Walter Krämer : Citation Profile


Are you Walter Krämer?

Universität Dortmund

13

H index

15

i10 index

894

Citations

RESEARCH PRODUCTION:

120

Articles

61

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   40 years (1980 - 2020). See details.
   Cites by year: 22
   Journals where Walter Krämer has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 41 (4.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pkr88
   Updated: 2020-10-17    RAS profile: 2020-04-14    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Walter Krämer.

Is cited by:

Perron, Pierre (29)

Wied, Dominik (23)

Deng, Ai (21)

Sibbertsen, Philipp (20)

Zeileis, Achim (19)

Pesaran, M (17)

Miller, Stephen (16)

Kleiber, Christian (14)

Richter, Christian (11)

Pouliot, William (11)

Dees, Stephane (10)

Cites to:

Ploberger, Werner (13)

Granger, Clive (13)

Milas, Costas (9)

Panagiotidis, Theodore (9)

Panagiotidis, Theodore (9)

Saikkonen, Pentti (8)

Engle, Robert (7)

Lütkepohl, Helmut (7)

Sibbertsen, Philipp (6)

Bollerslev, Tim (6)

Diebold, Francis (6)

Main data


Where Walter Krämer has published?


Journals with more than one article published# docs
AStA Wirtschafts- und Sozialstatistisches Archiv26
Economics Letters26
Statistical Papers15
Empirical Economics8
Computational Statistics & Data Analysis8
German Economic Review7
Journal of Econometrics5
Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007)4
Econometrica3
Econometric Theory3
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik)3
The Review of Economics and Statistics2

Working Papers Series with more than one paper published# docs
Technical Reports / Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen31
CESifo Working Paper Series / CESifo10
Working Papers / Business and Social Statistics Department, Technische Universität Dortmund8
Hannover Economic Papers (HEP) / Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät6
RatSWD Working Papers / German Data Forum (RatSWD)2
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Walter Krämer (2020 and 2019)


YearTitle of citing document
2019Tests for Structural Breaks in Time Series Analysis: A Review of Recent Development. (2019). Maheswari, Uma T ; Muthuramu, P. In: Shanlax International Journal of Economics. RePEc:acg:journl:v:7:y:2019:i:4:p:66-79.

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2019A factor-model approach for correlation scenarios and correlation stress-testing. (2019). Woebbeking, Fabian ; Packham, Natalie. In: Papers. RePEc:arx:papers:1807.11381.

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2019Deep Generative Models for Reject Inference in Credit Scoring. (2019). Jenssen, Robert ; Aas, Kjersti ; Kampffmeyer, Michael ; Mancisidor, Rogelio A. In: Papers. RePEc:arx:papers:1904.11376.

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2020Backward CUSUM for Testing and Monitoring Structural Change. (2020). Breitung, Jörg ; Otto, Sven. In: Papers. RePEc:arx:papers:2003.02682.

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2020Transparency, Auditability and eXplainability of Machine Learning Models in Credit Scoring. (2020). Biecek, Przemyslaw ; Gosiewska, Alicja ; Szepannek, Gero ; Bucker, Michael . In: Papers. RePEc:arx:papers:2009.13384.

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2019Understanding the Consumer Confidence Index in Colombia: A structural FAVAR analysis. (2019). Cárdenas Hurtado, Camilo ; Hernandez-Montes, Maria Alejandra ; Cardenas-Hurtado, Camilo Alberto. In: Borradores de Economia. RePEc:bdr:borrec:1063.

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2019The Global Financial Cycle and US Monetary Policy in an Interconnected World. (2019). Galesi, Alessandro ; Dees, Stephane. In: Working papers. RePEc:bfr:banfra:744.

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2020Inferring the outcomes of rejected loans: an application of semisupervised clustering. (2020). Hu, Xinyi ; Li, Zhiyong ; Zhou, Fanyin ; Shen, Feng. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:2:p:631-654.

