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Walter Krämer
(Walter Kraemer)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Walter Krämer, 2011. "The cult of statistical significance. What economists should and should not do to make their data talk," RatSWD Working Papers 176, German Data Forum (RatSWD).

    Mentioned in:

    1. About the cult of statistical significance
      by Economic Logician in Economic Logic on 2012-03-07 20:40:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Kramer, Walter & Runde, Ralf, 1997. "Stocks and the Weather: An Exercise in Data Mining or Yet Another Capital Market Anomaly?," Empirical Economics, Springer, vol. 22(4), pages 637-641.

    Mentioned in:

    1. Stocks and the weather: An exercise in data mining or yet another capital market anomaly? (Emp Econ 1997) in ReplicationWiki ()

Working papers

  1. Walter Kraemer & Holger Dette, 2016. "Beyond Inequality: A Novel Measure of Skewness and its Properties," CESifo Working Paper Series 5972, CESifo.

    Cited by:

    1. Pogorelskiy, Kirill & Traub, Stefan, 2017. "Skewness, Tax Progression, and Demand for Redistribution : Evidence from the UK," CRETA Online Discussion Paper Series 29, Centre for Research in Economic Theory and its Applications CRETA.
    2. Walter Krämer, 2021. "Asymmetry in the distribution of daily stock returns," Empirical Economics, Springer, vol. 60(3), pages 1115-1125, March.

  2. Walter Kraemer & Simon Neumärker, 2016. "Comparing Default Predictions in the Rating Industry for Different Sets of Obligors," CESifo Working Paper Series 5768, CESifo.

    Cited by:

    1. Krämer, Walter & Neumärker, Simon, 2019. "Skill Scores and modified Lorenz domination in default forecasts," Economics Letters, Elsevier, vol. 181(C), pages 61-64.

  3. Laurie Davies & Walter Kramer, 2016. "Stylized Facts and Simulating Long Range Financial Data," Papers 1612.05229, arXiv.org.

    Cited by:

    1. Tomlinson, Matthew F. & Greenwood, David & Mucha-Kruczyński, Marcin, 2024. "2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models," International Journal of Forecasting, Elsevier, vol. 40(1), pages 324-347.

  4. Walter Krämer, 2011. "The cult of statistical significance. What economists should and should not do to make their data talk," RatSWD Working Papers 176, German Data Forum (RatSWD).

    Cited by:

    1. Thomas Mayer, 2012. "Ziliak and McCloskey's Criticisms of Significance Tests: An Assessment," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 256-297, September.
    2. Hirschauer, Norbert & Gruener, Sven & Mußhoff, Oliver & Becker, Claudia & Jantsch, Antje, 2019. "Can p-values be meaningfully interpreted without random sampling?," SocArXiv yazr8, Center for Open Science.
    3. Bernhard Rauch & Max G�ttsche & Stephan Langenegger, 2014. "Detecting Problems in Military Expenditure Data Using Digital Analysis," Defence and Peace Economics, Taylor & Francis Journals, vol. 25(2), pages 97-111, April.
    4. W. Krämer, 2018. "Interview mit Volker Mammitzsch," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 12(2), pages 179-188, September.
    5. Stephen T. Ziliak & Deirdre N. McCloskey, 2013. "We Agree That Statistical Significance Proves Essentially Nothing: A Rejoinder to Thomas Mayer," Econ Journal Watch, Econ Journal Watch, vol. 10(1), pages 97-107, January.
    6. Hübler, Olaf, 2013. "Methods in empirical economics - a selective review with applications," Hannover Economic Papers (HEP) dp-513, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. Walter Krämer, 2018. "Interview mit Günter Bamberg," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 12(3), pages 299-307, December.
    8. Frings Hanna, 2013. "The Employment Effect of Industry- Specific, Collectively Bargained Minimum Wages," German Economic Review, De Gruyter, vol. 14(3), pages 258-281, August.
    9. Thomas Mayer, 2013. "Reply to Deirdre McCloskey and Stephen Ziliak on Statistical Significance," Econ Journal Watch, Econ Journal Watch, vol. 10(1), pages 87-96, January.
    10. Rommel, Jens & Weltin, Meike, 2017. "Is there a cult of statistical significance in Agricultural Economics?," 57th Annual Conference, Weihenstephan, Germany, September 13-15, 2017 261998, German Association of Agricultural Economists (GEWISOLA).
    11. Pilny, Adam, 2014. "Mergers and Acquisitions in the German Hospital Market – Who are the Targets?," Ruhr Economic Papers 518, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    12. Alice Neuhäuser & Maike Mischler & Graeme Ruxton & Markus Neuhäuser, 2013. "Gründe für von der Fraktionsdisziplin abweichendes Abstimmungsverhalten bei Bundestagsabgeordneten," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 7(1), pages 91-99, August.
    13. Wobker, Inga & Lehmann-Waffenschmidt, Marco & Kenning, Peter & Gigerenzer, Gerd, 2012. "What do people know about the economy? A test of minimal economic knowledge in Germany," Dresden Discussion Paper Series in Economics 03/12, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    14. Bücker, Michael & van Kampen, Maarten & Krämer, Walter, 2013. "Reject inference in consumer credit scoring with nonignorable missing data," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1040-1045.
    15. Hirschauer Norbert & Grüner Sven & Mußhoff Oliver & Becker Claudia, 2019. "Twenty Steps Towards an Adequate Inferential Interpretation of p-Values in Econometrics," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 703-721, August.
    16. Hirschauer Norbert & Mußhoff Oliver & Grüner Sven & Frey Ulrich & Theesfeld Insa & Wagner Peter, 2016. "Die Interpretation des p-Wertes – Grundsätzliche Missverständnisse," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(5), pages 557-575, October.
    17. Olaf Hübler, 2014. "Estimation of standard errors and treatment effects in empirical economics—methods and applications [Schätzung von Standardfehlern und Kausaleffekten in der empirischen Wirtschaftsforschung – Metho," Journal for Labour Market Research, Springer;Institute for Employment Research/ Institut für Arbeitsmarkt- und Berufsforschung (IAB), vol. 47(1), pages 43-62, March.

  5. Walter Kraemer, 2010. "The Cult of Statistical Significance," CESifo Working Paper Series 3246, CESifo.

    Cited by:

  6. Walter Kraemer & Gerhard Arminger, 2010. ""True Believers" or Numerical Terrorism at the Nuclear Power Plant," CESifo Working Paper Series 3180, CESifo.

    Cited by:

    1. Walter Krämer, 2011. "The Cult of Statistical Significance – What Economists Should and Should Not Do to Make their Data Talk," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 131(3), pages 455-468.

  7. André Güttler & Walter Kraemer, 2008. "On Comparing the Accuracy of Default Predictions in the Rating Industry," CESifo Working Paper Series 2202, CESifo.

    Cited by:

    1. Kurt Hornik & Rainer Jankowitsch & Manuel Lingo & Stefan Pichler & Gerhard Winkler, 2010. "Determinants of heterogeneity in European credit ratings," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(3), pages 271-287, September.
    2. Simon Cornée, 2014. "Soft Information and Default Prediction in Cooperative and Social Banks," Working Papers CEB 14-005, ULB -- Universite Libre de Bruxelles.
    3. Orth, Walter, 2010. "The predictive accuracy of credit ratings: Measurement and statistical inference," MPRA Paper 30148, University Library of Munich, Germany, revised 16 Feb 2011.
    4. Christophe Godlewski, 2004. "Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies ?," Finance 0409023, University Library of Munich, Germany.
    5. Chang, Charles & Fuh, Cheng-Der & Kao, Chu-Lan Michael, 2017. "Reading between the ratings: Modeling residual credit risk and yield overlap," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 114-135.
    6. Darrell Duffie & Leandro Siata & Ke Wang, 2006. "Multi-Period Corporate Default Prediction With Stochastic Covariates," NBER Working Papers 11962, National Bureau of Economic Research, Inc.
    7. Andre Güttler & Peter Raupach, 2010. "The Impact of Downward Rating Momentum," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(1), pages 1-23, February.
    8. Morkoetter, Stefan & Stebler, Roman & Westerfeld, Simone, 2017. "Competition in the credit rating Industry: Benefits for investors and issuers," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 235-257.

  8. Walter Kraemer & Sebastian Schich, 2008. "Large-Scale Disasters and the Insurance Industry," CESifo Working Paper Series 2243, CESifo.

    Cited by:

    1. Valizadeh, Pourya & Karali, Berna & Ferreira, Susana, 2017. "Ripple effects of the 2011 Japan earthquake on international stock markets," Research in International Business and Finance, Elsevier, vol. 41(C), pages 556-576.
    2. Kleidt Benjamin & Schiereck Dirk & Sigl-Grueb Christof, 2009. "Rationality at the Eve of Destruction: Insurance Stocks and Huge Catastrophic Events," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 4(2), pages 1-27, April.

  9. Walter Kraemer, 2008. "Long Memory with Markov-Switching GARCH," CESifo Working Paper Series 2225, CESifo.

    Cited by:

    1. Krämer, Walter & Tameze, Baudouin & Christou, Konstantinos, 2012. "On the origin of high persistence in GARCH-models," Economics Letters, Elsevier, vol. 114(1), pages 72-75.
    2. Yanlin Shi, 2023. "Long memory and regime switching in the stochastic volatility modelling," Annals of Operations Research, Springer, vol. 320(2), pages 999-1020, January.

  10. Walter Krämer, 2008. "Verhindert die Statistikausbildung den Fortschritt der Wirtschafts- und Sozialwissenschaften?," RatSWD Working Papers 38, German Data Forum (RatSWD).

    Cited by:

    1. Walter Krämer, 2019. "Interview mit Helmut Lütkepohl," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 13(1), pages 87-94, April.
    2. Walter Krämer, 2012. "Das Signifikanztest-Ritual und andere Sackgassen des Fortschritts in der Statistik," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(4), pages 299-308, March.

  11. Kleiber, Christian & Krämer, Walter, 2004. "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports 2004,15, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Anurag Banerjee, 2004. "Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory," Econometric Society 2004 Australasian Meetings 159, Econometric Society.

  12. Gigerenzer, Gerd & Krämer, Walter, 2004. "How to confuse with statistics or: the use and misuse of conditional probabilities," Technical Reports 2004,35, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Walter Kraemer & Gerhard Arminger, 2010. ""True Believers" or Numerical Terrorism at the Nuclear Power Plant," CESifo Working Paper Series 3180, CESifo.

  13. Krämer, Walter & Güttler, André, 2003. "Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P," Technical Reports 2003,23, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Christophe Godlewski, 2004. "Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies ?," Finance 0409023, University Library of Munich, Germany.

