutions but because there are so many of them. Reducing the supply of low skilled employees may therefore after all be an effective means to improve their relative wages. 3 F.D. Blau and L.M. Kahn (1996). International differences in male wage inequality: institutions versus market forces, Journal of Political Economy 104, 791-837. 12


  • Page 17

    Chapter 3: Current state of affairs 3.1. Processes in research, internal and external collaboration RESAM allocates resources, after evaluating past performance. RESAM stimulates and facilitates application for external funding (NWO, KNAW, EU). In general, the research institute tries to stimulate and active research environment, by a financing weekly general seminar, where participants from all Research Programmes meet, and it tries to assist Programme members, when necessary, by providing them with information and administrative support. Actual research management takes place within the Research Programmes. Decisions on research strategies, research topics, joint work, participation in international networks , publication outlets are all taken within these Programmes, sometimes by the Programme director, but mostly in an informal way by direct communication and interaction within these groups. Research groups are typically small and interaction is frequent, direct and effective. RESAM basically monitors and controls by rewarding output. Another way in which RESAM tries to create a stimulating research environment is by sponsoring and participating in the Tinbergen Institute (TI). Two other Dutch universities (Erasmus University and Free University) participate in the TI. It is their joint graduate school and facilitates exchange amongst its fellows (top researchers of the three participating faculties) by hosting several seminars and publishing a discussion paper series. As a graduate school, the Tinbergen Institute, initiated some major changes in 2003. With the introduction of the Bachelor-Master structure in the Netherlands the TI has chosen to offer a two-year research master (Master of Philosophy in Economics). These two years are basically part of a five- year Ph.D. track. Up until last year most Dutch Ph.D. students started their work after four years of university education. The first year of our Ph.D. students’ four-year term usually consisted of additional courses at the Tinbergen Institute which left three years for actual research. The new master will be an integration of this ‘old first year’ together with the last ‘normal university year’. Instead of 4-4 track (which usually was a 4-1-3 track) there will now emerge a 3-2-3 system. The advantage of this system is that the new TI-master offers students an excellent research-oriented two-year programme with good opportunities to meet top-level supervisors (TI-fellows). The number of students starting a Ph.D. training has declined strongly in recent years (four projects started in 2003, thirty in 2002, four in 2001, thirteen in 2000 and seven project will probably start in 2004). The jump from 2001 to 2002 was due to postponing entry as a result of a new system of financial support 4 . The strong drop in 2003 and 2004 was a consequence of a financial crises. Table 6: Ph.D. graduations by cohort 5 Cohort 1992 1993 1994 1995 1996 1997 1998 1999 Total/Average Projects started 24 11 13 13 13 16 17 15 122 Graduated/Total 15/24 8/11 11/13 7/13 8/13 11/16 5/17 3/15 68/122 Fraction graduated from total 0.63 0.73 0.85 0.54 0.62 0.69 0.29 0.20 57% Graduated within 60 months 10/15 6/8 5/11 3/7 3/8 10/11 5/5 3/3 45/68 Fraction graduated within 60 months 0.67 0.75 0.45 0.43 0.38 0.91 1.00 1.00 70% Average duration to completion in months 66.1 58.8 63.6 66.6 60.3 54.0 52.6 48.8 58.85 As can be seen in table 6, on average, graduates needed 59 months from start of the contract to actual graduation. If a thesis is accepted by the supervisor, it easily takes four months until actual graduation (6 weeks for the committee to read and react, communication to the dean and the office of the pedel, 4 The ‘bursaal’-system was abolished in favor of the ‘AIO’-system. In the former system Ph.D. students are not employed by the unversity but received a scholarship whereas in the latter system the Ph.D. students are employees with concommitant rights and legal positions. 5 Including all the Ph.D. students of the faculty (also those now under the Amsterdam graduate Business School Research Institute). 13


  • Page 18

    time to print, etc). Adding queuing time for the auditorium, a lag of up to six months after the expiry date of the contract time is quite normal. Hence, average completion time of 59 months for the first 57%, compared to a formal minimum of some 54 months is not bad. Reason for real concern is the overall low percentage of graduations (57%) although it proves difficult to take measures to increase this percentage. Ph.D. students 01/01/03 Ph.D. students 31/12/03 Bajdechi, S. Al-Ibrahim, A. Brouns, G. Bajdechi, S. Cardoso, P. Cheng, Y. Cheng, Y. Daniels, T. Dindo, P. Dindo, P. Ferrer-i-Carbonell, A. Gillet, J. Gillet, J. Gustafsson, E. Gustafsson, E. Haijema, R. Haijema, R. Heemeijer, P. Heemeijer, P. Hoog, S. van der Hoog, S. van der Hopfensitz, A. Hopfensitz, A. Horen, N. van Horen, N. van Joseph, A. Hu,Y. Klaveren, C. van Joseph, A. Kuilen, G. van der Klaveren, C. van Kusmerski-Bilard, D. Kuilen, G. van der Laeven, R. Kusmerski-Bilard, D. Leefmans, N. Laeven, R. Maximiano, S. Leefmans, N. Panchenko, V. Maximiano, S. Ploeg, A. van der Panchenko, V. Reuben-Paris, E. Ploeg, A. van der Ribeiro, M. Reuben-Paris, E. Rusinova, D. Ribeiro, M. Schouwstra, M. Rusinova, D. Schrager, D. Schouwstra, M. Schreuder, K. Schrager, D. Sluis, J. van der Schreuder, K. Weide, R. van der Sluis, J. van der Yergou, S. Ule, A. Weide, R. van der Yergou, S. Total: 33 Total: 30 Same: 28 Same: 28 Other: 5 Other: 2 Table 7: Ph.D. students throughout 2003 3.2. Academic reputation In 2003, CentER, the research institute in economics of Tilburg University, again drew up a ranking of Dutch economists and one of Dutch institutes. FEE ranked 4th , the same position it occupied in the 1999 ranking but in 2003 it was just behind the number three (VU) whereas in 1999 it ranked only slightly above the number five. Seven FEE researchers (six from RESAM) were listed in the Top 40 of Dutch economists, CREEDs Peter Wakker taking the first position. Since the Tilburg rankings were based on rather old publication records6 it is to be expected that the FEE will do even better in the years to come. A ranking based on weighted publications exploits only one dimension of research performance. A ranking of European academic institutions in 19997 , based on articles published in the ten most prestigious international journals from 1991 to 1996, has FEE ranking 17th . This puts FEE ahead of all 6 Only the publications from 1997-2001 on the ISI CD-ROMs were used. Because of this several publications from 2001 that were not on the CD-ROM were excluded from the calculation. 7 P. Kalaitzidakis, T.P. Mamuneas & T. Stengos (1999). European economics: an analysis based on publications in the core journals, European Economic Review, 43 (4-6), 1150-1168. 14


  • Page 19

    other Dutch institutions: Tilburg (19), Maastricht (37), Erasmus (42), Groningen (55), Leiden (58), Nijmegen (81), Utrecht (97) and the Free University (111). Output is not scaled by size of the institute. The top ranking institution (LSE) has published almost 400 AER (American Economic Review) equivalent pages, the top-ten all publish in excess of 140 AER equivalent pages. FEE published 86, Tilburg 80 pages, and all other Dutch institutions below 40 pages. Table 8: Editorial positions Editors Name Editorship Journal Ranking IF Bethlehem, J. Editor Journal of the Royal Statistics Society, Series A 1.315 Blaug, M. Member editorial board Feminist Economics B 0.361 Bleichrodt, H. Associate editor European Economic Review A 0.726 Bleichrodt, H. Associate editor Journal of Health Economics B 1.716 Bleichrodt, H. Member editorial board Medical Decision Making 1.915 Dhaene, J. Associate editor Insurance: Mathematics and Economics A 0.606 Ellman, M.J. Associate editor Cambridge Journal of Economics B 0.688 Goeree, J.K. Associate editor Games and Economic Behavior A 0.887 Gooijer, J.G. de Editor-in-chief International Journal of Forecasting B 0.500 Goovaerts, M.J. Editor Insurance: Mathematics and Economics A 1.606 Goovaerts, M.J. Editor Journal of Computational and Applied Mathematics 0.564 Hartog, J. Member editorial board Economics of Education Review B 0.587 Hartog, J. Member editorial board Labour Economics B 0.591 Hinloopen, J. Co-editor Review of Industrial Organization B 0.350 Hommes, C. Associate editor Computational Economics B Hommes, C. Editor Journal of Economic Dynamics and Control A 0.738 Hommes, C. Associate editor Macroeconomic Dynamics B 0.872 Hommes, C. Associate editor Nonlinear Science 1.167 Hommes, C. Associate editor Quantitative Finance B Kaas, R. Managing editor Insurance: Mathematics and Economics A 2.606 Kleibergen, F.R. Associate editor Economics Letters B 0.240 Kuiper, E. Associate editor Feminist Economics B 1.361 Morgan, M.S. Member editorial board History of Political Economy A 0.220 Oosterbeek, H. Associate editor Economics of Education Review B 1.587 Praag, B.M.S. van Associate editor Journal of Economic Inequality B Praag, B.M.S. van Associate editor Journal of Economics B 0.200 Praag, C.M. van Member editorial board Small Business Economics B 0.250 Schram, A. Editor Experimental Economics B Sonnemans, J. Member editorial board Quantitative Finance B Tuinstra, J. Special issue editor Journal of Economic Dynamics and Control A 1.738 Volgenant, A. Advisory editor Computers and Operations Research C 0.446 Wakker, P.P. Member editorial board Journal of Behavioral Decision Making 1.065 Wakker, P.P. Associate editor Journal of Risk and Uncertainty A 0.846 Wakker, P.P. Associate editor Management Science A 1.349 Wakker, P.P. Member board consulting editors Theory and Decision 0.286 Winden, F.A.A.M. van Editor European Journal of Political Economy B Winden, F.A.A.M. van Member editorial board Public Choice B 0.343 Wolthuis, H. Associate editor Insurance: Mathematics and Economics A 1.606 A ranking published in 2003, drawn up for the European Economic Association, puts the FEE at rank 9 in Europe. The ranking covers the period 1995-1999 and is based on the thirty most prestigious journals 8 . Tilburg takes up rank 1 in Europe, Erasmus is at 14, VU at 30, Groningen at 59, Maastricht at 74. A ranking based on publication in some 650 journals in the period 1994-1998 puts UvA at rank 7 in Europe (Tilburg at 5, EUR at 8, VU at 19, Maastricht at 27 and Groningen at 29) 9 . As table 8 indicates RESAM faculty members take up many positions as editors or associate editors of top-ranking international journals. Membership of editorial boards is also frequent. Table 9 shows that even relatively recent publications are well-cited by the academic community. Overall, RESAM clearly has managed to become one of the major research institutes in Europe. 8 P. Kalaitzidakis, T. Mamuneas & T. Stengos (2003). Rankings of economic journals and institutions in economics. Journal of the European Economic Association, 1, (6), 1346-1366. 9 http://cwis.kub.nl/~few/few2/nieuws/Eurotop.htm 15


