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Details about Uwe Hassler

Homepage:http://www.wiwi.uni-frankfurt.de/~hassler
Workplace:Abteilung Empirische Wirtschaftsforschung und International Wirtschaftspolitik (Department of Applied Econometrics and International Political Economy), Fachbereich Wirtschaftswissenschaft (Faculty of Economics and Business Administration), Goethe Universität Frankfurt am Main (Goethe University Frankfurt), (more information at EDIRC)

Access statistics for papers by Uwe Hassler.

Last updated 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pha277


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Working Papers

2020

  1. Unlucky Number 13? Manipulating Evidence Subject to Snooping
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Unlucky Number 13? Manipulating Evidence Subject to Snooping, International Statistical Review, International Statistical Institute (2022) Downloads (2022)

2019

  1. Forecasting under Long Memory and Nonstationarity
    Papers, arXiv.org Downloads View citations (4)

2014

  1. Persistence in the Banking Industry: Fractional integration and breaks in memory
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (7)
    See also Journal Article Persistence in the banking industry: Fractional integration and breaks in memory, Journal of Empirical Finance, Elsevier (2014) Downloads View citations (7) (2014)

2012

  1. Quantile regression for long memory testing: A case of realized volatility
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    See also Journal Article Quantile Regression for Long Memory Testing: A Case of Realized Volatility, Journal of Financial Econometrics, Oxford University Press (2016) Downloads View citations (11) (2016)

2011

  1. Detecting multiple breaks in long memory: The case of US inflation
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank Downloads View citations (7)
    See also Journal Article Detecting multiple breaks in long memory the case of U.S. inflation, Empirical Economics, Springer (2014) Downloads View citations (40) (2014)
  2. Estimation of fractional integration under temporal aggregation
    Post-Print, HAL Downloads View citations (23)
    See also Journal Article Estimation of fractional integration under temporal aggregation, Journal of Econometrics, Elsevier (2011) Downloads View citations (23) (2011)

2009

  1. 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) Downloads 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) Downloads View citations (1)
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) Downloads View citations (1)
  2. Inflation-Unemployment Tradeoff and Regional Labor Market Data
    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) Downloads
    Also in Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) Downloads
    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) Downloads
    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) (2003) Downloads

    See also Journal Article Inflation-unemployment tradeoff and regional labor market data, Empirical Economics, Springer (2003) Downloads View citations (10) (2003)
  3. Residual Log-Periodogram Inference for Long-Run-Relationships
    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) Downloads View citations (6)
    Also in Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) Downloads View citations (6)
    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) Downloads View citations (6)
    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 (6)

    See also Journal Article Residual log-periodogram inference for long-run relationships, Journal of Econometrics, Elsevier (2006) Downloads View citations (32) (2006)
  4. Seasonal Unit Root Tests under Structural Breaks
    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) Downloads
    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) Downloads
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) Downloads
    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)

    See also Journal Article Seasonal Unit Root Tests Under Structural Breaks, Journal of Time Series Analysis, Wiley Blackwell (2004) Downloads View citations (9) (2004)
  5. The Effect of Linear Time Trends on Cointegration Testing in Single Equations
    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) Downloads 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) Downloads View citations (1)
    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)

2005

  1. Autoregressive distributed lag models and cointegration
    Discussion Papers, Free University Berlin, School of Business & Economics Downloads View citations (14)
    See also Journal Article Autoregressive distributed lag models and cointegration, AStA Advances in Statistical Analysis, Springer (2006) Downloads View citations (58) (2006)
    Chapter Autoregressive Distributed Lag Models and Cointegration, Springer Books, Springer (2006) View citations (54) (2006)
  2. Unit root testing
    Discussion Papers, Free University Berlin, School of Business & Economics Downloads View citations (6)
    See also Journal Article Unit root testing, AStA Advances in Statistical Analysis, Springer (2006) Downloads View citations (3) (2006)
    Chapter Unit Root Testing, Springer Books, Springer (2006) View citations (3) (2006)

