Details about Rolf Tschernig

Access statistics for papers by Rolf Tschernig.

Last updated 2020-08-18. Update your information in the RePEc Author Service.

Short-id: pts46

Working Papers

2020

1. Fractional trends and cycles in macroeconomic time series
   Papers, arXiv.org View citations (2)
2. Fractional trends in unobserved components models
   Papers, arXiv.org

2014

3. Long- versus medium-run identification in fractionally integrated VAR models
   University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics View citations (2)
   Also in University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics (2013) View citations (1)
   See also Journal Article Long- versus medium-run identification in fractionally integrated VAR models, Economics Letters, Elsevier (2014) View citations (2) (2014)

2013

4. Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation
   University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics View citations (5)

2010

5. Long-run Identification in a Fractionally Integrated System
   University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics View citations (3)
   See also Journal Article Long-Run Identification in a Fractionally Integrated System, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (14) (2013)

2008

6. Long Memory and the Term Structure of Risk
   University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics View citations (14)
   See also Journal Article Long Memory and the Term Structure of Risk, Journal of Financial Econometrics, Oxford University Press (2008) View citations (14) (2008)
7. On Nonparametric Estimation of a Hedonic Price Function
   University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics
   See also Journal Article On nonparametric estimation of a hedonic price function, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (18) (2010)

2001

8. Prediction of Chaotic Time Series in the Presence of Measurement Error: the Importance of Initial Conditions
   Post-Print, HAL
   Also in Working Papers, Center for Research in Economics and Statistics (1998)

2000

9. A simple variable selection technique for nonlinear models
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (10)
   Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (17)
10. Flexible time series analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
11. Nonparametric Estimation of Generalized Impulse Response Functions
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (3)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (3)
12. Web quantlets for time series analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    See also Journal Article Web Quantlets for Time Series Analysis, Annals of the Institute of Statistical Mathematics, Springer (2001) View citations (7) (2001)

1998

13. Germany's labor market problems: What to do and what not to do? A survey among experts
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
14. Non- and Semiparametric Identification of Seasonal Nonlinear Autoregression Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
    See also Journal Article NON- AND SEMIPARAMETRIC IDENTIFICATION OF SEASONAL NONLINEAR AUTOREGRESSION MODELS, Econometric Theory, Cambridge University Press (2002) View citations (8) (2002)

1997

15. Multivariate plug-in bandwidth for local linear regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
16. Nonparametric lag selection for time series
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (20)
    See also Journal Article Nonparametric Lag Selection for Time Series, Journal of Time Series Analysis, Wiley Blackwell (2000) View citations (26) (2000)

1996

17. Nonlinearities in German Unemployment Rates: A Nonparametric Analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (4)

1995

18. Nichtparametrische Verfahren zur Analyse und Prognose von Finanzmarktdate
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
19. The Identification of Fractional ARIMA Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)

1994

20. Long Memory in Foreign Exchange Rates Revisited
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (10)
21. Nonlinear Interest Rate Dynamics and Implications for the Term Structure
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (4)
    See also Journal Article Nonlinear interest rate dynamics and implications for the term structure, Journal of Econometrics, Elsevier (1996) View citations (68) (1996)

1992

22. Illusive Persistence in German Unemployment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    Also in Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1992) View citations (11)

Journal Articles

2017

1. Der exzellente Kopilot des ifo
   ifo Schnelldienst, 2017, 70, (13), 43-45

2015

2. Racial Disparities, Judge Characteristics, and Standards of Review in Sentencing
   Journal of Institutional and Theoretical Economics (JITE), 2015, 171, (1), 53-57

2014

3. Long- versus medium-run identification in fractionally integrated VAR models
   Economics Letters, 2014, 122, (2), 299-302 View citations (2)
   See also Working Paper Long- versus medium-run identification in fractionally integrated VAR models, University of Regensburg Working Papers in Business, Economics and Management Information Systems (2014) View citations (2) (2014)

2013

4. Long-Run Identification in a Fractionally Integrated System
   Journal of Business & Economic Statistics, 2013, 31, (4), 438-450 View citations (14)
   See also Working Paper Long-run Identification in a Fractionally Integrated System, University of Regensburg Working Papers in Business, Economics and Management Information Systems (2010) View citations (3) (2010)

2010

5. On nonparametric estimation of a hedonic price function
   Journal of Applied Econometrics, 2010, 25, (5), 894-901 View citations (18)
   See also Working Paper On Nonparametric Estimation of a Hedonic Price Function, University of Regensburg Working Papers in Business, Economics and Management Information Systems (2008) (2008)

2008

6. Long Memory and the Term Structure of Risk
   Journal of Financial Econometrics, 2008, 6, (4), 459-495 View citations (14)
   See also Working Paper Long Memory and the Term Structure of Risk, University of Regensburg Working Papers in Business, Economics and Management Information Systems (2008) View citations (14) (2008)

2002

7. NON- AND SEMIPARAMETRIC IDENTIFICATION OF SEASONAL NONLINEAR AUTOREGRESSION MODELS
   Econometric Theory, 2002, 18, (6), 1408-1448 View citations (8)
   See also Working Paper Non- and Semiparametric Identification of Seasonal Nonlinear Autoregression Models, SFB 373 Discussion Papers (1998) View citations (3) (1998)

2001

8. Web Quantlets for Time Series Analysis
   Annals of the Institute of Statistical Mathematics, 2001, 53, (1), 179-188 View citations (7)
   See also Working Paper Web quantlets for time series analysis, SFB 373 Discussion Papers (2000) View citations (1) (2000)

2000

9. Nonparametric Lag Selection for Time Series
   Journal of Time Series Analysis, 2000, 21, (4), 457-487 View citations (26)
   See also Working Paper Nonparametric lag selection for time series, SFB 373 Discussion Papers (1997) View citations (20) (1997)

1999

10. Multivariate bandwidth selection for local linear regression
    Journal of the Royal Statistical Society Series B, 1999, 61, (4), 793-815 View citations (31)

1996

11. Nonlinear interest rate dynamics and implications for the term structure
    Journal of Econometrics, 1996, 74, (1), 149-176 View citations (68)
    See also Working Paper Nonlinear Interest Rate Dynamics and Implications for the Term Structure, SFB 373 Discussion Papers (1994) View citations (4) (1994)