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Details about Walter Krämer

E-mail:
Homepage:https://www.statistik.tu-dortmund.de/kraemer.html
Phone:00492317553125
Postal address:University of Dortmund Fakultät Statistik 44221 Dortmund Germany
Workplace:Institut für Wirtschafts- und Sozialstatistik (Department of Business and Social Statistics), Universität Dortmund (University of Dortmund), (more information at EDIRC)

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Short-id: pkr88


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Working Papers

2016

  1. A Neglected Semi-Stylized Fact of Daily Stock Returns
    CESifo Working Paper Series, CESifo Group Munich Downloads
  2. Beyond Inequality: A Novel Measure of Skewness and its Properties
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
  3. Comparing Default Predictions in the Rating Industry for Different Sets of Obligors
    CESifo Working Paper Series, CESifo Group Munich Downloads
  4. Stylized Facts and Simulating Long Range Financial Data
    CESifo Working Paper Series, CESifo Group Munich Downloads

2012

  1. Structural Change and Spurious Persistence in Stochastic Volatility
    Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen Downloads

2011

  1. The cult of statistical significance. What economists should and should not do to make their data talk
    Working Paper Series of the German Council for Social and Economic Data, German Council for Social and Economic Data (RatSWD) Downloads View citations (3)
    See also Journal Article in Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften (2011)

2010

  1. "True Believers" or Numerical Terrorism at the Nuclear Power Plant
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    See also Journal Article in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) (2011)
  2. The Cult of Statistical Significance
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)

2008

  1. Large-Scale Disasters and the Insurance Industry
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2005) Downloads View citations (1)
    Working Papers, Business and Social Statistics Department, Technische Universität Dortmund (2005)
  2. Long Memory with Markov-Switching GARCH
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006) Downloads
    Working Papers, Business and Social Statistics Department, Technische Universität Dortmund (2006)

    See also Journal Article in Economics Letters (2008)
  3. More on the F-test under nonspherical disturbances
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  4. On Comparing the Accuracy of Default Predictions in the Rating Industry
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (8)
    Also in Working Papers, Business and Social Statistics Department, Technische Universität Dortmund (2006) View citations (2)

    See also Journal Article in Empirical Economics (2008)
  5. Verhindert die Statistikausbildung den Fortschritt der Wirtschafts- und Sozialwissenschaften?
    Working Paper Series of the German Council for Social and Economic Data, German Council for Social and Economic Data (RatSWD) Downloads
    See also Journal Article in AStA Wirtschafts- und Sozialstatistisches Archiv (2008)

2006

  1. OLS-based estimation of the disturbance variance under spatial autocorrelation
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    Also in Working Papers, Business and Social Statistics Department, Technische Universität Dortmund (2006)
  2. Structural Change and long memory in the GARCH(1,1)-model
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  3. Structural change and estimated persistence in the GARCH(1,1)-model
    Working Papers, Business and Social Statistics Department, Technische Universität Dortmund View citations (1)
    See also Journal Article in Economics Letters (2007)

2005

  1. The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2004) Downloads

    See also Journal Article in Economics Letters (2006)

2004

  1. Finite sample of the Durbin-Watson test against fractionally integrated disturbances
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (1)
  2. How to confuse with statistics or: the use and misuse of conditional probabilities
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (1)
  3. Qualitätsvergleiche bei Kreditausfallprognosen
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads

2003

  1. Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (1)
  2. Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (1)
    See also Journal Article in Journal of Forecasting (2006)
  3. On the ordering of probability forecasts
    Working Papers, Business and Social Statistics Department, Technische Universität Dortmund View citations (2)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2002) Downloads

2002

  1. Die Bewertung und der Vergleich von Kreditausfall-Prognosen
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  2. Finite sample power of Cliff-Ord-type-tests for spatial disturbance correlation in linear regression
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  3. Testing and dating of structural changes in practice
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2003)
  4. The robustness of the F-test to spatial autocorrelation among regression disturbances
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  5. The weak Pareto law and regular variation in the tails
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads

2001

  1. Long memory vs. structural change in financial time series
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (5)

2000

  1. Efficiency, Equity, and Generalized Lorenz Dominance
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (2)
  2. Statistik in den Wirtschafts- und Sozialwissenschaften
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  3. Statistische Besonderheiten von Finanzmarktdaten
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  4. Testing for structural change in the presence of long memory
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (5)
    See also Journal Article in International Journal of Business and Economics (2002)
  5. Testing for unit roots in the context of misspecified logarithmic random walks
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (1)
    See also Journal Article in Economics Letters (2002)
  6. The Dickey-Fuller-test for exponential random walks
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    See also Journal Article in Econometric Theory (2003)