2002

  1. 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)
  2. Dickey-Fuller cointegration tests in the presence of regime shifts at known time
    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)
  3. 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 Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (3)
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads

    See also Journal Article Inference on the cointegration rank in fractionally integrated processes, Journal of Econometrics, Elsevier (2002) Downloads View citations (77) (2002)

2000

  1. FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1998) Downloads View citations (1)

1999

  1. Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article Cointegration Testing in Single Error‐Correction Equations in the Presence of Linear Time Trends, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2000) Downloads View citations (5) (2000)
  2. Nonsense regressions due to time-varying means
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. The Effect of Linear Time Trends on Single Equation Cointegration Testing
    Computing in Economics and Finance 1999, Society for Computational Economics

1997

  1. Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    See also Journal Article Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated, Economics Letters, Elsevier (1998) Downloads View citations (6) (1998)

1996

  1. A Note on the Effect of Seasonal Dummies on the Periodogram Regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

1995

  1. The Term Structure of Interest Rates as an Indicator of German Monetary Policy?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (5)

Journal Articles

2022

  1. Understanding nonsense correlation between (independent) random walks in finite samples
    Statistical Papers, 2022, 63, (1), 181-195 Downloads
  2. Unlucky Number 13? Manipulating Evidence Subject to Snooping
    International Statistical Review, 2022, 90, (2), 397-410 Downloads
    See also Working Paper Unlucky Number 13? Manipulating Evidence Subject to Snooping, Papers (2020) Downloads View citations (1) (2020)

2020

  1. Estimating the mean under strong persistence
    Economics Letters, 2020, 188, (C) Downloads
  2. Harmonically Weighted Processes
    Journal of Time Series Analysis, 2020, 41, (1), 41-66 Downloads View citations (4)
  3. Note on sample quantiles for ordinal data
    Statistical Papers, 2020, 61, (6), 2383-2391 Downloads
  4. Whittle-type estimation under long memory and nonstationarity
    AStA Advances in Statistical Analysis, 2020, 104, (3), 363-383 Downloads

2019

  1. Katsuto Tanaka (2017): Time series analysis: nonstationary and noninvertible distribution theory, 2nd edition
    Statistical Papers, 2019, 60, (4), 1419-1420 Downloads
  2. Ratio tests under limiting normality
    Econometric Reviews, 2019, 38, (7), 793-813 Downloads View citations (2)
  3. Testing the Newcomb-Benford Law: experimental evidence
    Applied Economics Letters, 2019, 26, (21), 1762-1769 Downloads View citations (4)

2018

  1. Wayne A. Woodward, Henry L. Gray and Alan C. Elliott (2017): Applied Time Series Analysis with R, Second Edition, Chapman & Hall/CRC, 618 pp., $109.95, ISBN 9781498734226
    Statistical Papers, 2018, 59, (1), 417-418 Downloads

2017

  1. Ergodic for the mean
    Economics Letters, 2017, 151, (C), 75-78 Downloads
  2. Palma, W.: Time series analysis
    Statistical Papers, 2017, 58, (1), 283-284 Downloads

2016

  1. (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
    Econometric Theory, 2016, 32, (6), 1317-1348 Downloads View citations (4)
  2. Jürgen Wolters
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (1), 5-7 Downloads
    Also in AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (1), 5-7 (2016) Downloads
  3. M. H. Pesaran (2015): Time series and panel data econometrics. Oxford University Press, Oxford, 1104 pp, Hardcover 110.00 $$\pounds $$ £, ISBN: 9780198736912
    Statistical Papers, 2016, 57, (3), 859-860 Downloads
  4. Panel Cointegration Testing in the Presence of Linear Time Trends
    Econometrics, 2016, 4, (4), 1-16 Downloads View citations (1)
  5. Powerful Unit Root Tests Free of Nuisance Parameters
    Journal of Time Series Analysis, 2016, 37, (4), 533-554 Downloads View citations (1)
  6. Quantile Regression for Long Memory Testing: A Case of Realized Volatility
    Journal of Financial Econometrics, 2016, 14, (4), 693-724 Downloads View citations (11)
    See also Working Paper Quantile regression for long memory testing: A case of realized volatility, Working Papers (2012) Downloads View citations (3) (2012)

