Details about Carsten Trenkler

Access statistics for papers by Carsten Trenkler.

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Short-id: ptr69

Working Papers

2019

1. Which factors are behind Germany's labour market upswing?
   IAB-Discussion Paper, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany] View citations (5)

2015

2. Forecasting VARs, model selection, and shrinkage
   Working Papers, University of Mannheim, Department of Economics View citations (10)
3. On the identification of multivariate correlated unobserved components models
   Working Papers, University of Mannheim, Department of Economics View citations (1)
   See also Journal Article On the identification of multivariate correlated unobserved components models, Economics Letters, Elsevier (2016) View citations (12) (2016)

2014

4. Inference in VARs with Conditional Heteroskedasticity of Unknown Form
   Working Papers, University of Mannheim, Department of Economics View citations (16)
   Also in Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz (2014) View citations (14)
   See also Journal Article Inference in VARs with conditional heteroskedasticity of unknown form, Journal of Econometrics, Elsevier (2016) View citations (93) (2016)

2013

5. Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates
   Working Papers, University of Mannheim, Department of Economics
   See also Journal Article Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) View citations (2) (2015)

2012

6. Codependent VAR Models and the Pseudo-Structural Form
   Working Papers, University of Mannheim, Department of Economics View citations (3)
   Also in University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics (2012) View citations (3)
   See also Journal Article Codependent VAR models and the pseudo-structural form, AStA Advances in Statistical Analysis, Springer (2013) (2013)
7. Identifying the Shocks behind Business Cycle Asynchrony in Euroland
   Working Papers, University of Mannheim, Department of Economics
   Also in University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics (2012)

2011

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

2010

9. 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 View citations (2)
   See also Journal Article Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion, Econometric Reviews, Taylor & Francis Journals (2013) View citations (7) (2013)
10. 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 View citations (1)
11. 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 View citations (3)

2009

12. 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)
13. Codependence and Cointegration
    University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics

2006

14. Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS, Econometric Theory, Cambridge University Press (2009) View citations (12) (2009)
15. Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    Economics Working Papers, European University Institute View citations (4)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2006)
    See also Journal Article Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (22) (2008)
16. VAR modeling for dynamic semiparametric factors of volatility strings
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2005

17. Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland, Applied Economics Letters, Taylor & Francis Journals (2007) View citations (7) (2007)

2004

18. Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    Economics Working Papers, European University Institute View citations (16)
19. 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) View citations (20)
    See also Journal Article Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms, Computational Statistics, Springer (2008) View citations (34) (2008)
20. Economic integration across borders: the Polish interwar economy 1921-1937
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (1)
    See also Journal Article Economic integration across borders: The Polish interwar economy 1921–1937, European Review of Economic History, Cambridge University Press (2005) View citations (28) (2005)

2003

21. A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
    Economics Working Papers, European University Institute View citations (26)
    See also Journal Article A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms, Economics Bulletin, AccessEcon (2003) View citations (26) (2003)
22. 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 View citations (3)

2002

23. 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 View citations (1)
    See also Journal Article The Effects of Ignoring Level Shifts on Systems Cointegration Tests, AStA Advances in Statistical Analysis, Springer (2005) View citations (2) (2005)

2001

24. 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 View citations (1)
    See also Journal Article Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time, Econometrica, Econometric Society (2004) View citations (70) (2004)

2000

25. Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (49)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (47)
    See also Journal Article Comparison of tests for the cointegrating rank of a VAR process with a structural shift, Journal of Econometrics, Elsevier (2003) View citations (30) (2003)
26. 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 View citations (16)
    See also Journal Article Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, Econometrics Journal, Royal Economic Society (2001) View citations (95) (2001)
27. 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 View citations (1)

Journal Articles

2023

1. Structural inference in sparse high-dimensional vector autoregressions
   Journal of Econometrics, 2023, 234, (1), 276-300 View citations (5)

2022

2. Which factors were behind Germany's labour market upswing? A data‐driven approach
   Oxford Bulletin of Economics and Statistics, 2022, 84, (5), 1052-1076 View citations (3)