  • Page 20

    Table 9: Citations 10 Name Rank Dept. Programme Sex # of Cites to publications from 1997-2002 Morgan,M.S. HGL AE Methodology & History of Economics F 53 Goovaerts, M.J. HGL KE Actuarial Science M 61 Dhaene,J. HGL KE Actuarial Science M 72 Beetsma,R.W.M.J. HGL AE The Transformation of Europe M 73 Goeree, J. HGL AE Experimental & Political Economics M 102 Wakker, P.P. HGL AE Experimental & Political Economics M 160 Hommes,C.H. HGL AE Equilibrium, Expectations & Dynamics M 164 3.3. Overview of the results Table 10.1: Aggregated results of the institute 11 Ac.ref (excl. Working & Fte wp1 Ac.nonref Ac.non-ref Prof. Pop. Research programme books) Ac.ref (books) (ex. books) (books) Discussion publ. publ. excl. Papers Ph.D.'s METIS code A B C A B C RES - EEM UvA-Econometrics 5 8 - 1 - 1 3 1 15 3 1 4.14 RES - OON Operations Research - 4 - - - - 1 - 9 - 2 2.01 RES - E&D Equilibrium, Expectations and Dynamics 3 8 - - - - - - 13 1 2 2.56 RES - ACT Actuarial Science 2 10 4 - 1 - 11 7 33 11 2 1.26 RES - TOE Transformation of Europe 4 9 1 1 2 1 19 6 15 5 1 4.27 RES - HUM Human Capital 4 15 5 1 3 1 13 13 37 3 15 5.01 RES - HME Methodology & History of Economics 2 2 3 5 6 1 9 2 6 3 7 1.65 RES - EXP Experimental & Political Economics 9 3 - 1 4 - - - 39 1 3 4.35 SEO - SEO SEO-Amsterdam Economics - 3 1 - 1 - 51 1 - 24 37 0.00 RES-OVO Other Research KE - 2 - - - - - - - - - 0.45 RES - OVO Other Research AE - - - - - - - - - - - 0.13 Total Total* 26 62 14 9 17 4 107 30 167 51 70 25.83 Figure 2: Number of publications 1996-2003 A B C 80 B/R ONB 70 60 50 40 30 20 10 0 1996 1997 1998 1999 2000 2001 2002 2003 RESAM RESAM B/R=Books and reports, ONB=unknown 10 RESAM has calculated the number of citations of it’s researchers using the ISI database available on the Internet. The results are presented above in table 6. The calculation has been done in the following way. First, within a two-week time span, (summer 2003) a query using the ISI database has been done using the names of all RESAM researchers and an additional check was made using the lists of publications of the researchers. In cases of ‘difficult’ names (i.e. names with a possibility of being spelt in more than one way) two or more queries were done (for example using ‘wijnbergen s*’ and ‘vanwijnbergen s*’). Only researchers that were cited 50 or more times are listed. 11 As of this year, only publications of faculty on which their UvA-affilition is mentioned, will be counted in the tables and figures. 16


  • Page 21

    Table 10.2: Aggregated results of the institute RESAM 2003 1) Academic publications a) in refereed journals A 26 B 62 102 C 14 b) in other journals 95 c) book chapters A 8 B 16 28 C 4 Other 25 d) in proceedings 12 Total 265 2) Monographs A 1 B 1 2 C 0 Other 5 3) Ph.D. theses 6 4) Professional publications 51 5) Popular publications 70 6) Working papers 167 Total 563 As Tables 10.1 and 10.2, and Figures 2 indicate, the total number of refereed publications is not much higher than in 1996, but the quality level has increased substantially. A and B level publications in journals are now structurally more frequent than five years ago. Figure 3: Number of dissertations 12 RESAM* Dissertations * From 2002 excluding former programmes that are now within the AgBS 35 30 D 25 C 20 B A 15 10 5 0 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 Figure 2 shows a slow but steady increase in the number of A publications over the last 6 years. 13 We should note however, that the ranking of publications is not constant over time. A systematic re- 12 An explanation of the categories follows here. A: FEE candidate who graduated at the FEE (fully internal), B: candidate from outside who graduated at the FEE (prepared externally). Since both A and B dissertations were defended at the FEE they count for the total of ‘FEE- dissertations’. C: FEE candidate graduated elsewhere, D: FEE promotor supervised an external candidate who graduated elsewhere. 17


  • Page 22

    evaluation of journal rankings was first applied to the publications of the year 2000. Due to this re- evaluation the number of unknown (ONB) publication has been reduced to zero. Note also that as of 2002 publications refer to RESAM only whereas before they included the output of the research programmes of the AgBS-RI (Amsterdam graduate Business School-Research Institute). The number of dissertations has dropped to six in 2003. This was mainly due to the fact that rather many dissertations were successfully defended in the previous two years. As the hiring rate fluctuated over the years, contract expirations are also very uneven. It again has to be noted here that as of 2002 dissertations refer to RESAM only whereas before they included the output of the research programmes of the research institute of the AgBS. It is expected that numbers will again start to increase in 2004. 13 Due to a miscalculation the number of publications in the year 1999 (as published in the Annual Report 1999 and the Annual Report 2000) was much too high (for 1999 41 A, 70 B, 80 C, 72 B/R and 2 ONB were given). The figures and tables in this report (as well as those in the Annual Report 2001) show the correct numbers for all years. 18


  • Page 23

    Chapter 4: Analysis, perspectives and expectations for the institute 4.1. SWOT Director RESAM The major strength of the research institute is the general outlook and orientation of faculty members. There is very active, lively research climate, with high ambitions and much interaction and exchange. Both in quantity and in quality, publications are at high level. The association with the Tinbergen Institute provides an excellent Ph.D. training; TI can be ranked among the top graduate schools in Europe. Faculty members perform well in searching external funding from national (NWO, KNAW) and international (EU) sources. Still, there are weaknesses. Success in obtaining external funding is not equally distributed among Research Programmes, and some obtain no external funding at all. Publications are in some cases, unevenly distributed within Programmes, and there is scope for raisin the bottom of this distribution. The level of ambition within RESAM is generally quite high. The dynamic situation in Europe, with growing intensity of competition for students and research faculty, openness and transparency of quality levels and active interaction among research groups, provides new opportunities to carve out a reputation at the European level and beyond. RESAM faculty members take up this challenge and aim for research performance to seize this opportunity. Most Programme Directors perceive their Programme as ranking among the best in Europe, and some aim for true leadership in the sense of influencing the international research agenda. But certainly there are threats and hurdles. RESAM Research Programmes have gained international reputation, but without significant funding to provide excellent research opportunities further growth will not be possible, and deterioration may set in. The increased openness of the international research community and increased mobility of faculty generates a more competitive labour market, and attracting and keeping highly qualified faculty is not easy. Given the ambitions, opportunities and threats, RESAM sees no reason for changes in its objectives an research strategy. RESAM’s general strategy seems to work quite well, with specific minimum research output standards at the individual level, general measures ot enhance an active, ambitious research climate, discussion of goals and performances with individual Programme Directors to discuss common concerns and to share the responsibility for good collective performance. 4.2. Assessment Council of Programme Leaders Overall, the Council has reason to be quite satisfied with the results obtained over the last couple of years and in 2003 in particular. Not only has the number of A and B-level publications increased significantly, which is reflected in the high number of researchers in the 2003 edition of the Tilburg Top 40 of Dutch economists, most of the research groups have also proven to be viable and are highly are active in research, as is shown by the fact that many seminar series have been organised, which provide valuable opportunities for exchange and interaction. If we continue this trend, we will undoubtedly remain one of the major European universities as far as research is concerned. The clear objectives set and the consistent faculty-policy concerning quality of research have certainly contributed much to these results. Furthermore, the atmosphere is good and a general positive and enthusiastic outlook can be detected. There are, however, also points of concern. The first and foremost is the current financial constraint under which the faculty has to operate. There are too few funds for basic necessities such as for conference visits, inviting guests, conducting experiments or buying data. The travel money for a very vulnerable group, the Ph.D. students, has also been cut back by the Tinbergen Institute in 2002 and no solution for this has yet been presented. 19


  • Page 24

    Secondly, as has been shown above, the Faculty is on the right track in creating a top-level research institute in economics and econometrics, efforts will need to be continued to remain on this track. The best universities in the U.S. are constantly searching for top-level researchers and the departure of one or two of these researchers would prove to be a serious danger to the FEE’s ambition. The FEE needs to further improve it’s research environment so that good researchers feel welcome and are able to realize their full potential. Finally the Council is basically optimistic about the developments at the Tinbergen Institute several issues need to be addressed. Not all fields in which research is done by RESAM programmes are represented in the TI, notably statistics, actuarial science and the history and methodology of economics. This also has implications for the TI as a graduate school. The TI programme is not suited for all RESAM-students and might prove to be holding back the progress of Ph.D.’s with projects in specific fields. On the other hand, creating a small pool of excellent mphil-students from which Ph.D.’s can be selected is seen as a positive development. 20


  • Page 25

    B The Research Programmes


  • Page 26


  • Page 27

    UvA-Econometrics – Kiviet Quantitative Economics UvA-Econometrics Programme director: Prof. dr J.F. Kiviet Department: Quantitative Economics (KE) METIS-code: uva/fee/res/eem/prog JEL-classification: C Web-address: www.fee.uva.nl/ke/UvA-Econometrics VSNU-scores: Quality: 5, Productivity: 3, Relevance: 3, Viability: 4 Members of the research group and research in FTEs 14 Total ABCDE ABC Total Comp. ABC Total Comp Name Title Function 2001 2002 2002 2002 2002 2003 2003 2003 Dept. Funding Bethlehem, J.G prof dr hgl 0.11 0.07 0.11 0.11 0.11 0.11 KE 1 Boswijk, H.P prof dr hgl 0.50 0.30 0.50 0.50 0.50 0.50 KE 1 Bun, M. drs aio 0.20 - - - - - KE 1 Bun, M. dr ud 0.35 0.30 0.50 0.50 0.50 0.50 KE 1 Casteren, P.H.F.M. dr ud 0.42 0.09 0.12 0.24 0.12 0.00 0.25 0.25 KE 1 Cheng, Y. msc aio - 0.05 0.05 0.05 0.60 0.60 KE 1 Cramer, J.S. prof dr em. - - - - - - KE pm Garderen, K.J. van dr uhd 0.50 0.80 0.80 0.80 0.80 0.80 KE 2 Giersbergen, N.P.A. van dr ud 0.48 0.29 0.48 0.48 0.24 0.48 0.24 KE 1 Gooijer, J.G. de prof dr hgl 0.50 0.30 0.50 0.50 0.50 0.50 KE 1 Joseph, A. drs aio - 0.20 0.20 0.20 0.60 0.60 KE 1 Kiviet, J.F. prof dr hgl 0.30 0.30 0.50 0.50 0.50 0.50 KE 1 Kleibergen, F.R. dr postdoc 0.80 - - - - - KE 1 Kleibergen, F.R. dr uhd - 0.80 0.80 0.80 0.55 0.55 KE 2 Klein, A.A.B. dr ud 0.50 0.10 0.50 0.50 0.50 0.50 KE 1 Mavroeidis, S. dr postdoc - 0.20 0.20 0.20 0.80 0.80 KE 1 Omtzigt, P.H. dr postdoc - 0.15 0.15 0.15 0.45 0.45 KE 2 Ophem, J.C.M. van dr uhd 0.00 0.20 0.20 0.20 -0.30 0.50 0.00 -0.50 KE 1 Ploeg, A. van der drs burs 0.60 0.60 0.60 0.60 0.60 0.60 KE 1 Zerom, D. drs burs 0.60 0.30 0.30 0.30 - - KE 1 Total 1st flow of funds 5.36 3.30 4.76 4.88 5.95 5.94 Total 2nd flow of funds 0.50 1.75 1.75 1.75 1.80 1.80 Total 3rd flow of funds 0.00 0.00 0.00 0.00 0.00 0.00 Total 1st f.o.f. excl. Ph.D.'s 3.96 2.15 3.61 3.73 4.15 4.14 Total 1st-3rd flow of funds 5.86 5.05 6.51 6.63 7.75 7.74 Ph.D. students 1.40 1.15 1.15 1.15 1.80 1.80 Programme design Objectives Assessment and enhancement of the accuracy, efficiency and robustness of econometric inference obtained from finite sets of empirical data by models which may be dynamic, non-linear, not fully parametric, and nonetheless misspecified. Separate attention is being paid to cases where the data are discrete or truncated, stationary or nonstationary, trended and/or seasonal, and where they pertain to a cross-section, a set of discrete time-series, or a panel. Motivation Empirical economic data are usually not obtained from markets or agents in static equilibrium, but they give a random and disturbed indication at a certain moment in time, or over a relatively short period, of a dynamic adjustment process. Also they usually concern just a few aspects of the 14 In this Annual Report the rectification (‘comp’) column (in the tables showing research in fte for each programme) is used to administer several adjustments. One of these is to indicate the difference between allotted research time and time that has actually been spent on research. By doing this no attempt is made to recalculate allotted research time (i.e. RESAM expenditure) but just to administer the actual time that individual researchers have spent on research so that later productivity values (output/input) can be calculated more precisely. These amounts are preceded by a minus when the actual time spent researching is less than the allotted amount. A positive number in this column represents compensation by the Dean or department chairperson. 23


