Details about Jörg Breitung

E-mail:
Homepage:	https://wisostat.uni-koeln.de/de/institut/professoren/breitung
Postal address:	Institute of Econometrics and Statistics University of Cologne Albert-Magnus-Platz 50923 Koeln, Germany
Workplace:	Seminar für Wirtschafts- und Sozialgeschichte (Department of Economic and Social History), Wirtschafts- und Sozialwissenschaftliche Fakultät (Faculty of Social and Economic Sciences), Universität zu Köln (University of Cologne), (more information at EDIRC)

Access statistics for papers by Jörg Breitung.

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Working Papers

2023

1. Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations
   Papers, arXiv.org View citations (2)

2022

2. Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data
   Papers, arXiv.org View citations (1)
3. Bias-corrected estimation of linear dynamic panel data models
   London Stata Conference 2022, Stata Users Group View citations (2)

2020

4. Backward CUSUM for Testing and Monitoring Structural Change
   VfS Annual Conference 2020 (Virtual Conference): Gender Economics, Verein für Socialpolitik / German Economic Association

2019

5. Projection estimators for structural impulse responses
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz View citations (4)

2018

6. How far can we forecast? Statistical tests of the predictive content
   Discussion Papers, Deutsche Bundesbank View citations (8)
   See also Journal Article How far can we forecast? Statistical tests of the predictive content, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (10) (2021)

2017

7. Alternative GMM estimators for spatial regression models
   Working Paper Series in Economics, University of Cologne, Department of Economics
   See also Journal Article Alternative GMM estimators for spatial regression models, Spatial Economic Analysis, Taylor & Francis Journals (2018) View citations (2) (2018)

2016

8. A Simple Model for Now-Casting Volatility Series
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
   Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016) View citations (5)
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014)
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016) View citations (5)
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (5)
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014)
   See also Journal Article A simple model for now-casting volatility series, International Journal of Forecasting, Elsevier (2016) View citations (5) (2016)
9. Assessing Causality and Delay within a Frequency Band
   IMK Working Paper, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute View citations (3)
   See also Journal Article Assessing causality and delay within a frequency band, Econometrics and Statistics, Elsevier (2018) View citations (13) (2018)

2015

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

2014

11. Analyzing business and financial cycles using multi-level factor models
    Discussion Papers, Deutsche Bundesbank View citations (27)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (23)

2011

12. Factor models
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) View citations (6)
    See also Chapter Factor models, Chapters, Edward Elgar Publishing (2013) View citations (3) (2013)
13. Quantifying survey expectations: What's wrong with the probability approach?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article Quantifying survey expectations: What’s wrong with the probability approach?, International Journal of Forecasting, Elsevier (2013) View citations (18) (2013)

2009

14. A Residual-Based LM Test for Fractional Cointegration
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (1)
    Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (1)
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) View citations (1)
15. Myths and Facts about Panel Unit Root Tests
    Working Papers in Economics, University of Gothenburg, Department of Economics View citations (4)
16. Simple Regression Based Tests for Spatial Dependence
    Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE) View citations (5)
    See also Journal Article Simple regression‐based tests for spatial dependence, Econometrics Journal, Royal Economic Society (2011) View citations (24) (2011)
17. Testing for cointegration in high-dimensional systems
    CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
18. Testing for structural breaks in dynamic factor models
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (6)
    See also Journal Article Testing for structural breaks in dynamic factor models, Journal of Econometrics, Elsevier (2011) View citations (139) (2011)

2006

19. Business cycle transmission from the euro area to CEECs
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (2)
20. Real-time forecasting of GDP based on a large factor model with monthly and quarterly data
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (20)

2005

21. Dynamic factor models
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (91)
    See also Journal Article Dynamic factor models, AStA Advances in Statistical Analysis, Springer (2006) View citations (63) (2006)
    Chapter Dynamic Factor Models, Springer Books, Springer (2006) View citations (80) (2006)
22. 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 View citations (18)
23. 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 View citations (19)
24. Unit Roots and Cointegration in Panels
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (146)
    Also in CESifo Working Paper Series, CESifo (2005) View citations (147)
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (148)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) View citations (147)

