Alternative estimation approaches for the factor augmented panel data model with small T (joint with Philipp Hansen ) download
How far can we forecast? Statistical tests of the predictive content (joint with Malte Knueppel) downloadOnline Appendix
Asymptotically efficient method of moments estimators for dynamic panel data models (joint with Kazuhiko Hayakawa and Sebastian Kripfganz) download
Backward CUSUM for Testing and Monitoring Structural Change (joint with Sven Otto) download
Projection Estimators for Structural Impulse Responses (joint with Ralf Brüggemann) download
Published and forthcoming
"Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations", (joint with A. Mayer and D. Wied), forthcoming in: Econometric Journal, 2024.
Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data (joint with Sven Otto), Econometric Theory (2023), 39, 659-692.
Bias-corrected method of moments estimators for dynamic panel data models (joint with Sebastian Kripfganz and Kazuhiko Hayakawa), Econometrics and Statistics (2022), 24, 116-132.
Estimation of Heterogeneous Panels with Systematic Slope Variations (joint with Nazarii Salish), Journal of Econometrics (2021), 220, Issue 2, 399-415
Alternative estimation approaches for the factor augmented panel data model with small T (joint with Philipp Hansen), Empirical Economics (2021), ) 60, 327-351.
Double Filter Instrumental Variable Estimation of Panel Data Models with Weakly Exogenous Variables (joint with Kazuhiko Hayakawa and Meng Qi), Econometric Reviews (2019), 38, 1055–1088.
Alternative GMM Estimators for Spatial Regression Models (joint with Christoph Wigger), Spatial Economic Analysis, 13 (2018), No.2, 148-170. download
Assessing Causality and Delay within a Frequency Band (joint with Sven Schreiber), Econometrics and Statistics, 6 (2018), 57-73.
LM-type tests for slope homogeneity in panel data models (joint with Nazarii Salish and Christoph Roling), Econometrics Journal, 19 (2016), 166-202.
Assessing the Forward Premium Puzzle: A factor augmented panel data approach (joint with Katja Mann), in: Cheung, Y.W. and Westermann, F. (ed.) "International Currency Exposure", MIT Press (2017)
A simple model for now-casting volatility series (joint with Christian Hafner), International Journal of Forecasting, 32 (2016) 1247–1255.
Testing for Serial Correlation in Fixed Effects Panel Data Models, (joint with Benjamin Born), Econometric Reviews, 35 (2016), No. 7, 1290-1316
Analyzing international business and fi nancial cycles using multi-level factor models: A Comparison of Alternative Approaches (joint with Sandra Eickmeier), Advances in Econometrics, Vol. 15 (2016), 177-214. download
Forecasting inflation rates using daily data: A nonparametric MIDAS approach(joint with Christoph Roling), Journal of Forecasting, 34 (2015), 588-603.
Instrumental Variable and Variable Addition Based Inference in Predictive Regressions: (joint with Matei Demetrescu), Journal of Econometrics, 187 (2015), 358–375
Analyzing international business and fi nancial cycles using multi-level factor models: A Comparison of Alternative Approaches (joint with Sandra Eickmeier), Advances in Econometrics, Vol. 15 (2016), 177-214. download
The Analysis of Macroeconomic Panel Data, in: The Oxford Handbook of Panel Data, B. Baltagi (ed.), Chapter 15, 2015. 453-492.
Analyzing Business Cycle Asymmetries in a Multi-level Factor Model: , (joint with Sandra Eickmeier) Economics Letters, 127 (2015), 31-34.
Econometric Tests for Speculative Bubbles, Bonn Journal of Economics, Vol. III(1), 115-129. http://www.bje.uni-bonn.de/download-the-latest-issue-1/volume-iii-1-july-2014/breitung
When Bubbles Burst: Econometric Tests based on Structural Breaks (joint with Robinson Kruse)download (2013), 54, 911 – 930.
A canonical correlation approach for selecting the number of dynamic factors (joint with Uta Pigorsch), Oxford Bulletin of Economics and Statistics, 75 (2013), 23-36. Factor Models (joint with In Choi)
Factor Models, in: N. Hashimzade and M.A. Thornton (eds), Empirical Macroeconomics, Edward Elgar, Chapter 11 (2013), 249-265.
Lessons from a Decade of IPS and LLC (joint with Joakim Westerlund), Econometric Reviews, 32 (2013), 547-591
Quantifying survey expectations: What's wrong with the probability approach? (joint with Maik Schmeling, International Journal of Forecasting, 29 (2013) 142–154.
Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (joint with Ulrich Homm), Journal of Financial Econometrics, 10 (2012), 198-231.
GLS estimation of dynamic factor models, (joint with Jörn Tenhofen), Journal of the American Statistical Association, 106 (2011), 1150–1166.
Testing for structural breaks in dynamic factor models, (joint with Sandra Eickmeier), Journal of Econometrics, 163, 71–84, 2011
Simple Regression Based Tests for Spatial Dependence, (joint with Benjamin Born), Econometrics Journal, 14 (2011), 330-342.
Generalized Estimation Equations: Notes on the Choice of the Working Correlation Matrix, Comment, Methods of Information in Medicine, 49, (2010), 426-427.
Unit root testing in practice dealing with uncertainty over the trend and initial condition, Comment, Econometric Theory, 25 (2009), p. 649-653
Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data, (joint with Christian Schumacher), International Journal of Forecasting, 24 (2008), 386–398
Testing for Unit Roots in Panels with a Factor Structure, (joint with Samarjit Das), Econometric Theory, 24 (2008), 88-108
Unit Roots and Cointegration in Panels, (joint with Hashem Pesaran), in: L. Matyas and P. Sevestre (eds), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice, Springer, 2008, Chap. 9, p. 279-322.
Longitudinal Data Analysis with Linear Regression, (joint with Remy Slama and Axel Werwatz), in: W. Härdle, Y. Mori and P. Vieu (eds), Statistical Methods for Biostatistics and related fields, Heidelberg: Springer, 2006
How Synchronized are Central and East European Economies with the Euro Area? Evidence from a Structural Factor Model , (joint with Sandra Eickmeier), Journal of Comparative Economics, 34 (2006), 538-563
Testing for short- and long-run causality: A frequency domain approach, (joint with Bertrand Candelon), Journal of Econometrics, 12 (2006), 363-378
A Residual-Based LM Type Test Against Fractional Cointegration, (joint with Uwe Hassler), Econometric Theory, 22 (2006), 1091-1111
Bidder behavior in repo auctions without minimum bit rate: Evidence from the Bundesbank, (joint with Tobias Linzert and Dieter Nautz), Journal of International Financial Markets, Institutions and Money, 16 (2006), 215-230
Dynamic Factor Models (joint with Sandra Eickmeier) in: O. Hübler and J. Frohn (eds.), Modern Econometric Analysis, Chapter 3, Springer 2006. PDF-file
A parametric approach to the estimation of cointegration vectors in panel data, Econometric Reviews, 24 (2005), 151-173
Panel Unit Root Tests Under Cross Sectional Dependence, (joint with Samarjit Das) Statistica Neerlandica, 59(4), (2005), 1-20
Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks, (joint with Bertrand Candelon), Review of World Economics, 141 (2005), 124-140
Structural Vector Autoregressive Modelling and Impulse Response Analysis, (joint with Ralf Brüggemann and Helmut Lütkepohl), in: H. Lütkepohl and M. Kräzig (eds.), Applied Time Series Econometrics, Cambridge University Press, Cambridge, 2004, Chapter 4
Nonparametric Tests for Unit Roots and Cointegration, Journal of Econometrics, 108 (2002), 343-363
On the Properties of Some Tests for Common Stochastic Trends, (joint with Carsten Trenkler), Econometric Theory, 18 (2002), 1336-1349
Temporal Aggregation and Spurious Instantaneous Causality in Multiple Time Series Models, (joint with Norman R. Swanson), Journal of Time Series Analysis, 23 (2002), 651-666
Inference on the Cointegration Rank in Fractionally Integrated Processes , (joint with Uwe Hassler) , Journal of Econometrics, 110 (2002), 167-185
Bidder behavior in repo auctions without minimum bit rate: Evidence from the Bundesbank (joint with Tobias Linzert and Dieter Nautz), forthcoming in: Journal of International Financial Markets, Institutions and Money
Prognoseeigenschaften alternativer Indikatoren für die Konjunkturentwicklung in Deutschland (joint with Doris Jagodzinski), Konjunkturpolitik, 47 (2001), 292-314
The empirical performance of the ECB'sRepo auctions: Evidence from aggregated and individual bidding data (joint with Dieter Nautz), Journal of International Money and Finance, 20 (2001), 839-856