  • Page 28

    UvA-Econometrics – Kiviet Quantitative Economics underlying mostly very complex linear or non-linear economic system, and sample sizes are often rather small. The various projects united in this programme all try to gear statistical techniques to the typical characteristics of particular relevant empirical economic relationships and corresponding observed data in the interest of accurate and efficient inference. The goal is to obtain a proper interpretation of the essentials of the analysed phenomena in order to test economic theory, to support decision making and for forecasting purposes. Techniques Both analytic and experimental methods are used in this programme to improve understanding of the available econometric or statistical inference techniques, and to develop and test alternatives. The analytic aspects often involve the derivation (possibly using computer algebra systems) of asymptotic distributions, the approximatio n of finite sample moments or distribution functions, the elimination of nuisance parameters etc. In computer simulations of completely specified systems the existing standard procedures and the newly developed techniques are then compared and evaluated experimentally. Occasionally the alternative techniques as such are of an experimental nature, because they involve computer-intensive methods (bootstrap resampling, randomisation techniques, simulation-based inference). Actual data often serve to illustrate the empirical relevance and practical usefulness of the theoretical findings, but at times empirical issues are the prime motivation of the research projects engaged in. Applications The fundamental problems of econometrics indicated above are studied in an interplay with actual applied econometric research. These applications come from both macro and micro economics or business and finance. Aggregate demand (the consumption function) but also demand systems, monetary relationships (demand for money, interest rates) but also data from financial markets (stock returns, credit risk) are studied or provide prototypical examples for exercises in econometric theory on modelling and analysing dynamic relationships, focusing on various aspects such as dynamic or functional misspecification, order of integration, co integration, exogeneity, seasonality, structural change in parameter values, stochastic volatility, approximation errors in inference due to finite sample sizes, etc. The economic behaviour of individua l agents is analysed on the basis of cross- section data (wage determination, job mobility and allocation), duration data (on unemployment) and panel and longitudinal data (budget survey analysis, analysis of treatment effect such as training). Subprogrammes, themes The programme is not a collection of separate clearly demarcated sub-programmes, though within the general theme described above, the following six partly intertwined sub-themes can be distinguished. The first theme is primarily concerned with accurate inference in finite samples. Within this theme, analytical finite sample approximations, Bayesian inference, simulation-based inference, inference based on GMM, conditional inference, and methods from differential geometry are studied for (and applied in) models that may be dynamic, simultaneous, non-linear or non-standard in another way. Main contributors are Kiviet, van Garderen, Kleibergen, van Giersbergen, Bun, Mavroeidis and Joseph. The second theme centers around the analysis of non-stationary data. This leads to the analysis of unit roots, cointegration and error correction models, the role of (weak) exogeneity in such models, the development of robust two-step procedures, the analysis of non-stationary seasonal and periodic models, and non-stationary models for processes in finance and marketing. The main participants are Boswijk, Kleibergen, van Giersbergen and Omtzigt. The third theme deals with model selection and model comparison. Within this theme, both linear and non-linear models are considered, nested or non-nested, with an emphasis on time series. Relevant topics are information criteria and entropy measures, the Fisher information matrix, model inference, and space-time modelling of socio-economic data. Contributors are de Gooijer, Bethlehem, Kleibergen, Klein, van Casteren and Cheng. 24


  • Page 29

    UvA-Econometrics – Kiviet Quantitative Economics In the fourth theme the focus is on the econometrics of financial markets. Topics are ARCH and stochastic volatility models, the econometrics of the CAPM and factor models, econometric analysis of credit risk, and the analysis of option data and implied volatilities. Participants are here Boswijk, Kleibergen and Van der Ploeg. The fifth theme is concerned with micro-econometrics, focusing on limited dependent and discrete data, with applications in la bour market econometrics. Contributors are van Ophem and Cramer. Finally there are miscellanea, including work on poverty measures by van Garderen and on historical aspects of econometrics by Kiviet. Resources and funding The programme received a very modest amount of funding (€ 7800,-) from the research institute RESAM in 2003. The money was mostly spent on costs related to conference visits by programme members. Clearly this amount was not enough to even let all the researchers visit a conference abroad once. Additional conference visits and other activities had to be sponsored by external funding (‘3rde geldstroom activiteiten’). Programme evaluation The current achievements within this program seem to be still in line with the latest VSNU assessment covering 1996 through 2000, which awarded an excellent mark for quality, a good mark regarding viability, and satisfactory marks with respect to relevance and productivity. The program has not been able yet to extend its number of Ph.D. students. Moreover, two researchers funded by the NWO-Vernieuwingsimpuls reduced their affiliation with UvA. Nevertheless, the present size of the group of researchers in econometrics offers critical mass such that it enables to maintain a very stimulating research environment. Almost weekly a Friday afternoon (external) seminar or (internal) workshop is organized. Most members of UvA-Econometrics operate in intensive formal and informal national and international networks. It is the ambition of UvA-Econometrics to find further international recognition as one of the major strongholds in theoretical econometrics worldwide. The activities and achievements over 2003 (number and quality of publications, presentations at and invitations for international meetings, editorial responsibilities) have been substantial, but leave ample room for qualitative and quantitative improvements. Key publications Boswijk, H.P. & Lucas, A. (2002). Semi-nonparametric cointegration testing. Journal of Econometrics, 108, 253-280. Garderen, K.J. van (2001). Optimal prediction in loglinear models. Journal of Econometrics, 104, 119-140. Giersbergen, N.P.A. van & Kiviet, J.F. (2002). How to implement the bootstrap in static or stable dynamic regression models. Journal of Econometrics, 108, 133-156. Gooijer, J.G. de & Zerom, D. (2003). On additive conditional quantiles with high-dimensional covariates. Journal of the American Statistical Association, 98, 135-146. Kleibergen, F. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica, 70, 1781-1804. Klein, A. & Spreij, P. (2001). On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. Part I: The autoregressive moving average process. Linear Algebra and its Applications, 329, 9-47. 25


  • Page 30

    UvA-Econometrics – Kiviet Quantitative Economics Ophem, J.C.M. van, Stam, P. & Praag, B.M.S. van (1999). Multichoice logit: Modeling incomplete preference rankings of classical concerts. Journal of Business & Economic Statistics, 17, 117- 128. Forthcoming publications Bun, M.J.G. & Kiviet, J.F. (2004). The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models. Accepted for publication in Journal of Econometrics. Cramer, J.S. (2004). The Early Origins of the Logit Model. Accepted for public ation in Studies in the History and Philosophy of Biological and Biomedical Sciences. Cramer, J.S. (2004). Scoring Bank Loans that May Go Wrong, a Case Study. Accepted for publication in Statistica Neerlandica. Joseph, A.S. & Kiviet, J.F. (2004). The relative efficiency of IV estimators in models with lagged and instantaneous feedbacks. Accepted for publication in the Journal of Computational Statistics and Data Analysis. Kleibergen, F.R. (2004). Testing subsets of structural parameters in the IV regression model. Accepted for publication in the Review of Economics and Statistics. Kleibergen, F.R. (2004). Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindleys paradox. Accepted for publication in the Journal of Econometrics. Klein, A. & Mélard, G. (2004). An algorithm for computing the asymptotic Fisher information matrix for seasonal SISO models. Accepted for publication in Journal of Time Series Analysis. Klein, A. & Spreij, P. (2004). Some results on Vandemonde matrices with an application to time series analysis. SIAM Journal on Matrix Analysis and Applications, 25, (1), 213-223. Publications in numbers UvA-Econometrics 2003 1) Academic publications a) in refereed journals A 5 B 8 13 C b) in other journals 2 c) book chapters A B 1 C 1 Other 1 d) in proceedings 1 Total 18 2) Monographs A 1 B 1 C 3) Ph.D. theses - 4) Professional publications 3 5) Popular publications 1 6) Working papers 15 Total 38 26


  • Page 31

    UvA-Econometrics – Kiviet Quantitative Economics Dissertations Omtzigt, P.H. (2003, 13 December). Essays on Cointegration Analysis. European University Instit ute in Florence. [promotor: prof.dr. S. Johansen]. [cat. D]. Academic publications (excluding publications in/of books) – refereed Bun, M.J.G. & J.F. Kiviet (2003). On the Diminishing Returns of Higher-Order Terms in Asymptotic Expansions of Bias. Economics Letters, 79, (2), 145-152. [B]. Bun, M.J.G. (2003). Bias Correction in the Dynamic Panel Data Model with a Nonscalar Disturbance Covariance Matrix. Econometric Reviews, 22, (1), 29-58. [B]. Cheng, Y. & Tang, Q. (2003). Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. North American Actuarial Journal, 7, 1-12. [B]. Garderen, K.J. van & Taniguchi, M. & Puri, M.L. (2003). Higher Order Asymptotic Theory for Semiparameteric Estimation of Spectral Parameters of Stationary Processes. Econometric Theory, 19, 984-1007. [B]. Giersbergen, N.P.A. van (2003). A note on bootstrapping unit root tests in the presence of a non-zero drift. Economics Letters, 78, 259-265. [B]. Gooijer, J.G. de & Zerom, D. (2003). On additive conditional quantiles with high-dimensional covariates. Journal of the American Statistical Association, 98, 135-146. [A]. Gooijer, J.G. de & Vidiella -i-Anguera, A. (2003). Nonlinear stochastic inflation modelling using SEASETARs. Insurance, Mathematics and Economics, 32, 3-18. [A]. Gooijer, J.G. de & Ray, B.K. (2003). Modeling vector nonlinear time series using POLYMARS. Computational Statistics & Data Analysis, 42, 73-90. [B]. Gooijer, J.G. de & Zerom, D. (2003). On conditional density estimation. Statistica Neerlandica, 57, 159-176. [B]. Kleibergen, F.R. & Bekker, P. (2003). Finite Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic. Econometric Theory, 19, 744-753. [B]. Kleibergen, F.R. & Groen, J. (2003). Likelihood Based Cointegration Analysis in Panels of Vector Error Correction Models. Journal of Business and Economic Statistics, 21, 295-318. [A]. Kleibergen, F.R. & Zivot, E. (2003). Bayesian and Classical Approaches to Instrumental Variable Regression. Journal of Econometrics, 114, 29-72. [A]. Klein, A.A.B. & Spreij, P. (2003). Some Results on Vandermonde Matrices with an Application to Time Series Analysis. SIAM Journal on Matrix Analysis and Applications, 25, (1), 213-223. [A]. Academic publications (in/of books) – refereed Bethlehem, J.G. (2002). New Techniques and Technologies in Data Collection. In Ehling, M. & Merz, J. (eds), Neue Technologien in der Umfrageforschung. Baden-Baden: NOMOS. [D]. Bethlehem, J.G. (2003). The TADEQ Project: Documentation of Electronic Questionnaires. In Cork, D.L., Cohen, M.L., Groves, R. & Kalsbeek, W. (eds), Survey Automation: Report and Workshop Proceedings (pp. 97-115). Washington D.C.: National Research Council. [C]. Cramer, J.S. (2003). Logit Models from Economics and Other Fields. Cambridge: Cambridge University Press. [A]. Academic publications (excluding publications in/of books) – non-refereed Bethlehem, J.G. & Hoogendoorn, A.W. (2003). Methodological guidelines for Blaise web surveys. Proceedings of the 8th International Blaise Users Conference, IBUC 2003. Copenhagen, Denmark. Cramer, J.S. (2003). De Brabant steekproef als bron van gegevens over levensduur en sociaal- economische variabalen. Bevolking en Gezin, 31, 117-126. DeFuentes-Merillas, L., Koeter, M.W.J., Bethlehem, J.G. , Schippers, G.M. & Brink, W. Van den (2003). Are scratchcards addictive? The prevalence of pathological scratchcard gambling among adult scratchcard buyers in the Netherlands. Addiction, 98, 725-731. 27


