Research
Publications
Reichold, K. (2024). A Residual-Based Nonparametric Variance Ratio No-Cointegration Test.
Journal of Time Series Analysis. Forthcoming. Supplementary MaterialReichold, K., Jentsch, C. (2024). Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics.
Journal of Business & Economic Statistics 42(3), 970-983. Supplementary Material, CodeMarcelo Reyes Award, 12th Workshop in Time Series Econometrics (Zaragoza, Spain, 2022).
Wagner, M., Reichold, K. (2023). Panel Cointegrating Polynomial Regressions: Group-Mean Fully Modified OLS Estimation and Inference.
Econometric Reviews 42(4), 358-392. Supplementary Material, Code
Working Papers
Sources and Channels of Nonlinearities and Instabilities of the Phillips Curve: Results for the Euro Area and Its Member States (with M. Wagner, M. Damjanović, and M. Drenkovska). IHS Working Paper Series 40. R&R German Economic Review
Work in Progress
"Forecasting Seasonal Time Series Using Random Forests"
"On the Adaptive LASSO Estimator for Predictive Regressions with Unit Roots" (with U. Schneider)
"Evaluating Density Forecasts Using Kernel Density Estimators" (with M. Demetrescu)
"Bootstrap Inference in Panels of Cointegrating Regressions with Global Stochastic Trends" (with C. Jentsch and C. Hanck)
"Smooth Transition Cointegrating Regressions: Modified Nonlinear Least Squares Estimation and Inference" (with M. Wagner)
"Cointegrating Polynomial Regressions with Integrated Regressors with Drift: Fully Modified OLS Estimation and Inference" (with M. Wagner)