Rank Tests for Nonlinear Cointegration Relationships, Journal of Business and Economic Statististics, 19 (2001), 331-340
A Convenient Representation for Structural Vector Autoregressions, Empirical Economics, 26 (2001), 447-459
Is there a Common European Business Cycle? New Insights from a Frequency Domain Analysis (joint with Bertrand Candelon), Vierteljahrshefte zur Wirtschaftsforschung, 70 (2001) 331-338
Nonlinear Error Correction and the Efficient Market Hypothesis: The case of dual class shares, (joint with C. Wulff), German Economic Review, 2 (2001), 419-434
Structural Inference in Cointegrated Vector Autoregressive Models, Habilitation Thesis, Humboldt University Berlin, July 2000, e-book
The Local Power of Some Unit Root Tests for Panel Data, in: B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Advances in Econometrics, Vol. 15, JAI: Amsterdam, 2000, p. 161-178. Abstract, PS-file for full WP version
The Beveridge-Nelson Decomposition: A Different Perspective with New Results, (joint with V. Gomez), Journal of Time Series Analysis, 20 (1999), 527-536
Alternative GMM Methods for Nonlinear Panel Data Models, , (joint with M. Lechner), in: Matyas, L. (ed.), Generalised Methods of Moments Estimation, Cambridge University Press, 1999, 248-274
Simulation Based Methods of Moments in Empirical Finance, (joint with R. Liesenfeld), in: Matyas, L. (ed.), Generalised Methods of Moments Estimation, Cambridge University Press, 1999, 275-298
Short Run Comovement, Persistent Shocks and the Business Cycle, (joint with M. Heinemann), Jahrbücher für Nationalökonomie und Statistik, 217 (1998), 436-448
Neuere Entwicklungen auf dem Gebiet ökonometrischer Strukturmodelle: Strukturelle Vektorautoregressionen, Ifo Studien, 44 (1998), 371-392
Nonparametric Tests for Nonlinear Cointegration in: Apostolos-Paul N. Refenes, Andrew N. Burgess, John E. Moody, Decision Technologies for Computational Finance: Proceedings of the fifth International Conference Computational Finance, Advances in Computational Management Science Volume 2, Springer (1998)
Impulse Response Analysis of Vector Autoregressive Processes, (joint with H. Lütkepohl), in: Heij, C., Schumacher, H., Hanzon, B. and Praagman, C., System Dynamics in Economic and Financial Models, New York: John Wiley (1998)
On Phillips-Perron Type Tests for Seasonal Unit Roots (joint with P.H. Franses), Econometric Theory, 14 (1998) , 200-221
Testing for Unit Roots in Panel Data Using a GMM Approach, Statistical Papers, 38 (1997), 253-269
Rank Test for Unit Roots, (joint with C. Gourieroux), Journal of Econometrics, 81 (1997), 7-28
Estimation de modeles non lineaires sur donnees de panel par la methode des moments generalises, (joint with M. Lechner), Economie et Prevision, 72, (1996), 191-203
Some GMM Estimation Methods and Specification Tests for Nonlinear Models, (joint with M. Lechner), in: The Econometrics of Panel Data, L. Matyas and P. Sevestre (eds.), 2nd edition, (1996), Kluwer: Dordrecht, 583-612
Impulse Response Functions for Periodic Integration, (joint with P.H. Franses), Economics Letters, 55 (1996), 35-40
Modified Stationarity Tests with Improved Power in Small Samples, Statistical Papers, 36 (1995), 77-95
Testing for Unit Roots in Panel Data: Are wages on different bargaining levels cointegrated?, (joint with W. Meyer), Applied Economics, 26 (1994), 353-361
Some Simple Tests of the Moving-Average Unit Root Hypothesis, Journal of Time Series Analysis, 15 (1994), 351-370
A Model Based Seasonal Adjustment Method Using the Beveridge-Nelson Decomposition, Allgemeines Statistisches Archiv, 78 (1994), 365-385
Ist die empirische Makroökonomik eine wissenschaftliche Illusion?, (joint with M. Heinemann and F. Haslinger), Jahrbuch Ökonomie und Gesellschaft, Voigt et al. (Hrsg.), Campe Verlag, (1992)
Dynamische Modelle für die Paneldatenanalyse, Dissertation, (1992), Frankfurt: Haag und Herchen
The Null Distribution of the F-Test in the Linear Regression Model with Autocorrelated Disturbances, , (joint with W. Krämer and J. Kiviet), Statistica, 50, (1991)
Bias Correction and Bootstrapping of Error Component Models for Panel Data: Theory and Applications', (joint with L. Bellmann und J. Wagner), Empirical Economics, 14, (1989)