1999

  1. Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1998) Downloads View citations (1)
  2. Peaks or tails: What distinguishes financial data?
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    See also Journal Article in Empirical Economics (2000)
  3. The power of residual base tests for cointegration when residuals are fractionally integrated
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1998) Downloads View citations (2)

    See also Journal Article in Economics Letters (2004)

1998

  1. Diagnostic checking in linear processes with infinit variance
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads

1997

  1. Asymptotic equivalence of ordinary least squares and generalized least squares with trending regressors and stationary autoregressive disturbances
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  2. Fractional integration and the augmented dickey-fuller test
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (1)
    See also Journal Article in Economics Letters (1998)
  3. Kointegration von Aktienkursen
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  4. 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)

1988

  1. Software-Katalog Statistik/Ökonometrie 2. Auflage
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

1987

  1. A modification of the CUSUM test in the linear regression model with lagged dependent variables
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article in Empirical Economics (1989)
  2. Software-Katalog Statistik/Ökonometrie
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

1986

  1. On computing the Hausman Test
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
  2. On the robustness of the F-test to autocorrelation among disturbances
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article in Economics Letters (1989)

Undated

  1. Finite-Sample Power of the Durbin-Watson Test Against Fractionally Integrated Disturbances
    Working Papers, Business and Social Statistics Department, Technische Universität Dortmund
    See also Journal Article in Econometrics Journal (2005)
  2. How to OverREACH oneself - a Critical View on the EU Commission's Estimate of the Health Benefits of its New Chemicals Policy
    Working Papers, Business and Social Statistics Department, Technische Universität Dortmund Downloads

Journal Articles

2016

  1. Comparing the accuracy of default predictions in the rating industry for different sets of obligors
    Economics Letters, 2016, 145, (C), 48-51 Downloads
  2. D. Rasch und D. Schott, Mathematische Statistik für Mathematiker, Natur- und Ingenieurwissenschaftler
    Statistical Papers, 2016, 57, (3), 853-853 Downloads
  3. Die demografische Zeitbombe: Ursachen und Folgen der Kinderlosigkeit
    (The upcoming demographic disaster)
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (4), 305-323 Downloads
  4. Interview mit Joachim Frohn
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (4), 325-333 Downloads
  5. Joshua D. Angrist and Jörn-Steffen Pischke: Mastering metrics
    Statistical Papers, 2016, 57, (3), 843-843 Downloads
  6. Sabina Alkire, James Foster, Suman Seth, Maria Emma Santos, José Manuel Roche and Paola Ballon: Multidimensional poverty measurement and analysis
    Statistical Papers, 2016, 57, (3), 847-848 Downloads
  7. Uwe Hassler (2016): Stochastic processes and calculus. An elementary introduction with applications, Springer texts in business and economics
    Statistical Papers, 2016, 57, (3), 851-851 Downloads
  8. Walter Krämer: Interview mit Karl Mosler
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (1), 63-71 Downloads
    Also in AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (1), 63-71 (2016) Downloads

2015

  1. A simple and focused backtest of value at risk
    Economics Letters, 2015, 137, (C), 29-31 Downloads
  2. D. H. Rost: Interpretation und Bewertung pädagogisch-psychologischer Studien (3rd edition)
    Statistical Papers, 2015, 56, (4), 1249-1250 Downloads
  3. Ein Berufsleben für die Statistik in Deutschland und Europa – Interview mit Walter Radermacher
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2015, 9, (3), 305-314 Downloads
  4. Interview mit Ursula Gather
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2015, 9, (2), 159-166 Downloads
  5. Miller, S. J. (ed.): Benford’s law. Theory and applications
    Statistical Papers, 2015, 56, (4), 1251-1252 Downloads

2014

  1. D. Rasch, J. Pilz, R. Verdooren, A. Gebhardt: Optimal experimental design with R
    Statistical Papers, 2014, 55, (2), 577-577 Downloads
  2. Interview mit Heinz Grohmann
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2014, 8, (4), 269-277 Downloads View citations (2)
  3. Kahneman, D. (2011): Thinking, Fast and Slow
    Statistical Papers, 2014, 55, (3), 915-915 Downloads
  4. Kommentar zu Ulrich Rendtel – Vom Datenangreifer zum zertifizierten Wissenschaftler
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2014, 8, (4), 203-204 Downloads
  5. Thünen-Vorlesung 2014: Zur Ökonomie von Panik, Angst und Risiko
    Perspektiven der Wirtschaftspolitik, 2014, 15, (4), 367-377 Downloads

