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Michael Eichler

Personal Details

First Name:Michael
Middle Name:
Last Name:Eichler
Suffix:
RePEc Short-ID:pei32
[This author has chosen not to make the email address public]

Affiliation

(in no particular order)

Graduate School of Business and Economics (GSBE)
School of Business and Economics
Maastricht University

Maastricht, Netherlands
http://www.maastrichtuniversity.nl/SBE

+31 (0)43 38 83 830

P.O. Box 616, 6200 MD Maastricht
RePEc:edi:meteonl (more details at EDIRC)

School of Business and Economics
Maastricht University

Maastricht, Netherlands
http://www.maastrichtuniversity.nl/sbe



Postbus 616, 6200 MD Maaastricht
RePEc:edi:femaanl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Machin, S. & Marie, O. & Vujic, S., 2012. "Youth crime and education expansion," Research Memorandum 036, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  2. Eichler Michael & Grothe Oliver & Tuerk Dennis & Manner Hans, 2012. "Modeling spike occurrences in electricity spot prices for forecasting," Research Memorandum 029, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  3. Eichler Michael & Motta Giovanni & Sachs Rainer von, 2009. "Fitting dynamic factor models to non-stationary time series," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  4. Eichler Michael & Didelez Vanessa, 2009. "On Granger-causality and the effect of interventions in time series," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

Articles

  1. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
  2. Eichler, Michael & Motta, Giovanni & von Sachs, Rainer, 2011. "Fitting dynamic factor models to non-stationary time series," Journal of Econometrics, Elsevier, vol. 163(1), pages 51-70, July.
  3. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
  4. Eichler, Michael, 2007. "Granger causality and path diagrams for multivariate time series," Journal of Econometrics, Elsevier, vol. 137(2), pages 334-353, April.
  5. Michael Eichler, 2007. "A Frequency-domain Based Test for Non-correlation between Stationary Time Series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(2), pages 133-157, February.
  6. Mathias Drton & Michael Eichler, 2006. "Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 247-257.

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.

Working papers

  1. Machin, S. & Marie, O. & Vujic, S., 2012. "Youth crime and education expansion," Research Memorandum 036, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

    Cited by:

    1. Ward, Shannon & Williams, J. & van Ours, Jan, 2015. "Bad Behavior : Delinquency, Arrest and Early School Leaving," Discussion Paper 2015-040, Tilburg University, Center for Economic Research.
    2. van der Steeg, Marc & van Elk, Roel & Webbink, Dinand, 2015. "Does intensive coaching reduce school dropout? Evidence from a randomized experiment," Economics of Education Review, Elsevier, vol. 48(C), pages 184-197.
    3. Ignacio Munyo, 2015. "The Juvenile Crime Dilemma," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(2), pages 201-211, April.
    4. JAMES, Jonathan & VUJIC, Suncica, 2016. "From high school to the high chair: Education and fertility timing," Working Papers 2016005, University of Antwerp, Faculty of Applied Economics.
    5. Povilas Lastauskas & Eirini Tatsi, 2017. "Spatial Nexus in Crime and Unemployement in Times of Crisis," Bank of Lithuania Working Paper Series 39, Bank of Lithuania.
    6. James, Jonathan, 2015. "Health and education expansion," Economics of Education Review, Elsevier, vol. 49(C), pages 193-215.
    7. Janke, Katharina & Johnston, David W. & Propper, Carol & Shields, Michael A., 2018. "The Causal Effect of Education on Chronic Health Conditions," IZA Discussion Papers 11353, Institute for the Study of Labor (IZA).
    8. Marc van der Steeg & Roel van Elk & Dinand Webbink, 2012. "Does intensive coaching reduce school dropout?," CPB Discussion Paper 224, CPB Netherlands Bureau for Economic Policy Analysis.
    9. Nordin , Martin, 2014. "Does Eligibility for Tertiary Education Affect Crime Rates? Quasi-Experimental Evidence," Working Papers 2014:14, Lund University, Department of Economics.
    10. Rud, I & Van Klaveren, C. & Groot, W. and Maassen van den Brink, H., 2013. "Education and Youth Crime: a Review of the Empirical Literature," Working Papers 48, Top Institute for Evidence Based Education Research.
    11. Lindgren, Karl-Oskar & Oskarsson, Sven & Persson, Mikael, 2016. "How does access to education influence political candidacy? Lessons from school openings in Sweden," Working Paper Series 2016:7, IFAU - Institute for Evaluation of Labour Market and Education Policy.
    12. Brugård, Kaja Høiseth & Falch, Torberg, 2013. "Post-compulsory education and imprisonment," Labour Economics, Elsevier, vol. 23(C), pages 97-106.
    13. Aoki, Yu, 2014. "More Schooling, Less Youth Crime? Learning from an Earthquake in Japan," IZA Discussion Papers 8619, Institute for the Study of Labor (IZA).

