Details about Robinson Kruse

Access statistics for papers by Robinson Kruse.

Last updated 2024-04-02. Update your information in the RePEc Author Service.

Short-id: pkr132

Working Papers

2018

1. Measuring risk an explosive environment
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2018)

2017

2. The Walking Debt Crisis
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
   See also Journal Article The walking debt crisis, Journal of Economic Behavior & Organization, Elsevier (2019) View citations (16) (2019)

2016

3. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2016)
4. Fixed-b Inference in the Presence of Time-Varying Volatility
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2015

5. Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility
   VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association
6. Testing heteroskedastic time series for normality
   VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association

2014

7. Discriminating between fractional integration and spurious long memory
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (11)

2013

8. A unified framework for testing in the linear regression model under unknown order of fractional integration
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013)
9. Bias-corrected estimation in potentially mildly explosive autoregressive models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
10. Changes in persistence, spurious regressions and the Fisher hypothesis
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Changes in persistence, spurious regressions and the Fisher hypothesis, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) (2017)

2012

11. A simple specification procedure for the transition function in persistent nonlinear time series models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
12. On tests for linearity against STAR models with deterministic trends
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2012)
    See also Journal Article On tests for linearity against STAR models with deterministic trends, Economics Letters, Elsevier (2012) (2012)
13. The Power of Unit Root Tests Against Nonlinear Local Alternatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    See also Journal Article The power of unit root tests against nonlinear local alternatives, Journal of Time Series Analysis, Wiley Blackwell (2013) View citations (3) (2013)
14. Unit roots, nonlinearities and structural breaks
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Chapter Unit roots, non-linearities and structural breaks, Chapters, Edward Elgar Publishing (2013) View citations (1) (2013)

2011

15. Testing for a rational bubble under long memory
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (3)
    See also Journal Article Testing for a rational bubble under long memory, Quantitative Finance, Taylor & Francis Journals (2012) View citations (7) (2012)

2010

16. Linearity Testing in Time-Varying Smooth Transition Autoregressive Models under Unknown Degree of Persistency
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
17. Long memory and changing persistence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2010) View citations (2)
    See also Journal Article Long memory and changing persistence, Economics Letters, Elsevier (2012) View citations (2) (2012)
18. Milestones of European Integration: Which matters most for Export Openness?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Working Papers, University of Aarhus, Aarhus School of Business, Department of Economics (2010) View citations (3)
19. On European monetary integration and the persistence of real effective exchange rates
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article On European monetary integration and the persistence of real effective exchange rates, Finance Research Letters, Elsevier (2011) (2011)
20. What do we know about real exchange rate nonlinearities?
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (3)
    See also Journal Article What do we know about real exchange rate nonlinearities?, Empirical Economics, Springer (2012) View citations (6) (2012)

2009

21. Forecasting long memory time series under a break in persistence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2009) View citations (6)
22. Interest rate convergence in the EMS prior to European Monetary Union
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
    Also in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration (2009) View citations (8)
    See also Journal Article Interest rate convergence in the EMS prior to European Monetary Union, Journal of Policy Modeling, Elsevier (2015) View citations (10) (2015)

2008

23. A new unit root test against ESTAR based on a class of modified statistics
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (8)
    See also Journal Article A new unit root test against ESTAR based on a class of modified statistics, Statistical Papers, Springer (2011) View citations (115) (2011)
24. Rational bubbles and fractional integration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2007

25. Testing for a break in persistence under long-range dependencies
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (29)
    See also Journal Article Testing for a break in persistence under long‐range dependencies, Journal of Time Series Analysis, Wiley Blackwell (2009) View citations (39) (2009)

Undated

26. Forecasting autoregressive time series under changing persistenceCreation-Date: 20100701
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

Journal Articles

2019

1. Explosive behaviour and long memory with an application to European bond yield spreads
   Scottish Journal of Political Economy, 2019, 66, (1), 139-153 View citations (3)
2. The walking debt crisis
   Journal of Economic Behavior & Organization, 2019, 157, (C), 382-402 View citations (16)
   See also Working Paper The Walking Debt Crisis, CREATES Research Papers (2017) View citations (8) (2017)

2018

3. Bias-corrected estimation for speculative bubbles in stock prices
   Economic Modelling, 2018, 73, (C), 354-364 View citations (5)

2017

4. Changes in persistence, spurious regressions and the Fisher hypothesis
   Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (3), 28
   See also Working Paper Changes in persistence, spurious regressions and the Fisher hypothesis, CREATES Research Papers (2013) View citations (1) (2013)

2015

5. A modified test against spurious long memory
   Economics Letters, 2015, 135, (C), 34-38 View citations (4)
6. Interest rate convergence in the EMS prior to European Monetary Union
   Journal of Policy Modeling, 2015, 37, (6), 990-1004 View citations (10)
   See also Working Paper Interest rate convergence in the EMS prior to European Monetary Union, CREATES Research Papers (2009) View citations (8) (2009)

2013

7. Fractional integration versus level shifts: the case of realized asset correlations
   Statistical Papers, 2013, 54, (4), 977-991 View citations (7)
8. The power of unit root tests against nonlinear local alternatives
   Journal of Time Series Analysis, 2013, 34, (1), 40-61 View citations (3)
   See also Working Paper The Power of Unit Root Tests Against Nonlinear Local Alternatives, CREATES Research Papers (2012) View citations (4) (2012)
9. When bubbles burst: econometric tests based on structural breaks
   Statistical Papers, 2013, 54, (4), 911-930 View citations (21)

2012

10. Long memory and changing persistence
    Economics Letters, 2012, 114, (3), 268-272 View citations (2)
    See also Working Paper Long memory and changing persistence, CREATES Research Papers (2010) (2010)
11. On tests for linearity against STAR models with deterministic trends
    Economics Letters, 2012, 117, (1), 268-271
    See also Working Paper On tests for linearity against STAR models with deterministic trends, CREATES Research Papers (2012) (2012)
12. Testing for a rational bubble under long memory
    Quantitative Finance, 2012, 12, (11), 1723-1732 View citations (7)
    See also Working Paper Testing for a rational bubble under long memory, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2011) View citations (3) (2011)
13. What do we know about real exchange rate nonlinearities?
    Empirical Economics, 2012, 43, (2), 457-474 View citations (6)
    See also Working Paper What do we know about real exchange rate nonlinearities?, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2010) View citations (4) (2010)

2011

14. A new unit root test against ESTAR based on a class of modified statistics
    Statistical Papers, 2011, 52, (1), 71-85 View citations (115)
    See also Working Paper A new unit root test against ESTAR based on a class of modified statistics, Hannover Economic Papers (HEP) (2008) View citations (8) (2008)
15. On European monetary integration and the persistence of real effective exchange rates
    Finance Research Letters, 2011, 8, (1), 45-50
    See also Working Paper On European monetary integration and the persistence of real effective exchange rates, CREATES Research Papers (2010) (2010)

2009

16. Testing for a break in persistence under long‐range dependencies
    Journal of Time Series Analysis, 2009, 30, (3), 263-285 View citations (39)
    See also Working Paper Testing for a break in persistence under long-range dependencies, Hannover Economic Papers (HEP) (2007) View citations (29) (2007)

Chapters

2013

1. Unit roots, non-linearities and structural breaks
   Chapter 4 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 61-94 View citations (1)
   See also Working Paper Unit roots, nonlinearities and structural breaks, Department of Economics and Business Economics, Aarhus University (2012) View citations (3) (2012)