Details about Uwe Hassler

Homepage:	http://www.wiwi.uni-frankfurt.de/~hassler
Workplace:	Abteilung Empirische Wirtschaftsforschung und International Wirtschaftspolitik (Department of Applied Econometrics and International Political Economy), Fachbereich Wirtschaftswissenschaft (Faculty of Economics and Business Administration), Goethe Universität Frankfurt am Main (Goethe University Frankfurt), (more information at EDIRC)

Access statistics for papers by Uwe Hassler.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: pha277

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Jump to Journal Articles Books Chapters

Working Papers

2020

1. Unlucky Number 13? Manipulating Evidence Subject to Snooping
   Papers, arXiv.org View citations (1)
   See also Journal Article Unlucky Number 13? Manipulating Evidence Subject to Snooping, International Statistical Review, International Statistical Institute (2022) (2022)

2019

2. Forecasting under Long Memory and Nonstationarity
   Papers, arXiv.org View citations (4)

2014

3. Persistence in the Banking Industry: Fractional integration and breaks in memory
   Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
   See also Journal Article Persistence in the banking industry: Fractional integration and breaks in memory, Journal of Empirical Finance, Elsevier (2014) View citations (7) (2014)

2012

4. Quantile regression for long memory testing: A case of realized volatility
   Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
   See also Journal Article Quantile Regression for Long Memory Testing: A Case of Realized Volatility, Journal of Financial Econometrics, Oxford University Press (2016) View citations (11) (2016)

2011

5. Detecting multiple breaks in long memory: The case of US inflation
   Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (7)
   See also Journal Article Detecting multiple breaks in long memory the case of U.S. inflation, Empirical Economics, Springer (2014) View citations (42) (2014)
6. Estimation of fractional integration under temporal aggregation
   Post-Print, HAL View citations (25)
   See also Journal Article Estimation of fractional integration under temporal aggregation, Journal of Econometrics, Elsevier (2011) View citations (25) (2011)

2009

7. A Residual-Based LM Test for Fractional Cointegration
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (1)
   Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (1)
   Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) View citations (1)
8. Inflation-Unemployment Tradeoff and Regional Labor Market Data
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)
   Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002)
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2003)
   Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002)
   See also Journal Article Inflation-unemployment tradeoff and regional labor market data, Empirical Economics, Springer (2003) View citations (10) (2003)
9. Residual Log-Periodogram Inference for Long-Run-Relationships
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (6)
   Also in Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) View citations (6)
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (6)
   Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (6)
   See also Journal Article Residual log-periodogram inference for long-run relationships, Journal of Econometrics, Elsevier (2006) View citations (32) (2006)
10. Seasonal Unit Root Tests under Structural Breaks
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)
    Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002)
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002)
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002)
    See also Journal Article Seasonal Unit Root Tests Under Structural Breaks, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (9) (2004)
11. The Effect of Linear Time Trends on Cointegration Testing in Single Equations
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (1)
    Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002)
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (1)
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) View citations (1)

2005

12. Autoregressive distributed lag models and cointegration
    Discussion Papers, Free University Berlin, School of Business & Economics View citations (14)
    See also Chapter Autoregressive Distributed Lag Models and Cointegration, Springer Books, Springer (2006) View citations (58) (2006)
    Journal Article Autoregressive distributed lag models and cointegration, AStA Advances in Statistical Analysis, Springer (2006) View citations (62) (2006)
13. Unit root testing
    Discussion Papers, Free University Berlin, School of Business & Economics View citations (6)
    See also Journal Article Unit root testing, AStA Advances in Statistical Analysis, Springer (2006) View citations (4) (2006)
    Chapter Unit Root Testing, Springer Books, Springer (2006) View citations (4) (2006)

2002

14. A Residual LM test for fractional cointegration
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (1)
15. Dickey-Fuller cointegration tests in the presence of regime shifts at known time
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (1)
16. Inference on the cointegration rank in fractionally integrated processes
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (73)
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (3)
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000)
    See also Journal Article Inference on the cointegration rank in fractionally integrated processes, Journal of Econometrics, Elsevier (2002) View citations (78) (2002)

2000

17. FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1998) View citations (1)

1999

18. Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Cointegration Testing in Single Error‐Correction Equations in the Presence of Linear Time Trends, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2000) View citations (5) (2000)
19. Nonsense regressions due to time-varying means
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
20. The Effect of Linear Time Trends on Single Equation Cointegration Testing
    Computing in Economics and Finance 1999, Society for Computational Economics

1997

21. Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
    See also Journal Article Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated, Economics Letters, Elsevier (1998) View citations (6) (1998)

1996

22. A Note on the Effect of Seasonal Dummies on the Periodogram Regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

1995

23. The Term Structure of Interest Rates as an Indicator of German Monetary Policy?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (5)