  • Page 32

    UvA-Econometrics – Kiviet Quantitative Economics Academic publications (working- and discussion papers) Bethlehem, J.G. & Schouten, B. (2003). Nonresponse Analysis of the Integrated Survey on Living Conditions. Paper presented at the International Workshop on Household Survey Nonresponse, Leuven, Belgium. Boswijk, H.P. & Doornik, J.A. (2003). Identifying, estimating and testing restricted cointegrated systems: An overview. UvA-Econometrics Discussion Paper 2003/01. Universiteit van Amsterdam. Boswijk, H.P. & Klaassen, F.J.G.M. (2003). Why frequency matters for unit root testing. UvA- Econometrics Discussion Paper 2003/12. Universiteit van Amsterdam. Bun, M.J.G. & Klaassen, F.J.G.M. (2003). The Importance of Accounting for Time Trends when Estimating the Euro Effect on Trade. Tinbergen Institute Discussion Paper 2003-086/2. Universiteit van Amsterdam. Cubadda, G. & Omtzigt, P.H. (2003). Small-Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems. UVA-Econometrics working paper 2003-07. Universiteit van Amsterdam (also published at the university of the Molise, Economics and Statistics Discussion Paper 12/03). Garderen, K.J. van & Schluter, C. (2003). Improving Finite Sample Confidence Intervals for Inequality and Poverty Measures. UvA-Econometrics Discussion Paper 2003/02. Universiteit van Amsterdam. Giersbergen, N.P.A. van (2003). Bartlett correction in the stable AR(1) model with intercept. UvA- Econometrics Discussion Paper 2003/09. Universiteit van Amsterdam. Joseph, A.S. & Kiviet, J.F. (2003). Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks. UvA-Econometrics Discussion paper 2003/08. Universiteit van Amsterdam. Kiviet, J.F. & Phillips, G.D.A. (2003). Moment approximation for least squares estimators in dynamic regression models with a unit root. UvA-Econometrics Discussion Paper 2003/03. Universiteit van Amsterdam. Kleibergen, F.R. (2003). Expansions of GMM statistics that indicate their properties under weak and or many instruments and the bootstrap, UvA Econometrics Paper 2003/10. Universiteit van Amsterdam. Kleibergen, F.R. (2003). Orthogonal statistics and the density of the liml estimator, UvA EconometricsDiscussion Paper 2003/11. Universiteit van Amsterdam. Mira, A. & Omtzigt, P.H. (2003). Stationary preserving and efficiency increasing probability mass transfers made possible. UVA-Econometrics working paper 2003-06. Universiteit van Amsterdam (also published at the university of Insubria, Quaderno di Facolta 2000/8, publication date July 2003, University of Insubria, Varese, Italy). Omtzigt, P.H. (2003). Money Demand in the Netherlands. Quaderno di Facolta 2002/26 (publication date: July 2003), University of Insubria, Varese, Italy. Omtzigt, P.H. (2003, 28 February). Bartlett Correction in Stationary VAR UvA Econometrics working paper 2003-05.Universiteit van Amsterdam. Ploeg, A.P.C. van der, Jong, F. de & Boswijk, P. (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. UvA-Econometrics Discussion Paper 2003/13. Universiteit van Amsterdam. Professional publications Bethlehem, J.G. (2003). Theorie en Praktijk van het Luisteronderzoek. Syllabus. Nijmegen: OLON. Bethlehem, J.G. (2003). Blaise als instrument voor de integratie van productieprocessen. In Nobel, J., Algera, S., Biemans, M. & Laan, P. van der (eds), Gedacht en Gemeten, Opstellen over statistische integratie voor Henk van Tuinen. Voorburg: Centraal Bureau voor de Statistiek. 28


  • Page 33

    UvA-Econometrics – Kiviet Quantitative Economics Bethlehem, J.G. (2003). Technieken voor survey-onderzoek, versie 4. Syllabus, Faculteit der Economische Wetenschappen en Econometrie, Afdeling Kwantitatieve Economie, Amsterdam. Popular publications Joseph, A.S. (2003, March). Weerderivaten. De Actuaris, 16-17. Contributions to academic conferences, workshops and seminars Bethlehem, J.G. & Hoogendoorn, A.W. (2003). Methodological guidelines for Blaise web surveys. Invited paper, 8th International Blaise Users Conference, IBUC 2003, Copenhagen, Denmark. Bethlehem, J.G. & Schouten, B. (2003). Nonresponse Analysis of the Integrated Survey on Living Conditions .Paper presented at the International Workshop on Household Survey Nonresponse, Leuven, Belgium. Bethlehem, J.G. (2003). 54-th session of the ISI, Berlin, Discussant in meeting IPM-30, Measuring Survey Quality. Boswijk, H.P. (2003, 14 April). Why frequency matters for unit root testing. Faculty Lunch Seminar. Universiteit van Amsterdam. Boswijk, H.P. (2003, 13 June). Why frequency matters for unit root testing. European University Institute, Florence. Seminar Presentation. Boswijk, H.P. (2003, 21 August). Why frequency matters for unit root testing. Econometric Society European Meeting, Stockholm. Boswijk, H.P. (2003, 27 October). The 2003 Nobel prize in economics: Trend and volatility in econometrics. Colloquium Stochastics and Financial Mathematics. Universiteit van Amsterdam. Boswijk, H.P. (2003, 20 November). Unit root testing in the presence of GARCH. ESF-EMM Second Annual Meeting, Rome. Bun, M.J.G. (2003, 23 August). Bias-corrected estimation in dynamic panel data models. 58th European Meeting of the Econometric Society. Stockholm, Sweden. Bun, M.J.G. (2003, 12 December). Bias-corrected estimation in dynamic panel data models. 14th EC2 Conference. London, United Kingdom. Garderen, K.J. van (2003, April). Improving Finite Sample Confidence Intervals for Inequality and Poverty Measures. Tinbergen Centennial Conference, Rotterdam. Garderen, K.J. van (2003, July). Predicting Growth and Levels in Loglinear Unit Root Models. Econometric Study Group Annual Conference, Bristol, UK. Garderen, K.J. van (2003, November). Conditional Inference in Nonstationary Timeseries. University of Southampton, UK. Giersbergen, N.P.A. (2003, 12 December). Bartlett correction in the stable AR(1) model with intercept. 14th (EC)2 conference on Endogeneity, Instruments and Identification in Econometrics. London, UK. Joseph, A.S. (2003, 23 August). The Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks. 58th European Meeting of the Econometric Society, Stockholm, 20- 24 August, presentation. Joseph, A.S. (2003, 12 December). Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks. 14th (EC)2 meeting on Endogeneity, Instruments and Identification in Econometrics, London, 12-13 December, poster presentation. Kiviet, J.F. (2003, 14 February). Glimpses of the Prehistory of Econometrics. Seminar at University of Science and Technology, Hong Kong. Kiviet, J.F. (2003, 28 March). The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models. Seminar at Monash University, Melbourne, Australia. Kiviet, J.F. (2003, 2 April). Relative bias and efficiency of various method of moment estimators in dynamic panel data models. Seminar at the Economics Department of the University of Melbourne, Australia. 29


  • Page 34

    UvA-Econometrics – Kiviet Quantitative Economics Kiviet, J.F. (2003, 14 April). Glimpses of the Prehistory of Econometrics. Seminar at the Economics Department of the University of Melbourne, Australia. Kiviet, J.F. (2003, 2 May). The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models. Seminar at University of Sydney, Sydney, Australia. Kiviet, J.F. (2003, 16 May). Finite sample corrections for least-squares coefficient and variance estimators in (non-)stationary autoregressive models. Seminar at University of Sydney, Sydney, Australia. Kiviet, J.F. (2003, August). The Dependence of Test Size and Power on Nuisance Parameters in Autoregressive Models. ESEM, Stockholm, 19-24 August. Kiviet, J.F. (2003, 21 November). Judging contending estimators by simulation: tournaments in dynamic panel data models. invited speaker at the International Conference in Memory of Professor Michael Magdalinos in Athens, November 20-21 2003. Kiviet, J.F. (2003, 21 November). Judging contending estimators by simulation: tournaments in dynamic panel data models. invited speaker at the Second Haifa Winter Workshop on Computer Science and Statistics, Haifa, Israel. December 28-30 2003. Kleibergen, F.R. (2003, 13 March). Testing parameters in GMM without assuming that they are identified. Catholic University Leuven, Belgium. Kleibergen, F.R. (2003, 14 May). Testing parameters in GMM without assuming that they are identified. ECB Frankfurt, Germany. Kleibergen, F.R. (2003, 2 June). Expansions of GMM statistics that indicate their properties under weak and or many instruments and the bootstrap. Conference on Weak Instruments, MIT. Kleibergen, F.R. (2003, 23 October). Expansions of GMM statistics that indicate their properties under weak and or many instruments and the bootstrap”, Harvard-MIT econometrics seminar. Kleibergen, F.R. (2003, 25 November). Expansions of GMM statistics that indicate their properties under weak and or many instruments and the bootstrap. Boston University econometrics seminar. Kleibergen, F.R. (2003, 12 December). Expansions of GMM statistics that indicate their properties under weak and or many instruments and the bootstrap. at the EC 2 conference, University College London, United Kingdom. Keynote speaker. Klein, A.A.B. (2003, 18 July). A program for computing the exact Fisher information matrix of a Gaussian VARMA model. SIAM conference on applied linear algebra. Williamsburg, Virginia, USA. Mavroeidis, S. (2003, 17 January). Identification and Mis-specification issues in Forward-Looking models. Nordic Conference, Copenhagen. Mavroeidis, S. (2003, 16 July). Identification and Mis-specification issues in Forward-Looking models. NBER Summer Institute, Boston. Mavroeidis, S. (2003, 21 August). Identification and Mis-specification issues in Forward-Looking models. ESEM Conference, Stockholm. Mavroeidis, S. (2003, 2 September). PcLiRE: An Ox program for analysis of linear Rational Expectations Models. OxMetrics Conference, London. Mavroeidis, S. (2003, 8 December). Identification and Mis-specification issues in Forward-Looking models. EBC Conference, Frankfurt. Mavroeidis, S. (2003, 12 December). Weak identification of forward-looking models in monetary economics. EC2 Conference, London. Ploeg, A.P.C. van der (2003, 25 May). A State Space Approach to the Estimation of Multi-Factor Stochastic Volatility Option Pricing Models. New Frontiers in Financial Volatility Modelling. Florence, Italy. Invited lecture. Ploeg, A.P.C. van der (2003, 18 December). A State Space Approach to the Estimation of Multi- Factor Stochastic Volatility Option Pricing Models. Winter School in Mathematical Finance. Lunteren, The Netherlands. Invited lecture. Organisational contributions to conferences, workshops and seminars Bethlehem, J.G. (2003). Member of the programme committee of the ISI session. Berlin. 30