  2. Eichler Michael & Grothe Oliver & Tuerk Dennis & Manner Hans, 2012. "Modeling spike occurrences in electricity spot prices for forecasting," Research Memorandum 029, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

    Cited by:

    1. Machin, Stephen & Marie, Olivier & Vuji?, Sun?ica, 2012. "Youth Crime and Education Expansion," IZA Discussion Papers 6582, Institute for the Study of Labor (IZA).
    2. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
    3. Volodymyr Korniichuk, 2012. "Forecasting extreme electricity spot prices," Cologne Graduate School Working Paper Series 03-14, Cologne Graduate School in Management, Economics and Social Sciences.

  3. Eichler Michael & Motta Giovanni & Sachs Rainer von, 2009. "Fitting dynamic factor models to non-stationary time series," Research Memorandum 002, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

    Cited by:

    1. Marc Hallin & Charles Mathias & Hugues Pirotte & David Veredas, 2011. "Market liquidity as dynamic factors," Working Papers ECARES 163, 42-50, ULB -- Universite Libre de Bruxelles.
    2. Martina Hengge & Seton Leonard, 2017. "Factor Models for Non-Stationary Series: Estimates of Monthly U.S. GDP," IHEID Working Papers 13-2017, Economics Section, The Graduate Institute of International Studies.
    3. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2011. "The Merit of High-Frequency Data in Portfolio Allocation," SFB 649 Discussion Papers SFB649DP2011-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Ruiz Ortega, Esther & Poncela, Pilar & Corona, Francisco, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.

  4. Eichler Michael & Didelez Vanessa, 2009. "On Granger-causality and the effect of interventions in time series," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

    Cited by:

    1. Götz, T.B. & Hecq, A.W., 2014. "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum 028, Maastricht University, Graduate School of Business and Economics (GSBE).
    2. José Osvaldo De Sordi & Marco Antonio Conejero & Manuel Meireles, 2016. "Bibliometric indicators in the context of regional repositories: proposing the D-index," Scientometrics, Springer;Akadémiai Kiadó, vol. 107(1), pages 235-258, April.

Articles

  1. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.

    Cited by:

    1. Gambacciani, Marco & Paolella, Marc S., 2017. "Robust normal mixtures for financial portfolio allocation," Econometrics and Statistics, Elsevier, vol. 3(C), pages 91-111.
    2. Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Technology.
    3. Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
    4. Xu, Zheng, 2013. "Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data," Economics Letters, Elsevier, vol. 120(3), pages 369-373.
    5. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
    6. Ziel, Florian & Steinert, Rick, 2016. "Electricity price forecasting using sale and purchase curves: The X-Model," Energy Economics, Elsevier, vol. 59(C), pages 435-454.
    7. Florian Ziel & Rick Steinert, 2015. "Electricity Price Forecasting using Sale and Purchase Curves: The X-Model," Papers 1509.00372, arXiv.org, revised Aug 2016.
    8. Manner, Hans & Türk, Dennis & Eichler, Michael, 2016. "Modeling and forecasting multivariate electricity price spikes," Energy Economics, Elsevier, vol. 60(C), pages 255-265.
    9. Samet Günay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
    10. Sapio, Alessandro & Spagnolo, Nicola, 2016. "Price regimes in an energy island: Tacit collusion vs. cost and network explanations," Energy Economics, Elsevier, vol. 55(C), pages 157-172.

  2. Eichler, Michael & Motta, Giovanni & von Sachs, Rainer, 2011. "Fitting dynamic factor models to non-stationary time series," Journal of Econometrics, Elsevier, vol. 163(1), pages 51-70, July.
    See citations under working paper version above.
  3. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.

    Cited by:

    1. Ruprecht Puchstein & Philip Preuß, 2016. "Testing for Stationarity in Multivariate Locally Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 3-29, January.
    2. Holger Dette & Efstathios Paparoditis, 2009. "Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(4), pages 831-857.
    3. Jentsch, Carsten & Pauly, Markus, 2012. "A note on using periodogram-based distances for comparing spectral densities," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 158-164.
    4. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    5. Dimitrios Tsitsis & George Karavasilis & Alexandros Rigas, 2012. "Measuring the association of stationary point processes using spectral analysis techniques," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(1), pages 23-47, March.
    6. Preuß, Philip & Hildebrandt, Thimo, 2013. "Comparing spectral densities of stationary time series with unequal sample sizes," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1174-1183.
    7. Dette, Holger & Hildebrandt, Thimo, 2012. "A note on testing hypotheses for stationary processes in the frequency domain," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 101-114, February.
    8. McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.
    9. Dette, Holger & Paparoditis, Efstathios, 2008. "Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities," Technical Reports 2008,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    10. Philip Preuss & Mathias Vetter & Holger Dette, 2013. "Testing Semiparametric Hypotheses in Locally Stationary Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 417-437, September.

