Details about Carsten Trenkler

Access statistics for papers by Carsten Trenkler.

Last updated 2009-08-12. Update your information in the RePEc Author Service.

Short-id: ptr69

Working Papers

2009

1. Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
   Working Paper, Norges Bank

2006

2. Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
   See also Journal Article in Econometric Theory (2009)
3. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
   Economics Working Papers, European University Institute View citations
   Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2006) View citations
   See also Journal Article in Journal of Time Series Analysis (2008)
4. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations

2005

5. Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
   See also Journal Article in Applied Economics Letters (2007)

2004

6. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
   Economics Working Papers, European University Institute

2003

7. A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
   Economics Working Papers, European University Institute
   See also Journal Article in Economics Bulletin (2003)
8. Economic Integration in Interwar Poland - A Threshold Cointegration Analysis of the Law of One Price for Poland (1924-1937)
   Economics Working Papers, European University Institute View citations

2000

9. Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
   Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
   See also Journal Article in Journal of Econometrics (2003)

Undated

10. Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Econometrics Journal (2001)
11. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Econometrica (2004)
12. The Polish Crawling Peg System: A Cointegration Analysis
    Working Papers, Humboldt University, Sonderforschungsbereich 373

Journal Articles

2009

1. BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS
   Econometric Theory, 2009, 25, (01), 243-269 View citations
   See also Working Paper (2006)

2008

2. Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms
   Computational Statistics, 2008, 23, (1), 19-39 View citations
3. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
   Journal of Time Series Analysis, 2008, 29, (2), 331-358 View citations
   See also Working Paper (2006)
4. VAR Modeling for Dynamic Loadings Driving Volatility Strings
   Journal of Financial Econometrics, 2008, 6, (3), 361-381

2007

5. Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland
   Applied Economics Letters, 2007, 14, (4-6), 245-249
   See also Working Paper (2005)

2006

6. BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
   Econometric Theory, 2006, 22, (01), 15-68 View citations

2005

7. Economic integration across borders: The Polish interwar economy 1921 1937
   European Review of Economic History, 2005, 9, (02), 199-231 View citations
8. The Effects of Ignoring Level Shifts on Systems Cointegration Tests
   AStA Advances in Statistical Analysis, 2005, 89, (3), 281-301 View citations

2004

9. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
   Econometrica, 2004, 72, (2), 647-662 View citations
   See also Working Paper

2003

10. A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms
    Economics Bulletin, 2003, 3, (11), 1-9
    See also Working Paper (2003)
11. Comparison of tests for the cointegrating rank of a VAR process with a structural shift
    Journal of Econometrics, 2003, 113, (2), 201-229 View citations
    See also Working Paper (2000)
12. The Polish exchange rate system: A unit root and cointegration analysis
    Empirical Economics, 2003, 28, (4), 839-860

2002

13. ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
    Econometric Theory, 2002, 18, (06), 1336-1349

2001

14. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations
    See also Working Paper