  • Page 35

    UvA-Econometrics – Kiviet Quantitative Economics Bethlehem, J.G. (2003). 54-th session of the ISI, Berlin, Organizer and Chairman of meeting IPM-31, Estimation and Analysis from Complex Surveys using Auxiliary Information. Boswijk, H.P. (2003, 19 September). Co-organiser (with J. Brinkhuis and P.J.C. Spreij) of the Stieltjes-Tinbergen Symposium on Mathematics and Economics, Tinbergen Institute. Garderen, K.J. van (2003). Member of the programme committee of the 2003 European Meeting of the Econometric Society (Econometrics) held in Stockholm. Garderen, K.J. van (2003). Organizer of the Tinbergen Institute Econometrics Seminar series (with C.Bos) and of the Econometrics Workshop, UvA Econometrics. Gooijer, J.G. de (2003, 12 December). Chairperson section Nonlinearities, Business Cycles and Forecasting, Madrid, Spain. Seminars organised by UvA-Econometrics Angeles Carnero, M. (2003, 27 June). Time Series Modelling of Daily Spot Prices in European Electricity Markets. UvA-Econometrics seminar. Breitung, G. (2003, 2 May). A parametric approach to the estimation of cointegration vectors in panel data. UvA-Econometrics seminar. Ghosh, A. (2003, 23 January). Testing Equality of two densities usin g Neyman’s Smooth Test. Linton, O. (2003, 24 October). Estimating Semiparametric Arch (∞) Models by Kernel Smoothing Methods. UvA-Econometrics seminar. Moreira, M. (2003, 28 March). A General Theory of Hypothesis Testing in the Simultaneeous Equations Mode l. UvA-Econometrics seminar. Preminger, A. (2003, 19 December). Extended Switching Regression Models: Allowing for Multiple Latent State Variables. UvA-Econometrics seminar. Ridder, G. (2003, 27 June). Estimation of Nonlinear Models with Mesurement Error Using Marginal Information. UvA-Econometrics seminar. Ruiz Ortega, E. (2003, 27 June). Unobserved Component Models with Asymmetric Conditional Variances. UvA-Econometrics seminar. Skeels, C. (2003, 5 December). Approximating the Distribution of the Instrumental Variables Estimator. UvA-Econometrics seminar. Stock, J. (2003, 9 April). Asymptotic Distributions of Instrumental Variables Statistics with Many Weak Instruments and Testing for Weak Instruments in Linear IV Regression. UvA- Econometrics seminar. Workshops organised by UvA-Econometrics Bos, C. (2003, 14 November). Robust Analysis of Industrial Production using State Space and Time Varying Variances. Boswijk, H.P. (2003, 4 April). On the econometrics of the Bass diffusion model. Cramer, J.S. (2003, 21 March). Scoring Bank Loans That May Go Wrong: A Case Study. Diks, C.G.H. (2003, 7 February). Granger causality tests and the curse of diamensionality. Driessen, J. (2003, 9 May). A Portfolio Perspective on Option Pricing Anomalies. Garderen, K.J. van (2003, 21 February). Conditioning in econometric models. Giersbergen, N.P.A. van (2003, 17 January). Internet class Econometrics. Jong, F. de (2003, 5 September). Pseudo Market Timing: Fact or Fiction. Kiviet, J.F. (2003, 24 January). The relative efficiency of IV in simple dynamic models. Kiviet, J.F. (2003, 31 October). Judging contending estimators by simulation: tournaments in dynamic panel data models. Klein, A.A.B. (2003, 14 February). On the singularity condition of a vector ARMA process. Lalive, R. (2003, 31 January). Social interactions in unemployment. Manzan, S. (2003, 7 March). Some empirical, econometric and theoretical ideas inspired by the model of Cars Hommes. Mavroeidis, S. (2003, 14 March). Conditional inference in Cointegration? 31


  • Page 36

    UvA-Econometrics – Kiviet Quantitative Economics Mavroeid is, S. (2003, 12 September). Identification testing and robust inference on subsets of the structural parameters in GMM. Ploeg, A.P.C. van der (2003, 25 April). A State Space Approach to the Estimation of Multi-Factor Stochastic Volatility Option Pricing Models. Participation in academic networks & fellowships Boswijk, H.P (1996- ). Fellow Tinbergen Institute. Boswijk, H.P. (1994- ). Fellow Netherlands Network of Economics. Boswijk, H.P. (2002- ). Member of the ESF-EMM network (Econometric Methods for the Modelling of nonstationary data, policy analysis and forecasting; financed by the European Science Foundation). Garderen, K.J. van (2003). KNAW Research Fellowship. Garderen, K.J. van (2003). Fellow Tinbergen Instituut. Garderen, K.J. van (2003). Member Marie Curie Fellowship Association. Gooijer, J.G. de (2003). Member Board of Directors of the International Institute of Forecasters. Gooijer, J.G. de (2003). Fellow Tinbergen Institute. Gooijer, J.G. de (2003). Fellow Netherlands Network of Economics. Kiviet, J.F. (2003). Fellow Tinbergen Instituut. Omtzigt, P.H. (2003). Member of ESF-EMM network (Econometric Methods for the modelling of nonstationary data, policy analysis and forecasting). Editor or member of editorial board Bethlehem, J.G. (2003). Editor Journal of the Royal Statistics Society, series A. Boswijk, H.P. (2003). Guest editor Journal of Econometrics Annals (special issue on Causality and Exogeneity in Econometrics). Gooijer, J.G. de (2003). Editor-in-Chief of the International Journal of Forecasting. Kleibergen, F.R. (2003). Associate editor of Economic Letters. Ploeg, A.P.C. van der (2003). Member editorial board Tinbergen Magazine. Referee activities Bethlehem, J.G. (2003). Referee for Journal of Official Statistics, Research in Official Statistics, European Journal of Operations Research. Boswijk, H.P. (2003). Referee for Econometrica, Econometric Theory, Economic Journal, Journal of Econometrics, Review of Economic Studies. Bun, M.J.G. (2003). Referee for Econometrics Journal, Empirical Economics, Econometric Reviews, Journal of Business & Economic Statistics, Oxford Bulletin of Economics and Statistics, Statistica Neerlandica. Garderen, K.J. van (2003). Referee for Journal of Econometrics, Canadian Journal of Economics, Econometrics Journal. Gooijer, J.G. de (2003). Referee for Journal of Hydrology, International Journal of Forecasting, Journal of Forecasting. Kiviet, J.F. (2003). Referee for Applied Econometrics, Computational Economics, Journal of Computational Statistics and Data Analysis, Journal of Econometrics, Journal of Multivariate Analysis. Kleibergen, F.R. (2003). Referee for Journal of Econometrics, Journal of Applied Econometrics, Journal of Empirical Finance, Econometric Theory, Econometrica, Journal of the American Statistical Association, International Journal of Forecasting, Journal of Business and Economic Statistics, Review of Economics and Statistics, Econometrics Journal, Economics Letters. Klein, A.A.B. (2003). Referee for Statistica Neerlandica. Omtzigt, P.H. (2003). Referee for Econometrics Journal. 32


  • Page 37

    UvA-Econometrics – Kiviet Quantitative Economics Membership of academic committees (incl. Ph.D. committees outside the FEE) Bethlehem, J.G. (2003). Board member of the Interuniversity Graduate School of Psychometrics and Sociometrics (IOPS). Bethlehem, J.G. (2003). Member of the National Statistics Methodology Advisory Committee of the Office for National Statistics, London, UK. Boswijk, H.P. (2003, 13 June). Member of the PhD committee for R. Oomen. Promotor: prof. S. Johansen. European University Institute, Florence. Boswijk, H.P. (2003). Member of the Educational Board of the Tinbergen Institute. Boswijk, H.P. (2003). Member of the Board of the Netherlands Network of Economics. Research contributions in the media Bethlehem, J.G. (2003). Preparation and presentation of a workshop on Radio Listening Surveys for OLON (Organisation of Local Radio Stations in the Netherlands) members. Boswijk, H.P. (2003, 14 October). Werk van Engle en Granger voor iedereen toegankelijk. Het Parool. Omtzigt, P.H. & Omtzigt, D.J. (2003, 16 April) Jongeren mogen niet de dupe worden van vergrijzing. De Volkskrant, Forum. Grants, prizes and honours Garderen, K.J.van (2003). KNAW Research Fellowship extension for proposal on “Conditional Inference and Small Samples in Econometrics” Kleibergen, F.R (2003). Joint winner of the Tinbergen Prize for the most scientifically successful alumnus of the Tinbergen Institute. Various activities Kiviet, J.F. (2003, 9-22 February). Visiting researcher at University of Science and Technology in Hong Kong. Kiviet, J.F. (2003, 9 March - 22 April). Visiting researcher at University of Melbourne. Kiviet, J.F. (2003, 1- 23 May). Visiting researcher at University of Sydney. 33


  • Page 38


  • Page 39

    Operations Research – Van Dijk Quantitative Economics Operations Research and Management Programme director: Prof. dr N.M. van Dijk Department: Quantitative Economics (KE) METIS-code: uva/fee/res/or/prog JEL-classification: C4 VSNU-scores: Quality: 3, Productivity: 2, Relevance: 3, Viabitliy: 2 Members of the research group and research in FTEs ABCDE ABC Total Comp. Name Title Function Total 2001 2002 ABC 2002 Total 2002 Comp. 2003 2003 2003 Dept. Funding Al-Ibrahim, A. drs aio - - - - 0.15 KE 1 Al-Ibrahim, A. drs aio - - - - 0.05 KE 3 Dijk, N.M. van prof dr hgl 0.20 0.20 0.20 0.20 -0.20 0.40 0.30 -0.10 KE 1 Duin, C.W. dr ud 0.46 0.25 0.25 0.25 -0.21 0.23 0.46 0.23 KE 1 Haijema, R. drs aio - 0.15 0.15 0.15 0.48 0.48 KE 1 Schrijver, A. prof dr hgl 0.06 - - - KE 1 Hontelez, J.A.M. ir ud 0.04 0.25 0.25 0.25 -0.25 0.45 0.40 -0.05 KE 1 Sluis, H.J. van der dr ud 0.25 0.25 0.25 0.25 -0.25 0.50 0.35 -0.15 KE 1 Volgenant, A. dr uhd 0.40 0.25 0.25 0.30 -0.10 0.40 0.35 -0.05 KE 1 Wal, J. van der prof dr hgl 0.25 0.15 0.25 0.25 0.25 0.15 -0.10 KE 1 Total 1st flow of funds 1.66 1.50 1.60 1.65 2.71 2.64 Total 2nd flow of funds 0.00 0.00 0.00 0.00 0.00 0.00 Total 3rd flow of funds 0.00 0.00 0.00 0.00 0.00 0.05 Total 1st f.o.f. excl. Ph.D.'s 1.66 1.35 1.45 1.50 2.23 2.01 Total 1st-3rd flow of funds 1.66 1.50 1.60 1.65 2.71 2.69 Ph.D. students 0.00 0.15 0.15 0.15 0.48 0.68 Programme design The general research mission of the Programme can be formulated as threefold (i) The development and continuation of fundamental theoretical research in the areas of deterministic and stochastic operations research. (ii) The application and development of scientific research in these fields for technological and infrastructure applications. (iii) The dissemination of general insights and scientific results from the field of Operations Research for daily-life non-technical logistical situations. Accordingly, three lines of research and associated activities are distinguished: I Fundamental Theoretical Research In this category in turn three directions of research are followed: 1.1 Combinatorial Optimisation specialised to: • Generalisations of the Travelling Salesman Problems such as Peripatetic Salesman Problem; • Steiner Tree Problems on Graphs and Generalisations as multiweighted problems; • Degree constrained trees and problems with criteria as bottleneck, minimum deviation, and partial sum; • Linear Assignment Problems This research is focused on both exact and heuristic methods. The heuristic methods are of most interest from a practical point of view, as in many cases a nearly optimal solution is also sufficient. Special interest has been developed for the numerical implementation of algorithms. 35


