Arbeitspapiere

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

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

Publizierte Papiere

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

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

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

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

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