2020

3. Identifying shocks to business cycles with asynchronous propagation
   Empirical Economics, 2020, 58, (4), 1815-1836

2016

4. Inference in VARs with conditional heteroskedasticity of unknown form
   Journal of Econometrics, 2016, 191, (1), 69-85 View citations (93)
   See also Working Paper Inference in VARs with Conditional Heteroskedasticity of Unknown Form, Working Papers (2014) View citations (16) (2014)
5. On the identification of multivariate correlated unobserved components models
   Economics Letters, 2016, 138, (C), 15-18 View citations (12)
   See also Working Paper On the identification of multivariate correlated unobserved components models, Working Papers (2015) View citations (1) (2015)

2015

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

2013

8. Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
   Econometric Reviews, 2013, 32, (7), 814-847 View citations (7)
   See also Working Paper Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion, Discussion Papers (2010) View citations (2) (2010)
9. Codependent VAR models and the pseudo-structural form
   AStA Advances in Statistical Analysis, 2013, 97, (3), 287-295
   See also Working Paper Codependent VAR Models and the Pseudo-Structural Form, Working Papers (2012) View citations (3) (2012)
10. Testing for codependence of cointegrated variables
    Applied Economics, 2013, 45, (15), 1953-1964 View citations (1)

2011

11. 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)

2009

12. BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS
    Econometric Theory, 2009, 25, (1), 243-269 View citations (12)
    See also Working Paper Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms, SFB 649 Discussion Papers (2006) (2006)

2008

13. Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms
    Computational Statistics, 2008, 23, (1), 19-39 View citations (34)
    See also Working Paper Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms, Papers (2004) View citations (20) (2004)
14. 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 View citations (22)
    See also Working Paper Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break, Economics Working Papers (2006) View citations (4) (2006)
15. VAR Modeling for Dynamic Loadings Driving Volatility Strings
    Journal of Financial Econometrics, 2008, 6, (3), 361-381 View citations (9)

2007

16. Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland
    Applied Economics Letters, 2007, 14, (4), 245-249 View citations (7)
    See also Working Paper Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland, SFB 649 Discussion Papers (2005) (2005)

2006

17. BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
    Econometric Theory, 2006, 22, (1), 15-68 View citations (18)

2005

18. Economic integration across borders: The Polish interwar economy 1921–1937
    European Review of Economic History, 2005, 9, (2), 199-231 View citations (28)
    See also Working Paper Economic integration across borders: the Polish interwar economy 1921-1937, Papers (2004) View citations (1) (2004)
19. The Effects of Ignoring Level Shifts on Systems Cointegration Tests
    AStA Advances in Statistical Analysis, 2005, 89, (3), 281-301 View citations (2)
    See also Working Paper The effects of ignoring level shifts on systems cointegration tests, SFB 373 Discussion Papers (2002) View citations (1) (2002)

2004

20. Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time
    Econometrica, 2004, 72, (2), 647-662 View citations (70)
    See also Working Paper Testing for the cointegrating rank of a VAR process with level shift at unknown time, SFB 373 Discussion Papers (2001) View citations (1) (2001)

2003

21. A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms
    Economics Bulletin, 2003, 3, (11), 1-9 View citations (26)
    See also Working Paper A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms, Economics Working Papers (2003) View citations (26) (2003)
22. Comparison of tests for the cointegrating rank of a VAR process with a structural shift
    Journal of Econometrics, 2003, 113, (2), 201-229 View citations (30)
    See also Working Paper Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (49) (2000)
23. The Polish exchange rate system: A unit root and cointegration analysis
    Empirical Economics, 2003, 28, (4), 839-860

2002

24. ON THE PROPERTIES OF SOME TESTS FOR COMMON STOCHASTIC TRENDS
    Econometric Theory, 2002, 18, (6), 1336-1349

2001

25. Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 2001, 4, (2), 8 View citations (95)
    See also Working Paper Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process, SFB 373 Discussion Papers (2000) View citations (16) (2000)