Details about Stephan Smeekes

Access statistics for papers by Stephan Smeekes.

Last updated 2024-06-07. Update your information in the RePEc Author Service.

Short-id: psm94

Working Papers

2024

1. High-Dimensional Granger Causality for Climatic Attribution
   Papers, arXiv.org
2. Local Projection Inference in High Dimensions
   Papers, arXiv.org
3. Min(d)ing the President: A text analytic approach to measuring tax news
   Papers, arXiv.org
4. Transmission Channel Analysis in Dynamic Models
   Papers, arXiv.org

2023

5. A Residual Bootstrap for Conditional Value-at-Risk
   Papers, arXiv.org View citations (11)
   See also Journal Article A residual bootstrap for conditional Value-at-Risk, Journal of Econometrics, Elsevier (2024) View citations (1) (2024)
6. Inference in Non-stationary High-Dimensional VARs
   Papers, arXiv.org
7. Sparse High-Dimensional Vector Autoregressive Bootstrap
   Papers, arXiv.org

2022

8. Lasso Inference for High-Dimensional Time Series
   Papers, arXiv.org View citations (4)
   See also Journal Article Lasso inference for high-dimensional time series, Journal of Econometrics, Elsevier (2023) View citations (6) (2023)
9. bootUR: An R Package for Bootstrap Unit Root Tests
   Papers, arXiv.org View citations (1)

2021

10. Time-varying state correlations in state space models and their estimation via indirect inference
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2020

11. A dynamic factor model approach to incorporate Big Data in state space models for official statistics
    Papers, arXiv.org
    See also Journal Article A dynamic factor model approach to incorporate Big Data in state space models for official statistics, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2021) View citations (4) (2021)
12. A statistical analysis of time trends in atmospheric ethane
    Papers, arXiv.org View citations (4)
    See also Journal Article A statistical analysis of time trends in atmospheric ethane, Climatic Change, Springer (2020) View citations (4) (2020)
13. An Automated Approach Towards Sparse Single-Equation Cointegration Modelling
    Papers, arXiv.org View citations (2)
    See also Journal Article An automated approach towards sparse single-equation cointegration modelling, Journal of Econometrics, Elsevier (2021) View citations (12) (2021)
14. Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure
    Papers, arXiv.org View citations (9)
    See also Journal Article Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (2) (2023)

2019

15. A General Framework for Prediction in Time Series Models
    Papers, arXiv.org
16. A Justification of Conditional Confidence Intervals
    Papers, arXiv.org View citations (8)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2017) View citations (2)
17. Autoregressive Wild Bootstrap Inference for Nonparametric Trends
    Papers, arXiv.org View citations (2)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2017) View citations (2)
    See also Journal Article Autoregressive wild bootstrap inference for nonparametric trends, Journal of Econometrics, Elsevier (2020) View citations (13) (2020)
18. High-Dimensional Forecasting in the Presence of Unit Roots and Cointegration
    Papers, arXiv.org View citations (2)
19. Inference for Impulse Responses under Model Uncertainty
    Papers, arXiv.org
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2017)

2017

20. Risk Measure Inference
    Post-Print, HAL View citations (7)
    Also in Working Papers, HAL (2015) View citations (6)
    See also Journal Article Risk Measure Inference, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (9) (2017)

2016

21. Macroeconomic Forecasting Using Penalized Regression Methods
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (3)
    See also Journal Article Macroeconomic forecasting using penalized regression methods, International Journal of Forecasting, Elsevier (2018) View citations (46) (2018)

2015

22. Testing for Granger Causality in Large Mixed-Frequency VARs
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (1)
    Also in Discussion Papers, Deutsche Bundesbank (2015)
    See also Journal Article Testing for Granger causality in large mixed-frequency VARs, Journal of Econometrics, Elsevier (2016) View citations (27) (2016)

2014

23. A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (12)

2013

24. Robust block bootstrap panel predictability tests
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) View citations (1)
    See also Journal Article Robust block bootstrap panel predictability tests, Econometric Reviews, Taylor & Francis Journals (2019) View citations (4) (2019)

2012

25. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) View citations (3)
    See also Journal Article Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Econometric Reviews, Taylor & Francis Journals (2015) View citations (10) (2015)

2011

26. Bootstrap sequential tests to determine the stationary units in a panel
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (20)
27. On the applicability of the sieve bootstrap in time series panels
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (2)
    See also Journal Article On the Applicability of the Sieve Bootstrap in Time Series Panels, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (6) (2014)

2010

28. Bootstrap union tests for unit roots in the presence of nonstationary volatility
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (2)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2010) View citations (1)
    See also Journal Article BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY, Econometric Theory, Cambridge University Press (2012) View citations (17) (2012)

2009

29. Detrending bootstrap unit root tests
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (5)
    See also Journal Article Detrending Bootstrap Unit Root Tests, Econometric Reviews, Taylor & Francis Journals (2013) View citations (10) (2013)

2008

30. Cross-sectional dependence robust block bootstrap panel unit root tests
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (16)
    See also Journal Article Cross-sectional dependence robust block bootstrap panel unit root tests, Journal of Econometrics, Elsevier (2011) View citations (57) (2011)

