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Details about Carsten Trenkler

E-mail: This e-mail address is bad, please ask Carsten Trenkler to update the entry in the RePEc Author Service or the correct address.
Homepage:http://trenkler.vwl.uni-mannheim.de/
Workplace:Abteilung für Volkswirtschaftslehre (Department of Economics), Universität Mannheim (University of Mannheim), (more information at EDIRC)

Access statistics for papers by Carsten Trenkler.

Last updated 2016-02-11. Update your information in the RePEc Author Service.

Short-id: ptr69


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Working Papers

2015

  1. Forecasting VARs, model selection, and shrinkage
    Working Papers, University of Mannheim, Department of Economics Downloads View citations (5)
  2. On the identification of multivariate correlated unobserved components models
    Working Papers, University of Mannheim, Department of Economics Downloads View citations (1)
    See also Journal Article in Economics Letters (2016)

2014

  1. Inference in VARs with Conditional Heteroskedasticity of Unknown Form
    Working Papers, University of Mannheim, Department of Economics Downloads View citations (13)
    Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2014) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2016)

2013

  1. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Working Papers, University of Mannheim, Department of Economics Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)

2012

  1. Codependent VAR Models and the Pseudo-Structural Form
    Working Papers, University of Mannheim, Department of Economics Downloads View citations (3)
    Also in University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics (2012) Downloads View citations (1)

    See also Journal Article in AStA Advances in Statistical Analysis (2013)
  2. Identifying the Shocks behind Business Cycle Asynchrony in Euroland
    Working Papers, University of Mannheim, Department of Economics Downloads
    Also in University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics (2012) Downloads

2011

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

2010

  1. Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2013)
  2. On the Identification of Codependent VAR and VEC Models
    University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics Downloads View citations (1)
  3. Testing for Codependence of Non-Stationary Variables
    University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics Downloads View citations (3)

2009

  1. Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
    Working Paper, Norges Bank Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2011)
  2. Codependence and Cointegration
    University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics Downloads

2006

  1. Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
    See also Journal Article in Econometric Theory (2009)
  2. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in Economics Working Papers, European University Institute (2006) Downloads

    See also Journal Article in Journal of Time Series Analysis (2008)
  3. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)

2005

  1. Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    See also Journal Article in Applied Economics Letters (2007)

2004

  1. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    Economics Working Papers, European University Institute Downloads View citations (11)
  2. Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) Downloads View citations (8)
    See also Journal Article in Computational Statistics (2008)
  3. Economic integration across borders: the Polish interwar economy 1921-1937
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) Downloads View citations (1)
    See also Journal Article in European Review of Economic History (2005)

2003

  1. A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
    Economics Working Papers, European University Institute Downloads View citations (15)
    See also Journal Article in Economics Bulletin (2003)
  2. Economic Integration in Interwar Poland - A Threshold Cointegration Analysis of the Law of One Price for Poland (1924-1937)
    Economics Working Papers, European University Institute Downloads View citations (2)

2002

  1. The effects of ignoring level shifts on systems cointegration tests
    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 AStA Advances in Statistical Analysis (2005)

2001

  1. Testing for the cointegrating rank of a VAR process with level shift at unknown time
    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 Econometrica (2004)

2000

  1. Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (41)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (38)

    See also Journal Article in Journal of Econometrics (2003)
  2. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (11)
    See also Journal Article in Econometrics Journal (2001)
  3. The Polish crawling peg system: A cointegration analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)

Journal Articles

2016

  1. Inference in VARs with conditional heteroskedasticity of unknown form
    Journal of Econometrics, 2016, 191, (1), 69-85 Downloads View citations (26)
    See also Working Paper (2014)
  2. On the identification of multivariate correlated unobserved components models
    Economics Letters, 2016, 138, (C), 15-18 Downloads View citations (6)
    See also Working Paper (2015)

2015

  1. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
    Oxford Bulletin of Economics and Statistics, 2015, 77, (5), 740-759 Downloads View citations (2)
    See also Working Paper (2013)
  2. Simple Identification and Specification of Cointegrated Varma Models
    Journal of Applied Econometrics, 2015, 30, (4), 675-702 Downloads View citations (3)

2013

  1. Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
    Econometric Reviews, 2013, 32, (7), 814-847 Downloads View citations (4)
    See also Working Paper (2010)
  2. Codependent VAR models and the pseudo-structural form
    AStA Advances in Statistical Analysis, 2013, 97, (3), 287-295 Downloads
    See also Working Paper (2012)
  3. Testing for codependence of cointegrated variables
    Applied Economics, 2013, 45, (15), 1953-1964 Downloads View citations (1)

2011

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

2009

  1. BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS
    Econometric Theory, 2009, 25, (01), 243-269 Downloads View citations (8)
    See also Working Paper (2006)

2008

  1. Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms
    Computational Statistics, 2008, 23, (1), 19-39 Downloads View citations (33)
    See also Working Paper (2004)
  2. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Journal of Time Series Analysis, 2008, 29, (2), 331-358 Downloads View citations (15)
    See also Working Paper (2006)
  3. VAR Modeling for Dynamic Loadings Driving Volatility Strings
    Journal of Financial Econometrics, 2008, 6, (3), 361-381 Downloads View citations (7)

2007

  1. Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland
    Applied Economics Letters, 2007, 14, (4), 245-249 Downloads View citations (5)
    See also Working Paper (2005)

2006

  1. BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
    Econometric Theory, 2006, 22, (01), 15-68 Downloads View citations (13)

2005

  1. Economic integration across borders: The Polish interwar economy 1921 1937
    European Review of Economic History, 2005, 9, (02), 199-231 Downloads View citations (18)
    See also Working Paper (2004)
  2. The Effects of Ignoring Level Shifts on Systems Cointegration Tests
    AStA Advances in Statistical Analysis, 2005, 89, (3), 281-301 Downloads View citations (1)
    See also Working Paper (2002)

2004

  1. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Econometrica, 2004, 72, (2), 647-662 Downloads View citations (55)
    See also Working Paper (2001)

2003

  1. A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms
    Economics Bulletin, 2003, 3, (11), 1-9 Downloads View citations (12)
    See also Working Paper (2003)
  2. Comparison of tests for the cointegrating rank of a VAR process with a structural shift
    Journal of Econometrics, 2003, 113, (2), 201-229 Downloads View citations (23)
    See also Working Paper (2000)
  3. The Polish exchange rate system: A unit root and cointegration analysis
    Empirical Economics, 2003, 28, (4), 839-860 Downloads

2002

  1. ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
    Econometric Theory, 2002, 18, (06), 1336-1349 Downloads

2001

  1. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations (55)
    See also Working Paper (2000)
 
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