2013

  1. Editorial
    German Economic Review, 2013, 14, (1), 1-1 Downloads
  2. Nearest neighbor hazard estimation with left-truncated duration data
    AStA Advances in Statistical Analysis, 2013, 97, (1), 33-47 Downloads
  3. Reject inference in consumer credit scoring with nonignorable missing data
    Journal of Banking & Finance, 2013, 37, (3), 1040-1045 Downloads View citations (1)
  4. Spurious persistence in stochastic volatility
    Economics Letters, 2013, 121, (2), 221-223 Downloads View citations (1)

2012

  1. A Hausman test for non-ignorability
    Economics Letters, 2012, 114, (1), 23-25 Downloads View citations (1)
  2. Das Signifikanztest-Ritual und andere Sackgassen des Fortschritts in der Statistik
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2012, 5, (4), 299-308 Downloads
  3. Hans Wolfgang Brachinger
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2012, 6, (1), 5-7 Downloads
  4. On the origin of high persistence in GARCH-models
    Economics Letters, 2012, 114, (1), 72-75 Downloads
  5. Recursive computation of piecewise constant volatilities
    Computational Statistics & Data Analysis, 2012, 56, (11), 3623-3631 Downloads View citations (1)
  6. Stephen T. Ziliak and Deirdre N. McCloskey, The cult of statistical significance: how the standard error costs us jobs. justice and lives
    Statistical Papers, 2012, 53, (1), 243-244 Downloads
  7. TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD
    Econometric Theory, 2012, 28, (03), 570-589 Downloads View citations (17)

2011

  1. A cautionary note on computing conditional from unconditional correlations
    Economics Letters, 2011, 111, (2), 176-179 Downloads View citations (1)
  2. A simple nonparametric test for structural change in joint tail probabilities
    Economics Letters, 2011, 110, (3), 245-247 Downloads View citations (4)
  3. Andrew Gelman and Jennifer Hill: Data analysis using regression and multilevel/hierarchical models
    Statistical Papers, 2011, 52, (3), 741-742 Downloads
  4. Lenin und die Volkszählung in Russland 1920
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2011, 5, (3), 163-178 Downloads View citations (1)
  5. O.W. Winkler: Interpreting socio-economic data—a foundation of descriptive statistics
    Statistical Papers, 2011, 52, (2), 491-492 Downloads
  6. Probleme des Qualitätsvergleichs von Kreditausfallprognosen
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2011, 5, (1), 39-58 Downloads
  7. The Cult of Statistical Significance – What Economists Should and Should Not Do to Make their Data Talk
    Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, 2011, 131, (3), 455-468 Downloads View citations (3)
    See also Working Paper (2011)
  8. The exact bias of s2 in linear panel regressions with spatial autocorrelation
    Economics Letters, 2011, 110, (1), 67-70 Downloads
  9. Wojtek J. Krzanowski and David J. Hand: ROC curves for continuous data
    Statistical Papers, 2011, 52, (4), 979-980 Downloads
  10. “True Believers” or Numerical Terrorism at the Nuclear Power Plant
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (5-6), 608-620 Downloads
    See also Working Paper (2010)

2010

  1. Editorial
    German Economic Review, 2010, 11, 403-403 Downloads
  2. Editorial
    German Economic Review, 2010, 11, 247-247 Downloads

2008

  1. Editorial
    German Economic Review, 2008, 9, 113-113 Downloads
  2. Long memory with Markov-Switching GARCH
    Economics Letters, 2008, 99, (2), 390-392 Downloads View citations (1)
    See also Working Paper (2008)
  3. On comparing the accuracy of default predictions in the rating industry
    Empirical Economics, 2008, 34, (2), 343-356 Downloads View citations (4)
    See also Working Paper (2008)
  4. Verhindert die Statistikausbildung den Fortschritt der Wirtschafts- und Sozialwissenschaften?
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2008, 2, (1), 41-50 Downloads
    See also Working Paper (2008)

2007

  1. Structural change and estimated persistence in the GARCH(1,1)-model
    Economics Letters, 2007, 97, (1), 17-23 Downloads View citations (17)
    See also Working Paper (2006)

