Reichold, K. (2024). A Residual-Based Nonparametric Variance Ratio No-Cointegration Test.
Journal of Time Series Analysis 45(5), 847-856. Supplementary Material
Reichold, 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, Code
Marcelo 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
Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions (with U. Schneider). arXiv:1409.0473.
Forecasting Seasonal Time Series with Random Forests. Available at SSRN: https://ssrn.com/abstract=5494688.
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
"Bootstrap Inference for Panel Local Projections" (with I. Wilms and S. Smeekes)
"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)
"The Implications of Drifts for Cointegrating (Polynomial) Regression Analysis" (with M. Wagner)