Trenkler, Carsten
Overview
Works:  37 works in 52 publications in 1 language and 78 library holdings 

Roles:  Author 
Publication Timeline
.
Most widely held works by
Carsten Trenkler
Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process by
Helmut Lütkepohl(
Book
)
3 editions published in 2000 in English and held by 6 WorldCat member libraries worldwide
The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The asymptotic distributions under local alternatives are given and the local power is derived. It is found that the local power of corresponding maximum eigenvalue and trace tests is very similar. A Monte Carlo comparison shows, however, that there may be slight differences in small sampies. The trace tests tend to have more distorted sizes whereas their power is in some situations superior to that of the maximum eigenvalue tests
3 editions published in 2000 in English and held by 6 WorldCat member libraries worldwide
The properties of a range of maximum eigenvalue and trace tests for the cointegrating rank of a vector autoregressive process are compared. The tests are alilikelihood ratio type tests and operate under different assumptions regarding the deterministic part of the data generation process. The asymptotic distributions under local alternatives are given and the local power is derived. It is found that the local power of corresponding maximum eigenvalue and trace tests is very similar. A Monte Carlo comparison shows, however, that there may be slight differences in small sampies. The trace tests tend to have more distorted sizes whereas their power is in some situations superior to that of the maximum eigenvalue tests
Comparison of tests for the cointegrating rank of VAR process with a structural shift by
Helmut Lütkepohl(
Book
)
3 editions published in 2000 in English and held by 6 WorldCat member libraries worldwide
Two different types of tests for the cointegrating rank of VAR processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the LR principle using a specific Gaussian model setup. In the second proposal the time series are adjusted for deterministic terms first and then LR type tests are applied to the adjusted series. The local power of the two types of tests is derived and compared. Moreover, the small sample size and power properties of the tests are explored. It is found that the tests based on adjusted series generally have superior local power and size properties.  local power ; test size ; cointegration ; vector autoregressive process ; error correction model
3 editions published in 2000 in English and held by 6 WorldCat member libraries worldwide
Two different types of tests for the cointegrating rank of VAR processes with a deterministic shift in the level have been proposed in the literature. The first proposal is based on the LR principle using a specific Gaussian model setup. In the second proposal the time series are adjusted for deterministic terms first and then LR type tests are applied to the adjusted series. The local power of the two types of tests is derived and compared. Moreover, the small sample size and power properties of the tests are explored. It is found that the tests based on adjusted series generally have superior local power and size properties.  local power ; test size ; cointegration ; vector autoregressive process ; error correction model
The Polish crawling peg system : a cointegration analysis by
Carsten Trenkler(
Book
)
3 editions published in 2000 in English and held by 5 WorldCat member libraries worldwide
After a temporary period of a fixed exchange rate regime pegging the Polish zloty to the U.S. dollar, Poland established a preannounced crawling peg regime on October 15, 1991. In this system the zloty is tied to a currency basket and devalued with a preannounced monthly rate (rate of crawl). If the monetary authorities have been successful in defending the crawling peg stable longrun relationships between the Polish zloty on the one hand and the basket's value and the currencies comprising the basket on the other hand are expected to exist. I test for such longrun relationships within the cointegration framework. However, as the transition path of the Polish exchange rate was not; smooth due to discrete steep devaluations one has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for the sample period under study
3 editions published in 2000 in English and held by 5 WorldCat member libraries worldwide
After a temporary period of a fixed exchange rate regime pegging the Polish zloty to the U.S. dollar, Poland established a preannounced crawling peg regime on October 15, 1991. In this system the zloty is tied to a currency basket and devalued with a preannounced monthly rate (rate of crawl). If the monetary authorities have been successful in defending the crawling peg stable longrun relationships between the Polish zloty on the one hand and the basket's value and the currencies comprising the basket on the other hand are expected to exist. I test for such longrun relationships within the cointegration framework. However, as the transition path of the Polish exchange rate was not; smooth due to discrete steep devaluations one has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for the sample period under study