  14. Krämer, Walter, 2003. "Evaluating probability forecasts in terms of refinement and strictly proper scoring rules," Technical Reports 2003,24, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Walter Krämer & Michael Bücker, 2011. "Probleme des Qualitätsvergleichs von Kreditausfallprognosen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(1), pages 39-58, March.
    2. Walter Krämer & André Güttler, 2008. "On comparing the accuracy of default predictions in the rating industry," Empirical Economics, Springer, vol. 34(2), pages 343-356, March.
    3. Krämer, Walter & Neumärker, Simon, 2016. "Comparing the accuracy of default predictions in the rating industry for different sets of obligors," Economics Letters, Elsevier, vol. 145(C), pages 48-51.
    4. Krämer, Walter & Neumärker, Simon, 2019. "Skill Scores and modified Lorenz domination in default forecasts," Economics Letters, Elsevier, vol. 181(C), pages 61-64.
    5. Krämer, Walter, 2004. "Qualitätsvergleiche bei Kreditausfallprognosen," Technical Reports 2004,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

  15. Zeileis, Achim & Kleiber, Christian & Krämer, Walter & Hornik, Kurt, 2002. "Testing and dating of structural changes in practice," Technical Reports 2002,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Bennett Kleinberg & Isabelle Vegt & Paul Gill, 2021. "The temporal evolution of a far-right forum," Journal of Computational Social Science, Springer, vol. 4(1), pages 1-23, May.
    2. Jounghyeon Kim, 2012. "Monetary and Exchange Rate Policy in the Aftermath of the Asian Financial Crisis: The Case of Korea," Korean Economic Review, Korean Economic Association, vol. 28, pages 91-116.
    3. Camilo Alberto Cárdenas-Hurtado & María Alejandra Hernández-Montes, 2019. "Understanding the Consumer Confidence Index in Colombia: A structural FAVAR analysis," Borradores de Economia 1063, Banco de la Republica de Colombia.
    4. Liu, Guan-Chun & Lee, Chien-Chiang & Lee, Chi-Chuan, 2016. "The nexus between insurance activity and economic growth: A bootstrap rolling window approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 299-319.
    5. Ole Boysen & Kirsten Boysen-Urban & Alan Matthews, 2021. "Alternative EU CAP Tools for Stabilising Farm Incomes in the Era of Climate Change," Working Papers 202103, Geary Institute, University College Dublin.
    6. De Bonis, Riccardo & Marinelli, Giuseppe & Vercelli, Francesco, 2018. "Playing yo-yo with bank competition: New evidence from 1890 to 2014," Explorations in Economic History, Elsevier, vol. 67(C), pages 134-151.
    7. Frijns, Bart & Indriawan, Ivan & Otsubo, Yoichi & Tourani-Rad, Alireza, 2019. "The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 176-187.
    8. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2023. "Investigating the inflation-output-nexus for the euro area: Old questions and new results," Wismar Discussion Papers 01/2023, Hochschule Wismar, Wismar Business School.
    9. Chang, Bi-Juan & Hung, Mao-Wei, 2021. "Corporate debt and cash decisions: A nonlinear panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 15-37.
    10. Casson, Catherine & Fry, J. M. & Casson, Mark, 2011. "Evolution or revolution? a study of price and wage volatility in England, 1200-1900," MPRA Paper 31518, University Library of Munich, Germany.
    11. Christian Aßmann & Jens Hogrefe & Roman Liesenfeld, 2009. "The decline in German output volatility: a Bayesian analysis," Empirical Economics, Springer, vol. 37(3), pages 653-679, December.
    12. von Blanckenburg, Korbinian & Reher, Gerrit, 2008. "Testverfahren zur Beurteilung der Funktionsfähigkeit von Marktprozessen," Beiträge zur angewandten Wirtschaftsforschung 23, University of Münster, Center of Applied Economic Research Münster (CAWM).
    13. Yonglin Shen & Xiuguo Liu, 2015. "Phenological Changes of Corn and Soybeans over U.S. by Bayesian Change-Point Model," Sustainability, MDPI, vol. 7(6), pages 1-23, May.
    14. Davide De Gaetano, 2018. "Forecast Combinations in the Presence of Structural Breaks: Evidence from U.S. Equity Markets," Mathematics, MDPI, vol. 6(3), pages 1-19, March.
    15. Jozef Baruník, Evzen Kocenda and Lukáa Vácha, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    16. Steinhübel, Linda & Prehn, Sören & Brümmer, Bernhard & Pies, Ingo & Will, Matthias Georg, 2017. "The impact of index funds on grain futures markets revisited," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 261428, European Association of Agricultural Economists.
    17. Zeileis, Achim & Shah, Ajay & Patnaik, Ila, 2010. "Testing, monitoring, and dating structural changes in exchange rate regimes," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1696-1706, June.
    18. David (David Patrick) Madden, 2007. "Doctors’ fees in Ireland following the change in reimbursement : did they jump," Open Access publications 10197/598, School of Economics, University College Dublin.
    19. Hull, Isaiah, 2015. "What Broke First? Characterizing Sources of Structural Change Prior to the Great Recession," Working Paper Series 301, Sveriges Riksbank (Central Bank of Sweden).
    20. Rodolfo Mendez-Marcano & Jose Pineda, 2014. "Fiscal Sustainability and Economic Growth in Bolivia," Working Papers 1406, BBVA Bank, Economic Research Department.
    21. Han Lin Shang & Jiguo Cao & Peijun Sang, 2022. "Stopping time detection of wood panel compression: A functional time‐series approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1205-1224, November.
    22. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
    23. Mika Kurohata, 2020. "Effect of the CITES trade ban on preferences for ivory in Japan," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 22(3), pages 383-403, July.
    24. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin 944, DIW Berlin, German Institute for Economic Research.
    25. Liu, Guanchun & He, Lei & Yue, Yiding & Wang, Jiying, 2014. "The linkage between insurance activity and banking credit: Some evidence from dynamic analysis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 239-265.
    26. Sergio Adriani David & Claudio M. C. Inácio & José A. Tenreiro Machado, 2019. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship," Mathematics, MDPI, vol. 7(9), pages 1-25, August.
    27. Prados de la Escosura, Leandro & Rodriguez-Caballero, Carlos Vladimir, 2020. "Growth, War, and Pandemics: Europe in the Very Long-run," CEPR Discussion Papers 14816, C.E.P.R. Discussion Papers.
    28. F. Peters & J. P. Mackenbach & W. J. Nusselder, 2016. "Does the Impact of the Tobacco Epidemic Explain Structural Changes in the Decline of Mortality?," European Journal of Population, Springer;European Association for Population Studies, vol. 32(5), pages 687-702, December.
    29. James, Nicholas A. & Matteson, David S., 2015. "ecp: An R Package for Nonparametric Multiple Change Point Analysis of Multivariate Data," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 62(i07).
    30. Zhichao Guo & Yuanhua Feng & Xiangyong Tan, 2010. "Short- and long-term impact of remarkable economic events on the growth causes of China-Germany trade in agri-food products," Working Papers CIE 32, Paderborn University, CIE Center for International Economics.
    31. Cathy W. S. Chen & Bonny Lee, 2021. "Bayesian inference of multiple structural change models with asymmetric GARCH errors," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(3), pages 1053-1078, September.
    32. Grinis, Inna, 2017. "Trend growth durations & shifts," LSE Research Online Documents on Economics 85126, London School of Economics and Political Science, LSE Library.
    33. Fan, Ying & Xu, Jin-Hua, 2011. "What has driven oil prices since 2000? A structural change perspective," Energy Economics, Elsevier, vol. 33(6), pages 1082-1094.
    34. Pouliot, Sébastien, 2012. "On the Economics of Adulteration in Food Imports: Application to US Fish and Seafood Imports," Working Papers 148596, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
    35. Zaldívar, José-Manuel & Strozzi, Fernanda & Dueri, Sibylle & Marinov, Dimitar & Zbilut, Joseph P., 2008. "Characterization of regime shifts in environmental time series with recurrence quantification analysis," Ecological Modelling, Elsevier, vol. 210(1), pages 58-70.
    36. Hanif, Muhammad Nadim & Malik, Muhammad Jahanzeb, 2015. "Evaluating Performance of Inflation Forecasting Models of Pakistan," MPRA Paper 66843, University Library of Munich, Germany.
    37. Nidhi Aggarwal & Sanchit Arora & Rajeswari Sengupta, 2021. "Capital account liberalisation in a large emerging economy: An Analysis of onshore-offshore arbitrage," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2021-013, Indira Gandhi Institute of Development Research, Mumbai, India.
    38. O'Hare, Colin & Li, Youwei, 2016. "Modelling mortality: Are we heading in the right direction?," MPRA Paper 71392, University Library of Munich, Germany.
    39. Christos Katris & Manolis G. Kavussanos, 2021. "Time series forecasting methods for the Baltic dry index," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1540-1565, December.
    40. Luis A. Gil-Alana & Guglielmo M. Caporale, 2008. "Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks," Faculty Working Papers 11/08, School of Economics and Business Administration, University of Navarra.
    41. Boako, Gideon & Alagidede, Paul, 2017. "Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–time domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 359-380.
    42. Peter Klein & Daryl Purdy & Isaac Schweigert & Alexander Vedrashko, 2015. "The Canadian Hedge Fund Industry: Performance and Market Timing," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 283-320, September.
    43. Patrik Nosil & Zachariah Gompert & Daniel J. Funk, 2024. "Divergent dynamics of sexual and habitat isolation at the transition between stick insect populations and species," Nature Communications, Nature, vol. 15(1), pages 1-15, December.
    44. Pierre Masselot & Fateh Chebana & Céline Campagna & Éric Lavigne & Taha B.M.J. Ouarda & Pierre Gosselin, 2021. "Machine learning approaches to identify thresholds in a heat‐health warning system context," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(4), pages 1326-1346, October.
    45. Benoît Le Maux & Yvon Rocaboy, 2016. "Competition in fragmentation among political coalitions: theory and evidence," Post-Print halshs-01354603, HAL.
    46. Kufenko, Vadim & Prettner, Klaus & Geloso, Vincent, 2020. "Divergence, convergence, and the history-augmented Solow model," Structural Change and Economic Dynamics, Elsevier, vol. 53(C), pages 62-76.
    47. Tighe, Kara & Piggott, Nicholas & Nicholas, Oscar & Mounter, Stuart & Villano, Renato, 2019. "Testing for pre-committed quantities of Australian meat demand," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(2), April.
    48. Andreas Karpf & Antoine Mandel & Stefano Battiston, 2018. "Price and network dynamics in the European carbon market," Post-Print halshs-01905985, HAL.
    49. Lasse Loepfe & Jordi Martinez-Vilalta & Josep Piñol, 2012. "Management alternatives to offset climate change effects on Mediterranean fire regimes in NE Spain," Climatic Change, Springer, vol. 115(3), pages 693-707, December.
    50. Kang-Ping Lu & Shao-Tung Chang, 2023. "An Advanced Segmentation Approach to Piecewise Regression Models," Mathematics, MDPI, vol. 11(24), pages 1-23, December.
    51. Yu, Honghai & Du, Donglei & Fang, Libing & Yan, Panpan, 2018. "Risk contribution of crude oil to industry stock returns," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 179-199.
    52. Mario Cimoli & Jose Antonio Ocampo & Gabriel Porcile, 2017. "Choosing sides in the trilemma: international financial cycles and structural change in developing economies," LEM Papers Series 2017/26, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    53. De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper 59381, University Library of Munich, Germany.
    54. Abu-Qarn Aamer S & Abu-Bader Suleiman, 2008. "Structural Breaks in Military Expenditures: Evidence for Egypt, Israel, Jordan and Syria," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 14(1), pages 39-61, April.
    55. Cruz, Jose Cesar Jr. & Silveira, Rodrigo L. F. & Capitani, Daniel H. D. & Urso, Fabiana S. P. & Martines, Joao G. Filho, 2016. "The effect of Brazilian corn and soybean crop expansion on price and volatility transmission," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236127, Agricultural and Applied Economics Association.
    56. Christian Kleiber, 2017. "Structural Change in (Economic) Time Series," Papers 1702.06913, arXiv.org.
    57. Casson, Catherine & Fry, J. M., 2011. "Revolutionary change and structural breaks: A time series analysis of wages and commodity prices in Britain 1264-1913," MPRA Paper 27866, University Library of Munich, Germany.
    58. Noriah Al-Kandari & Emad-Eldin Aly, 2014. "An ANOVA-type test for multiple change points," Statistical Papers, Springer, vol. 55(4), pages 1159-1178, November.
    59. Martin T. Bohl & Dimitrios Kanelis & Pierre L. Siklos, 2022. "How Central Bank Mandates Influence Content and Tone of Communication Over Time," CQE Working Papers 9622, Center for Quantitative Economics (CQE), University of Muenster.
    60. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
    61. Rannou, Yves & Barneto, Pascal, 2016. "Futures trading with information asymmetry and OTC predominance: Another look at the volume/volatility relations in the European carbon markets," Energy Economics, Elsevier, vol. 53(C), pages 159-174.
    62. Sinclair Davidson & Ashton de Silva, 2018. "Did Recent Tobacco Reforms Change the Cigarette Market?," Economic Papers, The Economic Society of Australia, vol. 37(1), pages 55-74, March.
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    133. Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu, 2013. "Inference for single and multiple change-points in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 423-446, July.
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  16. Krämer, Walter & Ziebach, Thorsten, 2002. "The weak Pareto law and regular variation in the tails," Technical Reports 2002,47, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Helton Saulo & Roberto Vila & Giovanna V. Borges & Marcelo Bourguignon, 2022. "Parametric quantile regression for income data," Papers 2207.06558, arXiv.org.
    2. Helton Saulo & Roberto Vila & Giovanna V. Borges & Marcelo Bourguignon & Víctor Leiva & Carolina Marchant, 2023. "Modeling Income Data via New Parametric Quantile Regressions: Formulation, Computational Statistics, and Application," Mathematics, MDPI, vol. 11(2), pages 1-25, January.