2014

  1. Detecting multiple breaks in long memory the case of U.S. inflation
    Empirical Economics, 2014, 46, (2), 653-680 Downloads View citations (40)
    See also Working Paper Detecting multiple breaks in long memory: The case of US inflation, Discussion Paper Series 1: Economic Studies (2011) Downloads View citations (7) (2011)
  2. Effect of the order of fractional integration on impulse responses
    Economics Letters, 2014, 125, (2), 311-314 Downloads
  3. Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2014, 234, (1), 23-43 Downloads View citations (1)
  4. Persistence in the banking industry: Fractional integration and breaks in memory
    Journal of Empirical Finance, 2014, 29, (C), 95-112 Downloads View citations (7)
    See also Working Paper Persistence in the Banking Industry: Fractional integration and breaks in memory, Working Papers (2014) Downloads View citations (7) (2014)
  5. Persistence under temporal aggregation and differencing
    Economics Letters, 2014, 124, (2), 318-322 Downloads View citations (2)

2013

  1. Asymptotic Behavior of Temporal Aggregates in the Frequency Domain
    Journal of Time Series Econometrics, 2013, 5, (1), 47-60 Downloads View citations (4)
  2. Effect of temporal aggregation on multiple time series in the frequency domain
    Journal of Time Series Analysis, 2013, 34, (5), 562-573 Downloads View citations (5)

2012

  1. Impulse responses of antipersistent processes
    Economics Letters, 2012, 116, (3), 454-456 Downloads View citations (3)

2011

  1. Asymptotic normal tests for integration in panels with cross-dependent units
    AStA Advances in Statistical Analysis, 2011, 95, (2), 187-204 Downloads View citations (12)
  2. Detecting changes from short to long memory
    Statistical Papers, 2011, 52, (4), 847-870 Downloads View citations (19)
  3. Estimation of fractional integration under temporal aggregation
    Journal of Econometrics, 2011, 162, (2), 240-247 Downloads View citations (23)
    See also Working Paper Estimation of fractional integration under temporal aggregation, Post-Print (2011) Downloads View citations (23) (2011)
  4. Pitfalls of post-model-selection testing: experimental quantification
    Empirical Economics, 2011, 40, (2), 359-372 Downloads View citations (18)

2010

  1. IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY
    Econometric Theory, 2010, 26, (6), 1855-1861 Downloads View citations (13)
  2. Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
    Journal of Applied Statistics, 2010, 37, (8), 1381-1397 Downloads View citations (2)
  3. Testing regression coefficients after model selection through sign restrictions
    Economics Letters, 2010, 107, (2), 220-223 Downloads

2009

  1. Hysteresis in Unemployment Rates? A Comparison between Germany and the US
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2009, 229, (2-3), 119-129 Downloads View citations (2)
  2. TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
    Econometric Theory, 2009, 25, (6), 1793-1828 Downloads View citations (20)

2008

  1. Comment on "Long-run relationships between labor and capital: Indirect evidence on the elasticity of substitution"
    Journal of Macroeconomics, 2008, 30, (2), 757-759 Downloads View citations (1)
  2. D. N. DeJong and C. Dave: Structural Macroeconometrics
    Journal of Economics, 2008, 94, (1), 99-101 Downloads
  3. Fractional cointegration in the presence of linear trends
    Journal of Time Series Analysis, 2008, 29, (6), 1088-1103 Downloads
  4. LONG MEMORY TESTING IN THE TIME DOMAIN
    Econometric Theory, 2008, 24, (1), 176-215 Downloads View citations (60)
  5. On Critical Values of Tests against a Change in Persistence*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 705-710 Downloads View citations (2)
  6. On the persistence of the Eonia spread
    Economics Letters, 2008, 101, (3), 184-187 Downloads View citations (24)