2006

  1. Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
    Journal of Forecasting, 2006, 25, (3), 223-226 Downloads View citations (2)
    See also Working Paper (2003)
  2. Gesundheitspolitik in der Kompromissfalle: Kein Problem gelöst, aber neue geschaffen
    Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007), 2006, 86, (8), 515-516 Downloads
  3. The power of the KPSS-test for cointegration when residuals are fractionally integrated
    Economics Letters, 2006, 91, (3), 321-324 Downloads
    See also Working Paper (2005)

2005

  1. Finite-sample power of the Durbin--Watson test against fractionally integrated disturbances
    Econometrics Journal, 2005, 8, (3), 406-417 Downloads View citations (3)
    See also Working Paper

2004

  1. The power of residual-based tests for cointegration when residuals are fractionally integrated
    Economics Letters, 2004, 82, (1), 63-69 Downloads View citations (8)
    See also Working Paper (1999)

2003

  1. THE DICKEYFULLER TEST FOR EXPONENTIAL RANDOM WALKS
    Econometric Theory, 2003, 19, (05), 865-877 Downloads View citations (1)
    See also Working Paper (2000)
  2. Testing and dating of structural changes in practice
    Computational Statistics & Data Analysis, 2003, 44, (1-2), 109-123 Downloads View citations (79)
    See also Working Paper (2002)

2002

  1. Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2002, 222, (2), 210-229 Downloads View citations (1)
  2. Testing for Structural Changes in the Presence of Long Memory
    International Journal of Business and Economics, 2002, 1, (3), 235-242 Downloads View citations (39)
    See also Working Paper (2000)
  3. Testing for unit roots in the context of misspecified logarithmic random walks
    Economics Letters, 2002, 74, (3), 313-319 Downloads View citations (5)
    See also Working Paper (2000)

2001

  1. Book reviews
    Statistical Papers, 2001, 42, (1), 134-138 Downloads
  2. Book reviews
    Statistical Papers, 2001, 42, (4), 537-541 Downloads
  3. Peaks or tails - What distinguishes financial data?
    Empirical Economics, 2000, 25, (4), 665-671 Downloads
    See also Working Paper (1999)

1998

  1. Fractional integration and the augmented Dickey-Fuller Test
    Economics Letters, 1998, 61, (3), 269-272 Downloads View citations (17)
    See also Working Paper (1997)
  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. Note Short-term predictability of German stock returns
    Empirical Economics, 1998, 23, (4), 635-639 Downloads View citations (2)
  4. Time Series Analysis -- Nonstationary and noninvertible distribution theory: Katsuo Tanaka (1996): New York: Wiley, ISBN 0-471-14191-7, x + 623 pages, $ 70.00
    Computational Statistics & Data Analysis, 1998, 26, (3), 377-378 Downloads

1997

  1. Autocorrelation- and heteroskedasticity-consistent t-values with trending data
    Journal of Econometrics, 1997, 76, (1-2), 141-147 Downloads View citations (2)
  2. Chaos and the compass rose
    Economics Letters, 1997, 54, (2), 113-118 Downloads View citations (18)
  3. Stocks and the Weather: An Exercise in Data Mining or Yet Another Capital Market Anomaly?
    Empirical Economics, 1997, 22, (4), 637-641 View citations (16)

1996

  1. A general condition for an optimal limiting efficiency of OLS in the general linear regression model
    Economics Letters, 1996, 50, (1), 13-17 Downloads View citations (3)
  2. A trend-resistant test for structural change based on OLS residuals
    Journal of Econometrics, 1996, 70, (1), 175-185 Downloads View citations (9)
  3. An introduction to computational statistics -- Regression analysis: Robert I. Jennrich (1995): prentice hall, ISBN 0-13-454810-8, [pound sign] 22.95, pp. 364
    Computational Statistics & Data Analysis, 1996, 22, (3), 335-335 Downloads
  4. Introduction to statistical time series: Wayne A. Fuller (1996): (2nd edition). Wiley, ISBN 0-471-55239-9, pp. 736, [pound sign] 55.00
    Computational Statistics & Data Analysis, 1996, 23, (1), 200-201 Downloads
  5. Signal processing with alpha-stable distributions and applications: C.L. Nikias and Min Shoa (1995): Wiley, ISBN 0-471-10647-x, [pound sign] 50.00, pp. 168
    Computational Statistics & Data Analysis, 1996, 22, (3), 333-334 Downloads
  6. Stochastic Properties of German Stock Returns
    Empirical Economics, 1996, 21, (2), 281-306 View citations (6)
  7. The analysis of time-series: C. Chattfield (1996): An introduction, 5th ed. Chapman & Hall, ISBN 0-412-71640-2, pp. 283, [pound sign] 18.99
    Computational Statistics & Data Analysis, 1996, 23, (1), 200-201 Downloads

