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Selected Books        Selected Articles        Recent Working Papers


Selected Articles

  • Forecasting Levels of log Variables in Vector Autoregressions, International Journal of Forecasting, 27 (2011), 1108-1115 (joint with Gunnar Bårdsen).

  • Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity, Journal of Time Series Analysis, 32 (2011), 281-291 (joint with Helmut Herwartz).

  • Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights, Jahrbücher für Nationalökonomie und Statistik, 231 (2011), 107-133.

  • Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index, Journal of Time Series Econometrics, 3 (2011), Article 7 (joint with Fang Xu).

  • Forecasting Aggregated Times Series Variables - A Survey, Journal of Business Cycle Measurement and Analysis, 2010/2, 37-62.

  • Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance, German Economic Review, 11 (2010), 381-396 (joint with E. Argentesi and M. Motta).

  • Structural Vector Autoregressions with Markov Switching, Journal of Economic Dynamics and Control, 34 (2010), 121-131 (together with M. Lanne and K. Maciejowska).

  • Structural Vector Autoregressions with Nonnormal Residuals, Journal of Business & Economic Statistics, 28 (2010), 159-168 (together with M. Lanne).

  • Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term, Econometrics Journal, 12 (2009), 414-435 (together with M. Demetrescu and P. Saikkonen)

  • Identifying Monetary Policy Shocks via Changes in Volatility, Journal of Money, Credit and Banking, 40 (2008), 1131-1149 (together with M. Lanne). Erratum.

  • Forecasting Euro Area Variables with German Pre-EMU Data, Journal of Forecasting, 27 (2008), 465-481 (together with R. Bruggemann & M. Marcellino).

  • Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break, Journal of Time Series Analysis, 29 (2008), 331-358 (together with C. Trenkler & P. Saikkonen).

  • Problems related to Over-identifying Restrictions for Structural Vector Error Correction Models, Economics Letters, 99 (2008), 512-515.

  • General-to-specific or specific-to-general modelling? An opinion on current econometric terminology, Journal of Econometrics, 136 (2007), 319-324.

  • Structural Vector Autoregressive Analysis for Cointegrated Variables, Allgemeines Statistisches Archiv, 90 (2006), 75-88.

  • Residual Autocorrelation Testing for Vector Error Correction Models, Journal of Econometrics, 134 (2006), 579-604, (together with R. Brueggemann & P. Saikkonen).

  • A Small Monetary System for the Euro Area Based on German Data, Journal of Applied Econometrics, 21, (2006), 683-702, (together with R. Brueggemann).

  • Break Date Estimation for VAR Processes with Level Shift with an Application to Cointegration Testing, Econometric Theory, 22 (2006), 15-68 (together with Pentti Saikkonene & Carsten Trenkler).

  • Practical Problems with Reduced-rank ML Estimators for Cointegration Parameters and a Simple Alternative, Oxford Bulletin of Economics and Statistics, 67 (2005), 673-690 (together with R. Brueggemann).

  • Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe, Applied Economics Quarterly, 51 (2005), 143-154 (together with R. Brueggemann).

  • A Note on Testing Restrictions for the Cointegration Parameters of a VAR with I(2) Variables, Econometric Theory, 21 (2005), 653-658 (together with S. Johansen).

  • Transmission of German Monetary Policy in the Pre-Euro Period, Macroeconomic Dynamics, 7, 2003, 711-733 (together with Jürgen Wolters).

  • Testing for the Cointegrating Rank of a Var Process with Level Shift at Unknown Time, Econometrica, Vol. 72, No. 2 (March 2004), 647-662 (together with Pentti Saikkonen and Carsten Trenkler).

  • On Unit Root Tests in the Presence of Transitional Growth, Economics Letters 84 (2004) 323-327 (together with Bernd Lucke).

  • Comparison of Unit Root Tests for Time Series with Level Shifts . Journal of Time Series Analysis, 23:6 (2002), 667-685 (together with M. Lanne and P. Saikkonen).

  • Comparison of tests for the Cointegrating Rank of a VAR Process with Structural Shift. Journal of Econometrics, 113 (2003) 201-229 (together with P. Saikkonen and C. Trenkler).

  • Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time, Oxford Bulletin of Economics and Statistics , 65:1 (2003), 91-155 (together with M. Lanne and P. Saikkonen).

  • Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time, Econometric Theory, 18 (2002), 313-348 (together with P. Saikkonen).

  • On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models, Economics Letters, (2001), 155-160 (together with B. Candelon).

  • Unit root tests for time series with level shifts: a comparison of different proposals, Economics Letters, (2002), 109-114 (together with M. Lanne).

  • Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, Econometrics Journal, 4 (2001), 287-310 (together with P. Saikkonen and C. Trenkler).

  • Vector Autoregressions, Chapter 32 in B. Baltagi (Ed.), Companion to Theoretical Econometrics, Oxford: Blackwell (2001), 678-699.

  • Comments on essays on current state and future challenges of econometrics, Journal of Econometrics, 100 (2001) 81-82.

  • Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary SystemsMacroeconomic Dynamics5 (2001), 81-100 (together with A. Benkwitz und J. Wolters).

  • Testing for Unit Roots in Time Series with Level Shifts, Allgemeines Statistisches Archiv, 85 (2001), 1-25 (together with P. Saikkonen).

