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Carsten Trenkler

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Personal Details

First Name: Carsten
Middle Name:
Last Name: Trenkler
Suffix:

RePEc Short-ID: ptr69

Email:
Homepage: http://trenkler.vwl.uni-mannheim.de/
Postal Address:
Phone:

Affiliation

Abteilung für Volkswirtschaftslehre
Universität Mannheim
Location: Mannheim, Germany
Homepage: http://www2.vwl.uni-mannheim.de/
Email:
Phone: +49 621 181 1776
Fax: +49 621 181 1774
Postal: 68131 Mannheim
Handle: RePEc:edi:fvmande (more details at EDIRC)

Works

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Working papers

  1. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers, University of Mannheim, Department of Economics 14-21, University of Mannheim, Department of Economics.
  2. Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers, University of Mannheim, Department of Economics 32993, University of Mannheim, Department of Economics.
  3. Trenkler, Carsten & Weber, Enzo, 2012. "Identifying the Shocks behind Business Cycle Asynchrony in Euroland," Working Papers, University of Mannheim, Department of Economics 12-11, University of Mannheim, Department of Economics.
  4. Trenkler, Carsten & Weber, Enzo, 2012. "Codependent VAR Models and the Pseudo-Structural Form," Working Papers, University of Mannheim, Department of Economics 12-10, University of Mannheim, Department of Economics.
  5. Christian Kascha & Carsten Trenkler, 2011. "Cointegrated VARMA models and forecasting US interest rates," ECON - Working Papers, Department of Economics - University of Zurich 033, Department of Economics - University of Zurich.
  6. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2010. "Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion," Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics 10/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  7. Trenkler, Carsten & Weber, Enzo, 2010. "On the Identification of Codependent VAR and VEC Models," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics 445, University of Regensburg, Department of Economics.
  8. Trenkler, Carsten & Weber, Enzo, 2010. "Testing for Codependence of Non-Stationary Variables," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics 446, University of Regensburg, Department of Economics.
  9. Christian Kascha & Carsten Trenkler, 2009. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Working Paper, Norges Bank 2009/12, Norges Bank.
  10. Trenkler, Carsten & Weber, Enzo, 2009. "Codependence and Cointegration," University of Regensburg Working Papers in Business, Economics and Management Information Systems, University of Regensburg, Department of Economics 437, University of Regensburg, Department of Economics.
  11. Ralf Brüggemann & Wolfgang Härdle & Julius Mungo & Carsten Trenkler, 2006. "VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2006-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  12. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2006. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2006-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  13. Carsten Trenkler, 2006. "Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2006-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  14. Ralf Brüggemann & Carsten Trenkler, 2005. "Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2005-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Trenkler, Carsten, 2004. "Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms," Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,37, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  16. Pentti SAIKKONEN & Helmut LUETKEPOHL & Carsten TRENKLER, 2004. "Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift," Economics Working Papers, European University Institute ECO2004/21, European University Institute.
  17. Trenkler, Carsten & Wolf, Nikolaus, 2004. "Economic integration across borders : the Polish interwar economy 1921-1937," Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,38, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  18. Carsten TRENKLER & Nikolaus WOLF, 2003. "Economic Integration in Interwar Poland - A Threshold Cointegration Analysis of the Law of One Price for Poland (1924-1937)," Economics Working Papers, European University Institute ECO2003/05, European University Institute.
  19. Casten TRENKLER, 2003. "A New Set of Critical Values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms," Economics Working Papers, European University Institute ECO2003/07, European University Institute.
  20. Trenkler, Carsten, 2002. "The effects of ignoring level shifts on systems cointegration tests," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  21. Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2001. "Testing for the cointegrating rank of a VAR process with level shift at unknown time," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  22. Helmut Luetkepohl & Pentti Saikkonen & Carsten Trenkler, 2000. "Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0364, Econometric Society.
  23. Trenkler, Carsten, 2000. "The Polish crawling peg system: A cointegration analysis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  24. Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2000. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