  • Page 40

    Operations Research – Van Dijk Quantitative Economics 1.2 Queuing Network Analysis Stochastic service networks naturally arise in manufacturing (production lines), computer science (computer networks), telecommunications (long distance, satellite and mobile communications) and transportation (railway systems, traffic lights). The research themes are: • the development of closed form (exact) expressions for stochastic service networks, most notably product form expressions for queuing networks; • the development of simple insights in when and when not a stochastic network has this so-called product form steady state distribution. • simple performance bounds for networks that are non-solvable due to practical phenomena such as finite capacity constraints, job-priorities or breakdowns. 1.3 Markov Chain Analysis 1.3.1 Error Bound Analysis for Approximate Markov Chain Modelling • As practical systems that arise in manufacturing, telecommunications and computer networking are often non-solvable for the reasons mentioned, based on the insights and results above, approximations and bounds have to be developed. The error introduced by such approximations or bounds is of practical interest. To this end a technique has been developed to provide analytical error bounds. The application and extension of this technique remains a continuing research interest for a variety of situations. Particular research problems are: • error bounds for non-exponential stochastic networks; • error bounds for the truncation of Markov chains; • error bounds for sensitivity analysis. 1.3.2 Continuous time and large Markov Chain Modelling • Continuous time Markov Chain Models are known to provide a powerful tool for the description and modelling for a variety of applied fields. Unfortunately, for computational purposes these systems are generally hard if not impossible to handle, as the state spaces are usually far too large. Different methods to overcome this intractability are of ongoing research, such as by aggregation methods and uniformization. II Fundamental Applied Research This concerns queuing network and Markov chain modelling for a number of applied technical fields in order to obtain computationally attractive results. Most notably: • Telecommunications (mobile communications, long-distance communications) • Transportation Networks (Public transportation, Railways) • Inventory systems and Reliability Networks III Practical Research for Daily-life Logistics (Operations Management) This concerns the application of insights and techniques from Operations Research for a number of practical logistical environments such as in: • Administrative and Production Logistics • Health care and hospitals • Call Centers Resources and funding The programme received a very modest amount of funding (less than € 3800,-) from the research institute RESAM in 2003. The money was mostly spent on costs related to conference visits by programme members. Clearly this amount was not enough to even let all the researchers visit a conference abroad once. Additional conference visits and other activities had to be sponsored by external funding (‘3rde geldstroom activiteiten’). Program Evaluation As evaluated by the research visitation in 2002 with a low score for its viability, the programme appeared to be quite vulnerable (such as due to a temporary half-time reduction of the program leader) 36


  • Page 41

    Operations Research – Van Dijk Quantitative Economics which had resulted in a strong reduction of research activities over the last few years. It also suffered from a total lack of Ph.D.’s. Most curio usly and incorrectly, also the production and quality were evaluated as poor and weak, while in the given time-period (1995-2000) it appeared to be by far the highest of all programmes within the FEE (in both the category of all refereed journals and of A,B-journals), as also (partially) confirmed by the position of the programme leader at the 2003 top-40 list of Dutch economists. This evaluation resulted in three objectives: the completions and development of Ph.D.’s more research interaction among the members a more balanced production over the programme members The first steps in each of these directions has been set during 2003 such as • a Ph.D. completion in 2003 (see dissertations) • a Ph.D. completion in 2004 and in 2005 (old Ph.D. students) • one extra Ph.D. position (co-financed by the Dutch Railways) • and, last but not least, research involvements of almost all members (V.d. Wal, C. Duin, A. Volgenant, V. Dijk) as well as interactions (see reports Van Dijk & Van der Sluis; Duin, Haijema and Van Dijk; Haijema and Van der Wal; Al-Ibrahim, Duin and Van der Sluis; Duin and Volgenant). The threefold objectives and categories of research of the program design as described above remain standing with the following activities over 2003. Fundamental theoretical research 1.1 See To Appear: Volgenant (3x) See To Appear: Volgenant & Duin (2x) 1.2 See Refereed: Van der Wal (3x) 1.3 See To Appear: Van Dijk and Miyazawa See Report: Van Dijk and Sladky Fundamental applied research See reports: Duin and Van der Sluis (2x) See reports: Van Dijk and Van der Sluis See reports: Van der Wal (2x) Practical research See reports: Haijema, Duin and Van Dijk See report: Haijema and Van der Wal See popular publications: Van Dijk (2x) See organisation: Van Dijk Key Publications Boucherie, R. & Wal, J. van der (2003). Transient handover blocking probabilities in road covering cellular mobile networks. Computer Networks, 42, 537-550. Dijk, N.M. van & Sluis, E. van der (2002). Simple Product-Form Bounds for Queueing Networks with Finite Clusters. Annals of Operations Research, 113, 175-195. Volgenant, A. (2002). Solving some lexicographic multi-objective combinatorial problems. European Journal of Operational Research, 139, 578-584. 37


  • Page 42

    Operations Research – Van Dijk Quantitative Economics Forthcoming Dijk, N.M. van & Miyazawa, M. (2004). Error Bounds for Pertubing Nonexponential Queues. Mathematics of Operations Research. Duin, C.W., Volgenant, A. & Voß, S (2004). Solving group Steiner problems as Steiner problems. European Journal of Operational Research, 154, 323–329. Teeninga, A. & Volgenant, A. (2004). Improved heuristics for the Traveling Purchaser Problem. Computers & Operations Research, 31, (1), 139–150. Volgenant, A. (2004). A note on the assignment problem with seniority and job priority constraints. European Journal of Operational Research, 154, 330–335. Volgenant, A. (2004). Solving the k-cardinality assignment problem by transformation. European Journal of Operational Research. Volgenant, A. & Duin, C.W. (2004). On Steiner versions of (bi)connectivity in network problems. Graphs and Combinatorics. Publications in numbers Operations Research 2003 1) Academic publications a) in refereed journals A B 4 4 C b) in other journals - c) book chapters A B - C d) proceedings 1 1 Total 5 2) Monographs A B - C 3) Ph.D. theses - 4) Professional publications - 5) Popular publications 2 6) Working papers 9 Total 16 38


  • Page 43

    Operations Research – Van Dijk Quantitative Economics Dissertations Brouns, G.A.J.F. (2003, 30 October). Queueing models with admission and termination control – monotonicity and threshold results. Technische Universiteit Eindhoven. [Promotor prof. dr. ir. J. van der Wal] [cat. C & D]. Academic publications (excluding publications in/of books) – refereed Boucherie, R. & Wal, J. van der (2003). Transient handover blocking probabilities in road covering cellular mobile networks. Computer Networks, 42, (4), 537-550. [B]. Brouns, G.A.J.F. & Wal, J. van der (2003). Optimal threshold policies in a workload model with a variable number of service phases per job. Mathematical Methods of Operations Research, 58, 483-501. [B]. Koole, G.M. & Sluis, E. van der (2003). An optimal local search procedure for manpower scheduling in call centers. IIE Transactions on Scheduling and Logistics, 35, 1049-1055. [B]. Wal, J. van der & Yechiali, U. (2003). Dynamic visit-order rules for batch-service polling. Probability in the Engineering and Informational Sciences, 17, 351-367. [B]. Academic publications (excluding publications in/of books) – non-refereed Brouns, G.A.J.F. & Wal, J. van der (2003). Monotonicity properties in a batch workload model with controlled phase-type service times. Proceedings of the 4th Aegean International Conference on `Analysis of Manufacturing Systems', ZITI Publishing, Greece, 53-58. Academic publications (working- and discussion papers) Al-Ibrahim, A., Duin, C.W. & Sluis, E. van der (2003). Adjacent Resource Scheduling. AE-Report 2/2003. Brouns, G.A.J.F. & Wal, J. van der (2003). Optimal threshold policies in a two -class preemptive priority queue with admission and termination control. SPOR-Report 2003, Technische Universiteit Eindhoven. Dijk, N.M. van & Sladky, K. (2003). Monotonicity and Comparison Results for Nonnegative Dynamic Systems. Part I Discrete -time-case. AE-Report 5/2003. Dijk, N.M. van & Sladky, K. (2003). Monotonicity and Comparison Results for Nonnegative Dynamic Systems. Part II Continuous-time-case and Reliabilty Application. AE-Report 6/2003. Dijk, N.M. van & Sluis, E. van der (2003). Check -In Optimization by Simulation and LP in Combination. AE-Report 4/2003. Duin, C.W. & Sluis, E. van der (2003). On the complexity of Adjacent Resource Scheduling. AE-Report 3/2003. Haijema, R., Duin, C.W. & Dijk, N.M. van (2003). Train shunting: A practical heuristic inspired by Dynamic Programming. AE-Report 7/2003. Haijema, R. & Wal, J. van der (2003). Platelet production with two types of periodic demand. AE-Report 8/2003. Ormeci, L. & Wal, J. van der (2003). Admission Policies for a Two Class Loss System with General Interarrival Times. SPOR-Report 2003, Technische Universiteit Eindhoven. Popular publications Dijk, N.M. van (2003). Software voor Voorraadbeheer. Logistiekkrant, 1, 10 January. Dijk, N.M. van (2003). Voorraadbeheer blijft zweverig. Logistiekkrant, 5, 21 March, 9. Contributions to academic conferences, workshops and seminars Sluis, E. van der (2003, 9 July). Check-In Optimization by Simulation and LP in Combination. 5th Euro / Informs Meeting. Istanbul, Turkye. Lecture. 39