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2020The effect of Emergency Liquidity Assistance (ELA) on bank lending during the euro area crisis. (2020). Tavlas, George ; Spiliotopoulos, Vassilis ; Petroulas, Pavlos ; Hall, Stephen G ; Gibson, Heather D. In: Working Papers. RePEc:bog:wpaper:278.

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2019Herd behavior and mood: An experimental study on the forecasting of share prices. (2019). Spiwoks, Markus ; Nahmer, Thomas ; Filiz, Ibrahim. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:24:y:2019:i:c:s2214635019300218.

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2019Moving block bootstrapping for a CUSUM test for correlation change. (2019). Shin, Dong Wan ; Choi, Ji-Eun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:135:y:2019:i:c:p:95-106.

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2019The spillover effects of US economic policy uncertainty on the global economy: A global VAR approach. (2019). Ba, Nguyen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:90-110.

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2020Evaluating the sustainability of Italian public finances. (2020). Postigliola, Michele ; Piergallini, Alessandro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300772.

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2020A self-normalization test for correlation change. (2020). Shin, Dong Wan ; Choi, Ji-Eun. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s016517651930045x.

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2020Does modeling a structural break improve forecast accuracy?. (2020). Pick, Andreas ; Boot, Tom. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:35-59.

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2020On double-boundary non-crossing probability for a class of compound processes with applications. (2020). Tan, Senren ; Kaishev, Vladimir K ; Ignatov, Zvetan G ; Dimitrova, Dimitrina S. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:2:p:602-613.

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2019The impact of commodity price shocks in the presence of a trading relationship: A GVAR analysis of the NAFTA. (2019). Lahiri, Radhika ; Wei, Honghong. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:553-569.

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2019The role of trade and FDI for CO2 emissions in Turkey: Nonlinear relationships. (2019). Haug, Alfred ; Ucal, Meltem. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:297-307.

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2019A new approach for detecting shifts in forecast accuracy. (2019). Theodoridis, Konstantinos ; Kapetanios, George ; Hayes, Simon ; Chiu, Ching-Wai. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1596-1612.

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2019A factor-model approach for correlation scenarios and correlation stress testing. (2019). Woebbeking, C F ; Packham, N. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

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2020The influence of sunlight on taxi driver productivity. (2020). Oghazi, Pejvak ; Quigley, Narda R ; Devaraj, Srikant ; Patel, Pankaj C. In: Journal of Business Research. RePEc:eee:jbrese:v:115:y:2020:i:c:p:456-468.

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2019Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models. (2019). Horvath, Lajos ; Rice, Gregory. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:138-165.

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2020Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data. (2020). Kurita, Takamitsu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:178:y:2020:i:c:s0047259x19300910.

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2019Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility. (2019). Akosah, Nana ; Alagidede, Paul ; Omane-Adjepong, Maurice. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:105-120.

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2019Does weather influence investor behavior, stock returns, and volatility? Evidence from the Greater China region. (2019). Shahzad, Farrukh . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:525-543.

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2019The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks. (2019). Frijns, Bart ; Tourani-Rad, Alireza ; Otsubo, Yoichi ; Indriawan, Ivan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:176-187.

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2020Divergence, convergence, and the history-augmented Solow model. (2020). Prettner, Klaus ; Kufenko, Vadim ; Geloso, Vincent. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:53:y:2020:i:c:p:62-76.

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2019The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment. (2019). Tsai, Wei ; Lin, Jeng-Bau. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:15:p:2982-:d:254115.

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2020Growth, War, and Pandemics: Europe in the Very Long-run. (2020). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Prados de la Escosura, Leandro ; Rodriguez-Caballero, Carlos-Vladimir. In: Working Papers. RePEc:hes:wpaper:0185.

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2019Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration. (2019). Rivero, C ; Llorente, G ; Hoyo, J. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9693-5.