Journal Articles

2023

1. Forecasting under Long Memory*
   Journal of Financial Econometrics, 2023, 21, (3), 742-778 View citations (1)

2022

2. Understanding nonsense correlation between (independent) random walks in finite samples
   Statistical Papers, 2022, 63, (1), 181-195
3. Unlucky Number 13? Manipulating Evidence Subject to Snooping
   International Statistical Review, 2022, 90, (2), 397-410
   See also Working Paper Unlucky Number 13? Manipulating Evidence Subject to Snooping, Papers (2020) View citations (1) (2020)

2020

4. Estimating the mean under strong persistence
   Economics Letters, 2020, 188, (C)
5. Harmonically Weighted Processes
   Journal of Time Series Analysis, 2020, 41, (1), 41-66 View citations (4)
6. Note on sample quantiles for ordinal data
   Statistical Papers, 2020, 61, (6), 2383-2391
7. Whittle-type estimation under long memory and nonstationarity
   AStA Advances in Statistical Analysis, 2020, 104, (3), 363-383

2019

8. Katsuto Tanaka (2017): Time series analysis: nonstationary and noninvertible distribution theory, 2nd edition
   Statistical Papers, 2019, 60, (4), 1419-1420
9. Ratio tests under limiting normality
   Econometric Reviews, 2019, 38, (7), 793-813 View citations (2)
10. Testing the Newcomb-Benford Law: experimental evidence
    Applied Economics Letters, 2019, 26, (21), 1762-1769 View citations (4)

2018

11. Wayne A. Woodward, Henry L. Gray and Alan C. Elliott (2017): Applied Time Series Analysis with R, Second Edition, Chapman & Hall/CRC, 618 pp., $109.95, ISBN 9781498734226
    Statistical Papers, 2018, 59, (1), 417-418

2017

12. Ergodic for the mean
    Economics Letters, 2017, 151, (C), 75-78
13. Palma, W.: Time series analysis
    Statistical Papers, 2017, 58, (1), 283-284

2016

14. (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
    Econometric Theory, 2016, 32, (6), 1317-1348 View citations (5)
15. Jürgen Wolters
    AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (1), 5-7
    Also in AStA Wirtschafts- und Sozialstatistisches Archiv, 2016, 10, (1), 5-7 (2016)
16. M. H. Pesaran (2015): Time series and panel data econometrics. Oxford University Press, Oxford, 1104 pp, Hardcover 110.00 $$\pounds $$ £, ISBN: 9780198736912
    Statistical Papers, 2016, 57, (3), 859-860
17. Panel Cointegration Testing in the Presence of Linear Time Trends
    Econometrics, 2016, 4, (4), 1-16 View citations (1)
18. Powerful Unit Root Tests Free of Nuisance Parameters
    Journal of Time Series Analysis, 2016, 37, (4), 533-554 View citations (2)
19. Quantile Regression for Long Memory Testing: A Case of Realized Volatility
    Journal of Financial Econometrics, 2016, 14, (4), 693-724 View citations (11)
    See also Working Paper Quantile regression for long memory testing: A case of realized volatility, Working Papers (2012) View citations (3) (2012)

2014

20. Detecting multiple breaks in long memory the case of U.S. inflation
    Empirical Economics, 2014, 46, (2), 653-680 View citations (42)
    See also Working Paper Detecting multiple breaks in long memory: The case of US inflation, Discussion Paper Series 1: Economic Studies (2011) View citations (7) (2011)
21. Effect of the order of fractional integration on impulse responses
    Economics Letters, 2014, 125, (2), 311-314
22. Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2014, 234, (1), 23-43 View citations (1)
23. Persistence in the banking industry: Fractional integration and breaks in memory
    Journal of Empirical Finance, 2014, 29, (C), 95-112 View citations (7)
    See also Working Paper Persistence in the Banking Industry: Fractional integration and breaks in memory, Working Papers (2014) View citations (8) (2014)
24. Persistence under temporal aggregation and differencing
    Economics Letters, 2014, 124, (2), 318-322 View citations (2)

2013

25. Asymptotic Behavior of Temporal Aggregates in the Frequency Domain
    Journal of Time Series Econometrics, 2013, 5, (1), 47-60 View citations (4)
26. Effect of temporal aggregation on multiple time series in the frequency domain
    Journal of Time Series Analysis, 2013, 34, (5), 562-573 View citations (5)

2012

27. Impulse responses of antipersistent processes
    Economics Letters, 2012, 116, (3), 454-456 View citations (3)

2011

28. Asymptotic normal tests for integration in panels with cross-dependent units
    AStA Advances in Statistical Analysis, 2011, 95, (2), 187-204 View citations (12)
29. Detecting changes from short to long memory
    Statistical Papers, 2011, 52, (4), 847-870 View citations (20)
30. Estimation of fractional integration under temporal aggregation
    Journal of Econometrics, 2011, 162, (2), 240-247 View citations (25)
    See also Working Paper Estimation of fractional integration under temporal aggregation, Post-Print (2011) View citations (25) (2011)
31. Pitfalls of post-model-selection testing: experimental quantification
    Empirical Economics, 2011, 40, (2), 359-372 View citations (18)

