Research
Research Interests
● Panel Data Models;
● Functional Data Analysis, Big Data Analysis;
● Nonlinear Models, Time Series Econometrics, Long-run Relations;
● Environmental Economics
Publications
6 (Structural) VAR Models with Ignored Changes in Mean and Covariance
International Journal of Forecasting 2024, Volume 40(2), 840-854
(joint work with Matei Demetrescu)
| Working paper | Published paper |
5 Testing for No Cointegration in Vector Autoregressions with Estimated Degree of Fractional Integration
Economic Modelling 2022, Volume 108
(joint work with Matei Demetrescu and Vladimir Kuzin)
| Working paper - PDF | Published paper |
4 Estimation of Heterogeneous Panels with Systematic Slope Variations
Journal of Econometrics 2021, Volume 220(2), 399-415
(joint work with Joerg Breitung)
| Published paper |
3 A Moment-based Notion of Time Dependence for Functional Time Series Analysis
Journal of Econometrics 2019, Volume 212(2), 377-392
(joint work with Alexander Gleim)
| Old working paper | Published paper |
2. Lagrange Multiplier Type Tests for Slope Homogeneity in Panel Data Models
Econometrics Journal 2016, Volume 19(2), 166-202
(joint work with Joerg Breitung and Christoph Roling)
| Published paper | Matlab code
1. Modelling and Forecasting Interval Time Series with Threshold Models.
Advances in Data Analysis and Classification 2015, Volume 9(1), 41-57
(joint work with Paulo Rodrigues)
| Working paper | Published paper |
Chapters in Book
1. Panel Seasonal Unit Root Tests: An Application to Tourism.
Tourism Economics: Impact Analysis, Springer Verlag Berlin Heidelberg, 183210
(joint work with Paulo Rodrigues)
Working Papers
● Approximate Factor Models for Functional Time Series
(joint work with Sven Otto)
| Working paper | R-Code
● Forecasting Environmental Data: An Example of Ground-Level Ozone Concentration Surfaces
(joint with Alexander Gleim)
| Working paper |
● Saving for sunny days: The impact of climate (change) on consumer prices in the euro area
(joint work with Paulo Rodrigues and Mirjam Salish)
| Working paper |
● On Testing Shock Induced Asymmetries in Time Series
(joint work with Thomas Nebeling)
| Working paper |
Work in Progress
● Dynamic Functional Regression with Long-Range Dependence
(joint work with Jean-Pierre Florens)
● Analysis of Asymmetric Multivariate Time Series Models
● Forecasting Functional Times Series with Nonlinear Features: An Application to Electricity Demand
(joint with Alexander Gleim)
● A General Asymptotic Theory for Principal Components
(joint with Juan Carlos Escanciano)
● On Nontrivial Power of Panel Slope Homogeneity Tests in the Presence of Grouped Patterns
(joint with Antonio Raiola)
● Asymptotic Inference about Predictive Accuracy in Functional Time Series
(joint with Matei Demetrescu)