2004

25. 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
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2003) View citations (5)
26. Panel Unit Root Tests under Cross- sectional Dependence
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (6)
    See also Journal Article Panel unit root tests under cross‐sectional dependence, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2005) View citations (312) (2005)

2003

27. A Vectorautoregressive Investment Model (VIM) and Monetary Policy Transmission: Panel Evidence from German Firms
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (10)
    Also in Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) View citations (9)

2002

28. A Residual LM test for fractional cointegration
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (1)
29. A parametric approach to the estimation of cointegration vectors in panel data
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data View citations (9)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) View citations (9)
    See also Journal Article A Parametric approach to the Estimation of Cointegration Vectors in Panel Data, Econometric Reviews, Taylor & Francis Journals (2005) View citations (245) (2005)
30. Inference on the cointegration rank in fractionally integrated processes
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (73)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000)
    Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (3)
    See also Journal Article Inference on the cointegration rank in fractionally integrated processes, Journal of Econometrics, Elsevier (2002) View citations (78) (2002)
31. 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 View citations (2)

2001

32. 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

2000

33. Common cycles: A frequency domain approach
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (5)
34. 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 View citations (1)

1999

35. 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 View citations (2)
36. 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
37. 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 View citations (32)

1998

38. 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 View citations (4)
39. 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
40. 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 View citations (3)
41. On model based seasonal adjustment procedures
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
42. Rank tests for nonlinear cointegration
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article Rank Tests for Nonlinear Cointegration, Journal of Business & Economic Statistics, American Statistical Association (2001) View citations (83) (2001)
43. Simulation based methods of moments in empirical finance
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)
    Also in Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics (1998) View citations (1)
44. 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 View citations (1)
45. 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
    See also Journal Article The Beveridge–Nelson Decomposition: A Different Perspective with New Results, Journal of Time Series Analysis, Wiley Blackwell (1999) View citations (1) (1999)

1996

46. 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 (5)
47. 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 ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS, Econometric Theory, Cambridge University Press (1998) View citations (21) (1998)
48. Rank tests for unit roots
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
    See also Journal Article Rank tests for unit roots, Journal of Econometrics, Elsevier (1997) View citations (44) (1997)
49. 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

50. 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 View citations (1)
51. 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 (5)
52. 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 Impulse response functions for periodic integration, Economics Letters, Elsevier (1997) (1997)
53. 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

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

1992

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

1991

57. 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 (10)

1990

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

1989

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

1988

62. 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 Bias Correction and Bootstrapping of Error Component Models for Panel Data: Theory and Applications, Empirical Economics, Springer (1989) View citations (6) (1989)
63. Estimating Binary Probit Models under First Order Serial Correlation
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)

Journal Articles

2021

1. Alternative estimation approaches for the factor augmented panel data model with small T
   Empirical Economics, 2021, 60, (1), 327-351 View citations (10)
2. Correction to: Alternative estimation approaches for the factor augmented panel data model with small T
   Empirical Economics, 2021, 61, (6), 3557-3558 View citations (10)
3. Estimation of heterogeneous panels with systematic slope variations
   Journal of Econometrics, 2021, 220, (2), 399-415 View citations (12)
4. How far can we forecast? Statistical tests of the predictive content
   Journal of Applied Econometrics, 2021, 36, (4), 369-392 View citations (10)
   See also Working Paper How far can we forecast? Statistical tests of the predictive content, Discussion Papers (2018) View citations (8) (2018)

2019

5. Double filter instrumental variable estimation of panel data models with weakly exogenous variables
   Econometric Reviews, 2019, 38, (9), 1055-1088 View citations (12)

2018

6. Alternative GMM estimators for spatial regression models
   Spatial Economic Analysis, 2018, 13, (2), 148-170 View citations (2)
   See also Working Paper Alternative GMM estimators for spatial regression models, Working Paper Series in Economics (2017) (2017)
7. Assessing causality and delay within a frequency band
   Econometrics and Statistics, 2018, 6, (C), 57-73 View citations (13)
   See also Working Paper Assessing Causality and Delay within a Frequency Band, IMK Working Paper (2016) View citations (3) (2016)

