EconPapers    
Economics at your fingertips  
 

Details about Uwe Hassler

Homepage:http://www.wiwi.uni-frankfurt.de/~hassler
Workplace:Abteilung Empirische Wirtschaftsforschung und International Wirtschaftspolitik (Department of Applied Econometrics and International Political Economy), Fachbereich Wirtschaftswissenschaft (Faculty of Economics and Business Administration), Goethe Universität Frankfurt am Main (Goethe University Frankfurt), (more information at EDIRC)

Access statistics for papers by Uwe Hassler.

Last updated 2017-07-06. Update your information in the RePEc Author Service.

Short-id: pha277


Jump to Journal Articles

Working Papers

2014

  1. Persistence in the Banking Industry: Fractional integration and breaks in memory
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    See also Journal Article in Journal of Empirical Finance (2014)

2012

  1. Quantile regression for long memory testing: A case of realized volatility
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2016)

2011

  1. Detecting multiple breaks in long memory: The case of US inflation
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre Downloads View citations (5)
    See also Journal Article in Empirical Economics (2014)
  2. Estimation of fractional integration under temporal aggregation
    Post-Print, HAL Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2011)

2005

  1. Autoregressive distributed lag models and cointegration
    Discussion Papers, Free University Berlin, School of Business & Economics Downloads View citations (7)
    See also Journal Article in AStA Advances in Statistical Analysis (2006)
  2. Unit root testing
    Discussion Papers, Free University Berlin, School of Business & Economics Downloads View citations (6)
    See also Journal Article in AStA Advances in Statistical Analysis (2006)

2002

  1. A Residual-Based LM Test for Fractional Cointegration
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics Downloads
  2. Inflation-unemployment tradeoff and regional labor market data
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics Downloads
    See also Journal Article in Empirical Economics (2003)
  3. Residual Log-Periodogram Inference for Long-Run Relationships
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2006)
  4. Seasonal Unit Root Tests under Structural Breaks
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics Downloads
    See also Journal Article in Journal of Time Series Analysis (2004)
  5. The Effect of Linear Time Trends on Cointegration Testing in Single Equations
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics Downloads

2001

  1. Inference on the Cointegration Rank in Fractionally Integrated Processes
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (2)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads

    See also Journal Article in Journal of Econometrics (2002)

2000

  1. FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1998) Downloads View citations (1)

1999

  1. Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2000)
  2. Nonsense regressions due to time-varying means
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. The Effect of Linear Time Trends on Single Equation Cointegration Testing
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (1)

1997

  1. Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    See also Journal Article in Economics Letters (1998)

1996

  1. A Note on the Effect of Seasonal Dummies on the Periodogram Regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

1995

  1. The Term Structure of Interest Rates as an Indicator of German Monetary Policy?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (5)

Journal Articles

2017

  1. Ergodic for the mean
    Economics Letters, 2017, 151, (C), 75-78 Downloads
  2. Palma, W.: Time series analysis
    Statistical Papers, 2017, 58, (1), 283-284 Downloads

2016

  1. (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
    Econometric Theory, 2016, 32, (06), 1317-1348 Downloads
  2. Jürgen Wolters
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (1), 5-7 Downloads
    Also in AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (1), 5-7 (2016) Downloads
  3. M. H. Pesaran (2015): Time series and panel data econometrics. Oxford University Press, Oxford, 1104 pp, Hardcover 110.00 $$\pounds $$ £, ISBN: 9780198736912
    Statistical Papers, 2016, 57, (3), 859-860 Downloads
  4. Panel Cointegration Testing in the Presence of Linear Time Trends
    Econometrics, 2016, 4, (4), 1-16 Downloads
  5. Powerful Unit Root Tests Free of Nuisance Parameters
    Journal of Time Series Analysis, 2016, 37, (4), 533-554 Downloads
  6. Quantile Regression for Long Memory Testing: A Case of Realized Volatility
    Journal of Financial Econometrics, 2016, 14, (4), 693-724 Downloads
    See also Working Paper (2012)