2010

32. IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY
    Econometric Theory, 2010, 26, (6), 1855-1861 View citations (15)
33. Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
    Journal of Applied Statistics, 2010, 37, (8), 1381-1397 View citations (2)
34. Testing regression coefficients after model selection through sign restrictions
    Economics Letters, 2010, 107, (2), 220-223

2009

35. Hysteresis in Unemployment Rates? A Comparison between Germany and the US
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2009, 229, (2-3), 119-129 View citations (2)
36. TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
    Econometric Theory, 2009, 25, (6), 1793-1828 View citations (20)

2008

37. Comment on "Long-run relationships between labor and capital: Indirect evidence on the elasticity of substitution"
    Journal of Macroeconomics, 2008, 30, (2), 757-759 View citations (1)
38. D. N. DeJong and C. Dave: Structural Macroeconometrics
    Journal of Economics, 2008, 94, (1), 99-101
39. Fractional cointegration in the presence of linear trends
    Journal of Time Series Analysis, 2008, 29, (6), 1088-1103
40. LONG MEMORY TESTING IN THE TIME DOMAIN
    Econometric Theory, 2008, 24, (1), 176-215 View citations (62)
41. On Critical Values of Tests against a Change in Persistence*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 705-710 View citations (2)
42. On the persistence of the Eonia spread
    Economics Letters, 2008, 101, (3), 184-187 View citations (27)

2007

43. Effect of neglected deterministic seasonality on unit root tests
    Statistical Papers, 2007, 48, (3), 385-402 View citations (11)
44. Multicointegration under measurement errors
    Economics Letters, 2007, 96, (1), 38-44 View citations (2)

2006

45. A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
    Econometric Theory, 2006, 22, (6), 1091-1111 View citations (19)
46. A note on Phillips-Perron-type statistics for cointegration testing
    Economics Bulletin, 2006, 3, (17), 1-7 View citations (1)
47. Autoregressive distributed lag models and cointegration
    AStA Advances in Statistical Analysis, 2006, 90, (1), 59-74 View citations (62)
    See also Working Paper Autoregressive distributed lag models and cointegration, Discussion Papers (2005) View citations (14) (2005)
    Chapter Autoregressive Distributed Lag Models and Cointegration, Springer Books, 2006, 57-72 (2006) View citations (58) (2006)
48. Combining Significance of Correlated Statistics with Application to Panel Data*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 647-663 View citations (68)
49. Residual log-periodogram inference for long-run relationships
    Journal of Econometrics, 2006, 130, (1), 165-207 View citations (32)
    See also Working Paper Residual Log-Periodogram Inference for Long-Run-Relationships, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) View citations (6) (2009)
50. Unit root testing
    AStA Advances in Statistical Analysis, 2006, 90, (1), 43-58 View citations (4)
    See also Working Paper Unit root testing, Discussion Papers (2005) View citations (6) (2005)
    Chapter Unit Root Testing, Springer Books, 2006, 41-56 (2006) View citations (4) (2006)

2005

51. Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2005, 225, (4), 413-426 View citations (6)

2004

52. Seasonal Unit Root Tests Under Structural Breaks
    Journal of Time Series Analysis, 2004, 25, (1), 33-53 View citations (9)
    See also Working Paper Seasonal Unit Root Tests under Structural Breaks, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) (2009)

2003

53. Inflation-unemployment tradeoff and regional labor market data
    Empirical Economics, 2003, 28, (2), 321-334 View citations (10)
    See also Working Paper Inflation-Unemployment Tradeoff and Regional Labor Market Data, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) (2009)
54. Nonsense regressions due to neglected time-varying means
    Statistical Papers, 2003, 44, (2), 169-182 View citations (13)
55. Zeitabhängige Volatilität und instationäre Zeitreihen: Zum Nobelpreis an Robert F. Engle und Clive W. J. Granger
    Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007), 2003, 83, (12), 811-816 View citations (1)

2002

56. Inference on the cointegration rank in fractionally integrated processes
    Journal of Econometrics, 2002, 110, (2), 167-185 View citations (78)
    See also Working Paper Inference on the cointegration rank in fractionally integrated processes, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2002) View citations (73) (2002)

2001

57. The Effect of Linear Time Trends on the KPSS Test for Cointegration
    Journal of Time Series Analysis, 2001, 22, (3), 283-292 View citations (2)
58. Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2001, 221, (1), 32-44 View citations (2)

