August 2021

Robert M. de Jong
Ohio State University
Department of Economics
454 Arps Hall
Columbus, Ohio 43210, USA
Email: robert_de_jong (at)


Place of birth: Amsterdam, The Netherlands
Citizenship: USA


B.Sc., Econometrics, University of Amsterdam (The Netherlands), 1989.
Ph.D., Economics, Free University Amsterdam (The Netherlands), 1993, under supervision of Herman Bierens.


June 2014: Visiting Professor at Institute for Higher Studies, Vienna.
June 2013: Visiting Professor at University of Orléans.
October 2007 - : Professor at Ohio State University.
October 2003 - October 2007: Associate Professor at Ohio State University.
December 2000 - August 2003: Associate Professor at Michigan State University.
November 1999 - December 2000: Assistant Professor at Michigan State University.
August 1997 - November 1999: Visiting Assistant Professor at Michigan State University.
June 1993 - July 1997: Instructor at Tilburg University (The Netherlands).


  1. "The spectral analysis of the Hodrick-Prescott filter". Accepted for publication in Journal of Time Series Analysis. Jointly with Neslihan Sakarya*.

  2. "Negative powers of integrated processes". Accepted for publication in Econometric Theory. Jointly with Neslihan Sakarya*.

  3. "A property of the Hodrick-Prescott filter and its application". Accepted for publication in Econometric Theory. Jointly with Neslihan Sakarya*.

  4. "A location model with an endogenous dummy variable". Economics Letters 195, 2020.

  5. "The sum of the reciprocal of the random walk." Jointly with Jon Michel*. Econometric Theory 36, 2020, 170-183.

  6. "A model for level induced conditional heteroskedasticity." Jointly with Jon Michel*. Statistics and Probability Letters 145, 2019, 293-300.

  7. "Mixing properties of the dynamic Tobit model with mixing errors." Jointly with Jon Michel*. Economics Letters 162, 2018, 112-115.

  8. "The Econometrics of the Hodrick-Prescott filter". Jointly with Neslihan Sakarya*. Review of Economics and Statistics 98, 2016, 310-317.

  9. "Are US real house prices stationary? New evidence from univariate and panel data." Jointly with Jing Zhang* and Donald Haurin. Studies in Nonlinear Dynamics and Econometrics 20, 2016, 1-18.

  10. "Unit root tests when the data are a trigonometric transformation of an integrated process." Jointly with Chien-Ho Wang*. South African Statistical Journal 47, 2013, 83-90.

  11. "Asymptotics for weighted periodic transformations of integrated time series". Jointly with Chien-Ho Wang*. International Journal of Statistics and Economics 11, 2013, 14-30.

  12. "Sums of exponentials of random walks with drift". Jointly with Xi Qu*. Econometric Theory 28, 2012, 915-924.

  13. "Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration". Jointly with Lung-Fei Lee and Jihai Yu*. Journal of Econometrics 167, 2012, 16-37.

  14. "A note on nonlinear models with integrated regressors and convergence order results". Jointly with Ling Hu. Economics Letters 111, 2011, p. 23-25.

  15. "Dynamic censored regression and the Open Market Desk reaction function". Jointly with Ana Herrera. Journal of Business and Economics Statistics 29, 2011, p. 228-237. Full version

  16. "Dynamic time series binary choice". Jointly with Tiemen Woutersen. Econometric Theory 27, 2011, p. 673-702.

  17. "Son Preference and Gender Inequality". Jointly with Deepankar Basu*. Demography 47, 2010, p. 521-536.

  18. "A Note on Binary Choice Duration Models". Jointly with Deepankar Basu*. Economics Letters 102, 2009, p. 17-18.

  19. "Quasi-Maximum Likelihood Estimators For Spatial Dynamic Panel Data With Fixed Effects When Both n and T Are Large". Jointly with Jihai Yu* and Lung-Fei Lee. Journal of Econometrics 146, 2008, p. 118-134.

  20. "Exponential Functionals of Integrated Processes". Jointly with Jungick Lee*. Economics Letters 100, 2008, p. 181-184 .

  21. "Dynamic Multinomial Ordered Choice with an Application to the Estimation of Monetary Policy Rules". Jointly with Deepankar Basu*. Studies in Nonlinear Dynamics and Econometrics 4, 2007, article 2.

  22. "A robust version of the KPSS test, based on indicators". Jointly with C. Amsler and P. Schmidt. Journal of Econometrics 137, 2007, p. 311-333.

  23. "Money demand function estimation by nonlinear cointegration". Jointly with Y. Bae*. Journal of Applied Econometrics 22, 2007, p. 767-793.

  24. "Further results on the asymptotics for nonlinear transformations of integrated time series". Jointly with Chien-Ho Wang*. Econometric Theory 21, 2005, p. 413-430.

  25. "Closest moment estimation under general conditions". Jointly with Chirok Han*. Annales d'Economie et de Statistique 74, 2004, p. 1-13.

  26. "Addendum to `Asymptotics for nonlinear transformations of integrated time series' ". Econometric Theory 20, 2004, p. 627-635.

  27. "Consistency of the stationary bootstrap under weak moment conditions". Jointly with S. Gonçalves. Economics Letters 81, 2003, p. 273-278.

  28. "Logarithmic spurious regressions". Economics Letters 81, 2003, p. 13-21.

  29. "Spurious logarithms and the KPSS statistic". Jointly with P. Schmidt. Economics Letters 76, 2002, p. 383-391.