  • Page 44

    Operations Research – Van Dijk Quantitative Economics Wal, J. van der (2003). Monotonicity properties in a batch workload model with controlled phase-type service times. 4th Aegean International Conference on `Analysis of Manufacturing Systems', July 1-4, Samos, Greece. Lecture. Wal, J. van der (2003, 8 July). Tool control for a repair system. 5th Euro / Informs Meeting. Istanbul, Turkye. Lecture. Other lectures on research Sluis, E. van der (2003, 10 December). Minicourse on Multi Product Inventory Problems, Lulea, Sweden. Organisational contributions to conferences, workshops and seminars Dijk, N.M. van (2003, 30 September). Seminar Integraal Voorraadbeheer, in co-operation with Vereniging van Logistiek Adviseurs (VeLa), Zoetermeer. Dijk, N.M. van & Sluis, E. van der (2003, 10 October). Themeday for highschool (VWO) mathematics teachers, Universiteit van Amsterdam. Dijk, N.M. van (2003, 30 October). Workshop Wachtlijst Simulatie voor Ziekenhuizen in co-operation with the Ministry of Health , Welfare and Sport (Ministerie van Volksgezondheid, Welzijn en Sport (VWS)), Universiteit van Amsterdam. Participation in academic networks & fellowships Dijk, N.M. van (2003). Member LNMB (Landelijk Netwerk Mathematische Besliskunde) Volgenant, A. (2003). Member LNMB (Landelijk Netwerk Mathematische Besliskunde) Wal, J. van der (2003). Member LNMB (Landelijk Netwerk Mathematische Besliskunde) Editor or member of editorial board Volgenant, A. (2003). Advisory editor of Computers & Operations Research. Referee activities Duin, C.W. (2003). Referee for Operations Research, Networks. Sluis, E. van der (2003). Referee for International Journal on Production Economics. Volgenant, A. (2003). Referee for Computers & Operations Research, European Journal of Operational Research, Journal of the Operational Research Society. Wal, J. van der (2003). Referee for Management Science, Stochastic Models, Computers & Operations Research. Membership of academic committees (incl. Ph.D. committees outside the FEE) Wal, J. van der (2003, 17 November). Member promotion committee of B. Dragut. Promotor: prof. dr. ir. J.W.M. Bertrand, Technische Universiteit Eindhoven. Sluis, E. van der (2003, 11 December). Discussiant Licentiate Defence, Luleå University of Technology, Sweden. 40


  • Page 45

    Equilibrium, Expectations & Dynamics - Hommes Quantitative Economics Equilibrium, Expectations & Dynamics Subprogrammes: CeNDEF Pionier program (NWO-MaG) NWO-Vernieuw-ingsimpuls Information Flows in Financial Markets. Programme director: Prof.dr. C.H. Hommes Department Quantitative Economics METIS-code: uva/fee/res/e&d/prog JEL-classification: C, D, E6 Web-address: www.fee.uva.nl/cendef VSNU-scores: Quality: 3, Productivity: 3, Relevance: 2, Viability: 4 Members of the research group and research in FTEs Total ABCDE ABC Total Comp. ABC Total Comp. Name Title Function 2001 2002 2002 2002 2002 2003 2003 2003 Dept. Funding Diks, C. (CeNDEF) dr postdoc 0.80 0.80 0.80 0.80 0.60 0.60 KE 2 Dindo, P.D.E. msc aio - 0.20 0.20 0.20 0.60 0.60 KE 1 Furth, D. dr uhd - 0.30 0.50 0.50 0.50 0.50 KE 1 Griffioen, G.A.W. (CeNDEF) drs aio 0.60 0.45 0.45 0.45 - - KE 1 Griffioen, G.A.W. (CeNDEF) drs oz - 0.25 0.25 0.25 - 0.15 KE 2 Heemeijer, P. (CeNDEF) drs aio - 0.35 0.35 0.35 0.60 0.60 KE 1 Hommes, C.H. (CeNDEF) prof dr hgl 0.50 0.40 0.50 0.50 0.50 0.50 KE 1 Hoog, S. van der drs aio 0.60 0.60 0.60 0.60 0.60 0.60 KE 1 Koster, M.A.L. dr ud 0.50 0.30 0.50 0.50 0.50 0.50 KE 1 Manzan, S. (CeNDEF) msc burs 0.60 0.60 0.60 0.60 - - KE 1 Manzan, S. (CeNDEF) dr postdoc - - - - 0.80 0.80 KE 2 Panchenko, V. (CeNDEF) msc aio - 0.10 0.10 0.10 0.60 0.60 KE 1 Tuinstra, J. dr postdoc 0.80 0.80 0.80 0.80 0.60 0.60 KE 2 Tuinstra, J. dr ud - - - - 0.13 0.13 KE 1 Velden, H. van de drs burs 0.40 - - - KE 1 Wagener, F. (CeNDEF) dr postdoc 0.80 0.80 0.80 0.80 0.60 0.60 KE 2 Wagener, F. (CeNDEF) dr ud - - - - 0.13 0.13 KE 1 Weddepohl, H.N. prof dr hgl 0.42 0.11 0.21 0.21 - - KE pm Weide, R. van der (CeNDEF) drs aio 0.60 0.60 0.60 0.60 0.60 0.60 KE 1 Zerom, D. (CeNDEF) dr postdoc - 0.13 0.21 0.21 0.40 0.40 KE 2 Zovko, I. (CeNDEF) msc guest - 0.00 0.00 0.00 0.00 0.00 KE 1 Total 1st flow of funds 3.80 3.90 4.40 4.40 4.76 4.76 Total 2nd flow of funds 2.40 2.78 2.86 2.86 3.00 3.15 Total 3rd flow of funds 0.00 0.00 0.00 0.00 0.00 0.00 Total 1st f.o.f. excl. Ph.D.'s 1.00 1.00 1.50 1.50 1.76 2.56 Total 1st-3rd flow of funds 6.62 6.79 7.47 7.47 7.76 7.91 Ph.D. students 2.80 2.90 2.90 2.90 3.00 3.00 Programme design The objective of the programme is the development of mathematical economic theory, which is focussed on the understanding of economic processes. The programme aims at developing models of economic behaviour, in microeconomics, macroeconomics and finance. Emphasis is given to behavioural models of dynamic market phenomena. The research group has a multi-disciplinary approach. The models are studied both from a theoretical and a computational perspective, and the validity of the models is tested in laboratory experiments as well as real data. The NWO-MaG Pionier project Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) and the NWO- Vernieuwingsimpuls Information Flows in Financial Markets are part of the research program. The program can be subdivided into four, closely related and interacting themes: Equilibrium theory: Individual optimizing behaviour of economic agents generates aggregate supply and demand of commodities, as a function of prices and individual expectations. In equilibrium supply and demand are equal. Many types of equilibrium can be studied: partial versus general, competitive versus monopolistic, dynamic versus static, temporary equilibrium, single, representative agent as well 41


  • Page 46

    Equilibrium, Expectations & Dynamics - Hommes Quantitative Economics as heterogeneous, interacting agents equilibria. Existence of equilibria as well as conditions for stability or instability of dynamic adjustment processes are studied. Game theory: This part of the program focuses on modelling strategic behaviour of economic agents in markets with imperfect competition, such as duopoly and oligopoly. Equilibria in non-cooperative games (e.g. duopoly, oligopoly) as well as cooperative games (costs sharing, general equilibrium) are studied. Evolutionary games with heterogeneous, boundedly rational strategies competing against each other are also studied. Expectations and learning: Bounded rationality models of expectation formation and learning schemes are becoming a serious alternative to rational expectations, which was the dominating paradigm until quite recently. The fully rational representative agent is replaced by a large heterogeneous population of boundedly rational interacting agents, who form expectations based upon time series observations and update their forecasting rules according to new observations and new information about market fundamentals. Conditions under which learning schemes converge to rational expectations or to a boundedly rational expectations equilibrium with excess volatility are investigated. Formation of expectations is studied in theory, in experiments and in real markets. Nonlinear economic dynamics : This part of the program focuses on nonlinear, complexity models of dynamic market phenomena. Are market fluctuations mainly caused by random exogenous shocks, or can endogenous nonlinear economic laws of motion explain (a significant part of) the fluctuations? Various deterministic and stochastic economic models are studied theoretically, computationally as well as empirically, attempting to mimic the most important stylized facts observed in real economic and financial time series. Resources and funding The programme received a very modest amount of funding (€ 6200,-) from the research institute RESAM in 2003. The money was mostly spent on costs related to conference visits by programme members and academic literature. Additional conference visits and other activities were sponsored by external funding (‘3rde geldstroom activiteiten’) and through the Tinbergen Institute. Programme evaluation This programme grew out of a mathematical economics program, led by Weddepohl, which was quite small until the mid nineties. The group was extended considerably in 1998, due to a NWO-MaG Pionier grant awarded to Hommes, to set up the Center for Nonlinear Dynamics in Economics and Finance (CeNDEF). Weddepohl retired in 2002 but is still at the department one day per week. More recently Furth and Koster joined the group and game theory has become one of the research themes of the programme. At the end of 2003, the CeNDEF postdocs Diks, Tuinstra and Wagener obtained a tenured positition, so that the continuation of the research program will be ensured. The output of more than 10 articles in international journals is satisfactory, given that most members of the group are relatively young including 7 Ph-D students. Two Ph-D thesis (Griffioen, March 2003 and Manzan, June 2003) have succesfully been completed. The research programme has gained international recognition, as e.g. shown by good social science citation statistics (e.g. in 2003 more than 50 citations of published work by group members, and more than 250 cumulative citations) and many (invited) lectures given at international seminars, conferences and workshops by various members of the research group. Diks was listed in the ESB/Intermediair Economen Top 40 in 2003 and Hommes was listed in the 4th edition of Who’s who in Economics. Various contributions and interviews in the media also witness the social relevance of the research program. 42


  • Page 47

    Equilibrium, Expectations & Dynamics - Hommes Quantitative Economics Key publications Diks, C. & Tong, H. (1999). A test for symmetries of multivariate probability distributions. Biometrika, 86, (3), 605-614. Droste, E., Hommes, C.H. & Tuinstra, J. (2002). Endogenous Fluctuations under Evolutionary Pressure in Cournot Competition. Games and Economic Behavior, 40, 232-269. Hommes, C.H. (2001). Financial markets as nonlinear adaptive evolutionary systems. Quantita -tive Finance, 1, 149-167. Schinkel, M.P., Tuinstra, J. & Vermeulen, D. (2002). Convergence of Bayesian Learning to General Equilibrium in Mis-specified Models. Journal of Mathematical Economics, 38, December, 483-508. Wagener, F.O.O. (2003). Skiba points and heteroclinic bifurcations, with applications to the shallow lake system. Journal of Economic Dynamics & Control, 27, 1533-1561. Forthcoming Bjorndal, E., Hamers, H. & Koster, M.A.L. (2004). Cost Allocation in a Bank ATM Network. Mathematical Methods of Operations Research. Bjorndal, E., Koster, M.A.L. & Tijs, S.H. (2004). Weighted Allocation Rules for Standard Fixed Tree Games. Mathematical Methods of Operations Research. Brock, W.A., Hommes, C.H. & Wagener, F.O.O. (2004), Evolutionary dynamics in markets with many trader types, Journal of Mathematical Economics. Diks, C. (2004). The correlation dimension of returns with stochastic volatility. Quantitative Finance, 4, (1), 45-54. Diks, C. & Weide, R. van der (2004). Herding, A-synchronous Updating and Heterogeneity in memory in a CBS. Journal of Economic Dynamics and Control. Hommes, C.H., Sonnemans, J., Tuinstra, J. & Velden, H. van de (2004). A strategy experiment in dynamic asset pricing. Journal of Economic Dynamics and Control. Manzan, S. (2004). Model Selection for Nonlinear Time Series. Empirical Economics. Manzan, S. & Westerhoff, F. (2004). Representativeness of News and Exchange Rate Dynamics. Journal of Economic Dynamics and Control. Sonnemans, J., Hommes, C.H., Tuinstra, J. & Velden, H. van de (2004). The instability of a heterogeneous cobweb economy: a strategy experiment on expectation formation. Journal of Economic Behaviour and Organization. Publications in numbers Equilibrium, Expectations & Dynamics 2003 1) Academic publications a) in refereed journals A 3 B 8 11 C b) in other journals - c) book chapters A B - C Total 11 2) Monographs A B - C 3) Ph.D. theses 2 4) Professional publications 1 5) Popular publications 2 6) Working papers 13 Total 29 43