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2019A Structural Break Cartel Screen for Dating and Detecting Collusion. (2019). Crede, Carsten J. In: Review of Industrial Organization. RePEc:kap:revind:v:54:y:2019:i:3:d:10.1007_s11151-018-9649-5.

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2020mcp: An R Package for Regression With Multiple Change Points. (2020). Lindelov, Jonas Kristoffer. In: OSF Preprints. RePEc:osf:osfxxx:fzqxv.

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2020The impact of rainfall on drinking water quality in Antananarivo, Madagascar. (2020). Jambou, Ronan ; Ravaonindrina, Noro ; Mahazosaotra, Jackson ; Rakotondramanga, Jean-Marius ; Perthame, Emeline ; Bastaraud, Alexandra. In: PLOS ONE. RePEc:plo:pone00:0218698.

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2020Sovereign bond and CDS market contagion: A story from the Eurozone crisis.. (2020). Politsidis, Panagiotis ; Panagiotidis, Theodore ; Bampinas, Georgios. In: MPRA Paper. RePEc:pra:mprapa:102846.

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2019Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process.. (2019). Ibrahim, Omar. In: MPRA Paper. RePEc:pra:mprapa:98091.

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2019Long Memory, Realized Volatility and HAR Models. (2019). Rho, Seunghwa ; Cho, Dooyeon ; Calonaci, Fabio ; Baillie, Richard T. In: Working Papers. RePEc:qmw:qmwecw:881.

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2020The North-South Divide, the Euro and the World. (2020). Panagiotidis, Theodore ; Mouratidis, Kostas ; Chisiridis, Konstantinos. In: Working Paper series. RePEc:rim:rimwps:20-10.

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2019Inflation Contagion Effects in the Baltic Countries: A Time-varying Coefficients VAR with Stochastic Volatility Analysis. (2019). Barna, Flavia ; Dima, Tefana Maria. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2019:i:1:p:72-87.

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2019Change-in-mean tests in long-memory time series: a review of recent developments. (2019). Sibbertsen, Philipp ; Leschinski, Christian ; Wenger, Kai. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:103:y:2019:i:2:d:10.1007_s10182-018-0328-5.

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2020Some properties of double truncated distributions and their application in view of income inequality. (2020). Gildeh, Bahram Sadeghpour ; Mohtashami, Gholam Reza ; Behdani, Zahra . In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:1:d:10.1007_s00180-019-00890-2.

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2020The Neo-Fisherian hypothesis: empirical implications and evidence?. (2020). Crowder, William J. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:6:d:10.1007_s00181-018-1591-8.

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2020Effect of the CITES trade ban on preferences for ivory in Japan. (2020). Kurohata, Mika. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:22:y:2020:i:3:d:10.1007_s10018-019-00261-7.

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2020Change point detection for nonparametric regression under strongly mixing process. (2020). Yang, Qing ; Zhang, YI ; Li, Yu-Ning. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:4:d:10.1007_s00362-020-01196-y.

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2019Skill Scores and modified Lorenz domination in default forecasts. (2019). Krämer, Walter ; Neumarker, Simon ; Kramer, Walter. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:61-64.

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2020Vorwort der Herausgeber. (2020). Schmid, Timo ; Zwick, Markus. In: AStA Wirtschafts- und Sozialstatistisches Archiv. RePEc:spr:astaws:v:14:y:2020:i:1:d:10.1007_s11943-020-00269-6.

