Details about Christian Jonathan Kascha

Access statistics for papers by Christian Jonathan Kascha.

Last updated 2023-01-25. Update your information in the RePEc Author Service.

Short-id: pka324

Working Papers

2019

1. Directed Graph and Variable Selection in Large Vector Autoregressive Models
   VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy, Verein für Socialpolitik / German Economic Association
   Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2018)
   Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2017)

2015

2. Forecasting VARs, model selection, and shrinkage
   Working Papers, University of Mannheim, Department of Economics View citations (10)

2011

3. Cointegrated VARMA models and forecasting US interest rates
   ECON - Working Papers, Department of Economics - University of Zurich View citations (1)

2009

4. Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
   Working Paper, Norges Bank View citations (1)
   See also Journal Article Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order, Computational Statistics & Data Analysis, Elsevier (2011) View citations (2) (2011)

2008

5. Business cycle analysis and VARMA models
   Working Paper, Norges Bank View citations (2)
   Also in Economics Working Papers, European University Institute (2006) View citations (1)
   See also Journal Article Business cycle analysis and VARMA models, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (19) (2009)
6. Combining inflation density forecasts
   Working Paper, Norges Bank View citations (19)
   See also Journal Article Combining inflation density forecasts, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (102) (2010)

2007

7. A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
   Economics Working Papers, European University Institute View citations (11)
   See also Journal Article A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models, Econometric Reviews, Taylor & Francis Journals (2012) View citations (16) (2012)

Journal Articles

2015

1. Simple Identification and Specification of Cointegrated Varma Models
   Journal of Applied Econometrics, 2015, 30, (4), 675-702 View citations (3)

2012

2. A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
   Econometric Reviews, 2012, 31, (3), 297-324 View citations (16)
   See also Working Paper A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models, Economics Working Papers (2007) View citations (11) (2007)

2011

3. Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
   Computational Statistics & Data Analysis, 2011, 55, (2), 1008-1017 View citations (2)
   See also Working Paper Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order, Working Paper (2009) View citations (1) (2009)

2010

4. Combining inflation density forecasts
   Journal of Forecasting, 2010, 29, (1-2), 231-250 View citations (102)
   See also Working Paper Combining inflation density forecasts, Working Paper (2008) View citations (19) (2008)

2009

5. Business cycle analysis and VARMA models
   Journal of Economic Dynamics and Control, 2009, 33, (2), 267-282 View citations (19)
   See also Working Paper Business cycle analysis and VARMA models, Working Paper (2008) View citations (2) (2008)