Working Papers

Brüggemann, R. and Kascha, C. (2017). Directed Graphs and Variable Selection in Large Vector Autoregressive Models. Working Paper, University of Konstanz. (PDF)

Kascha, C. and Trenkler, C. (2015). Forecasting VARs, Model Selection, and Shrinkage. Working Paper, University of Mannheim. (pdf)

Published Papers

Kascha, C. and Trenkler, C. (2015). Simple Identification and Specification of Cointegrated VARMA Models. Journal of Applied Econometrics, Vol. 30 (4), pp. 675-702  (pdf, replication files)

Kascha, C. (2012). A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models. Econometric Reviews, Vol. 31(3), pp. 297-324 (pdfprograms (GAUSS))

Kascha, C. and Trenkler, C. (2011). Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order. Computational Statistics and Data Analysis , Vol. 55(2), pp. 1008-1017 (pdf)

Kascha, C. and Ravazzolo, F. (2010). Combining Inflation Density Forecasts. Journal of Forecasting , Vol. 29 (1-2), pp. 231-250 (pdfprograms (GAUSS))

Kascha, C. and Mertens, K. (2009). Business Cycle Analysis and VARMA Models. Journal of Economic Dynamics and Control, Vol. 33 (2), pp. 267-282 (pdf, programs (GAUSS,MATLAB))

The pdf files are mostly preprints.