  • Page 48

    Equilibrium, Expectations & Dynamics - Hommes Quantitative Economics Dissertations Griffioen, G.A.W. (2003, 3 March). Technical Analysis in Financial Markets. Universiteit van Amsterdam. [promotores prof. dr C.H. Hommes & prof. dr. H.P. Boswijk]. [cat. A]. Manzan, S. (2003, 6 June). Essays in Nonlinear Economic Dynamics. Universiteit van Amsterdam. [promotor prof. dr C.H. Hommes] [cat. A] Academic publications (excluding publications in/of books) – refereed Broer, H.W., Hanßmann, H., Jorba, À., Villanueva, J. & Wagener, F.O.O. (2003). Normal-internal resonances in quasi-periodically forced oscillators: a conservative approach. Nonlinearity, 16, 1751-1791. [B]. Diks, C. (2003). Detecting Serial Dependence in Tail Events. Economics Letters, 97, (3), 319-324. [B]. Furth, D. (2003). The (Price) Core of a Bertrand-Edgeworth Economy. Journal of Economics, 78, 57- 82. [B] Gooijer, J.G. de & Zerom, D. (2003). On conditional density estimation. Statistica Neerlandica, 57, (2), 159-176. [B]. Gooijer, J.G. de & Zerom D. (2003). On additive conditional quantiles with high-dimensional covariates. Journal of the American Statistical Association, 98, (461), 135-146. [A]. Heertje, A. & Heemeijer, P. (2002). On the Origin of Samuelson's Multiplier-Accelerator Model. History of Political Economy, 34, (1), 207-218. [A]. (Also in the Annual Report 2002, under the History & Methodology of Economics programme). Koster, M., Reijnierse, H. & Voorneveld, M. (2003). Voluntary Contributions to Multiple Public Projects. Journal of Public Economic Theory, 5, (1), 25-50. [B]. Neugart, M. & Tuinstra, J. (2003). Endogenous fluctuations in the demand for education. Journal of Evolutionary Economics, 13, (1), 29-51. [B]. Tuinstra, J. (2003). Beliefs equilibria in an overlapping generations model. Journal of Economic Behavior & Organization, 50, 145-164. [B]. Wagener, F.O.O. (2003). Skiba points and heteroclinic bifurcations, with applications to the shallow lake system. Journal of Economic Dynamics & Control, 27, 1533-1561. [A]. (Reviewed in Mathematical Reviews, MR1962514 (2003m:91118) ) Wagener, F.O.O. (2003). A note on Gevrey regular KAM theory and the inverse approximation lemma. Dynamical Systems, 18, 159-163. [B]. Academic publications (working- and discussion papers) Broer, H.W., Hanßmann, H., Jorba, À., Villanueva, J. & Wagener, F.O.O. (2003). Quasi-periodic response solutions at normal-internal resonances. CeNDEF Working Paper 03-09. Universiteit van Amsterdam. Cason, T., Friedman, D. & Wagener, F.O.O. (2003). The dynamics of price dispersion, or Edgeworth variations. CeNDEF Working Paper 03-07. Universiteit van Amsterdam. Diks, C.G.H. & Weide, R. van der (2003). Continuous Beliefs Dynamics. Tinbergen Institute discussion paper TI 03-007/1 . Diks, C.G.H. & Weide, R. van der (2003). Heterogeneity as a natural source of randomness. CeNDEF Working paper 03-05, Universiteit van Amsterdam. Also appeared as Tinbergen Institute discussion paper TI 03-073/1 . Diks, C.G.H. & Weide, R. van der (2003). Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS. CeNDEF Working paper 03-06, Universiteit van Amsterdam. Gaunersdorfer, A., Hommes, C.H., & Wagener, F.O.O. (2003) Bifurcation Routes to Volatility Clustering under Evolutionary Learning. CeNDEF Working paper 03-03. Universiteit van Amsterdam Gaunersdorfer, A., Hommes, C.H. & Wagener, F.O.O. (2003). Nonlocal onset of instability in an asset pricing model with heterogeneous agents. CeNDEF Working Paper 03-10. Universiteit van Amsterdam 44


  • Page 49

    Equilibrium, Expectations & Dynamics - Hommes Quantitative Economics Hommes, C.H. & Wagener, F.O.O. (2003). Does eductive stability imply evolutionary stability? CeNDEF Working paper 03-04. Universiteit of Amsterdam. Manzan, S. (2003). Nonlinear Mean Reversion in Stock Prices. CeNDEF Working Paper 03-02. Universiteit van Amsterdam. Schinkel, M.P., Tuinstra, J. & Rüggeberg, J. (2003). Illinois Walls, Meteor Research Memorandum RM/03/012, University Maastricht Suijs, J., Borm, P., Hamers, H., Koster, M. & Quant, M. (2003). Communication and cooperation in public network situations. CentER DP 2001-44, revised for Annals of Operations Research. Tuinstra, J. & Wagener, F.O.O. (2003). On Learning Equilibria (Revised June 2003). CeNDEF Working paper 03-07. Universiteit van Amsterdam Wagener, F.O.O.. (2003). Structural analysis of optimal investment for firms with non-concave production. CeNDEF Working Paper 03-08. Universiteit van Amsterdam. Professional publications Griffioen, G.A.W. (2003). Technische analyse maakt zichzelf waar. ESB, 88, (4410) August. Popular publications Hommes, C.H. (2003). De pioniers van CeNDEF. Onderzoek naar niet-lineaire systemen. AENORM, 39, mei, 31-34. Tuinstra, J. (2003). In het zuiden van ’t kartelparadijs. AENORM , 39, May, 12-16. Contributions to academic conferences, workshops and seminars Diks, C. (2003, 15 January). Endogenous Noise in Agent Models. Workshop on Stochastic Bifurcation Theory, Lorentz Center, Leiden, The Netherlands. Invited lecture. Diks, C. (2003, 14 March). Detecting Serial Dependence in Tail Events. 12th SNDE meeting, Villa La Pietra, March 13-15, Florence, Italy. Diks, C. (2003, 29 May). Herding and Heterogeneity in Memory in a Simple Continuous Beliefs System for Exchange Rates. 8th WEHIA Conference, May 29-30, 2003, Kiel, Germany. Diks, C. (2003, 13 July). The Correlation Dimension of Returns with Stochastic Volatility. 9th SCE Conference, July 11-13, 2003, Seattle, Washington, USA. Furth, D. (2003, 7 February). Topological Methods in General Equilibrium Theory. Competition and Cooperation Seminar, Tinbergen Instituut, Amsterdam. Furth, D. (2003, 20 October). Endogenous Price Leadership. KE lunchseminar, Amsterdam. Heemeijer, P. (2003, 25 April). Price Expectation Formation in Positive and Negative Feedback Systems. Strasbourg, France. Invited lecture. Hommes, C.H. (2003, 13 March). Evolutionary dynamics in markets with many trader types, invited seminar, Universiteit Maastricht. Hommes, C.H. (2003, 5 May 5). Evolutionary dynamics in markets with many trader types, Seminar Series on Financial Markets, S. Anna School, Scuola Normale Superiore and University of Pisa, Pisa, Italy. Invited Lecture. Hommes, C.H. (2003, 7 May). Stochastic consistent expectations equilibria, Seminar Series on Financial Markets, S. Anna School, Scuola Normale Superiore and University of Pisa, Pisa, Italy. Invited Lecture. Hommes, C.H. (2003, 9 May). Expectations in the la boratory, invited lecture, Seminar Series on Financial Markets, S. Anna School, Scuola Normale Superiore and University of Pisa, Pisa, Italy. Hommes, C.H. (2003, 15 May). Stochastic consistent expectations equilibria, 8-th Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics: Theory and Applications in Economics and OR/MS, Vienna, Austria, May 14-16, 2003. 45


  • Page 50

    Equilibrium, Expectations & Dynamics - Hommes Quantitative Economics Hommes, C.H. (2003, 27 May). Coordination of expectations in asset pricing experiments, invited lecture, Colloque Marché Boursier, Collège de France et Ecole Normale Supéieure, May 27- 28, 2003. Hommes, C.H. (2003, 13 July). Mean reversion, bubbles and heterogeneous beliefs in stock prices, SCE 2003 conference on Computing in Economics and Finance, Seattle, USA. Hommes, C.H. (2003, 14 July). E&F Chaos. A simulation package for nonlinear economic dynamics, SITE 2003 summer workshop on Computational Methods and Applications in Economics, Stanford, USA, July 14-18. Invited lecture. Hommes, C.H. (2003, 19 September). Evolutionary dynamic s in markets with many trader types, Stieltjes-Tinbergen Symposium on Mathematics and Economics, Tinbergen Institute, Amsterdam. Invited lecture. Hommes, C.H. (2003, 13 November). Coordination of expectations in asset pricing experi-ments, 6th Annual Research Conference "Information and Communi-cation in Central Banking'', De Nederlandse Bank, Amsterdam, November 12-14. Invited lecture. Hoog, S. van der (2003, 16 May). A moving horizon approach to disequilibrium dynamics, Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics. Vienna, Austria. Hoog, S. van der (2003, 1 June). A moving horizon approach to disequilibrium dynamics. Workshop on Economics with Heterogeneous Interacting Agents. Kiel, Germany. Hoog, S. van der (2003, 12 July). A moving horizon approach to disequilibrium dynamics. SCE 2003 conference on Computing in Economics and Finance, University of Washington, Seattle, USA. Koster, M.A.L. (2003, 9-12 July). Voluntary Contributions to Multiple Public Projects. XV Italian Meeting on Game Theory and Applications - in honour of Guillermo Owen, Urbino. Manzan, S. (2003, 27 January). Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices. University of Warwick (UK). Manzan, S. (2003, 24 February). Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices. University Carlos III Madrid (Spain). Manzan, S. (2003, 22 August). Heterogeneous Expectations, Exchange Rate Dynamics and Predictability. European Economic Association Annual Meeting, Stockholm, Sweden. Tuinstra, J. (2003, 25 April). Coordination of expectations in asset pricing experiments. Invited seminar, Strassbourg, France. Tuinstra, J. (2003, 15 May). On learning equilibria. 8th Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, Vienna, Austria. Tuinstra, J. (2003, 23 August). On learning equilibria. Econometric Society European Meeting, Stockholm, Sweden. Tuinstra, J. (2003, 21 September). Coordination of expectations in asset pricing experiments, Economic Science Assocation Conference, Erfurt, Germany Wagener, F.O.O. (2003, 24 January). Normal-internal resonances in quasi-periodically forced Hamiltonian systems. KAM Seminar. Groningen, The Netherlands. Wagener, F.O.O. (2003, 13 May). Threshold points and Swallow tail singularities. Skiba satellite Workshop. Vienna, Austria. Invited lecture. Wagener, F.O.O. (2003, 14 May). Skiba regions and heteroclinic bifurcations. Eighth Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics. Vienna, Austria. Invited lecture. Wagener, F.O.O. (2003, 22 July). Quasi-periodic response solutions at normal- internal resonances. Equadiff 2003. Hasselt, Belgium. Invited lecture. Wagener, F.O.O. (2003, 23 July). A structural model of volatility clustering. Equadiff 2003. Hasselt, Belgium. Invited lecture. Wagener, F.O.O. (2003, 21 November). Towards a unified KAM theory. Joint Nonlinearity in Amsterdam/KAM Seminar. Utrecht, The Netherlands. Wagener, F.O.O. (2003, 1 December). Finding closed loop strategies in differential games. GREQAM Seminar. Marseille, France. Invited lecture. Weide, R. van der (2003, 13-15 March). On Continuous Beliefs Systems and Herding, presenta-tion at the Society for Nonlinear Dynamics and Econometrics Meeting, Florence, Italy. 46

  • View More

Get the full picture and Receive alerts on lawsuits, news articles, publications and more!