  • Vector Autoregressions, Chapter 32 in B. Baltagi (Ed.), Companion to Theoretical Econometrics, Oxford: Blackwell, (2001), 678-699.

  • A Review of Systems Cointegration Tests, Econometric Reviews, (2001), forthcoming (together with K. Hubrich und P. Saikkonen).

  • Testing for the Cointegrating Rank of a VAR Process with Structural Shifts, Journal of Business & Economic Statistics, 18 (2000), 451-464 (together with P. Saikkonen).

  • Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process, Journal of Time Series Analysis, 21 (2000), 435-456 (together with P. Saikkonen).

  • Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes. in W.A. Barnett, D.F. Hendry, S. Hylleberg, T. Teräsvirta, D. Tjøstheim & A.Würtz (Eds.), Nonlinear Econometric Modeling in Time Series Analysis, Cambridge: Cambridge University Press, 2000, 165-201 (together with P. Saikkonen).

  • Comment on essays on current state and future challenges of econometrics, Journal of Econometrics, 100 (2001) 81-82.

  • Bootstrapping Impulse Responses in VAR Analyses, in J.G. Bethlehem & P.G.M. van der Heijden (Eds.), COMPSTAT Proceedings in Computational Statistics 2000, Heidelberg: Physica-Verlag, 2000, 109-119.

  • Problems Related to Confidence Intervals for Impulse Responses of Autoregressive Processes. Econometric Reviews, 19 (2000), 69-103 (together with A. Benkwitz & M. H. Neumann).

  • Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process, Journal of Time Series Analysis, 21 (2000), 435-456 (zusammen mit P. Saikkonen).

  • Testing for the Cointegrating Rank of a VAR Process with an Intercept. Econometric Theory , 16 (2000), 373-406 (together with P. Saikkonen).

  • Multivariate Volatility Analysis of VW Stock Prices. International Journal of Intelligent Systems in Accounting, Finance & Management 9 (2000) 35-54 (together with H. Herwartz).

  • Testing for the Cointegrating Rank of a VAR Process with a Time Trend. Journal of Econometrics, 95 (2000), 177-198 (together with P. Saikkonen).

  • Vector Autoregressive Analysis, in: Shri Bhagwan Dahiya (Ed.) The Current State of Economic Science, Vol.1 (1999): 345-369.

  • Order Selection in Testing for the Cointegrating Rank of A VAR Process, in: R.F. Engle, H. White (Eds) Cointegration, Causality and Forecasting - A Festschrift in Honour of Clive W.J. Granger. Oxford University Press, 1999.

  • Investigating Stability and Linearity of a German M1 Money Demand Function. Journal of Applied Econometrics, 14 (1999), 511-525 (together with T. Teräsvirta & J. Wolters).

  • A Lag Augmentation Test for the Cointegrating Rank of a VAR Process, Economics Letters, (1999), 23-27 (together with P. Saikkonen).

  • Local Power of Likelihood Ratio Tests for the Cointegrating Rank of a VAR Process, Econometric Theory, 15 (1999), 50-78 (together with P. Saikkonen).

  • Modelling the Demand for M3 in the Unified Germany, Review of Economics and Statistics, 80 (1998) 399-409 (together with J. Wolters & T. Teräsvirta).

  • A Money Demand System for German M3, Empirical Economics, 23 (1998) 371-386 (together with J. Wolters).

  • Estimating the Kronecker Indices of Cointegrated Echelon-form VARMA Models, Econometrics Journal, 1 (1998), C76-C99 (together with H. Bartel).

  • Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes, Journal of Econometrics, 81 (1997), 127-157 (together with P. Saikkonen).

  • Analysis of Cointegrated VARMA Processes, Journal of Econometrics, 80 (1997), 223-239 (together with H. Claessen).

  • Modified Wald Tests under Nonregular Conditions, Journal of Econometrics, 78 (1997), 315-332 (together with M.M. Burda).

  • Die Geldchfrage für M3: Neue Ergebnisse für das vereinigte Deutschland, ifo-Studien, 43 (1997), 34-54 (together with J. Wolters).

  • A Review of Nonparametric Time Series Analysis, International Statistical Review, 65 (1997), 49-72 (together with W. Härdle & R. Chen).

  • Making Wald Tests Work for Cointegrated VAR Systems, Econometric Reviews, 15 (1996), 369-386 (together with Juan J. Dolado).

  • Infinite Order Cointegrated Vector Autoregressive Processes: Estimation and Inference, Econometric Theory, 12 (1996), 814-844 (together with P. Saikkonen).

  • Specification of Echelon-Form VARMA Models, Journal of Business & Economic Statistics, 14 (1996), 69-79 (together with D.S. Poskitt).

  • Testing for Causation Using Infinite Order Vector Autoregressive Processes, Econometric Theory, 12 (1996), 61-87 (together with D.S. Poskitt).

  • Testing for Nonzero Impulse Responses in Vector Autoregressive Processes, Journal of Statistical Planning and Inference, 50 (1996), 1-20.

  • Specification of Varying Coefficient Time Series Models via Generalized Flexible Least Squares, Journal of Econometrics, 70 (1996), 261-290 (together with H. Herwartz).


Recent working papers