  17. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
    2. Matei Demetrescu, 2009. "Panel unit root testing and the martingale difference hypothesis for German stocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1749-1759.
    3. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
    4. Philipp Sibbertsen, 2004. "Long memory in volatilities of German stock returns," Empirical Economics, Springer, vol. 29(3), pages 477-488, September.
    5. Sibbertsen, Philipp & Venetis, Ioannis, 2003. "Distinguishing between long-range dependence and deterministic trends," Technical Reports 2003,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

  18. Krämer, Walter, 2000. "Statistische Besonderheiten von Finanzmarktdaten," Technical Reports 2000,58, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Jacobi, Frank, 2005. "ARCH-Prozesse und ihre Erweiterungen - Eine empirische Untersuchung für Finanzmarktzeitreihen -," Arbeitspapiere des Instituts für Statistik und Ökonometrie 31, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.

  19. Krämer, Walter & Davies, Laurie, 2000. "Testing for unit roots in the context of misspecified logarithmic random walks," Technical Reports 2000,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Helmut Lütkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series 2591, CESifo.
    2. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    3. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics.
    4. Tuck Cheong Tang & Koi Nyen Wong, 2009. "Research Note: The SARS Epidemic and International Visitor Arrivals to Cambodia: Is the Impact Permanent or Transitory?," Tourism Economics, , vol. 15(4), pages 883-890, December.
    5. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    6. Sakiru Adebola Solarin, 2017. "Testing for the Stationarity in Total Factor Productivity: Nonlinearity Evidence from 79 Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 8(1), pages 141-158, March.
    7. Damen, Sven & Vastmans, Frank & Buyst, Erik, 2016. "The effect of mortgage interest deduction and mortgage characteristics on house prices," Journal of Housing Economics, Elsevier, vol. 34(C), pages 15-29.

  20. Christian Kleiber & Walter Kraemer, 2000. "Efficiency, Equity, and Generalized Lorenz Dominance," CESifo Working Paper Series 343, CESifo.

    Cited by:

    1. Kleiber, Christian, 2005. "The Lorenz curve in economics and econometrics," Technical Reports 2005,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Krämer, Walter & Neumärker, Simon, 2019. "Skill Scores and modified Lorenz domination in default forecasts," Economics Letters, Elsevier, vol. 181(C), pages 61-64.
    3. Ronald Fischer & Diego Huerta, 2015. "Economic Performance, Wealth Distribution and Credit Restrictions Under Variable Investment: The Open Economy," Working Papers Central Bank of Chile 765, Central Bank of Chile.

  21. Krämer, Walter & Sibbertsen, Philipp, 2000. "Testing for structural change in the presence of long memory," Technical Reports 2000,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2011. "Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria," NCID Working Papers 04/2011, Navarra Center for International Development, University of Navarra.
    2. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
    4. Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers 2/RT/06, Central Bank of Ireland.
    5. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2011. "International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?," ERC Working Papers 1105, ERC - Economic Research Center, Middle East Technical University, revised Oct 2011.
    6. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
    7. Smallwood, Aaron D., 2008. "Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1161-1176, November.
    8. Beran, Jan & Shumeyko, Yevgen, 2012. "Bootstrap testing for discontinuities under long-range dependence," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 322-347.
    9. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
    10. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
    11. Derek Bond & Michael J. Harrison & Niall Hession & Edward J. O'Brien, 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Trinity Economics Papers tep2006, Trinity College Dublin, Department of Economics.
    12. Paul Johnson & Chris Papageorgiou, 2020. "What Remains of Cross-Country Convergence?," Journal of Economic Literature, American Economic Association, vol. 58(1), pages 129-175, March.
    13. Zhichao Guo & Yuanhua Feng & Xiangyong Tan, 2010. "Short- and long-term impact of remarkable economic events on the growth causes of China-Germany trade in agri-food products," Working Papers CIE 32, Paderborn University, CIE Center for International Economics.
    14. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
    15. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2018. "A simple test on structural change in long-memory time series," Economics Letters, Elsevier, vol. 163(C), pages 90-94.
    16. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments," Hannover Economic Papers (HEP) dp-598, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    17. Kyongwook Choi & Eric Zivot, 2003. "Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation," EERI Research Paper Series EERI_RP_2003_02, Economics and Econometrics Research Institute (EERI), Brussels.
    18. Pestana Barros, Carlos & Gil-Alana, Luis A. & Payne, James E., 2012. "Evidence of long memory behavior in U.S. renewable energy consumption," Energy Policy, Elsevier, vol. 41(C), pages 822-826.
    19. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    20. Sanghamitra Bandyopadhyay, 2016. "The persistence of inequality across Indian states," CSAE Working Paper Series 2016-26, Centre for the Study of African Economies, University of Oxford.
    21. Gilles Dufrénot & Valérie Mignon & Théo Naccache, 2012. "The slow convergence of per capita income between the developing countries: ‘growth resistance’ and sometimes ‘growth tragedy’," Post-Print hal-01385800, HAL.
    22. Laura Mayoral, 2005. "Further evidence on the statistical properties of real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
    23. Hwang, Eunju & Shin, Dong Wan, 2013. "A CUSUM test for a long memory heterogeneous autoregressive model," Economics Letters, Elsevier, vol. 121(3), pages 379-383.
    24. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2007. "Demand for Money: A Study in Testing Time Series for Long Memory and Nonlinearity," The Economic and Social Review, Economic and Social Studies, vol. 38(1), pages 1-24.
    25. Laura Mayoral, 2006. "Is the Observed Persistence Spurious? A Test for Fractional Integration versus Short Memory and Structural Breaks," Working Papers 260, Barcelona School of Economics.
    26. Theologos Dergiades & Lefteris Tsoulfidis, 2011. "Revisiting residential demand for electricity in Greece: new evidence from the ARDL approach to cointegration analysis," Empirical Economics, Springer, vol. 41(2), pages 511-531, October.
    27. Rinke, Saskia & Busch, Marie & Leschinski, Christian, 2017. "Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates," Hannover Economic Papers (HEP) dp-584, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    28. Zhichao Guo & Yuanhua Feng & Thomas Gries, 2015. "Changes of China’s agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis," China Agricultural Economic Review, Emerald Group Publishing Limited, vol. 7(2), pages 262-279, May.
    29. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, vol. 5(1), pages 1-26, January.
    30. Lee, Oesook, 2014. "The functional central limit theorem and structural change test for the HAR(∞) model," Economics Letters, Elsevier, vol. 124(3), pages 370-373.
    31. Philipp Sibbertsen, 2004. "Long memory in volatilities of German stock returns," Empirical Economics, Springer, vol. 29(3), pages 477-488, September.
    32. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    33. Sibbertsen, Philipp & Venetis, Ioannis, 2003. "Distinguishing between long-range dependence and deterministic trends," Technical Reports 2003,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

  22. Davies, Laurie & Krämer, Walter, 2000. "The Dickey-Fuller-test for exponential random walks," Technical Reports 2000,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Lee, Jungick & de Jong, Robert M., 2008. "Exponential functionals of integrated processes," Economics Letters, Elsevier, vol. 100(2), pages 181-184, August.

  23. Krämer, Walter & Mármol, Francesc, 1999. "Ols-based asymptotic inference in linear regression models with trending regressors and ar(p)-disturbances," DES - Working Papers. Statistics and Econometrics. WS 6300, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Dedi Rosadi & Shelton Peiris, 2014. "Second-order least-squares estimation for regression models with autocorrelated errors," Computational Statistics, Springer, vol. 29(5), pages 931-943, October.

  24. Krämer, Walter & Mármol, Francesc, 1999. "The power of residual base tests for cointegration when residuals are fractionally integrated," DES - Working Papers. Statistics and Econometrics. WS 6301, Universidad Carlos III de Madrid. Departamento de Estadística.

    Cited by:

    1. Ingolf Dittmann, 2000. "Residual‐Based Tests For Fractional Cointegration: A Monte Carlo Study," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(6), pages 615-647, November.
    2. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    3. Sibbertsen, Philipp & Kramer, Walter, 2006. "The power of the KPSS-test for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 91(3), pages 321-324, June.
    4. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    5. Hélène Chevrou-Séverac, 2002. "Convergence monétaire européenne, PPA et PINC," Économie et Prévision, Programme National Persée, vol. 155(4), pages 79-94.
    6. Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 19-29.

  25. Krämer, Walter, 1997. "Fractional integration and the augmented dickey-fuller test," Technical Reports 1997,06, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. George, Halkos & Ilias, Kevork, 2005. "Το Υπόδειγμα Τυχαίου Περιπάτου Με Αυτοπαλίνδρομα Σφάλματα [The random walk model with autoregressive errors]," MPRA Paper 33312, University Library of Munich, Germany.
    2. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
    3. Wenying Zeng & Songbai Song & Yan Kang & Xuan Gao & Rui Ma, 2022. "Response of Runoff to Meteorological Factors Based on Time-Varying Parameter Vector Autoregressive Model with Stochastic Volatility in Arid and Semi-Arid Area of Weihe River Basin," Sustainability, MDPI, vol. 14(12), pages 1-12, June.
    4. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "What is what?: A simple time-domain test of long-memory vs. structural breaks," Economics Working Papers 954, Department of Economics and Business, Universitat Pompeu Fabra.
    5. Li, Jie & Cheng, Pengfei & Qian, Xingyue, 2023. "Do mineral rents endowment and agricultural raw material imports determine natural resource management in the United States?," Resources Policy, Elsevier, vol. 85(PA).
    6. Hassler, Uwe & Breitung, Jörg, 2002. "A Residual-Based LM Test for Fractional Cointegration," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37318, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    7. Kramer, Walter & Marmol, Francesc, 2004. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 82(1), pages 63-69, January.
    8. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
    9. Guglielmo Maria Caporale & Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2022. "Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields," CESifo Working Paper Series 9554, CESifo.
    10. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    11. Matei Demetrescu, 2009. "Panel unit root testing and the martingale difference hypothesis for German stocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1749-1759.
    12. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1027, Universitá degli Studi di Milano.
    13. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 187-204, June.
    14. Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    15. Lima, Luiz Renato & Notini, Hilton Hostalácio & Reis Gomes, Fábio Augusto, 2010. "Empirical Evidence on Convergence Across Brazilian States," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(2), June.
    16. Bisaglia, Luisa & Procidano, Isabella, 2002. "On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap," Economics Letters, Elsevier, vol. 77(3), pages 343-347, November.
    17. Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 19-29.
    18. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2009. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 42(4), pages 551-574, April.

  26. Krämer, Walter & Hassler, Uwe, 1997. "Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated," Technical Reports 1997,01, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

    Cited by:

    1. Yoshimasa Uematsu, 2011. "Asymptotic Efficiency of the OLS Estimator with Singular Limiting Sample Moment Matrices," Global COE Hi-Stat Discussion Paper Series gd11-208, Institute of Economic Research, Hitotsubashi University.
    2. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    3. Luati, Alessandra & Proietti, Tommaso, 2008. "On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing," MPRA Paper 8910, University Library of Munich, Germany.
    4. Shin, Dong Wan & Joon Kim, Han & Jhee, Won-Chul, 2007. "Asymptotic efficiency of the ordinary least-squares estimator for sur models with integrated regressors," Statistics & Probability Letters, Elsevier, vol. 77(1), pages 75-82, January.
    5. Shin, Dong Wan & Song, Seuck Heun, 2000. "Asymptotic efficiency of the OLSE for polynomial regression models with spatially correlated errors," Statistics & Probability Letters, Elsevier, vol. 47(1), pages 1-10, March.

