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Details about Jörg Breitung

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Homepage:http://www.wisostat.uni-koeln.de/de/institut/professoren/breitung/breitung/
Postal address:Institute of Econometrics and Statistics University of Cologne Albert-Magnus-Platz 50923 Koeln, Germany
Workplace:Institut für Ökonometrie und OR (Institute of Econometrics and OR), Rheinische Friedrich-Wilhelms-Universität Bonn (University of Bonn), (more information at EDIRC)

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Working Papers

2018

  1. How far can we forecast? Statistical tests of the predictive content
    Discussion Papers, Deutsche Bundesbank Downloads View citations (3)

2017

  1. Alternative GMM estimators for spatial regression models
    Working Paper Series in Economics, University of Cologne, Department of Economics Downloads
    See also Journal Article in Spatial Economic Analysis (2018)

2016

  1. A Simple Model for Now-Casting Volatility Series
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) Downloads

    See also Journal Article in International Journal of Forecasting (2016)
  2. Assessing Causality and Delay within a Frequency Band
    IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute Downloads View citations (1)
    See also Journal Article in Econometrics and Statistics (2018)

2015

  1. Tests Of Non-Causality In A Frequency Band
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads

2014

  1. Analyzing business and financial cycles using multi-level factor models
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (10)
    Also in Discussion Papers, Deutsche Bundesbank (2014) Downloads View citations (10)

2011

  1. Factor models
    Working Papers, Research Institute for Market Economy, Sogang University Downloads View citations (6)
    See also Chapter (2013)
  2. Quantifying survey expectations: What's wrong with the probability approach?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in International Journal of Forecasting (2013)

2009

  1. Myths and Facts about Panel Unit Root Tests
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads View citations (3)
  2. Testing for cointegration in high-dimensional systems
    CEIS Research Paper, Tor Vergata University, CEIS Downloads View citations (2)
  3. Testing for structural breaks in dynamic factor models
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2011)

2006

  1. Business cycle transmission from the euro area to CEECs
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads View citations (1)
  2. Real-time forecasting of GDP based on a large factor model with monthly and quarterly data
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads View citations (18)

2005

  1. Dynamic factor models
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads View citations (76)
    See also Journal Article in AStA Advances in Statistical Analysis (2006)
  2. How Synchronized are Central and East European Economies with the Euro Area? Evidence from a Structural Factor model�
    TWI Research Paper Series, Thurgauer Wirtschaftsinstitut, Universität Konstanz Downloads View citations (3)
  3. How synchronized are central and east European economies with the euro area? Evidence from a structural factor model
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads View citations (12)
  4. Unit Roots and Cointegration in Panels
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (73)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) Downloads View citations (73)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (79)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (84)

2004

  1. Bidder behaviour in repo auctions without minimum bid rate: evidence from the Bundesbank
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2003) Downloads View citations (5)
  2. Panel Unit Root Tests under Cross- sectional Dependence
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (5)
    See also Journal Article in Statistica Neerlandica (2005)

2003

  1. A Vectorautoregressive Investment Model (VIM) and Monetary Policy Transmission: Panel Evidence from German Firms
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (4)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2003) Downloads View citations (5)

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 View citations (1)
  2. A parametric approach to the estimation of cointegration vectors in panel data
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (7)
    Also in 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2002) Downloads View citations (5)

    See also Journal Article in Econometric Reviews (2005)
  3. Prognoseeigenschaften alternativer Indikatoren für die Konjunkturentwicklung in Deutschland
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)

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)
  2. Testing for short and long-run causality: The case of the yield spread and economic growth
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads

2000

  1. Common cycles: A frequency domain approach
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (4)
  2. Uncovered interest parity: What can we learn from panel data?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)

1999

  1. Nonlinear error correction and the efficient market hypothesis: The case of German dual-class shares
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in German Economic Review (2001)
  2. Some nonparametric tests for unit roots and cointegration
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  3. The local power of some unit root tests for panel data
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (15)

1998

  1. Alternative GMM methods for nonlinear panel data models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)
  2. Canonical correlation statistics for testing the cointegration rank in a reversed order
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  3. Neuere Entwicklungen auf dem Gebiet ökonometrischer Strukturmodelle: Strukturelle Vektorautoregressionen
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)
  4. On model based seasonal adjustment procedures
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  5. Rank tests for nonlinear cointegration
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2001)
  6. Simulation based methods of moments in empirical finance
    Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998) Downloads View citations (1)
  7. Temporal aggregation and causality in multiple time series models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
  8. The Beveridge-Nelson decomposition: A different perspective with new results
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article in Journal of Time Series Analysis (1999)