  30. "A note on 'Convergence rates annd asymptotic normality for series estimators': uniform convergence rates". Journal of Econometrics 111, 2002, p. 1-9.

  31. "Consistency of kernel variance estimators for sums of semiparametric linear processes''. Jointly with James Davidson. The Econometrics Journal 5, 2002, p.160-175.

  32. "Nonlinear minimization estimators in the presence of cointegrating relations". Journal of Econometrics 110, 2002, p. 241-259.

  33. "Properties of L_p-GMM estimators". Jointly with Chirok Han*. Econometric Theory, 2002, volume 18, p. 491-504.

  34. "Convergence of averages of scaled functions of I(1) linear processes". Economics Letters, 2001, volume 71, p. 27-33.

  35. "Nonlinear estimation using estimated cointegrating relations''. Journal of Econometrics, 2001, volume 101, p. 109-122.

  36. "The functional central limit theorem and weak convergence to stochastic integrals II: fractionally integrated processes''. Jointly with James Davidson. Econometric Theory, 2000, volume 16, p. 643-666.

  37. "The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes''. Jointly with James Davidson. Econometric Theory, 2000, volume 16, p. 621-642.

  38. "Consistency of kernel estimators of heteroskedastic and autocorrelated covariance matrices''. Jointly with James Davidson. Econometrica, 2000, volume 68, p. 407-424.

  39. "A strong consistency proof for heteroscedasticity and autocorrelation consistent covariance matrix estimators''. Econometric Theory, 2000, volume 16, p. 262-267.

  40. "Weak laws of large numbers for mixingales''. Annales d'Economie et de Statistiques, 1998, volume 51, p. 209-225.

  41. "Uniform laws of large numbers and stochastic Lipschitz-continuity''. Journal of Econometrics, 1998, volume 86, p. 243-268.

  42. "Strong laws for near epoch dependent functions of mixing processes: a synthesis of new results''. Jointly with James Davidson. Econometric Reviews, 1997, volume 16, p. 251-280.

  43. "Central limit theorems for dependent heterogeneous random variables''. Econometric Theory, 1997, volume 13, p. 353-367.

  44. "The Bierens test under data dependence''. Journal of Econometrics, 1996, volume 72, p. 1-32.

  45. "A strong law of large numbers for triangular mixingale arrays''. Statistics and Probability Letters, 1996, volume 27, p. 1-9.

  46. "Laws of large numbers for dependent heterogeneous processes''. Econometric Theory, 1995, volume 11, number 2, p. 347-358.

  47. "On the limit behavior of a chi-square type test if the number of conditional moments tested approaches infinity''. Jointly with Herman Bierens. Econometric Theory, 1994, volume 10, number 1, p. 70-90.
* : graduate student or former graduate student from my department


  1. "Sums of exponentials of random walks". The results of this paper are now a special case of those in the paper below.

  2. "Exponentials of unit root processes".

  3. "Nonlinear time series models and weakly dependent innovations".

  4. "Nonlinear regression with integrated regressors but without exogeneity".


Book Review of "Dynamic Nonlinear Econometric Models - Asymptotic Theory" by Benedikt M. Pötscher and Ingmar R. Prucha, Econometric Theory, 2000, volume 16, p. 127-130.


Associate Editor for Econometric Theory, 2002-2011.
Associate Editor for Studies in Nonlinear Dynamics and Econometrics, 2007-.


Econometric Theory "Plura Scripsit" Award (2005).
Fellow of the Journal of Econometrics (2003).
Econometric Theory "Multa Scripsit" Award (1998).


I acted as a referee for Annals of Statistics, NSF, Econometric Reviews, Econometric Theory, Econometrica, Empirical Economics, Journal of Mathematical Analysis and Applications, Journal of Statistical Planning and Inference, International Economic Review, Journal of Applied Econometrics, Journal of Empirical Finance, Journal of Business and Economics Statistics, Journal of Econometrics, Journal of Economic Dynamics and Control, Review of Economic Studies, Scandinavian Journal of Statistics, The Econometrics Journal, Nuclear Instruments and Methods in Physics Research, Section A, Studies in Nonlinear Dynamics and Econometrics.


I have presented my research in seminars at Free University, Amsterdam; the University of Amsterdam; Tilburg University; Erasmus University Rotterdam (all in The Netherlands); University of New South Wales (Sydney, Australia); Hong Kong University of Science and Technology (Hong Kong); Yale University; University of Michigan; Texas A & M; Rice University; University of Maryland; Penn State University; Ohio State University; Brown University; joint NCSU/UNC/Duke; University of Pittsburgh; UCLA; UCSD; Simon Frasier University; joint MIT/Harvard; University of Rochester; University of Toronto; University of Montreal; University of Central Florida; University of Texas; University of Vienna; University College London; Columbia University; LeHigh University; Vanderbilt University; University of Dortmund; University of Orléans.


Since Fall 2003 at Ohio State University and in the period period 1997-2003 at Michigan State University I have taught Intermediate Micro and Undergraduate Econometrics at the undergraduate level, and a range of classes on Cross-section Econometrics and Time Series Econometrics at the graduate level. At Tilburg University between 1994 and 1997, I taught various courses in Statistics and Econometrics, at both the graduate and undergraduate level. In the period between March 1989 and June 1993 (my Ph.D. studentship) I have taught several undergraduate Mathematics and Statistics courses.

Go to my homepage or the OSU Economics Department homepage or the OSU homepage.