  27. Kiviet, Jan & Kramer, Walter, 1989. "Bias of s2 in Linear Regression Model with correlated errors," University of Amsterdam, Actuarial Science and Econometrics Archive 293144, University of Amsterdam, Faculty of Economics and Business.

    Cited by:

    1. Prof. Dr. Walter Krämer & Dr. Christoph Hanck, "undated". "OLS-based estimation of the disturbance variance under spatial autocorrelation," Working Papers 7, Business and Social Statistics Department, Technische Universität Dortmund, revised Oct 2006.
    2. Martin Browning & Mette Ejrnæs & Javier Alvarez, 2010. "Modelling Income Processes with Lots of Heterogeneity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(4), pages 1353-1381.
    3. Prof. Dr. Walter Krämer & Sebastian Schich, "undated". "Large - scaledisasters and the insurance industry," Working Papers 4, Business and Social Statistics Department, Technische Universität Dortmund, revised Mar 2005.
    4. Gotu, Butte, 1999. "The consistency of s2 in the linear regression model when the disturbances are spatially correlated," Technical Reports 1999,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. Richard W. Kopcke, 1993. "The determinants of business investment: has capital spending been surprisingly low?," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 3-31.

  28. Krämer, Walter & Ploberger, Werner & Alt, Raimund, 1987. "A modification of the CUSUM test in the linear regression model with lagged dependent variables," Hannover Economic Papers (HEP) dp-104, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

    Cited by:

    1. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
    2. Vogelsang, Timothy J., 1998. "Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series," Journal of Econometrics, Elsevier, vol. 88(2), pages 283-299, November.
    3. Bai, Jushan, 1993. "Least squares estimation of a shift in linear processes," MPRA Paper 32878, University Library of Munich, Germany.
    4. Sahbi FARHANI, 2012. "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 246-266.

  29. Krämer, Walter, 1986. "On the robustness of the F-test to autocorrelation among disturbances," Hannover Economic Papers (HEP) dp-097, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

    Cited by:

    1. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, vol. 95(1), pages 157-176, March.
    2. Kramer, Walter & Michels, Sonja, 1997. "Autocorrelation- and heteroskedasticity-consistent t-values with trending data," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 141-147.
    3. Krämer, Walter, 2002. "The robustness of the F-test to spatial autocorrelation among regression disturbances," Technical Reports 2002,56, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Badi Baltagi & Chihwa Kao & Sanggon Na, 2013. "Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test," Statistical Papers, Springer, vol. 54(4), pages 1067-1094, November.
    5. Badi H. Baltagi & Chihwa Kao & Long Liu, 2012. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Center for Policy Research Working Papers 151, Center for Policy Research, Maxwell School, Syracuse University.
    6. Preinerstorfer, David & Pötscher, Benedikt M., 2013. "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper 45675, University Library of Munich, Germany.
    7. Krämer, Walter & Hanck, Christoph, 2008. "More on the F-test under nonspherical disturbances," Technical Reports 2008,14, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

  30. Prof. Dr. Walter Krämer & Christian Kleiber, "undated". "Finite-Sample Power of the Durbin-Watson Test Against Fractionally Integrated Disturbances," Working Papers 10, Business and Social Statistics Department, Technische Universität Dortmund.

    Cited by:

    1. Preinerstorfer, David & Pötscher, Benedikt M., 2014. "On the Power of Invariant Tests for Hypotheses on a Covariance Matrix," MPRA Paper 55059, University Library of Munich, Germany.
    2. Anurag Banerjee, 2004. "Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory," Econometric Society 2004 Australasian Meetings 159, Econometric Society.
    3. Martellosio, Federico, 2008. "Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression," MPRA Paper 7255, University Library of Munich, Germany.
    4. Cappuccio, Nunzio & Lubian, Diego & Mistrorigo, Mirko, 2015. "The power of unit root tests under local-to-finite variance errors," Chaos, Solitons & Fractals, Elsevier, vol. 76(C), pages 205-217.
    5. David Preinerstorfer, 2018. "How to avoid the zero-power trap in testing for correlation," Papers 1812.10752, arXiv.org.

  31. Prof. Dr. Walter Krämer & Baudouin Tameze Azamo, "undated". "Structural change and estimated persistence in the GARCH(1,1)-model," Working Papers 5, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2006.

    Cited by:

    1. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working papers 2008-24, University of Connecticut, Department of Economics.
    2. Krämer, Walter & Messow, Philip, 2012. "Structural Change and Spurious Persistence in Stochastic Volatility," Ruhr Economic Papers 310, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "The Great Moderation Flattens Fat Tails: Disappearing Leptokurtosis," Working papers 2008-48, University of Connecticut, Department of Economics.
    4. Krämer, Walter, 2008. "Long memory with Markov-Switching GARCH," Economics Letters, Elsevier, vol. 99(2), pages 390-392, May.
    5. Dejan ŽIVKOV & Jovan NJEGIĆ & Ivan MILENKOVIĆ, 2018. "Interrelationship between DAX Index and Four Largest Eastern European Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 88-103, September.
    6. Krämer, Walter & Tameze, Baudouin & Christou, Konstantinos, 2012. "On the origin of high persistence in GARCH-models," Economics Letters, Elsevier, vol. 114(1), pages 72-75.
    7. WenShwo Fang & Stephen M. Miller, 2008. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers 2008-47, University of Connecticut, Department of Economics.
    8. Dejan Živkov & Marina Gajic-Glamoclija & Jasmina Duraskovic & Mirela Momcilovic, 2022. "Assessing Permanent and Transitory Volatility Spillover Effect from Oil to Stocks in Baltic and Visegrad Countries," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(6), pages 523-542, June.
    9. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
    10. Aslanidis, Nektarios & Dungey, Mardi & Savva, Christos S., 2008. "Progress Towards to Equity Market Integration in Eastern Europe," Working Papers 2072/13265, Universitat Rovira i Virgili, Department of Economics.
    11. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    12. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2007. "Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models," Working papers 2007-20, University of Connecticut, Department of Economics, revised Mar 2008.
    13. Alexey Yurievich Mikhaylov, 2018. "Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 321-326.
    14. Ahmad Zubaidi Baharumshah & Nor Aishah Hamzah & Shamsul Rijal Muhammad Sabri, 2011. "Inflation uncertainty and economic growth: evidence from the LAD ARCH model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(1), pages 195-206.
    15. Messow, Philip & Krämer, Walter, 2013. "Spurious persistence in stochastic volatility," Economics Letters, Elsevier, vol. 121(2), pages 221-223.
    16. Dendramis, Yiannis & Kapetanios, George & Tzavalis, Elias, 2015. "Shifts in volatility driven by large stock market shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 130-147.
    17. Anthony Msafiri Nyangarika & Alexey Yurievich Mikhaylov & Bao-jun Tang, 2018. "Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 42-48.
    18. Han, Heejoon & Park, Joon Y., 2014. "GARCH with omitted persistent covariate," Economics Letters, Elsevier, vol. 124(2), pages 248-254.

  32. Prof. Dr. Walter Krämer, "undated". "On the ordering of probability forecasts," Working Papers 1, Business and Social Statistics Department, Technische Universität Dortmund, revised May 2003.

    Cited by:

    1. Walter Krämer & André Güttler, 2008. "On comparing the accuracy of default predictions in the rating industry," Empirical Economics, Springer, vol. 34(2), pages 343-356, March.
    2. Krämer, Walter & Güttler, André, 2003. "Comparing the accuracy of default predictions in the rating industry: The case of Moody's vs. S&P," Technical Reports 2003,23, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

Articles

  1. Walter Krämer & Klaus Leciejewski, 2021. "Statistik im Sozialismus [Statistic under socialism]," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 15(2), pages 73-91, June.

    Cited by:

    1. Timo Schmid & Markus Zwick, 2021. "Editorial [Foreword by the editors]," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 15(2), pages 59-61, June.
    2. Walter Krämer, 2022. "Interview Gert Wagner," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 16(2), pages 155-165, June.

  2. Walter Krämer, 2021. "Asymmetry in the distribution of daily stock returns," Empirical Economics, Springer, vol. 60(3), pages 1115-1125, March.

    Cited by:

    1. Juraj Pekár & Mário Pčolár, 2022. "Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 699-731, June.

  3. Walter Krämer, 2020. "Interview mit Wolfgang Schmid," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 14(1), pages 103-111, March.

    Cited by:

    1. Timo Schmid & Markus Zwick, 2020. "Vorwort der Herausgeber," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 14(1), pages 1-3, March.

  4. Krämer, Walter & Neumärker, Simon, 2019. "Skill Scores and modified Lorenz domination in default forecasts," Economics Letters, Elsevier, vol. 181(C), pages 61-64.

    Cited by:

    1. Henry Penikas, 2023. "Unaccounted model risk for Basel IRB models deemed acceptable by conventional validation criteria," Risk Management, Palgrave Macmillan, vol. 25(4), pages 1-25, December.
    2. Henry Penikas, 2022. "Model Risk for Acceptable, but Imperfect, Discrimination and Calibration in Basel PD and LGD Models," Bank of Russia Working Paper Series wps92, Bank of Russia.

  5. W. Krämer, 2018. "Interview mit Volker Mammitzsch," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 12(2), pages 179-188, September.

    Cited by:

    1. Walter Krämer, 2020. "Interview mit Christine Müller," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 14(2), pages 207-213, July.
    2. Timo Schmid & Markus Zwick, 2018. "Vorwort der Herausgeber," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 12(2), pages 83-85, September.

  6. Walter Krämer, 2017. "Interview mit Nanny Wermuth," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 11(3), pages 245-251, December.

    Cited by:

    1. Timo Schmid & Markus Zwick, 2017. "Vorwort der Herausgeber," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 11(3), pages 143-146, December.
    2. Walter Krämer, 2020. "Interview mit Göran Kauermann," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 14(3), pages 305-312, December.

  7. Walter Krämer, 2016. "Die demografische Zeitbombe: Ursachen und Folgen der Kinderlosigkeit [The upcoming demographic disaster]," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 10(4), pages 305-323, December.

    Cited by:

    1. Ralf Thomas Münnich, 2016. "Vorwort des Herausgebers," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 10(4), pages 197-203, December.

  8. Krämer, Walter & Wied, Dominik, 2015. "A simple and focused backtest of value at risk," Economics Letters, Elsevier, vol. 137(C), pages 29-31.

    Cited by:

    1. Marta Małecka, 2024. "New runs‐based approach to testing value at risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2021-2041, September.
    2. Yannick Hoga & Matei Demetrescu, 2023. "Monitoring Value-at-Risk and Expected Shortfall Forecasts," Management Science, INFORMS, vol. 69(5), pages 2954-2971, May.

  9. Walter Krämer, 2015. "Interview mit Ursula Gather," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 9(2), pages 159-166, November.

    Cited by:

    1. Ralf Thomas Münnich, 2015. "Vorwort des Herausgebers," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 9(2), pages 79-81, November.

  10. Walter Krämer, 2014. "Interview mit Heinz Grohmann," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 8(4), pages 269-277, November.

    Cited by:

    1. Ralf Thomas Münnich, 2015. "Vorwort des Herausgebers," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 9(2), pages 79-81, November.
    2. Walter Krämer, 2017. "Interview mit Nanny Wermuth," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 11(3), pages 245-251, December.
    3. Walter Krämer, 2015. "Ein Berufsleben für die Statistik in Deutschland und Europa – Interview mit Walter Radermacher," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 9(3), pages 305-314, December.
    4. Ralf Thomas Münnich, 2014. "Vorwort des Herausgebers," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 8(4), pages 179-181, November.
    5. Walter Krämer, 2021. "Interview mit Gerd Hansen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 15(3), pages 293-302, December.
    6. Walter Krämer, 2016. "Die demografische Zeitbombe: Ursachen und Folgen der Kinderlosigkeit [The upcoming demographic disaster]," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 10(4), pages 305-323, December.
    7. Walter Krämer, 2016. "Interview mit Joachim Frohn," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 10(4), pages 325-333, December.
    8. Walter Krämer, 2019. "Nachruf Heinz Grohmann," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 13(1), pages 5-9, April.