Testing for the cointegrating rank of a VAR process with level shift at unknown time by
Helmut Lütkepohl(
Book
)
2 editions published in 2001 in English and held by 5 WorldCat member libraries worldwide
A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the mean of the process. It is proposed to estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and their asymptotic properties are derived. In the next step the deterministic part of the process including the shift size is estimated with a GLS procedure. Then the series are adjusted by subtracting the estimated deterministic part and a Johansen type test for the cointegrating rank is applied to the adjusted series. The test statistic is shown to have a wellknown asymptotic null distribution which does not depend on the break date. The performance of the procedure in small samples is investigated by simulations. Finally, the procedure is applied for two sets of example series to illustrate its virtue for econometric analyses.  Cointegration ; structural break ; vector autoregressive process ; error correction model
2 editions published in 2001 in English and held by 5 WorldCat member libraries worldwide
A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the mean of the process. It is proposed to estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and their asymptotic properties are derived. In the next step the deterministic part of the process including the shift size is estimated with a GLS procedure. Then the series are adjusted by subtracting the estimated deterministic part and a Johansen type test for the cointegrating rank is applied to the adjusted series. The test statistic is shown to have a wellknown asymptotic null distribution which does not depend on the break date. The performance of the procedure in small samples is investigated by simulations. Finally, the procedure is applied for two sets of example series to illustrate its virtue for econometric analyses.  Cointegration ; structural break ; vector autoregressive process ; error correction model
Testing for the cointegrating rank in the presence of level shifts by
Carsten Trenkler(
Book
)
1 edition published in 2002 in English and held by 4 WorldCat member libraries worldwide
1 edition published in 2002 in English and held by 4 WorldCat member libraries worldwide
On the identification of codependent VAR and VEC Models by
Carsten Trenkler(
)
2 editions published in 2010 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 2010 in English and held by 3 WorldCat member libraries worldwide
Testing for the cointegrating rank of a VAR process with level shift and trend break(
)
2 editions published in 2006 in English and held by 3 WorldCat member libraries worldwide
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic terms including the broken trends are removed first by a GLS procedure and a likelihood ratio type test is applied to the adjusted series. The asymptotic null distribution of the test is derived and it is shown by a Monte Carlo experiment that the test has better small sample properties in many cases than a corresponding Gaussian likelihood ratio test for the cointegrating rank.  Cointegration ; structural break ; vector autoregressive process ; error correction model
2 editions published in 2006 in English and held by 3 WorldCat member libraries worldwide
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic terms including the broken trends are removed first by a GLS procedure and a likelihood ratio type test is applied to the adjusted series. The asymptotic null distribution of the test is derived and it is shown by a Monte Carlo experiment that the test has better small sample properties in many cases than a corresponding Gaussian likelihood ratio test for the cointegrating rank.  Cointegration ; structural break ; vector autoregressive process ; error correction model
Codependent VAR Models and the PseudoStructural Form by
Carsten Trenkler(
)
1 edition published in 2012 in English and held by 3 WorldCat member libraries worldwide
1 edition published in 2012 in English and held by 3 WorldCat member libraries worldwide
Codependence and cointegration by
Carsten Trenkler(
)
2 editions published in 2009 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 2009 in English and held by 3 WorldCat member libraries worldwide
Identifying the Shocks behind Business Cycle Asynchrony in Euroland by
Carsten Trenkler(
)
1 edition published in 2012 in English and held by 3 WorldCat member libraries worldwide
1 edition published in 2012 in English and held by 3 WorldCat member libraries worldwide
The effects of ignoring level shifts on systems cointegration tests by
Carsten Trenkler(
Book
)
2 editions published in 2002 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 2002 in English and held by 3 WorldCat member libraries worldwide
Testing for codependence of nonstationary variables by
Carsten Trenkler(
)
2 editions published in 2010 in English and held by 3 WorldCat member libraries worldwide
2 editions published in 2010 in English and held by 3 WorldCat member libraries worldwide
VAR modeling for dynamic semiparametric factors of volatility strings(
)