2007

  1. Effect of neglected deterministic seasonality on unit root tests
    Statistical Papers, 2007, 48, (3), 385-402 Downloads View citations (11)
  2. Multicointegration under measurement errors
    Economics Letters, 2007, 96, (1), 38-44 Downloads View citations (1)

2006

  1. A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
    Econometric Theory, 2006, 22, (6), 1091-1111 Downloads View citations (18)
  2. A note on Phillips-Perron-type statistics for cointegration testing
    Economics Bulletin, 2006, 3, (17), 1-7 Downloads View citations (1)
  3. Autoregressive distributed lag models and cointegration
    AStA Advances in Statistical Analysis, 2006, 90, (1), 59-74 Downloads View citations (58)
    See also Chapter Autoregressive Distributed Lag Models and Cointegration, Springer Books, 2006, 57-72 (2006) View citations (54) (2006)
    Working Paper Autoregressive distributed lag models and cointegration, Discussion Papers (2005) Downloads View citations (14) (2005)
  4. Combining Significance of Correlated Statistics with Application to Panel Data*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 647-663 Downloads View citations (66)
  5. Residual log-periodogram inference for long-run relationships
    Journal of Econometrics, 2006, 130, (1), 165-207 Downloads View citations (32)
    See also Working Paper Residual Log-Periodogram Inference for Long-Run-Relationships, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) Downloads View citations (6) (2009)
  6. Unit root testing
    AStA Advances in Statistical Analysis, 2006, 90, (1), 43-58 Downloads View citations (3)
    See also Chapter Unit Root Testing, Springer Books, 2006, 41-56 (2006) View citations (3) (2006)
    Working Paper Unit root testing, Discussion Papers (2005) Downloads View citations (6) (2005)

2005

  1. Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2005, 225, (4), 413-426 Downloads View citations (6)

2004

  1. Seasonal Unit Root Tests Under Structural Breaks
    Journal of Time Series Analysis, 2004, 25, (1), 33-53 Downloads View citations (9)
    See also Working Paper Seasonal Unit Root Tests under Structural Breaks, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) Downloads (2009)

2003

  1. Inflation-unemployment tradeoff and regional labor market data
    Empirical Economics, 2003, 28, (2), 321-334 Downloads View citations (10)
    See also Working Paper Inflation-Unemployment Tradeoff and Regional Labor Market Data, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) Downloads (2009)
  2. Nonsense regressions due to neglected time-varying means
    Statistical Papers, 2003, 44, (2), 169-182 Downloads View citations (12)
  3. Zeitabhängige Volatilität und instationäre Zeitreihen: Zum Nobelpreis an Robert F. Engle und Clive W. J. Granger
    Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007), 2003, 83, (12), 811-816 Downloads View citations (1)

2002

  1. Inference on the cointegration rank in fractionally integrated processes
    Journal of Econometrics, 2002, 110, (2), 167-185 Downloads View citations (77)
    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)

2001

  1. The Effect of Linear Time Trends on the KPSS Test for Cointegration
    Journal of Time Series Analysis, 2001, 22, (3), 283-292 Downloads View citations (2)
  2. Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2001, 221, (1), 32-44 Downloads View citations (2)

2000

  1. Cointegration Testing in Single Error‐Correction Equations in the Presence of Linear Time Trends
    Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 621-632 Downloads View citations (5)
    See also Working Paper Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends, DES - Working Papers. Statistics and Econometrics. WS (1999) Downloads (1999)

1999

  1. (When) Should cointegrating regressions be detrended? The case of a German money demand function
    Empirical Economics, 1999, 24, (1), 155-172 Downloads View citations (4)

1998

  1. A Note on Correlation in Regressions Without Cointegration
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, 217, (4), 518-523 Downloads
  2. Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
    Economics Letters, 1998, 60, (3), 285-290 Downloads View citations (6)
    See also Working Paper Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated, Technical Reports (1997) Downloads (1997)
  3. The Link between German Short- and Long-Term Interest Rates. Some Evidence against a Term Structure Oriented Monetary Policy / Der Zusammenhang zwischen kurz- und langfristigen Zinssätzen in Deutschland. Empirische Evidenz gegen eine zinsstrukturorientierte Geldpolitik
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, 217, (2), 214-226 Downloads