Articles

  1. Carsten Trenkler & Enzo Weber, 2013. "Testing for codependence of cointegrated variables," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(15), pages 1953-1964, May.
  2. Carsten Trenkler & Enzo Weber, 2013. "Codependent VAR models and the pseudo-structural form," AStA Advances in Statistical Analysis, Springer, Springer, vol. 97(3), pages 287-295, July.
  3. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2013. "Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 32(7), pages 814-847, October.
  4. Kascha, Christian & Trenkler, Carsten, 2011. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(2), pages 1008-1017, February.
  5. Trenkler, Carsten, 2009. "Bootstrapping Systems Cointegration Tests With A Prior Adjustment For Deterministic Terms," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(01), pages 243-269, February.
  6. Ralf Brüggemann & Wolfgang Härdle & Julius Mungo & Carsten Trenkler, 2008. "VAR Modeling for Dynamic Loadings Driving Volatility Strings," Journal of Financial Econometrics, Society for Financial Econometrics, Society for Financial Econometrics, vol. 6(3), pages 361-381, Summer.
  7. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, Springer, vol. 23(1), pages 19-39, January.
  8. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 29(2), pages 331-358, 03.
  9. Ralf Bruggemann & Carsten Trenkler, 2007. "Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary and Poland," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(4), pages 245-249.
  10. Saikkonen, Pentti & L tkepohl, Helmut & Trenkler, Carsten, 2006. "Break Date Estimation For Var Processes With Level Shift With An Application To Cointegration Testing," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 22(01), pages 15-68, February.
  11. Carsten Trenkler*, 2005. "The Effects of Ignoring Level Shifts on Systems Cointegration Tests," AStA Advances in Statistical Analysis, Springer, Springer, vol. 89(3), pages 281-301, August.
  12. Trenkler, Carsten & Wolf, Nikolaus, 2005. "Economic integration across borders: The Polish interwar economy 1921 1937," European Review of Economic History, Cambridge University Press, Cambridge University Press, vol. 9(02), pages 199-231, August.
  13. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2004. "Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time," Econometrica, Econometric Society, Econometric Society, vol. 72(2), pages 647-662, 03.
  14. Lutkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2003. "Comparison of tests for the cointegrating rank of a VAR process with a structural shift," Journal of Econometrics, Elsevier, Elsevier, vol. 113(2), pages 201-229, April.
  15. Carsten Trenkler, 2003. "The Polish exchange rate system: A unit root and cointegration analysis," Empirical Economics, Springer, Springer, vol. 28(4), pages 839-860, November.
  16. Carsten Trenkler, 2003. "A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
  17. Breitung, J rg & Trenkler, Carsten, 2002. "On The Properties Of Some Tests For Common Stochastic Trends," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 18(06), pages 1336-1349, December.
  18. Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 4(2), pages 8.

NEP Fields

17 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2011-10-15
  2. NEP-ECM: Econometrics (13) 2003-07-16 2004-06-27 2006-02-12 2006-02-19 2006-09-23 2009-08-16 2010-04-11 2010-07-24 2010-09-25 2010-09-25 2011-10-15 2012-06-25 2013-03-16. Author is listed
  3. NEP-EEC: European Economics (2) 2005-10-29 2012-06-25
  4. NEP-ETS: Econometric Time Series (14) 2003-07-13 2004-06-27 2006-02-12 2006-02-19 2006-09-23 2006-11-18 2009-08-16 2010-04-11 2010-07-24 2010-09-25 2010-09-25 2011-10-15 2012-06-25 2013-03-16. Author is listed
  5. NEP-FOR: Forecasting (1) 2011-10-15
  6. NEP-MAC: Macroeconomics (4) 2003-07-13 2005-10-29 2006-02-12 2012-06-25
  7. NEP-MST: Market Microstructure (1) 2009-08-16
  8. NEP-TRA: Transition Economics (2) 2003-07-13 2005-10-29

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