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Prof. Dr. Jörg Breitung

Universität zu Köln
Institut für Ökonometrie und Statistik
Universitätsstr. 24
Wiso, Gebäude 101
Bauteil 3
Raum: 2.320
D-50931 Köln

T    +49 221 470-4266
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  • Zeitreihenanalyse
  • Empirische Finanzökonomik
  • Prognoseverfahren
  • Paneldatenanalyse
  • Faktormodelle


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  • Associate Editor of Economics Letters  (2012-)
  • Associate Editor of the International Journal of Forecasting (2019-)
  • Associate Editor of Econometric Journal (2012-2020)
  • Associate Editor of Journal of Business and Economic Statistics (2017-2020)
  • Associate Editor of Econometric Reviews (2014-2021)
  • Associate Editor of Empirical Economics (2003-2011)
  • Associate Editor of Computational Statistics (2003-2015)
  • Research Professor of the Deutsche Bundesbank (2003-2018)
  • Member of the Executive Councel of the Verein für Socialpolitik (2016-2019)
  • Chairman of the VfS Ausschuss "Ökonometrie" (2017-2019)
  • Member of the Scientific Committee of the International Conference on Panel Data (2009-)


  • Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations,  (joint with A. Mayer and D. Wied), forthcoming in: Econometric Journal, 2024.
  • Dr. Strangelove or: how I learned to stop worrying and love correspondence analysis, in: Barth, A. et al. (eds.)  Multivariate scaling methods and the reconstruction of social spaces, (2023), Verlag Barbara Budrich, 29-45. download
  • 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
  • Projection estimators for structural impulse responses (joint with Ralf Brüggemann),   forthcoming in: Oxford Bulletin of Economics and Statistics (2023). download
  • 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)