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Walter Krämer is editor of


Journal
Advanced Studies in Theoretical and Applied Econometrics
Statistical Papers

Works by Walter Krämer:


YearTitleTypeCited
2011The Cult of Statistical Significance – What Economists Should and Should Not Do to Make their Data Talk In: Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften.
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2011The cult of statistical significance. What economists should and should not do to make their data talk.(2011) In: RatSWD Working Papers.
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1989Bias of s2 in Linear Regression Model with correlated errors In: University of Amsterdam, Actuarial Science and Econometrics Archive.
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1992Bias of SDE 2 in the Linear Regression Model with Correlated Errors..(1992) In: The Review of Economics and Statistics.
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2010Editorial In: German Economic Review.
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2010Editorial In: German Economic Review.
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2010Editorial In: German Economic Review.
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2010Editorial In: German Economic Review.
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2013Editorial In: German Economic Review.
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2008Editorial In: German Economic Review.
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2008Editorial In: German Economic Review.
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2014Thünen-Vorlesung 2014: Zur Ökonomie von Panik, Angst und Risiko In: Perspektiven der Wirtschaftspolitik.
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2008On Comparing the Accuracy of Default Predictions in the Rating Industry In: CESifo Working Paper Series.
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2006On comparing the accuracy of default predictions in the rating industry.(2006) In: Working Papers.
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2008On comparing the accuracy of default predictions in the rating industry.(2008) In: Empirical Economics.
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2008Long Memory with Markov-Switching GARCH In: CESifo Working Paper Series.
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2006Long memory with Markov-Switching GARCH.(2006) In: Technical Reports.
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2006Long memory with Markov-Switching GARCH.(2006) In: Working Papers.
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2008Long memory with Markov-Switching GARCH.(2008) In: Economics Letters.
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2008Large-Scale Disasters and the Insurance Industry In: CESifo Working Paper Series.
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2005Large - scaledisasters and the insurance industry.(2005) In: Working Papers.
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2005Large-scale disasters and the insurance industry.(2005) In: Technical Reports.
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2010True Believers or Numerical Terrorism at the Nuclear Power Plant In: CESifo Working Paper Series.
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2011“True Believers” or Numerical Terrorism at the Nuclear Power Plant.(2011) In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2010The Cult of Statistical Significance In: CESifo Working Paper Series.
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2000Efficiency, Equity, and Generalized Lorenz Dominance In: CESifo Working Paper Series.
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2016Comparing Default Predictions in the Rating Industry for Different Sets of Obligors In: CESifo Working Paper Series.
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2016Stylized Facts and Simulating Long Range Financial Data In: CESifo Working Paper Series.
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2016A Neglected Semi-Stylized Fact of Daily Stock Returns In: CESifo Working Paper Series.
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2016Beyond Inequality: A Novel Measure of Skewness and its Properties In: CESifo Working Paper Series.
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1999Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances In: DES - Working Papers. Statistics and Econometrics. WS.
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1998OLS-based asymptotic inference in linear regression models with trending regressors and AR(p)-disturbances.(1998) In: Technical Reports.
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1999The power of residual base tests for cointegration when residuals are fractionally integrated In: DES - Working Papers. Statistics and Econometrics. WS.
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2004The power of residual-based tests for cointegration when residuals are fractionally integrated.(2004) In: Economics Letters.
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1998The power of residual-based tests for cointegration when residuals are fractionally integrated.(1998) In: Technical Reports.
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2003THE DICKEY–FULLER TEST FOR EXPONENTIAL RANDOM WALKS In: Econometric Theory.
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2012TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD In: Econometric Theory.
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1990The Local Power of the CUSUM and CUSUM of Squares Tests In: Econometric Theory.
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2003On the ordering of probability forecasts In: Working Papers.
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2002On the ordering of probability forecasts.(2002) In: Technical Reports.
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Finite-Sample Power of the Durbin-Watson Test Against Fractionally Integrated Disturbances In: Working Papers.
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2005Finite-sample power of the Durbin--Watson test against fractionally integrated disturbances.(2005) In: Econometrics Journal.