1997

  1. On the effect of seasonal adjustment on the log-periodogram regression
    Economics Letters, 1997, 56, (2), 135-141 Downloads View citations (10)

1996

  1. A Casebook for a first course in statistics and data analysis.: S. Chatterjee, M.S. Handcock and J.S. Simon-off (1995): Wiley & Sons, ISBN 0-471-11030-2, [pound sign] 19.95, pp. 314
    Computational Statistics & Data Analysis, 1996, 23, (1), 201-202 Downloads
  2. Grundausbildung in Ökonometrie
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1996, 215, (1), 118-118 Downloads
  3. Spurious regressions when stationary regressors are included
    Economics Letters, 1996, 50, (1), 25-31 Downloads View citations (14)

1995

  1. Long Memory in Inflation Rates: International Evidence
    Journal of Business & Economic Statistics, 1995, 13, (1), 37-45 View citations (231)

1994

  1. (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
    Journal of Time Series Analysis, 1994, 15, (1), 19-30 Downloads View citations (24)
  2. On the power of unit root tests against fractional alternatives
    Economics Letters, 1994, 45, (1), 1-5 Downloads View citations (169)

1993

  1. REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
    Journal of Time Series Analysis, 1993, 14, (4), 369-380 Downloads View citations (37)
  2. THE PERIODOGRAM REGRESSION
    Journal of Time Series Analysis, 1993, 14, (5), 549-549 Downloads View citations (2)

Books

2016

  1. Stochastic Processes and Calculus
    Springer Texts in Business and Economics, Springer View citations (5)

2013

  1. Introduction to Modern Time Series Analysis
    Springer Texts in Business and Economics, Springer View citations (31)

Chapters

2023

  1. Powerful Self-Normalizing Tests for Stationarity Against the Alternative of a Unit Root
    A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 97-114 Downloads

2016

  1. Asymptotics of Integrated Processes
    Springer
  2. Autoregressive Moving Average Processes (ARMA)
    Springer
  3. Basic Concepts from Probability Theory
    Springer
  4. Cointegration Analysis
    Springer
  5. Interest Rate Models
    Springer
  6. Introduction
    Springer
  7. Ito Integrals
    Springer
  8. Ito’s Lemma
    Springer
  9. Long Memory and Fractional Integration
    Springer
  10. Processes with Autoregressive Conditional Heteroskedasticity (ARCH)
    Springer
  11. Riemann Integrals
    Springer
  12. Spectra of Stationary Processes
    Springer
  13. Stieltjes Integrals
    Springer
  14. Stochastic Differential Equations (SDE)
    Springer
  15. Trends, Integration Tests and Nonsense Regressions
    Springer
  16. Wiener Processes (WP)
    Springer

2013

  1. Autoregressive Conditional Heteroscedasticity
    Springer
  2. Cointegration
    Springer
  3. Granger Causality
    Springer
  4. Introduction and Basics
    Springer
  5. Nonstationary Panel Data
    Springer
  6. Nonstationary Processes
    Springer
  7. Univariate Stationary Processes
    Springer View citations (2)
  8. Vector Autoregressive Processes
    Springer View citations (2)

2009

  1. Cointegration analysis under measurement errors
    A chapter in Measurement Error: Consequences, Applications and Solutions, 2009, pp 131-150 Downloads View citations (2)

2006

  1. Autoregressive Distributed Lag Models and Cointegration
    Springer View citations (54)
    See also Journal Article Autoregressive distributed lag models and cointegration, Springer (2006) Downloads View citations (58) (2006)
    Working Paper Autoregressive distributed lag models and cointegration, Free University Berlin, School of Business & Economics (2005) Downloads View citations (14) (2005)
  2. Unit Root Testing
    Springer View citations (3)
    See also Working Paper Unit root testing, Free University Berlin, School of Business & Economics (2005) Downloads View citations (6) (2005)
    Journal Article Unit root testing, Springer (2006) Downloads View citations (3) (2006)
 
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