1996

  1. Impulse Response Analysis of Vector Autoregressive Processes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
  2. On Phillips-Perron Type Tests for Seasonal Unit Roots
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article in Econometric Theory (1998)
  3. Rank tests for unit roots
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article in Journal of Econometrics (1997)
  4. Using a Latent Variables Representation to Estimate Structural VARs
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1995

  1. A Simultaneous Equations Approach to Cointegrated Systems
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  2. GMM-Estimation of Nonlinear Models on Panel Data
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
  3. Impulse Response Functions for Periodic Integration
    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 in Economics Letters (1997)
  4. Testing for Unit Roots in Panel Data Using a GMM Approach
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1993

  1. Short run comovement, persistent shocks, and the business cycle
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

1992

  1. A Two-Step Test Procedure to Decide Between Random- and Fixed-Effects Specifications
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
  2. Ist die empirische Makroökonomik eine wissenschaftliche Illusion?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

1991

  1. Testing for Unit Roots in Panel Data: Are Wages on Different Bargaining Levels Cointegrated?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (7)

1990

  1. A Multivariate Measure of Persistence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
  2. Policy Analysis in VAR-Systems
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
  3. Robust Testing of Functional Statistics: The Bootstrap Approach
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

1989

  1. Robust Testing for Unit Roots
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

1988

  1. Bias Correction and Bootstrapping of Error Component Models for Panel Data: Theory and Applications
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article in Empirical Economics (1989)
  2. Estimating Binary Probit Models under First Order Serial Correlation
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)

Journal Articles

2018

  1. Alternative GMM estimators for spatial regression models
    Spatial Economic Analysis, 2018, 13, (2), 148-170 Downloads
    See also Working Paper (2017)
  2. Assessing causality and delay within a frequency band
    Econometrics and Statistics, 2018, 6, (C), 57-73 Downloads View citations (1)
    See also Working Paper (2016)

2016

  1. A simple model for now-casting volatility series
    International Journal of Forecasting, 2016, 32, (4), 1247-1255 Downloads
    See also Working Paper (2016)
  2. Lagrange multiplier type tests for slope homogeneity in panel data models
    Econometrics Journal, 2016, 19, (2), 166-202 Downloads View citations (1)
  3. Testing for Serial Correlation in Fixed-Effects Panel Data Models
    Econometric Reviews, 2016, 35, (7), 1290-1316 Downloads View citations (7)

2015

  1. Analyzing business cycle asymmetries in a multi-level factor model
    Economics Letters, 2015, 127, (C), 31-34 Downloads View citations (3)
  2. Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach
    Journal of Forecasting, 2015, 34, (7), 588-603 Downloads View citations (6)
  3. Instrumental variable and variable addition based inference in predictive regressions
    Journal of Econometrics, 2015, 187, (1), 358-375 Downloads View citations (7)

2013

  1. A Canonical Correlation Approach for Selecting the Number of Dynamic Factors
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 23-36 Downloads View citations (21)
  2. Lessons from a Decade of IPS and LLC
    Econometric Reviews, 2013, 32, (5-6), 547-591 Downloads View citations (24)
  3. Quantifying survey expectations: What’s wrong with the probability approach?
    International Journal of Forecasting, 2013, 29, (1), 142-154 Downloads View citations (15)
    See also Working Paper (2011)
  4. When bubbles burst: econometric tests based on structural breaks
    Statistical Papers, 2013, 54, (4), 911-930 Downloads View citations (14)

2011

  1. GLS Estimation of Dynamic Factor Models
    Journal of the American Statistical Association, 2011, 106, (495), 1150-1166 Downloads View citations (33)
  2. Introduction to the special issue
    Empirical Economics, 2011, 40, (1), 1-4 Downloads View citations (1)
  3. Simple regression‐based tests for spatial dependence
    Econometrics Journal, 2011, 14, (2), 330-342 View citations (18)
  4. Testing for structural breaks in dynamic factor models
    Journal of Econometrics, 2011, 163, (1), 71-84 Downloads View citations (77)
    See also Working Paper (2009)

2010

  1. Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods
    Journal of Financial Econometrics, 2010, 10, (1), 198-231 Downloads View citations (2)

2009

  1. COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
    Econometric Theory, 2009, 25, (03), 649-653 Downloads

2008

  1. Assessing the Rationality of Survey Expectations: The Probability Approach
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2008, 228, (5-6), 630-643 Downloads View citations (3)
  2. Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data
    International Journal of Forecasting, 2008, 24, (3), 386-398 Downloads View citations (130)
  3. TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
    Econometric Theory, 2008, 24, (01), 88-108 Downloads View citations (29)