1995

  1. A Mixed-Error Component Model
    Econometric Theory, 1995, 11, (01), 192-193 Downloads View citations (1)
  2. Probability & Measure: Patrick Billingsley (1995): (3rd ed.). New York: Wiley, ISBN 0-471-0071-02, pp 593, [pound sign] 49.95
    Computational Statistics & Data Analysis, 1995, 20, (6), 702-703 Downloads
  3. The Probability of a "Gross" Violation of an Efficient Markets Variance Inequality
    Empirical Economics, 1995, 20, (3), 473-78

1994

  1. Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated
    Economics Letters, 1994, 45, (3), 267-271 Downloads View citations (4)

1993

  1. The Lorenz-ordering of Singh-Maddala income distributions
    Economics Letters, 1993, 43, (1), 53-57 Downloads View citations (15)

1992

  1. Bias of SDE 2 in the Linear Regression Model with Correlated Errors
    The Review of Economics and Statistics, 1992, 74, (2), 362-65 Downloads View citations (5)
  2. Range vs. maximum in the OLS-based version of the CUSUM test
    Economics Letters, 1992, 40, (4), 379-381 Downloads View citations (4)
  3. The CUSUM Test with OLS Residuals
    Econometrica, 1992, 60, (2), 271-85 Downloads View citations (170)

1991

  1. Consistency of sDE 2 in the Linear Regression Model with Correlated Errors
    Empirical Economics, 1991, 16, (3), 375-77 View citations (2)

1990

  1. Finite sample power of linear regression autocorrelation tests
    Journal of Econometrics, 1990, 43, (3), 363-372 Downloads View citations (6)
  2. Strukturreform der gesetzlichen Krankenversicherung
    Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007), 1990, 70, (4), 171-181 Downloads
  3. The Local Power of the CUSUM and CUSUM of Squares Tests
    Econometric Theory, 1990, 6, (03), 335-347 Downloads View citations (33)

1989

  1. A Modification of the CUSUM Test in the Linear Regression Model with Lagged Dependent Variables
    Empirical Economics, 1989, 14, (2), 65-75 View citations (4)
    See also Working Paper (1987)
  2. A new test for structural stability in the linear regression model
    Journal of Econometrics, 1989, 40, (2), 307-318 Downloads View citations (132)
  3. On the robustness of the F-test to autocorrelation among disturbances
    Economics Letters, 1989, 30, (1), 37-40 Downloads View citations (7)
    See also Working Paper (1986)

1988

  1. Geschlossene Gesellschaft
    Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007), 1988, 68, (5), 265-268 Downloads
  2. Testing for Structural Change in Dynamic Models
    Econometrica, 1988, 56, (6), 1355-69 Downloads View citations (70)

1987

  1. Mean adjustment and the CUSUM test for structural change
    Economics Letters, 1987, 25, (3), 255-258 Downloads View citations (1)

1986

  1. Computational pitfalls of the Hausman test
    Journal of Economic Dynamics and Control, 1986, 10, (1-2), 163-165 Downloads View citations (2)
  2. On studentizing a test for structural change
    Economics Letters, 1986, 20, (4), 341-344 Downloads View citations (15)

1985

  1. A Hausman test with trending data
    Economics Letters, 1985, 19, (4), 323-325 Downloads
  2. Diagnostic Checking in Practice
    The Review of Economics and Statistics, 1985, 67, (1), 118-23 Downloads View citations (4)
  3. The power of the Durbin-Watson test for regressions without an intercept
    Journal of Econometrics, 1985, 28, (3), 363-370 Downloads View citations (7)

1984

  1. On the consequences of trend for simultaneous equation estimation
    Economics Letters, 1984, 14, (1), 23-30 Downloads View citations (1)

1982

  1. Note on Estimating Linear Trend When Residuals are Autocorrelated
    Econometrica, 1982, 50, (4), 1065-67 Downloads View citations (7)

1980

  1. Preise und Mengen als Komponenten der Kostenexplosion im Gesundheitswesen
    Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007), 1980, 60, (8), 400-404 Downloads

Editor

  1. Statistical Papers
    Springer
 
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