  4. Eichler, Michael, 2007. "Granger causality and path diagrams for multivariate time series," Journal of Econometrics, Elsevier, vol. 137(2), pages 334-353, April.

    Cited by:

    1. Renault, Eric & Triacca, Umberto, 2015. "Causality and separability," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 1-5.
    2. Loperfido, Nicola, 2010. "A note on marginal and conditional independence," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1695-1699, December.
    3. Majid M. Al-Sadoon, 2016. "Testing Subspace Granger Causality," Working Papers 850, Barcelona Graduate School of Economics.
    4. Chihying, Hsiao & Chen, Pu, 2007. "Learning Causal Relations in Multivariate Time Series Data," Economics Discussion Papers 2007-15, Kiel Institute for the World Economy (IfW).
    5. Matteo Barigozzi & Christian Brownlees, 2013. "Nets: Network Estimation for Time Series," Working Papers 723, Barcelona Graduate School of Economics.
    6. Tata Subba Rao & Granville Tunnicliffe Wilson & Michael Eichler & Rainer Dahlhaus & Johannes Dueck, 2017. "Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 225-242, March.
    7. Rohin Anhal, 2013. "Causality between GDP, Energy and Coal Consumption in India, 1970-2011: A Non-parametric Bootstrap Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 434-446.
    8. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
    9. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
    10. Maria Blangiewicz & Krystyna Strzala, 2008. "Notes on a Forecasting Procedure," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 75-84.
    11. Chen, Pu & Hsiao, Chih-Ying, 2010. "Looking behind Granger causality," MPRA Paper 24859, University Library of Munich, Germany.
    12. Colombi, R. & Giordano, S., 2012. "Graphical models for multivariate Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 90-103.
    13. Roberto Colombi & Sabrina Giordano, 2013. "Monotone dependence in graphical models for multivariate Markov chains," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(7), pages 873-885, October.
    14. Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi, 2011. "Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(3), pages 319-344, September.
    15. Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
    16. Anna Zaremba & Tomaso Aste, 2014. "Measures of Causality in Complex Datasets with application to financial data," Papers 1401.1457, arXiv.org, revised Jun 2014.
    17. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
    18. Javier Pérez & A. Sánchez, 2011. "Is there a signalling role for public wages? Evidence for the euro area based on macro data," Empirical Economics, Springer, vol. 41(2), pages 421-445, October.
    19. Eichler Michael & Didelez Vanessa, 2009. "On Granger-causality and the effect of interventions in time series," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    20. Chen, Pu, 2010. "A time series causal model," MPRA Paper 24841, University Library of Munich, Germany.
    21. Chang, Tsangyao & Chen, Wen-Yi & Gupta, Rangan & Nguyen, Duc Khuong, 2015. "Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test," Economic Systems, Elsevier, vol. 39(2), pages 288-300.
    22. Ralf Brüggemann & Christian Kascha, 2017. "Directed Graphs and Variable Selection in Large Vector Autoregressive Models," Working Paper Series of the Department of Economics, University of Konstanz 2017-06, Department of Economics, University of Konstanz.
    23. Gao, Wei & Zhao, Hongxia, 2013. "Conditional independence graph for nonlinear time series and its application to international financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(10), pages 2460-2469.
    24. Daniel Felix Ahelegbey, 2015. "The Econometrics of Networks: A Review," Working Papers 2015:13, Department of Economics, University of Venice "Ca' Foscari".
    25. Schreiber, Sven, 2013. "(When) does money growth help to predict Euro-area inflation at low frequencies?," Discussion Papers 2013/10, Free University Berlin, School of Business & Economics.
    26. Teye, Alfred Larm & Ahelegbey, Daniel Felix, 2017. "Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach," Regional Science and Urban Economics, Elsevier, vol. 65(C), pages 56-64.

  5. Michael Eichler, 2007. "A Frequency-domain Based Test for Non-correlation between Stationary Time Series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(2), pages 133-157, February.

    Cited by:

    1. Dette, Holger & Hildebrandt, Thimo, 2012. "A note on testing hypotheses for stationary processes in the frequency domain," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 101-114, February.
    2. McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.

  6. Mathias Drton & Michael Eichler, 2006. "Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 247-257.

    Cited by:

    1. Søren Højsgaard & Steffen L. Lauritzen, 2008. "Graphical Gaussian models with edge and vertex symmetries," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(5), pages 1005-1027.
    2. Fitch, A. Marie & Jones, Beatrix, 2012. "The cost of using decomposable Gaussian graphical models for computational convenience," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2430-2441.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (2) 2009-02-22 2012-07-14
  2. NEP-ENE: Energy Economics (2) 2012-07-01 2012-07-14
  3. NEP-ETS: Econometric Time Series (1) 2009-02-22
  4. NEP-FOR: Forecasting (1) 2012-07-01

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