2016

8. A simple model for now-casting volatility series
   International Journal of Forecasting, 2016, 32, (4), 1247-1255 View citations (5)
   See also Working Paper A Simple Model for Now-Casting Volatility Series, LIDAM Discussion Papers CORE (2016) View citations (5) (2016)
9. Lagrange multiplier type tests for slope homogeneity in panel data models
   Econometrics Journal, 2016, 19, (2), 166-202 View citations (9)
10. Testing for Serial Correlation in Fixed-Effects Panel Data Models
    Econometric Reviews, 2016, 35, (7), 1290-1316 View citations (61)

2015

11. Analyzing business cycle asymmetries in a multi-level factor model
    Economics Letters, 2015, 127, (C), 31-34 View citations (8)
12. Forecasting Inflation Rates Using Daily Data: A Nonparametric MIDAS Approach
    Journal of Forecasting, 2015, 34, (7), 588-603 View citations (39)
13. Instrumental variable and variable addition based inference in predictive regressions
    Journal of Econometrics, 2015, 187, (1), 358-375 View citations (27)

2013

14. A Canonical Correlation Approach for Selecting the Number of Dynamic Factors
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 23-36 View citations (29)
15. Lessons from a Decade of IPS and LLC
    Econometric Reviews, 2013, 32, (5-6), 547-591 View citations (47)
16. Quantifying survey expectations: What’s wrong with the probability approach?
    International Journal of Forecasting, 2013, 29, (1), 142-154 View citations (18)
    See also Working Paper Quantifying survey expectations: What's wrong with the probability approach?, Hannover Economic Papers (HEP) (2011) (2011)
17. When bubbles burst: econometric tests based on structural breaks
    Statistical Papers, 2013, 54, (4), 911-930 View citations (21)

2011

18. GLS Estimation of Dynamic Factor Models
    Journal of the American Statistical Association, 2011, 106, (495), 1150-1166 View citations (45)
19. Introduction to the special issue
    Empirical Economics, 2011, 40, (1), 1-4 View citations (5)
20. Simple regression‐based tests for spatial dependence
    Econometrics Journal, 2011, 14, (2), 330-342 View citations (24)
    See also Working Paper Simple Regression Based Tests for Spatial Dependence, Bonn Econ Discussion Papers (2009) View citations (5) (2009)
21. Testing for structural breaks in dynamic factor models
    Journal of Econometrics, 2011, 163, (1), 71-84 View citations (139)
    See also Working Paper Testing for structural breaks in dynamic factor models, Discussion Paper Series 1: Economic Studies (2009) View citations (6) (2009)

2010

22. Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods
    Journal of Financial Econometrics, 2010, 10, (1), 198-231 View citations (7)

2009

23. 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, (3), 649-653

2008

24. 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 View citations (3)
25. 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 View citations (180)
26. TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
    Econometric Theory, 2008, 24, (1), 88-108 View citations (36)

2006

27. A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
    Econometric Theory, 2006, 22, (6), 1091-1111 View citations (19)
28. Bidder behavior in central bank repo auctions: Evidence from the Bundesbank
    Journal of International Financial Markets, Institutions and Money, 2006, 16, (3), 215-230 View citations (14)
29. Dynamic factor models
    AStA Advances in Statistical Analysis, 2006, 90, (1), 27-42 View citations (63)
    See also Working Paper Dynamic factor models, Discussion Paper Series 1: Economic Studies (2005) View citations (91) (2005)
    Chapter Dynamic Factor Models, Springer Books, 2006, 25-40 (2006) View citations (80) (2006)
30. 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 View citations (66)
31. Testing for short- and long-run causality: A frequency-domain approach
    Journal of Econometrics, 2006, 132, (2), 363-378 View citations (396)