  11. Bücker, Michael & van Kampen, Maarten & Krämer, Walter, 2013. "Reject inference in consumer credit scoring with nonignorable missing data," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1040-1045.

    Cited by:

    1. Gero Szepannek, 2022. "An Overview on the Landscape of R Packages for Open Source Scorecard Modelling," Risks, MDPI, vol. 10(3), pages 1-33, March.
    2. Monir El Annas & Badreddine Benyacoub & Mohamed Ouzineb, 2023. "Semi-supervised adapted HMMs for P2P credit scoring systems with reject inference," Computational Statistics, Springer, vol. 38(1), pages 149-169, March.
    3. Zhiyong Li & Xinyi Hu & Ke Li & Fanyin Zhou & Feng Shen, 2020. "Inferring the outcomes of rejected loans: an application of semisupervised clustering," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(2), pages 631-654, February.
    4. Michael Bucker & Gero Szepannek & Alicja Gosiewska & Przemyslaw Biecek, 2020. "Transparency, Auditability and eXplainability of Machine Learning Models in Credit Scoring," Papers 2009.13384, arXiv.org.
    5. Rogelio A. Mancisidor & Michael Kampffmeyer & Kjersti Aas & Robert Jenssen, 2019. "Deep Generative Models for Reject Inference in Credit Scoring," Papers 1904.11376, arXiv.org, revised Sep 2021.
    6. Ha-Thu Nguyen, 2016. "Reject inference in application scorecards: evidence from France," EconomiX Working Papers 2016-10, University of Paris Nanterre, EconomiX.
    7. Dong-Her Shih & Ting-Wei Wu & Po-Yuan Shih & Nai-An Lu & Ming-Hung Shih, 2022. "A Framework of Global Credit-Scoring Modeling Using Outlier Detection and Machine Learning in a P2P Lending Platform," Mathematics, MDPI, vol. 10(13), pages 1-13, June.
    8. Rafael Weißbach & Dominik Wied, 2022. "Truncating the exponential with a uniform distribution," Statistical Papers, Springer, vol. 63(4), pages 1247-1270, August.
    9. Ha Thu Nguyen, 2016. "Reject inference in application scorecards: evidence from France," Working Papers hal-04141601, HAL.
    10. Königstorfer, Florian & Thalmann, Stefan, 2020. "Applications of Artificial Intelligence in commercial banks – A research agenda for behavioral finance," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    11. Qiang Liu & Yingtao Luo & Shu Wu & Zhen Zhang & Xiangnan Yue & Hong Jin & Liang Wang, 2022. "RMT-Net: Reject-aware Multi-Task Network for Modeling Missing-not-at-random Data in Financial Credit Scoring," Papers 2206.00568, arXiv.org.
    12. Chen, Dangxing & Ye, Jiahui & Ye, Weicheng, 2023. "Interpretable selective learning in credit risk," Research in International Business and Finance, Elsevier, vol. 65(C).

  12. Rafael Weißbach & Wladislaw Poniatowski & Walter Krämer, 2013. "Nearest neighbor hazard estimation with left-truncated duration data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(1), pages 33-47, January.

    Cited by:

    1. Rafael Weißbach & Dominik Wied, 2022. "Truncating the exponential with a uniform distribution," Statistical Papers, Springer, vol. 63(4), pages 1247-1270, August.
    2. Rafael Weißbach & Yongdai Kim & Achim Dörre & Anne Fink & Gabriele Doblhammer, 2021. "Left-censored dementia incidences in estimating cohort effects," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 27(1), pages 38-63, January.

  13. Messow, Philip & Krämer, Walter, 2013. "Spurious persistence in stochastic volatility," Economics Letters, Elsevier, vol. 121(2), pages 221-223.

    Cited by:

    1. Laurini, Márcio Poletti & Mauad, Roberto Baltieri, 2015. "A common jump factor stochastic volatility model," Finance Research Letters, Elsevier, vol. 12(C), pages 2-10.
    2. Dima, Bogdan & Dima, Ştefana Maria, 2017. "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 36-59.

  14. Bücker, Michael & Krämer, Walter & Arnold, Matthias, 2012. "A Hausman test for non-ignorability," Economics Letters, Elsevier, vol. 114(1), pages 23-25.

    Cited by:

    1. Bücker, Michael & van Kampen, Maarten & Krämer, Walter, 2013. "Reject inference in consumer credit scoring with nonignorable missing data," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1040-1045.

  15. Davies, Laurie & Höhenrieder, Christian & Krämer, Walter, 2012. "Recursive computation of piecewise constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3623-3631.

    Cited by:

    1. Max Wornowizki & Roland Fried & Simos G. Meintanis, 2017. "Fourier methods for analyzing piecewise constant volatilities," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(3), pages 289-308, July.
    2. Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
    3. Ioannis C. Demetriou, 2022. "A binary search algorithm for univariate data approximation and estimation of extrema by piecewise monotonic constraints," Journal of Global Optimization, Springer, vol. 82(4), pages 691-726, April.
    4. Florian Pein & Hannes Sieling & Axel Munk, 2017. "Heterogeneous change point inference," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(4), pages 1207-1227, September.

  16. Walter Krämer, 2012. "Hans Wolfgang Brachinger," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(1), pages 5-7, December.

    Cited by:

    1. Ralf Thomas Münnich, 2016. "Vorwort des Herausgebers," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 10(4), pages 197-203, December.

  17. Walter Krämer, 2012. "Das Signifikanztest-Ritual und andere Sackgassen des Fortschritts in der Statistik," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(4), pages 299-308, March.

    Cited by:

    1. Walter Krämer, 2016. "Walter Krämer: Interview mit Karl Mosler," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 10(1), pages 63-71, February.
    2. Walter Krämer, 2014. "Interview mit Heinz Grohmann," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 8(4), pages 269-277, November.
    3. Simone Balestra & Uschi Backes-Gellner, 2017. "When a Door Closes, a Window Opens? Long-Term Labor Market Effects of Involuntary Separations," German Economic Review, Verein für Socialpolitik, vol. 18(1), pages 1-21, February.
    4. Walter Krämer, 2018. "Interview mit Günter Bamberg," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 12(3), pages 299-307, December.

  18. Wied, Dominik & Krämer, Walter & Dehling, Herold, 2012. "Testing For A Change In Correlation At An Unknown Point In Time Using An Extended Functional Delta Method," Econometric Theory, Cambridge University Press, vol. 28(3), pages 570-589, June.

    Cited by:

    1. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
    2. Hoga, Yannick, 2017. "Monitoring multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 105-121.
    3. Pedro Galeano & Dominik Wied, 2017. "Dating multiple change points in the correlation matrix," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 331-352, June.
    4. Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 137(C).
    5. Horváth, Lajos & Rice, Gregory & Zhao, Yuqian, 2022. "Change point analysis of covariance functions: A weighted cumulative sum approach," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    6. Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    7. Yannick Hoga, 2022. "Quantifying the data-dredging bias in structural break tests," Statistical Papers, Springer, vol. 63(1), pages 143-155, February.
    8. Alexander Schnurr & Herold Dehling, 2017. "Testing for Structural Breaks via Ordinal Pattern Dependence," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 706-720, April.
    9. Barassi, Marco & Horvath, Lajos & Zhao, Yuqian, 2018. "Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," MPRA Paper 87837, University Library of Munich, Germany.
    10. Hong, Y. & Linton, O. B. & McCabe, B. & Sun, J. & Wang, S., 2023. "Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach," Janeway Institute Working Papers 2316, Faculty of Economics, University of Cambridge.
    11. Zifeng Zhao & Feiyu Jiang & Xiaofeng Shao, 2022. "Segmenting time series via self‐normalisation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1699-1725, November.
    12. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
    13. Tobias Berens & Dominik Wied & Daniel Ziggel, 2014. "Automated Portfolio Optimization Based on a New Test for Structural Breaks," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 2(2), pages 243-264, April.
    14. Alexander Mayer & Dominik Wied & Victor Troster, 2024. "Quantile Granger Causality in the Presence of Instability," Papers 2402.09744, arXiv.org, revised Dec 2024.
    15. Choi, Ji-Eun & Shin, Dong Wan, 2019. "Moving block bootstrapping for a CUSUM test for correlation change," Computational Statistics & Data Analysis, Elsevier, vol. 135(C), pages 95-106.
    16. Nasri, Bouchra R. & Rémillard, Bruno N. & Bahraoui, Tarik, 2022. "Change-point problems for multivariate time series using pseudo-observations," Journal of Multivariate Analysis, Elsevier, vol. 187(C).
    17. Galeano, Pedro & Wied, Dominik, 2014. "Multiple break detection in the correlation structure of random variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 262-282.
    18. Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016. "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance 1613, University of St. Gallen, School of Finance.
    19. Josua Gösmann & Daniel Ziggel, 2018. "An innovative risk management methodology for trading equity indices based on change points," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 99-109, March.
    20. Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
    21. Nicolai Bissantz & Daniel Ziggel & Kathrin Bissantz, 2011. "An Empirical Study of Correlation and Volatility Changes of Stock Indices and their Impact on Risk Figures," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 4(4), pages 127-141, August.
    22. Chibane, Messaoud & Gabriel, Amadeus & Giménez Roche, Gabriel A., 2022. "Credit booms and crisis-emergent asset comovement: The problem of latent correlation," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 270-279.
    23. Dominik Wied, 2022. "Semiparametric Distribution Regression with Instruments and Monotonicity," Papers 2212.03704, arXiv.org.
    24. Ji-Eun Choi & Dong Wan Shin, 2021. "A self-normalization break test for correlation matrix," Statistical Papers, Springer, vol. 62(5), pages 2333-2353, October.
    25. Aslanidis, Nektarios & Martinez, Oscar, 2021. "Correlation regimes in international equity and bond returns," Economic Modelling, Elsevier, vol. 97(C), pages 397-410.
    26. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
    27. Sylvia Gottschalk, 2023. "From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2843-2873, July.
    28. Natalie Packham & Fabian Woebbeking, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," Papers 1807.11381, arXiv.org, revised Jan 2019.
    29. Adams, Zeno & Glueck, Thorsten, 2014. "Financialization in Commodity Markets: A Passing Trend or the New Normal?," Working Papers on Finance 1413, University of St. Gallen, School of Finance, revised Aug 2015.
    30. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
    31. Stergios B. Fotopoulos & Abhishek Kaul & Vasileios Pavlopoulos & Venkata K. Jandhyala, 2024. "Adaptive parametric change point inference under covariance structure changes," Statistical Papers, Springer, vol. 65(5), pages 2887-2913, July.
    32. Paolo Bartesaghi & Gian Paolo Clemente & Rosanna Grassi, 2021. "A tensor-based unified approach for clustering coefficients in financial multiplex networks," Papers 2105.14325, arXiv.org, revised Apr 2022.
    33. Górecki, Tomasz & Horváth, Lajos & Kokoszka, Piotr, 2018. "Change point detection in heteroscedastic time series," Econometrics and Statistics, Elsevier, vol. 7(C), pages 63-88.
    34. N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
    35. Georgios Bampinas & Theodore Panagiotidis, 2017. "Oil and stock markets before and after financial crises : a local Gaussian correlation approach," Bank of Estonia Working Papers wp2016-11, Bank of Estonia, revised 06 Feb 2017.
    36. Horváth, Lajos & Rice, Gregory, 2019. "Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 138-165.
    37. Adams, Zeno & Glück, Thorsten, 2013. "Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79949, Verein für Socialpolitik / German Economic Association.
    38. Sakurai, Yuji, 2021. "How has the relationship between safe haven assets and the US stock market changed after the global financial crisis?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    39. Fabian Woebbeking, 2021. "Cryptocurrency volatility markets," Digital Finance, Springer, vol. 3(3), pages 273-298, December.
    40. Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
    41. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2013. "Über die Anwendbarkeit eines neuen Fluktuationstests für Korrelationen auf Finanzzeitreihen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(3), pages 87-103, March.
    42. Pape, Katharina & Wied, Dominik & Galeano, Pedro, 2016. "Monitoring multivariate variance changes," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 54-68.
    43. Adams, Zeno & Glück, Thorsten, 2015. "Financialization in commodity markets: A passing trend or the new normal?," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 93-111.
    44. Y Hoga, 2018. "A structural break test for extremal dependence in β-mixing random vectors," Biometrika, Biometrika Trust, vol. 105(3), pages 627-643.
    45. Holger Dette & Dominik Wied, 2016. "Detecting relevant changes in time series models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 371-394, March.
    46. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2017. "Dynamic semiparametric factor model with a common break," SFB 649 Discussion Papers 2017-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    47. Wied, Dominik & Dehling, Herold & van Kampen, Maarten & Vogel, Daniel, 2014. "A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 723-736.
    48. Packham, N. & Woebbeking, C.F., 2019. "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 92-103.
    49. Horváth, Lajos & Reeder, Ron, 2012. "Detecting changes in functional linear models," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 310-334.
    50. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1111-1127, November.
    51. Choi, Ji-Eun & Shin, Dong Wan, 2020. "A self-normalization test for correlation change," Economics Letters, Elsevier, vol. 193(C).