2007

31. A sieve bootstrap test for cointegration in a conditional error correction model
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (4)
    See also Journal Article A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL, Econometric Theory, Cambridge University Press (2010) View citations (14) (2010)

2006

32. Bootstrap unit root tests: comparison and extensions
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (2)
    See also Journal Article Bootstrap Unit‐Root Tests: Comparison and Extensions, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (42) (2008)

Journal Articles

2024

1. A residual bootstrap for conditional Value-at-Risk
   Journal of Econometrics, 2024, 238, (2) View citations (1)
   See also Working Paper A Residual Bootstrap for Conditional Value-at-Risk, Papers (2023) View citations (11) (2023)

2023

2. GLS estimation and confidence sets for the date of a single break in models with trends
   Econometric Reviews, 2023, 42, (2), 195-219 View citations (1)
3. Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure*
   Journal of Financial Econometrics, 2023, 21, (3), 915-958 View citations (2)
   See also Working Paper Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure, Papers (2020) View citations (9) (2020)
4. Lasso inference for high-dimensional time series
   Journal of Econometrics, 2023, 235, (2), 1114-1143 View citations (6)
   See also Working Paper Lasso Inference for High-Dimensional Time Series, Papers (2022) View citations (4) (2022)

2021

5. A dynamic factor model approach to incorporate Big Data in state space models for official statistics
   Journal of the Royal Statistical Society Series A, 2021, 184, (1), 324-353 View citations (4)
   See also Working Paper A dynamic factor model approach to incorporate Big Data in state space models for official statistics, Papers (2020) (2020)
6. An automated approach towards sparse single-equation cointegration modelling
   Journal of Econometrics, 2021, 221, (1), 247-276 View citations (12)
   See also Working Paper An Automated Approach Towards Sparse Single-Equation Cointegration Modelling, Papers (2020) View citations (2) (2020)

2020

7. A statistical analysis of time trends in atmospheric ethane
   Climatic Change, 2020, 162, (1), 105-125 View citations (4)
   See also Working Paper A statistical analysis of time trends in atmospheric ethane, Papers (2020) View citations (4) (2020)
8. Autoregressive wild bootstrap inference for nonparametric trends
   Journal of Econometrics, 2020, 214, (1), 81-109 View citations (13)
   See also Working Paper Autoregressive Wild Bootstrap Inference for Nonparametric Trends, Papers (2019) View citations (2) (2019)

2019

9. Robust block bootstrap panel predictability tests
   Econometric Reviews, 2019, 38, (9), 1089-1107 View citations (4)
   See also Working Paper Robust block bootstrap panel predictability tests, Research Memorandum (2013) View citations (1) (2013)

2018

10. Macroeconomic forecasting using penalized regression methods
    International Journal of Forecasting, 2018, 34, (3), 408-430 View citations (46)
    See also Working Paper Macroeconomic Forecasting Using Penalized Regression Methods, Research Memorandum (2016) View citations (3) (2016)

2017

11. Risk Measure Inference
    Journal of Business & Economic Statistics, 2017, 35, (4), 499-512 View citations (9)
    See also Working Paper Risk Measure Inference, Post-Print (2017) View citations (7) (2017)

2016

12. Testing for Granger causality in large mixed-frequency VARs
    Journal of Econometrics, 2016, 193, (2), 418-432 View citations (27)
    See also Working Paper Testing for Granger Causality in Large Mixed-Frequency VARs, Research Memorandum (2015) View citations (1) (2015)

2015

13. Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
    Econometric Reviews, 2015, 34, (4), 512-536 View citations (10)
    See also Working Paper Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Cowles Foundation Discussion Papers (2012) View citations (2) (2012)
14. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 398-415

2014

15. On the Applicability of the Sieve Bootstrap in Time Series Panels
    Oxford Bulletin of Economics and Statistics, 2014, 76, (1), 139-151 View citations (6)
    See also Working Paper On the applicability of the sieve bootstrap in time series panels, Research Memorandum (2011) View citations (2) (2011)

2013

16. Detrending Bootstrap Unit Root Tests
    Econometric Reviews, 2013, 32, (8), 869-891 View citations (10)
    See also Working Paper Detrending bootstrap unit root tests, Research Memorandum (2009) View citations (5) (2009)

2012

17. BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
    Econometric Theory, 2012, 28, (2), 422-456 View citations (17)
    See also Working Paper Bootstrap union tests for unit roots in the presence of nonstationary volatility, Research Memorandum (2010) View citations (2) (2010)

2011

18. Cross-sectional dependence robust block bootstrap panel unit root tests
    Journal of Econometrics, 2011, 163, (1), 85-104 View citations (57)
    See also Working Paper Cross-sectional dependence robust block bootstrap panel unit root tests, Research Memorandum (2008) View citations (16) (2008)

2010

19. A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL
    Econometric Theory, 2010, 26, (3), 647-681 View citations (14)
    See also Working Paper A sieve bootstrap test for cointegration in a conditional error correction model, Research Memorandum (2007) View citations (4) (2007)

2008

20. Bootstrap Unit‐Root Tests: Comparison and Extensions
    Journal of Time Series Analysis, 2008, 29, (2), 371-401 View citations (42)
    See also Working Paper Bootstrap unit root tests: comparison and extensions, Research Memorandum (2006) View citations (2) (2006)