2014

  1. Detecting multiple breaks in long memory the case of U.S. inflation
    Empirical Economics, 2014, 46, (2), 653-680 Downloads View citations (16)
    See also Working Paper (2011)
  2. Effect of the order of fractional integration on impulse responses
    Economics Letters, 2014, 125, (2), 311-314 Downloads
  3. Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2014, 234, (1), 23-43 Downloads
  4. Persistence in the banking industry: Fractional integration and breaks in memory
    Journal of Empirical Finance, 2014, 29, (C), 95-112 Downloads View citations (3)
    See also Working Paper (2014)
  5. Persistence under temporal aggregation and differencing
    Economics Letters, 2014, 124, (2), 318-322 Downloads View citations (1)

2013

  1. Asymptotic Behavior of Temporal Aggregates in the Frequency Domain
    Journal of Time Series Econometrics, 2013, 5, (1), 47-60 Downloads View citations (2)
  2. Effect of temporal aggregation on multiple time series in the frequency domain
    Journal of Time Series Analysis, 2013, 34, (5), 562-573 Downloads

2012

  1. Impulse responses of antipersistent processes
    Economics Letters, 2012, 116, (3), 454-456 Downloads View citations (2)

2011

  1. Asymptotic normal tests for integration in panels with cross-dependent units
    AStA Advances in Statistical Analysis, 2011, 95, (2), 187-204 Downloads View citations (6)
  2. Detecting changes from short to long memory
    Statistical Papers, 2011, 52, (4), 847-870 Downloads View citations (9)
  3. Estimation of fractional integration under temporal aggregation
    Journal of Econometrics, 2011, 162, (2), 240-247 Downloads View citations (14)
    See also Working Paper (2011)
  4. Pitfalls of post-model-selection testing: experimental quantification
    Empirical Economics, 2011, 40, (2), 359-372 Downloads View citations (14)

2010

  1. IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY
    Econometric Theory, 2010, 26, (06), 1855-1861 Downloads View citations (9)
  2. Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
    Journal of Applied Statistics, 2010, 37, (8), 1381-1397 Downloads View citations (1)
  3. Testing regression coefficients after model selection through sign restrictions
    Economics Letters, 2010, 107, (2), 220-223 Downloads

2009

  1. Hysteresis in Unemployment Rates? A Comparison between Germany and the US
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2009, 229, (2-3), 119-129 Downloads View citations (1)
  2. TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
    Econometric Theory, 2009, 25, (06), 1793-1828 Downloads View citations (13)

2008

  1. Comment on "Long-run relationships between labor and capital: Indirect evidence on the elasticity of substitution"
    Journal of Macroeconomics, 2008, 30, (2), 757-759 Downloads View citations (1)
  2. D. N. DeJong and C. Dave: Structural Macroeconometrics
    Journal of Economics, 2008, 94, (1), 99-101 Downloads
  3. Fractional cointegration in the presence of linear trends
    Journal of Time Series Analysis, 2008, 29, (6), 1088-1103 Downloads
  4. LONG MEMORY TESTING IN THE TIME DOMAIN
    Econometric Theory, 2008, 24, (01), 176-215 Downloads View citations (45)
  5. On Critical Values of Tests against a Change in Persistence
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 705-710 Downloads View citations (1)
  6. On the persistence of the Eonia spread
    Economics Letters, 2008, 101, (3), 184-187 Downloads View citations (19)

2007

  1. Effect of neglected deterministic seasonality on unit root tests
    Statistical Papers, 2007, 48, (3), 385-402 Downloads View citations (9)
  2. Multicointegration under measurement errors
    Economics Letters, 2007, 96, (1), 38-44 Downloads