2006

  1. A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
    Econometric Theory, 2006, 22, (06), 1091-1111 Downloads View citations (14)
  2. Bidder behavior in central bank repo auctions: Evidence from the Bundesbank
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (3), 215-230 Downloads View citations (11)
  3. Dynamic factor models
    AStA Advances in Statistical Analysis, 2006, 90, (1), 27-42 Downloads View citations (40)
    See also Working Paper (2005)
  4. How synchronized are new EU member states with the euro area? Evidence from a structural factor model
    Journal of Comparative Economics, 2006, 34, (3), 538-563 Downloads View citations (50)
  5. Testing for short- and long-run causality: A frequency-domain approach
    Journal of Econometrics, 2006, 132, (2), 363-378 Downloads View citations (165)

2005

  1. A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
    Econometric Reviews, 2005, 24, (2), 151-173 Downloads View citations (131)
    See also Working Paper (2002)
  2. Panel unit root tests under cross‐sectional dependence
    Statistica Neerlandica, 2005, 59, (4), 414-433 Downloads View citations (164)
    See also Working Paper (2004)
  3. Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks
    Review of World Economics (Weltwirtschaftliches Archiv), 2005, 141, (1), 124-140 Downloads View citations (40)

2003

  1. Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]
    Journal of Econometrics, 2003, 117, (2), 401-404 Downloads View citations (20)

2002

  1. Inference on the cointegration rank in fractionally integrated processes
    Journal of Econometrics, 2002, 110, (2), 167-185 Downloads View citations (60)
    See also Working Paper (2001)
  2. Nonparametric tests for unit roots and cointegration
    Journal of Econometrics, 2002, 108, (2), 343-363 Downloads View citations (197)
  3. ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
    Econometric Theory, 2002, 18, (06), 1336-1349 Downloads
  4. Temporal aggregation and spurious instantaneous causality in multiple time series models
    Journal of Time Series Analysis, 2002, 23, (6), 651-665 Downloads View citations (3)

2001

  1. A convenient representation for structural vector autoregressions
    Empirical Economics, 2001, 26, (2), 447-459 Downloads View citations (3)
  2. Is There a Common European Business Cycle?: New Insights from a Frequency Domain Analysis
    Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, 2001, 70, (3), 331-338 Downloads View citations (6)
  3. Non‐linear Error Correction and the Efficient Market Hypothesis: The Case of German Dual‐Class Shares
    German Economic Review, 2001, 2, (4), 419-434 Downloads View citations (3)
    See also Working Paper (1999)
  4. Rank Tests for Nonlinear Cointegration
    Journal of Business & Economic Statistics, 2001, 19, (3), 331-40 View citations (59)
    See also Working Paper (1998)
  5. The empirical performance of the ECB's repo auctions: evidence from aggregated and individual bidding data
    Journal of International Money and Finance, 2001, 20, (6), 839-856 Downloads View citations (19)

1999

  1. The Beveridge–Nelson Decomposition: A Different Perspective with New Results
    Journal of Time Series Analysis, 1999, 20, (5), 527-535 Downloads
    See also Working Paper (1998)

1998

  1. ON PHILLIPS PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS
    Econometric Theory, 1998, 14, (02), 200-221 Downloads View citations (18)
    See also Working Paper (1996)
  2. Short Run Comovement, Persistent Shocks and the Business Cycle / Eine empirische Analyse der Wirkung kurz- und langfristiger Schocks im Konjunkturzyklus
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, 217, (4), 436-448 Downloads

1997

  1. Impulse response functions for periodic integration
    Economics Letters, 1997, 55, (1), 35-40 Downloads
    See also Working Paper (1995)
  2. Rank tests for unit roots
    Journal of Econometrics, 1997, 81, (1), 7-27 Downloads View citations (36)
    See also Working Paper (1996)

1996

  1. Estimation de modèles non linéaires sur données de panel par la méthode des moments généralisés
    Économie et Prévision, 1996, 126, (5), 191-203 Downloads View citations (1)

1994

  1. SOME SIMPLE TESTS OF THE MOVING‐AVERAGE UNIT ROOT HYPOTHESIS
    Journal of Time Series Analysis, 1994, 15, (4), 351-370 Downloads

1989

  1. Bias Correction and Bootstrapping of Error Component Models for Panel Data: Theory and Applications
    Empirical Economics, 1989, 14, (4), 329-42 View citations (4)
    See also Working Paper (1988)

Chapters

2016

  1. Analyzing International Business and Financial Cycles using Multi-Level Factor Models: A Comparison of Alternative Approaches
    A chapter in Dynamic Factor Models, 2016, vol. 35, pp 177-214 Downloads View citations (1)

2013

  1. Factor models
    Chapter 11 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 249-265 Downloads View citations (3)
    See also Working Paper (2011)
 
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