  19. Kaiser, Jonas & Krämer, Walter, 2011. "A cautionary note on computing conditional from unconditional correlations," Economics Letters, Elsevier, vol. 111(2), pages 176-179, May.

    Cited by:

    1. Heaney, Richard & Sriananthakumar, Sivagowry, 2012. "Time-varying correlation between stock market returns and real estate returns," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 583-594.

  20. Krämer Walter & Arminger Gerhard, 2011. "“True Believers” or Numerical Terrorism at the Nuclear Power Plant," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(5-6), pages 608-620, October.
    See citations under working paper version above.
  21. Eckart Bomsdorf & Walter Krämer, 2011. "Lenin und die Volkszählung in Russland 1920," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(3), pages 163-178, December.

    Cited by:

    1. Hans Wolfgang Brachinger, 2007. "Vorwort des Herausgebers," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 1(2), pages 89-89, October.
    2. Walter Krämer & Klaus Leciejewski, 2021. "Statistik im Sozialismus [Statistic under socialism]," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 15(2), pages 73-91, June.

  22. Walter Krämer, 2011. "The Cult of Statistical Significance – What Economists Should and Should Not Do to Make their Data Talk," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 131(3), pages 455-468.
    See citations under working paper version above.
  23. Krämer, Walter & van Kampen, Maarten, 2011. "A simple nonparametric test for structural change in joint tail probabilities," Economics Letters, Elsevier, vol. 110(3), pages 245-247, March.

    Cited by:

    1. Nicolai Bissantz & Verena Steinorth & Daniel Ziggel, 2011. "Stabilität von Diversifikationseffekten im Markowitz-Modell," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(2), pages 145-157, August.
    2. Dominik Wied, 2017. "A nonparametric test for a constant correlation matrix," Econometric Reviews, Taylor & Francis Journals, vol. 36(10), pages 1157-1172, November.
    3. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
    4. Li, Fuxiao & Tian, Zheng & Xiao, Yanting & Chen, Zhanshou, 2015. "Variance change-point detection in panel data models," Economics Letters, Elsevier, vol. 126(C), pages 140-143.
    5. Wied, Dominik & Dehling, Herold & van Kampen, Maarten & Vogel, Daniel, 2014. "A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 723-736.
    6. Tim Kutzker & Florian Stark & Dominik Wied, 2021. "Testing for relevant dependence change in financial data: a CUSUM copula approach," Empirical Economics, Springer, vol. 60(4), pages 1875-1894, April.

  24. Krämer, Walter, 2008. "Long memory with Markov-Switching GARCH," Economics Letters, Elsevier, vol. 99(2), pages 390-392, May.
    See citations under working paper version above.
  25. Walter Krämer, 2008. "Verhindert die Statistikausbildung den Fortschritt der Wirtschafts- und Sozialwissenschaften?," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 2(1), pages 41-50, August.
    See citations under working paper version above.
  26. Walter Krämer & André Güttler, 2008. "On comparing the accuracy of default predictions in the rating industry," Empirical Economics, Springer, vol. 34(2), pages 343-356, March.
    See citations under working paper version above.
  27. Kramer, Walter & Azamo, Baudouin Tameze, 2007. "Structural change and estimated persistence in the GARCH(1,1)-model," Economics Letters, Elsevier, vol. 97(1), pages 17-23, October.
    See citations under working paper version above.
  28. Walter Krämer, 2006. "Evaluating probability forecasts in terms of refinement and strictly proper scoring rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(3), pages 223-226.
    See citations under working paper version above.
  29. Breyer, Friedrich & Adam, Hans & Cassel, Dieter & Daumann, Frank & Eisen, Roland & Felder, Stefan & Jacobs, Klaus & Karmann, Alexander & Kifmann, Mathias & Kliemt, Hartmut & Krämer, Walter & Leidl, Re, 2006. "Gesundheitspolitik in der Kompromissfalle: Kein Problem gelöst, aber neue geschaffen," Wirtschaftsdienst – Zeitschrift für Wirtschaftspolitik (1949 - 2007), ZBW - Leibniz Information Centre for Economics, vol. 86(8), pages 515-516.

    Cited by:

    1. Boss, Alfred, 2006. "Zur geplanten Reform des Gesundheitswesens," Open Access Publications from Kiel Institute for the World Economy 3895, Kiel Institute for the World Economy (IfW Kiel).

  30. Christian Kleiber & Walter Krämer, 2005. "Finite-sample power of the Durbin--Watson test against fractionally integrated disturbances," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 406-417, December.
    See citations under working paper version above.
  31. Kramer, Walter & Marmol, Francesc, 2004. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 82(1), pages 63-69, January.
    See citations under working paper version above.
  32. Davies, P.L. & Krämer, W., 2003. "The Dickey–Fuller Test For Exponential Random Walks," Econometric Theory, Cambridge University Press, vol. 19(5), pages 865-877, October.
    See citations under working paper version above.
  33. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
    See citations under working paper version above.
  34. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.

    Cited by:

    1. Wied, Dominik & Dehling, Herold & van Kampen, Maarten & Vogel, Daniel, 2014. "A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 723-736.

  35. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
    See citations under working paper version above.
  36. Kramer, Walter & Davies, Laurie, 2002. "Testing for unit roots in the context of misspecified logarithmic random walks," Economics Letters, Elsevier, vol. 74(3), pages 313-319, February.
    See citations under working paper version above.
  37. Kramer, Walter & Hassler, Uwe, 1998. "Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated," Economics Letters, Elsevier, vol. 60(3), pages 285-290, September.
    See citations under working paper version above.
  38. Kramer, Walter, 1998. "Fractional integration and the augmented Dickey-Fuller Test," Economics Letters, Elsevier, vol. 61(3), pages 269-272, December.
    See citations under working paper version above.
  39. Walter KrÄmer, 1998. "Note Short-term predictability of German stock returns," Empirical Economics, Springer, vol. 23(4), pages 635-639.

    Cited by:

    1. Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
    2. Majumder, Debasish, 2013. "Towards an efficient stock market: Empirical evidence from the Indian market," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 572-587.

  40. Kramer, Walter & Michels, Sonja, 1997. "Autocorrelation- and heteroskedasticity-consistent t-values with trending data," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 141-147.

    Cited by:

    1. Badi Baltagi & Chihwa Kao & Sanggon Na, 2013. "Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test," Statistical Papers, Springer, vol. 54(4), pages 1067-1094, November.
    2. Badi H. Baltagi & Chihwa Kao & Long Liu, 2012. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Center for Policy Research Working Papers 151, Center for Policy Research, Maxwell School, Syracuse University.

  41. Kramer, Walter & Runde, Ralf, 1997. "Stocks and the Weather: An Exercise in Data Mining or Yet Another Capital Market Anomaly?," Empirical Economics, Springer, vol. 22(4), pages 637-641.

    Cited by:

    1. Patel, Pankaj C. & Devaraj, Srikant & Quigley, Narda R. & Oghazi, Pejvak, 2020. "The influence of sunlight on taxi driver productivity," Journal of Business Research, Elsevier, vol. 115(C), pages 456-468.
    2. Erik Theissen, 2007. "An analysis of private investors' stock market return forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 35-43.
    3. Nicholas Apergis & Alexandros Gabrielsen & Lee A. Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
    4. Kim, Jae H., 2017. "Stock returns and investors' mood: Good day sunshine or spurious correlation?," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 94-103.
    5. Hyein Shim & Maria H. Kim & Doojin Ryu, 2017. "Effects of intraday weather changes on asset returns and volatilities," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 35(2), pages 301-330.
    6. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
    7. Gori, Leonella & Teti, Emanuele & Loi, Andrea & Dallocchio, Maurizio, 2020. "Seasonal darkness and IPO," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 494-508.
    8. Emon Kalyan Chowdhury, 2024. "Do weather patterns effect investment decisions in the stock market? A South Asian perspective," Journal of Asset Management, Palgrave Macmillan, vol. 25(2), pages 162-171, March.
    9. Sveltana Vlady, 2015. "The Effect of Climate Change on Australian Stock Equity Returns," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 88-109.
    10. Filiz, Ibrahim & Nahmer, Thomas & Spiwoks, Markus, 2019. "Herd behavior and mood: An experimental study on the forecasting of share prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
    11. Mamatzakis, E, 2013. "Does weather affect US bank loan efficiency?," MPRA Paper 51616, University Library of Munich, Germany.
    12. Nils Muhlack & Christian Soost & Christian Johannes Henrich, 2022. "Does Weather Still Affect The Stock Market?," Schmalenbach Journal of Business Research, Springer, vol. 74(1), pages 1-35, March.
    13. Kang, Sang Hoon & Jiang, Zhuhua & Lee, Yeonjeong & Yoon, Seong-Min, 2010. "Weather effects on the returns and volatility of the Shanghai stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(1), pages 91-99.
    14. Dong, Xiyong & Yoon, Seong-Min, 2023. "Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets," Energy Economics, Elsevier, vol. 121(C).
    15. Chatterjee, Sucharita & Ghosh, Dipak, 2021. "Impact of Global Warming on SENSEX fluctuations — A study based on Multifractal detrended cross correlation analysis between the temperature anomalies and the SENSEX fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 571(C).
    16. Brian M. Lucey & Michael Dowling, 2005. "The Role of Feelings in Investor Decision‐Making," Journal of Economic Surveys, Wiley Blackwell, vol. 19(2), pages 211-237, April.
    17. Michael Nofer & Oliver Hinz, 2015. "Using Twitter to Predict the Stock Market," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 57(4), pages 229-242, August.
    18. Chang, Tsangyao & Nieh, Chien-Chung & Yang, Ming Jing & Yang, Tse-Yu, 2006. "Are stock market returns related to the weather effects? Empirical evidence from Taiwan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 364(C), pages 343-354.
    19. Silva, Pedro & Almeida, Liliana, 2011. "Weather and stock markets: empirical evidence from Portugal," MPRA Paper 54119, University Library of Munich, Germany.
    20. Nicholas Apergis & Rangan Gupta, 2016. "Can Weather Conditions in New York Predict South African Stock Returns?," Working Papers 201634, University of Pretoria, Department of Economics.
    21. Tom Coupe & Olha Zadorozhna, 2010. "Weather Effects in Transition," Discussion Papers 36, Kyiv School of Economics.
    22. Schulte-Huermann, Astrid, 2020. "Impact of Weather on the Stock Market Returns of Different Industries in Germany," Junior Management Science (JUMS), Junior Management Science e. V., vol. 5(3), pages 295-311.
    23. Svetlana Vlady & Ekrem Tufan & Bahattin Hamarat, 2011. "Causality Of Weather Conditions In Australian Stock Equity Returns," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, vol. 1(16), pages 161-175, April.
    24. Senarathne Chamil W., 2018. "The Impact of Corporate Cultural Behaviour on Common Stock Return: Some Implications for Corporate Governance," Management of Organizations: Systematic Research, Sciendo, vol. 80(1), pages 115-130, December.
    25. Rayenda Brahmana & Chee Wooi Hooy & Zamri Ahmad, 2014. "The Role of Weather on Investors’ Monday Irrationality: Insights from Malaysia," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 8(2), June.
    26. Andrew Worthington, 2009. "An Empirical Note on Weather Effects in the Australian Stock Market," Economic Papers, The Economic Society of Australia, vol. 28(2), pages 148-154, June.
    27. Shahzad, Farrukh, 2019. "Does weather influence investor behavior, stock returns, and volatility? Evidence from the Greater China region," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 525-543.
    28. Kim, Jae H. & Shamsuddin, Abul, 2023. "Stock market anomalies: An extreme bounds analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    29. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
    30. Yoon, Seong-Min & Kang, Sang Hoon, 2009. "Weather effects on returns: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(5), pages 682-690.
    31. Muhammad Fayyaz Sheikh & Syed Zulfiqar Ali Shah & Shahid Mahmood, 2017. "Weather Effects on Stock Returns and Volatility in South Asian Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 75-107, June.
    32. Frühwirth, Manfred & Sögner, Leopold, 2015. "Weather and SAD related mood effects on the financial market," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 11-31.
    33. Rayenda Brahmana & Chee-Wooi Hooy & Zamri Ahmad, 2012. "Weather, investor irrationality and day-of-the-week anomaly: case of Indonesia," Journal of Bioeconomics, Springer, vol. 14(2), pages 129-146, July.
    34. Chinnadurai Kathiravan & Murugesan Selvam & Sankaran Venkateswar & S. Balakrishnan, 2021. "Investor behavior and weather factors: evidences from Asian region," Annals of Operations Research, Springer, vol. 299(1), pages 349-373, April.
    35. Krzysztof Borowski, 2016. "The Influence of Weather Conditions on Rates of Return of Polish Equity Indices," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 183-191, April.