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How to OverREACH oneself - a Critical View on the EU Commissions Estimate of the Health Benefits of its New Chemicals Policy In: Working Papers.
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2006Structural change and estimated persistence in the GARCH(1,1)-model In: Working Papers.
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2007Structural change and estimated persistence in the GARCH(1,1)-model.(2007) In: Economics Letters.
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2006OLS-based estimation of the disturbance variance under spatial autocorrelation In: Working Papers.
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2006OLS-based estimation of the disturbance variance under spatial autocorrelation.(2006) In: Technical Reports.
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1982Note on Estimating Linear Trend When Residuals are Autocorrelated. In: Econometrica.
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1988Testing for Structural Change in Dynamic Models. In: Econometrica.
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1992The CUSUM Test with OLS Residuals. In: Econometrica.
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1995Probability & Measure : Patrick Billingsley (1995): (3rd ed.). New York : Wiley, ISBN 0-471-0071-02, pp 593, [pound sign] 49.95 In: Computational Statistics & Data Analysis.
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1996Signal processing with alpha-stable distributions and applications : C.L. Nikias and Min Shoa (1995): Wiley, ISBN 0-471-10647-x, [pound sign] 50.00, pp. 168 In: Computational Statistics & Data Analysis.
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1996An introduction to computational statistics -- Regression analysis : Robert I. Jennrich (1995): prentice hall, ISBN 0-13-454810-8, [pound sign] 22.95, pp. 364 In: Computational Statistics & Data Analysis.
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1996Introduction to statistical time series : Wayne A. Fuller (1996): (2nd edition). Wiley, ISBN 0-471-55239-9, pp. 736, [pound sign] 55.00, In: Computational Statistics & Data Analysis.
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1996The analysis of time-series : C. Chattfield (1996): An introduction, 5th ed. Chapman & Hall, ISBN 0-412-71640-2, pp. 283, [pound sign] 18.99 In: Computational Statistics & Data Analysis.
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1998Time Series Analysis -- Nonstationary and noninvertible distribution theory : Katsuo Tanaka (1996): New York: Wiley, ISBN 0-471-14191-7, x + 623 pages, $ 70.00 In: Computational Statistics & Data Analysis.
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2003Testing and dating of structural changes in practice In: Computational Statistics & Data Analysis.
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2002Testing and dating of structural changes in practice.(2002) In: Technical Reports.
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2012Recursive computation of piecewise constant volatilities In: Computational Statistics & Data Analysis.
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1986Computational pitfalls of the Hausman test In: Journal of Economic Dynamics and Control.
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2011The exact bias of s2 in linear panel regressions with spatial autocorrelation In: Economics Letters.
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2011A simple nonparametric test for structural change in joint tail probabilities In: Economics Letters.
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2011A cautionary note on computing conditional from unconditional correlations In: Economics Letters.
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2012A Hausman test for non-ignorability In: Economics Letters.
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2012On the origin of high persistence in GARCH-models In: Economics Letters.
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2013Spurious persistence in stochastic volatility In: Economics Letters.
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2015A simple and focused backtest of value at risk In: Economics Letters.
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2016Comparing the accuracy of default predictions in the rating industry for different sets of obligors In: Economics Letters.
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1984On the consequences of trend for simultaneous equation estimation In: Economics Letters.
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2019Skill Scores and modified Lorenz domination in default forecasts In: Economics Letters.
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1985A Hausman test with trending data In: Economics Letters.
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1986On studentizing a test for structural change In: Economics Letters.
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1987Mean adjustment and the CUSUM test for structural change In: Economics Letters.
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1989On the robustness of the F-test to autocorrelation among disturbances In: Economics Letters.
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1986On the robustness of the F-test to autocorrelation among disturbances.(1986) In: Hannover Economic Papers (HEP).
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1992Range vs. maximum in the OLS-based version of the CUSUM test In: Economics Letters.
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1993The Lorenz-ordering of Singh-Maddala income distributions In: Economics Letters.
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1994Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated In: Economics Letters.
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1996A general condition for an optimal limiting efficiency of OLS in the general linear regression model In: Economics Letters.
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1997Chaos and the compass rose In: Economics Letters.
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1998Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated In: Economics Letters.
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