2000

59. Cointegration Testing in Single Error‐Correction Equations in the Presence of Linear Time Trends
    Oxford Bulletin of Economics and Statistics, 2000, 62, (5), 621-632 View citations (5)
    See also Working Paper Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends, DES - Working Papers. Statistics and Econometrics. WS (1999) (1999)

1999

60. (When) Should cointegrating regressions be detrended? The case of a German money demand function
    Empirical Economics, 1999, 24, (1), 155-172 View citations (4)

1998

61. A Note on Correlation in Regressions Without Cointegration
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, 217, (4), 518-523
62. Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated
    Economics Letters, 1998, 60, (3), 285-290 View citations (6)
    See also Working Paper Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated, Technical Reports (1997) (1997)
63. The Link between German Short- and Long-Term Interest Rates. Some Evidence against a Term Structure Oriented Monetary Policy / Der Zusammenhang zwischen kurz- und langfristigen Zinssätzen in Deutschland. Empirische Evidenz gegen eine zinsstrukturorientierte Geldpolitik
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, 217, (2), 214-226

1997

64. On the effect of seasonal adjustment on the log-periodogram regression
    Economics Letters, 1997, 56, (2), 135-141 View citations (10)

1996

65. A Casebook for a first course in statistics and data analysis.: S. Chatterjee, M.S. Handcock and J.S. Simon-off (1995): Wiley & Sons, ISBN 0-471-11030-2, [pound sign] 19.95, pp. 314
    Computational Statistics & Data Analysis, 1996, 23, (1), 201-202
66. Grundausbildung in Ökonometrie
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1996, 215, (1), 118-118
67. Spurious regressions when stationary regressors are included
    Economics Letters, 1996, 50, (1), 25-31 View citations (15)

1995

68. Long Memory in Inflation Rates: International Evidence
    Journal of Business & Economic Statistics, 1995, 13, (1), 37-45 View citations (237)

1994

69. (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
    Journal of Time Series Analysis, 1994, 15, (1), 19-30 View citations (26)
70. On the power of unit root tests against fractional alternatives
    Economics Letters, 1994, 45, (1), 1-5 View citations (173)

1993

71. REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
    Journal of Time Series Analysis, 1993, 14, (4), 369-380 View citations (38)
72. THE PERIODOGRAM REGRESSION
    Journal of Time Series Analysis, 1993, 14, (5), 549-549 View citations (2)

Books

2016

1. Stochastic Processes and Calculus
   Springer Texts in Business and Economics, Springer View citations (5)

2013

2. Introduction to Modern Time Series Analysis
   Springer Texts in Business and Economics, Springer View citations (33)

Chapters

2023

1. Powerful Self-Normalizing Tests for Stationarity Against the Alternative of a Unit Root
   A chapter in Essays in Honor of Joon Y. Park: Econometric Theory, 2023, vol. 45A, pp 97-114

2016

2. Asymptotics of Integrated Processes
   Springer
3. Autoregressive Moving Average Processes (ARMA)
   Springer
4. Basic Concepts from Probability Theory
   Springer
5. Cointegration Analysis
   Springer
6. Interest Rate Models
   Springer
7. Introduction
   Springer
8. Ito Integrals
   Springer
9. Ito’s Lemma
   Springer
10. Long Memory and Fractional Integration
    Springer
11. Processes with Autoregressive Conditional Heteroskedasticity (ARCH)
    Springer
12. Riemann Integrals
    Springer
13. Spectra of Stationary Processes
    Springer
14. Stieltjes Integrals
    Springer
15. Stochastic Differential Equations (SDE)
    Springer
16. Trends, Integration Tests and Nonsense Regressions
    Springer
17. Wiener Processes (WP)
    Springer

2013

18. Autoregressive Conditional Heteroscedasticity
    Springer
19. Cointegration
    Springer
20. Granger Causality
    Springer
21. Introduction and Basics
    Springer
22. Nonstationary Panel Data
    Springer
23. Nonstationary Processes
    Springer
24. Univariate Stationary Processes
    Springer View citations (2)
25. Vector Autoregressive Processes
    Springer View citations (2)

2009

26. Cointegration analysis under measurement errors
    A chapter in Measurement Error: Consequences, Applications and Solutions, 2009, pp 131-150 View citations (2)

2006

27. Autoregressive Distributed Lag Models and Cointegration
    Springer View citations (58)
    See also Journal Article Autoregressive distributed lag models and cointegration, Springer (2006) View citations (62) (2006)
    Working Paper Autoregressive distributed lag models and cointegration, Free University Berlin, School of Business & Economics (2005) View citations (14) (2005)
28. Unit Root Testing
    Springer View citations (4)
    See also Working Paper Unit root testing, Free University Berlin, School of Business & Economics (2005) View citations (6) (2005)
    Journal Article Unit root testing, Springer (2006) View citations (4) (2006)