  42. Kramer, Walter & Runde, Ralf, 1997. "Chaos and the compass rose," Economics Letters, Elsevier, vol. 54(2), pages 113-118, February.

    Cited by:

    1. Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
    2. Szpiro, George G., 1998. "Tick size, the compass rose and market nanostructure," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1559-1569, December.
    3. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," Econometrics 0409001, University Library of Munich, Germany.
    4. Jorge Belaire-Franch & Dulce Contreras, 2002. "How to compute the BDS test: a software comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 691-699.
    5. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2008. "A multivariate integer count hurdle model: theory and application to exchange rate dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 31-48, Springer.
    6. Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
    7. Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
    8. Gleason, Kimberly C. & Lee, Chun I. & Mathur, Ike, 2000. "An explanation for the compass rose pattern," Economics Letters, Elsevier, vol. 68(2), pages 127-133, August.
    9. Mulligan, Robert F. & Koppl, Roger, 2011. "Monetary policy regimes in macroeconomic data: An application of fractal analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 201-211, May.
    10. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2011. "An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 669-707, June.
    11. Mitchell, Heather & McKenzie, Michael D., 2006. "A note on the Wang and Wang measure of the quality of the compass rose," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3519-3524, December.
    12. Chun Lee & Ike Mathur & Kimberly Gleason, 2005. "The tick/volatility ratio as a determinant of the compass rose pattern," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 93-109.
    13. Wang, Huaiqing & Wang, Chen, 2002. "Visibility of the compass rose in financial asset returns: A quantitative study," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1099-1111, June.
    14. Baoxue Zhang & Tianqing Liu & Z. Bai, 2010. "Analysis of rounded data from dependent sequences," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 1143-1173, December.
    15. Fang, Yue, 2002. "The compass rose and random walk tests," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 299-310, May.
    16. Antoniou, Antonios & Vorlow, Constantinos E., 2005. "Price clustering and discreteness: is there chaos behind the noise?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 389-403.
    17. Ng, Wing Lon, 2006. "Overreaction and multiple tail dependence at the high-frequency level: The copula rose," SFB 649 Discussion Papers 2006-086, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Robert Mulligan, 2000. "A fractal analysis of foreign exchange markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(1), pages 33-49, February.
    19. Evzen Kocenda & Lubos Briatka, 2005. "Optimal Range for the iid Test Based on Integration Across the Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 265-296.

  43. Ploberger, Werner & Kramer, Walter, 1996. "A trend-resistant test for structural change based on OLS residuals," Journal of Econometrics, Elsevier, vol. 70(1), pages 175-185, January.

    Cited by:

    1. Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series 1811, CESifo.
    2. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
    3. Jamel Jouini, 2006. "Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration," Working Papers halshs-00410759, HAL.
    4. Wankeun Oh, 2002. "Cointegration and Structural Change: An Application to the U.S. Demand for Money," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 91-101, January.
    5. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
    6. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
    7. Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
    8. Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
    9. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
    10. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.

  44. Kramer, Walter & Baltagi, Badi, 1996. "A general condition for an optimal limiting efficiency of OLS in the general linear regression model," Economics Letters, Elsevier, vol. 50(1), pages 13-17, January.

    Cited by:

    1. Martellosio, Federico, 2011. "Efficiency of the OLS estimator in the vicinity of a spatial unit root," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1285-1291, August.
    2. Gotu, Butte, 1999. "The efficiency of OLS estimator in the linear regression model with spatially correlated errors," Technical Reports 1999,06, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Kleiber, Christian, 2001. "Finite sample efficiency of OLS in linear regression models with long-memory disturbances," Economics Letters, Elsevier, vol. 72(2), pages 131-136, August.
    4. Badi H. Baltagi & Junjie Shu, 2024. "A Survey of Spatial Unit Roots," Mathematics, MDPI, vol. 12(7), pages 1-32, March.
    5. Tony Smith & Ka Lee, 2012. "The effects of spatial autoregressive dependencies on inference in ordinary least squares: a geometric approach," Journal of Geographical Systems, Springer, vol. 14(1), pages 91-124, January.

  45. Kramer, Walter & Runde, Ralf, 1996. "Stochastic Properties of German Stock Returns," Empirical Economics, Springer, vol. 21(2), pages 281-306.

    Cited by:

    1. Koch, Rosemarie & Stadtmann, Georg, 2010. "Das Gesetz zur Angemessenheit der Vorstandsvergütung," Discussion Papers 288, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    2. Daniel Fricke & Thomas Lux, 2015. "On the distribution of links in the interbank network: evidence from the e-MID overnight money market," Empirical Economics, Springer, vol. 49(4), pages 1463-1495, December.
    3. Krzysztof Borowski & Malgorzata Lukasik, 2015. "Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(2), pages 12-37.
    4. Grobys, Klaus, 2023. "Correlation versus co-fractality: Evidence from foreign-exchange-rate variances," International Review of Financial Analysis, Elsevier, vol. 86(C).
    5. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    6. Krzysztof Borowski, 2015. "Analysis of the Weekend Effect on the Markets of 121 Equity Indices and 29 Commodities," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(4), pages 23-35.
    7. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2018. "European trading volumes on cross‐market holidays," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 675-704, October.
    8. Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    9. Klaus Grobys, 2024. "Science or scientism? On the momentum illusion," Annals of Finance, Springer, vol. 20(4), pages 479-519, December.
    10. Wiesław Dębski & Ewa Feder-Sempach & Szymon Wójcik, 2018. "Statistical Properties of Rates of Return on Shares Listed on the German, French, and Polish Markets – a Comparative Study," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 12(1), March.
    11. Walter Krämer, 2021. "Asymmetry in the distribution of daily stock returns," Empirical Economics, Springer, vol. 60(3), pages 1115-1125, March.
    12. Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 517-523.

  46. Busse, Ralf & Jeske, Roland & Kramer, Walter, 1994. "Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated," Economics Letters, Elsevier, vol. 45(3), pages 267-271.

    Cited by:

    1. Roland Jeske & Seuck Song, 2003. "Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances," Statistical Papers, Springer, vol. 44(3), pages 421-432, July.
    2. Kramer, Walter & Michels, Sonja, 1997. "Autocorrelation- and heteroskedasticity-consistent t-values with trending data," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 141-147.
    3. Kramer, Walter & Baltagi, Badi, 1996. "A general condition for an optimal limiting efficiency of OLS in the general linear regression model," Economics Letters, Elsevier, vol. 50(1), pages 13-17, January.
    4. Jeske, Roland & Butefisch, Thomas & Song, Seuck Heun, 1996. "The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process," Economics Letters, Elsevier, vol. 52(3), pages 235-240, September.

  47. Wilfling, Bernd & Kramer, Walter, 1993. "The Lorenz-ordering of Singh-Maddala income distributions," Economics Letters, Elsevier, vol. 43(1), pages 53-57.

    Cited by:

    1. Thomas Groll & Peter J. Lambert, 2011. "The pro-poorness, growth and inequality nexus: Some findings from a simulation study," Working Papers 214, ECINEQ, Society for the Study of Economic Inequality.
    2. Tam'as S. Bir'o & Zolt'an N'eda, 2020. "Gintropy: Gini index based generalization of Entropy," Papers 2007.04829, arXiv.org.
    3. Kleiber, Christian, 2005. "The Lorenz curve in economics and econometrics," Technical Reports 2005,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    4. Fabio Clementi & Mauro Gallegati & Giorgio Kaniadakis, 2010. "A model of personal income distribution with application to Italian data," Empirical Economics, Springer, vol. 39(2), pages 559-591, October.
    5. Michał Brzeziński, 2014. "Empirical modeling of the impact factor distribution," Working Papers 2014-01, Faculty of Economic Sciences, University of Warsaw.
    6. Belzunce, Félix & Pinar, José F. & Ruiz, José M. & Sordo, Miguel A., 2013. "Comparison of concentration for several families of income distributions," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1036-1045.
    7. Masato Okamoto, 2022. "Lorenz and Polarization Orderings of the Double-Pareto Lognormal Distribution and Other Size Distributions," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 548-574, November.
    8. Wilfling, Bernd, 1996. "Lorenz ordering of generalized beta-II income distributions," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 381-388.
    9. Jäntti, Markus & Jenkins, Stephen P., 2001. "Examining the Impact of Macro-Economic Conditions on Income Inequality," IZA Discussion Papers 364, Institute of Labor Economics (IZA).
    10. Kleiber, Christian, 1996. "Dagum vs. Singh-Maddala income distributions," Economics Letters, Elsevier, vol. 53(3), pages 265-268, December.
    11. Wilfling, Bernd, 1996. "Lorenz ordering of power-function order statistics," Statistics & Probability Letters, Elsevier, vol. 30(4), pages 313-319, November.
    12. Louis de Mesnard, 2022. "About some difficulties with the functional forms of Lorenz curves," Post-Print hal-03806134, HAL.
    13. Zahra Behdani & Gholam Reza Mohtashami Borzadaran & Bahram Sadeghpour Gildeh, 2020. "Some properties of double truncated distributions and their application in view of income inequality," Computational Statistics, Springer, vol. 35(1), pages 359-378, March.
    14. Sarabia, Jose Maria & Castillo, Enrique & Slottje, Daniel J., 2002. "Lorenz ordering between McDonald's generalized functions of the income size distribution," Economics Letters, Elsevier, vol. 75(2), pages 265-270, April.
    15. Duangkamon Chotikapanich & William E. Griffiths, 2006. "Bayesian Assessment of Lorenz and Stochastic Dominance in Income Distributions," Department of Economics - Working Papers Series 960, The University of Melbourne.
    16. James Harvey, "undated". "A note on the 'Natural Rate of Subjective Inequality' hypothesis and the approximate relationship between the Gini coefficient and the Atkinson index," Discussion Papers 03/12, Department of Economics, University of York.

  48. Kiviet, Jan F & Kramer, Walter, 1992. "Bias of SDE 2 in the Linear Regression Model with Correlated Errors," The Review of Economics and Statistics, MIT Press, vol. 74(2), pages 362-365, May.
    See citations under working paper version above.
  49. Kramer, Walter & Schotman, Peter, 1992. "Range vs. maximum in the OLS-based version of the CUSUM test," Economics Letters, Elsevier, vol. 40(4), pages 379-381, December.