2006

  1. A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
    Econometric Theory, 2006, 22, (06), 1091-1111 Downloads View citations (10)
  2. A note on Phillips-Perron-type statistics for cointegration testing
    Economics Bulletin, 2006, 3, (17), 1-7 Downloads View citations (1)
  3. Autoregressive distributed lag models and cointegration
    AStA Advances in Statistical Analysis, 2006, 90, (1), 59-74 Downloads View citations (8)
    See also Working Paper (2005)
  4. Combining Significance of Correlated Statistics with Application to Panel Data
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 647-663 Downloads View citations (42)
  5. Residual log-periodogram inference for long-run relationships
    Journal of Econometrics, 2006, 130, (1), 165-207 Downloads View citations (31)
    See also Working Paper (2002)
  6. Unit root testing
    AStA Advances in Statistical Analysis, 2006, 90, (1), 43-58 Downloads View citations (2)
    See also Working Paper (2005)

2005

  1. Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2005, 225, (4), 413-426 Downloads View citations (6)

2004

  1. Seasonal Unit Root Tests Under Structural Breaks*
    Journal of Time Series Analysis, 2004, 25, (1), 33-53 Downloads View citations (7)
    See also Working Paper (2002)

2003

  1. Inflation-unemployment tradeoff and regional labor market data
    Empirical Economics, 2003, 28, (2), 321-334 Downloads View citations (4)
    See also Working Paper (2002)
  2. Nonsense regressions due to neglected time-varying means
    Statistical Papers, 2003, 44, (2), 169-182 Downloads View citations (9)
  3. Zeitabhängige Volatilität und instationäre Zeitreihen: Zum Nobelpreis an Robert F. Engle und Clive W. J. Granger
    Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007), 2003, 83, (12), 811-816 Downloads View citations (1)

2002

  1. Inference on the cointegration rank in fractionally integrated processes
    Journal of Econometrics, 2002, 110, (2), 167-185 Downloads View citations (54)
    See also Working Paper (2001)

2001

  1. Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2001, 221, (1), 32-44 Downloads View citations (2)

2000

  1. Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends
    Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 621-32 Downloads View citations (5)
    See also Working Paper (1999)

1999

  1. (When) Should cointegrating regressions be detrended? The case of a German money demand function
    Empirical Economics, 1999, 24, (1), 155-172 Downloads View citations (3)

1998

  1. A Note on Correlation in Regressions Without Cointegration
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, 217, (4), 518-523 Downloads
  2. Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
    Economics Letters, 1998, 60, (3), 285-290 Downloads View citations (6)
    See also Working Paper (1997)
  3. The Link between German Short- and Long-Term Interest Rates. Some Evidence against a Term Structure Oriented Monetary Policy / Der Zusammenhang zwischen kurz- und langfristigen Zinssätzen in Deutschland. Empirische Evidenz gegen eine zinsstrukturorientierte Geldpolitik
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, 217, (2), 214-226 Downloads

1997

  1. On the effect of seasonal adjustment on the log-periodogram regression
    Economics Letters, 1997, 56, (2), 135-141 Downloads View citations (7)

1996

  1. A Casebook for a first course in statistics and data analysis.: S. Chatterjee, M.S. Handcock and J.S. Simon-off (1995): Wiley & Sons, ISBN 0-471-11030-2, [pound sign] 19.95, pp. 314
    Computational Statistics & Data Analysis, 1996, 23, (1), 201-202 Downloads
  2. Grundausbildung in Ökonometrie
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1996, 215, (1), 118-118 Downloads
  3. Reasonable Spurious Regressios
    Econometric Theory, 1996, 12, (04), 743-744 Downloads
  4. Spurious regressions when stationary regressors are included
    Economics Letters, 1996, 50, (1), 25-31 Downloads View citations (14)

1995

  1. Long Memory in Inflation Rates: International Evidence
    Journal of Business & Economic Statistics, 1995, 13, (1), 37-45 View citations (166)

1994

  1. On the power of unit root tests against fractional alternatives
    Economics Letters, 1994, 45, (1), 1-5 Downloads View citations (98)
 
Page updated 2017-07-22