2005

32. A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
    Econometric Reviews, 2005, 24, (2), 151-173 View citations (245)
    See also Working Paper A parametric approach to the estimation of cointegration vectors in panel data, 10th International Conference on Panel Data, Berlin, July 5-6, 2002 (2002) View citations (9) (2002)
33. Panel unit root tests under cross‐sectional dependence
    Statistica Neerlandica, 2005, 59, (4), 414-433 View citations (312)
    See also Working Paper Panel Unit Root Tests under Cross- sectional Dependence, Econometric Society 2004 North American Summer Meetings (2004) View citations (6) (2004)
34. 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 View citations (49)

2003

35. Corrigendum to "Nonparametric tests for unit roots and cointegration" [J. Econom. 108 (2002) 343-363]
    Journal of Econometrics, 2003, 117, (2), 401-404 View citations (25)

2002

36. Inference on the cointegration rank in fractionally integrated processes
    Journal of Econometrics, 2002, 110, (2), 167-185 View citations (78)
    See also Working Paper Inference on the cointegration rank in fractionally integrated processes, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2002) View citations (73) (2002)
37. Nonparametric tests for unit roots and cointegration
    Journal of Econometrics, 2002, 108, (2), 343-363 View citations (261)
38. ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
    Econometric Theory, 2002, 18, (6), 1336-1349
39. Temporal aggregation and spurious instantaneous causality in multiple time series models
    Journal of Time Series Analysis, 2002, 23, (6), 651-665 View citations (33)

2001

40. A convenient representation for structural vector autoregressions
    Empirical Economics, 2001, 26, (2), 447-459 View citations (3)
41. 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 View citations (9)
42. Non-linear Error Correction and the Efficient Market Hypothesis: The Case of German Dual-Class Shares
    German Economic Review, 2001, 2, (4), 419-434
    Also in German Economic Review, 2001, 2, (4), 419-434 (2001) View citations (3)
43. Rank Tests for Nonlinear Cointegration
    Journal of Business & Economic Statistics, 2001, 19, (3), 331-40 View citations (83)
    See also Working Paper Rank tests for nonlinear cointegration, SFB 373 Discussion Papers (1998) (1998)
44. 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 View citations (25)

1999

45. The Beveridge–Nelson Decomposition: A Different Perspective with New Results
    Journal of Time Series Analysis, 1999, 20, (5), 527-535 View citations (1)
    See also Working Paper The Beveridge-Nelson decomposition: A different perspective with new results, SFB 373 Discussion Papers (1998) (1998)

1998

46. ON PHILLIPS–PERRON-TYPE TESTS FOR SEASONAL UNIT ROOTS
    Econometric Theory, 1998, 14, (2), 200-221 View citations (21)
    See also Working Paper On Phillips-Perron Type Tests for Seasonal Unit Roots, SFB 373 Discussion Papers (1996) (1996)
47. 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 View citations (1)

1997

48. Impulse response functions for periodic integration
    Economics Letters, 1997, 55, (1), 35-40
    See also Working Paper Impulse Response Functions for Periodic Integration, SFB 373 Discussion Papers (1995) View citations (1) (1995)
49. Rank tests for unit roots
    Journal of Econometrics, 1997, 81, (1), 7-27 View citations (44)
    See also Working Paper Rank tests for unit roots, SFB 373 Discussion Papers (1996) (1996)

1996

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

1994

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

1989

52. Bias Correction and Bootstrapping of Error Component Models for Panel Data: Theory and Applications
    Empirical Economics, 1989, 14, (4), 329-42 View citations (6)
    See also Working Paper Bias Correction and Bootstrapping of Error Component Models for Panel Data: Theory and Applications, Hannover Economic Papers (HEP) (1988) (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 View citations (6)

2013

2. Factor models
   Chapter 11 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 249-265 View citations (3)
   See also Working Paper Factor models, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) (2011) View citations (6) (2011)

2006

3. Dynamic Factor Models
   Springer View citations (80)
   See also Working Paper Dynamic factor models, Deutsche Bundesbank (2005) View citations (91) (2005)
   Journal Article Dynamic factor models, Springer (2006) View citations (63) (2006)

Software Items

2022

1. XTDPDBC: Stata module to perform bias-corrected estimation of linear dynamic panel data models
   Statistical Software Components, Boston College Department of Economics