    Cited by:

    1. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
    2. Achim Zeileis, 2005. "A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 445-466.
    3. Krämer, Walter & van Kampen, Maarten, 2011. "A simple nonparametric test for structural change in joint tail probabilities," Economics Letters, Elsevier, vol. 110(3), pages 245-247, March.
    4. Achim Zeileis, 2004. "Alternative boundaries for CUSUM tests," Statistical Papers, Springer, vol. 45(1), pages 123-131, January.
    5. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1111-1127, November.

  50. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.

    Cited by:

    1. Abi Morshed, Alaa & Andreou, E. & Boldea, Otilia, 2016. "Structural Break Tests Robust to Regression Misspecification," Discussion Paper 2016-019, Tilburg University, Center for Economic Research.
    2. Marcellino, Massimiliano & Kapetanios, George & Giraitis, Liudas, 2020. "Time-Varying Instrumental Variable Estimation," CEPR Discussion Papers 15210, C.E.P.R. Discussion Papers.
    3. Mengrui Zhu & Hua Xu & Xingyu Gao & Minggang Wang & André L. M. Vilela & Lixin Tian, 2022. "Identification of Breakpoints in Carbon Market Based on Probability Density Recurrence Network," Energies, MDPI, vol. 15(15), pages 1-18, July.
    4. Camilo Alberto Cárdenas-Hurtado & María Alejandra Hernández-Montes, 2019. "Understanding the Consumer Confidence Index in Colombia: A structural FAVAR analysis," Borradores de Economia 1063, Banco de la Republica de Colombia.
    5. Liu, Guan-Chun & Lee, Chien-Chiang & Lee, Chi-Chuan, 2016. "The nexus between insurance activity and economic growth: A bootstrap rolling window approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 299-319.
    6. Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022. "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
    7. Pierre Perron & Yohei Yamamoto, 2022. "Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 389-411, May.
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    2. Gotu, Butte, 1999. "The consistency of s2 in the linear regression model when the disturbances are spatially correlated," Technical Reports 1999,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

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    1. Horiguchi, Tsuyoshi & Tsushima, Norihiro, 1997. "Shift exponent and breakdown of universality for the two-layer Ising model on a square lattice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 238(1), pages 295-306.

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    1. Preinerstorfer, David & Pötscher, Benedikt M., 2014. "On the Power of Invariant Tests for Hypotheses on a Covariance Matrix," MPRA Paper 55059, University Library of Munich, Germany.
    2. Wan, Alan T.K. & Zou, Guohua & Banerjee, Anurag, 2007. "The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions," Economics Letters, Elsevier, vol. 94(2), pages 213-219, February.
    3. Cappuccio, Nunzio & Lubian, Diego & Mistrorigo, Mirko, 2015. "The power of unit root tests under local-to-finite variance errors," Chaos, Solitons & Fractals, Elsevier, vol. 76(C), pages 205-217.
    4. David Preinerstorfer, 2018. "How to avoid the zero-power trap in testing for correlation," Papers 1812.10752, arXiv.org.
    5. Kleiber, Christian & Krämer, Walter, 2004. "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports 2004,15, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    6. Krämer, Walter, 2002. "Finite sample power of Cliff-Ord-type-tests for spatial disturbance correlation in linear regression," Technical Reports 2002,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

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    3. Yamaka, Woraphon & Zhang, Xuefeng & Maneejuk, Paravee & Ramos, Vicente, 2023. "Asymmetric effects of third-country exchange rate risk: A Markov switching approach," Annals of Tourism Research, Elsevier, vol. 103(C).
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    7. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
    8. JIANG, Peiyun & 蒋, 佩芸 & KUROZUMI, Eiji & 黒住, 英司, 2017. "Power Properties of the Modified CUSUM Tests," Discussion Papers 2017-05, Graduate School of Economics, Hitotsubashi University.
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    20. Katharina Glass, 2018. "Predictability of Euro Area Revisions," Macroeconomics and Finance Series 201801, University of Hamburg, Department of Socioeconomics.
    21. Lazarova, Stepana, 2005. "Testing for structural change in regression with long memory processes," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 329-372.
    22. Ai Deng & Pierre Perron, 2005. "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series WP2005-046, Boston University - Department of Economics.
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    24. Caporale, Guglielmo Maria & Pittis, Nikitas, 2004. "Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence," Economics Series 157, Institute for Advanced Studies.
    25. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
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    34. Sven Otto & Jorg Breitung, 2020. "Backward CUSUM for Testing and Monitoring Structural Change with an Application to COVID-19 Pandemic Data," Papers 2003.02682, arXiv.org, revised Mar 2022.
    35. Sahbi FARHANI, 2012. "Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)," International Journal of Economics and Financial Issues, Econjournals, vol. 2(3), pages 246-266.
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    39. Dominik Wied & Matthias Arnold & Nicolai Bissantz & Daniel Ziggel, 2012. "A new fluctuation test for constant variances with applications to finance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1111-1127, November.
    40. Lu, Xinhong & Maekawa, Koichi & Lee, Sangyeol, 2008. "The CUSUM of squares test for the stability of regression models with non-stationary regressors," Economics Letters, Elsevier, vol. 100(2), pages 234-237, August.

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    1. Mario Cunha & Christian Richter, 2018. "Impact Of Climate Dynamics On Cyclical Properties Of Wine Production In Douro Region Using A Time-Frequency Approach," Working Papers 47, The German University in Cairo, Faculty of Management Technology.
    2. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    3. Fabio Canova, 1997. "Testing for convergence clubs in income per-capita: A predictive density approach," Economics Working Papers 404, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 1999.
    4. Vasco J. Gabriel, 2001. "Tests for the Null Hypothesis of Cointegration: a Monte Carlo Comparison," NIPE Working Papers 7/2001, NIPE - Universidade do Minho.
    5. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
    6. Liu, Guan-Chun & Lee, Chien-Chiang & Lee, Chi-Chuan, 2016. "The nexus between insurance activity and economic growth: A bootstrap rolling window approach," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 299-319.
    7. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
    8. Luis Fernando Melo & Martha Misas A., 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
    9. Carsoule, F. & Franses, Ph.H.B.F., 1999. "Monitoring structural change in variance," Econometric Institute Research Papers EI 9925A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    10. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.
    11. Mario Cunha, 2010. "Modelling the Cyclical Behaviour of Wine Production in the Douro Region Using a Time-Varying Parameters Approach," Working Papers 2010.1, International Network for Economic Research - INFER.
    12. Ramadas Sendhil & Kashish Arora & Sunny Kumar & Priyanka Lal & Arnab Roy & Ramalingam Jayakumara Varadan & Sivasankar Vedi & Anandan Pouchepparadjou, 2023. "Price Dynamics and Integration in India’s Staple Food Commodities—Evidence from Wholesale and Retail Rice and Wheat Markets," Commodities, MDPI, vol. 2(1), pages 1-21, February.
    13. Cuddington, John T. & Ludema, Rodney & Jayasuriya, Shamila A, 2002. "Prebisch-Singer Redux," Working Papers 15857, United States International Trade Commission, Office of Economics.
    14. Pedro Galeano & Dominik Wied, 2017. "Dating multiple change points in the correlation matrix," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 331-352, June.
    15. Zhang, Dengjun & Asche, Frank & Oglend, Atle, 2014. "Ethanol and trade: An analysis of price transmission in the US market," Energy Economics, Elsevier, vol. 42(C), pages 1-8.
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    6. Carnero, María Ángeles, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
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    9. Hong, Y. & Linton, O. B. & McCabe, B. & Sun, J. & Wang, S., 2023. "Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach," Janeway Institute Working Papers 2316, Faculty of Economics, University of Cambridge.
    10. Luger, Richard, 2001. "A modified CUSUM test for orthogonal structural changes," Economics Letters, Elsevier, vol. 73(3), pages 301-306, December.
    11. Pouliot, William, 2016. "Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry," Economic Modelling, Elsevier, vol. 58(C), pages 523-534.
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    20. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2002. "strucchange: An R Package for Testing for Structural Change in Linear Regression Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 7(i02).
    21. Vogelsang, Timothy J., 1998. "Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series," Journal of Econometrics, Elsevier, vol. 88(2), pages 283-299, November.
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  60. Kramer, Walter & Sonnberger, Harald, 1986. "Computational pitfalls of the Hausman test," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 163-165, June.

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    2. Ai Deng & Pierre Perron, 2006. "The Limit Distribution of the CUSUM of Squares Test Under General Mixing Conditions," Boston University - Department of Economics - Working Papers Series wp2006-004, Boston University - Department of Economics.
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    7. Ai Deng & Pierre Perron, 2005. "The Limit Distribution of the CUSUM of Square Test Under Genreal MIxing Conditions," Boston University - Department of Economics - Working Papers Series WP2005-046, Boston University - Department of Economics.
    8. Deng, Ai & Perron, Pierre, 2008. "A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change," Journal of Econometrics, Elsevier, vol. 142(1), pages 212-240, January.
    9. Bent Nielsen & Andrew Whitby, 2012. "A Joint Chow Test for Structural Instability," Economics Papers 2012-W07, Economics Group, Nuffield College, University of Oxford.
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    11. Okyoung Na & Youngmi Lee & Sangyeol Lee, 2011. "Monitoring parameter change in time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(2), pages 171-199, June.

  62. Kramer, Walter, et al, 1985. "Diagnostic Checking in Practice," The Review of Economics and Statistics, MIT Press, vol. 67(1), pages 118-123, February.

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  63. Kramer, W., 1985. "The power of the Durbin-Watson test for regressions without an intercept," Journal of Econometrics, Elsevier, vol. 28(3), pages 363-370, June.

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    1. Preinerstorfer, David & Pötscher, Benedikt M., 2014. "On the Power of Invariant Tests for Hypotheses on a Covariance Matrix," MPRA Paper 55059, University Library of Munich, Germany.
    2. Banerjee, Anurag N. & Magnus, Jan R., 2000. "On the sensitivity of the usual t- and F-tests to covariance misspecification," Journal of Econometrics, Elsevier, vol. 95(1), pages 157-176, March.
    3. Martellosio, Federico, 2008. "Power Properties of Invariant Tests for Spatial Autocorrelation in Linear Regression," MPRA Paper 7255, University Library of Munich, Germany.
    4. Wan, Alan T.K. & Zou, Guohua & Banerjee, Anurag, 2007. "The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions," Economics Letters, Elsevier, vol. 94(2), pages 213-219, February.
    5. Kleiber, Christian & Krämer, Walter, 2004. "Finite sample of the Durbin-Watson test against fractionally integrated disturbances," Technical Reports 2004,15, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    6. Banerjee, Anurag N. & Magnus, Jan R., 1999. "The sensitivity of OLS when the variance matrix is (partially) unknown," Journal of Econometrics, Elsevier, vol. 92(2), pages 295-323, October.

  64. Kramer, Walter, 1984. "On the consequences of trend for simultaneous equation estimation," Economics Letters, Elsevier, vol. 14(1), pages 23-30.

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  65. Kramer, Walter, 1982. "Note on Estimating Linear Trend When Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 50(4), pages 1065-1067, July.

    Cited by:

    1. Roland Jeske & Seuck Song, 2003. "Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances," Statistical Papers, Springer, vol. 44(3), pages 421-432, July.
    2. Fried, Roland & Gather, Ursula, 2004. "Robust Trend Estimation for AR(1) Disturbances," Technical Reports 2004,64, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    3. Chihwa Kao & Jamie Emerson, 1998. "On the Estimation of a Linear Time Trend Regression with a One- Way Error Component Model in the Presence of Serially Correlated Errors," Econometrics 9805004, University Library of Munich, Germany.
    4. Kramer, Walter & Hassler, Uwe, 1998. "Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated," Economics Letters, Elsevier, vol. 60(3), pages 285-290, September.
    5. Kramer, Walter & Baltagi, Badi, 1996. "A general condition for an optimal limiting efficiency of OLS in the general linear regression model," Economics Letters, Elsevier, vol. 50(1), pages 13-17, January.
    6. Jeske, Roland & Butefisch, Thomas & Song, Seuck Heun, 1996. "The efficiency of the sample mean in a linear regression model when errors follow a first-order moving average process," Economics Letters, Elsevier, vol. 52(3), pages 235-240, September.

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