1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low dimensional factor representation of these dynamics. This paper presents an investigation into the stochastic properties of the factor loading times series using the vector autoregressive (VAR) framework and analyzes associated movements of these factors with movements in some macroeconomic variables of the Euroeconomy.  Implied volatility surface ; dynamic semiparametric factor model ; unit root tests ; vector autoregression ; impulse responses
1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide
The implied volatility of a European option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low dimensional factor representation of these dynamics. This paper presents an investigation into the stochastic properties of the factor loading times series using the vector autoregressive (VAR) framework and analyzes associated movements of these factors with movements in some macroeconomic variables of the Euroeconomy.  Implied volatility surface ; dynamic semiparametric factor model ; unit root tests ; vector autoregression ; impulse responses
Cointegrated VARMA models and forecasting US interest rates by
Christian Kascha(
Book
)
2 editions published in 2011 in English and held by 2 WorldCat member libraries worldwide
2 editions published in 2011 in English and held by 2 WorldCat member libraries worldwide
Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms(
)
1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also considers the standard asymptotic test versions and the Johansen cointegration test for comparison.  Bootstrap ; Systems cointegration tests ; VEC models
1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also considers the standard asymptotic test versions and the Johansen cointegration test for comparison.  Bootstrap ; Systems cointegration tests ; VEC models
Are Eastern European countries catching up? : Time series evidence for Czech Republic, Hungary, and Poland(
)
1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide
The catching up process in Czech Republic, Hungary, and Poland is analyzed by investigating the integration properties of logdifferences in percapita GDP versus the EU15 and a Mediterranean country group. We account for structural changes by using unit root tests that allow for two endogenous breaks in the level and the trend. We find that Czech Republic and Hungary are stochastically converging towards the Mediterranean group, while only Czech Republic is stochastically converging towards EU15. Remaining per capita GDP differences are only reduced by deterministic trends. Extrapolating these trends we find that catching up will take about 20 years.  Stochastic convergence ; Catching Up ; Unit root tests ; EU accession
1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide
The catching up process in Czech Republic, Hungary, and Poland is analyzed by investigating the integration properties of logdifferences in percapita GDP versus the EU15 and a Mediterranean country group. We account for structural changes by using unit root tests that allow for two endogenous breaks in the level and the trend. We find that Czech Republic and Hungary are stochastically converging towards the Mediterranean group, while only Czech Republic is stochastically converging towards EU15. Remaining per capita GDP differences are only reduced by deterministic trends. Extrapolating these trends we find that catching up will take about 20 years.  Stochastic convergence ; Catching Up ; Unit root tests ; EU accession
Testing for the cointegrating rank of a VAR process with level shift and trend break by
Carsten Trenkler(
Book
)
2 editions published in 2006 in English and held by 2 WorldCat member libraries worldwide
2 editions published in 2006 in English and held by 2 WorldCat member libraries worldwide
The effects of ignoring level shifts on systems cointegration tests by
Carsten Trenkler(
)
1 edition published in 2002 in English and held by 2 WorldCat member libraries worldwide
In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl (2000b). The Monte Carlo analysis reveals that ignoring level shifts reduces the tests' sizes to zero and causes an important drop in the small sample power for increasing shift magnitudes. These observations are also reflected in two empirical applications in such a way that the tests find a cointegrating rank smaller than one suggested by procedures which accommodate the shifts.  Systems cointegration tests ; Level shifts ; Monte Carlo study
1 edition published in 2002 in English and held by 2 WorldCat member libraries worldwide
In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl (2000b). The Monte Carlo analysis reveals that ignoring level shifts reduces the tests' sizes to zero and causes an important drop in the small sample power for increasing shift magnitudes. These observations are also reflected in two empirical applications in such a way that the tests find a cointegrating rank smaller than one suggested by procedures which accommodate the shifts.  Systems cointegration tests ; Level shifts ; Monte Carlo study
Break date estimation and cointegration testing in VAR processes with level shift(
)
1 edition published in 2004 in English and held by 1 WorldCat member library worldwide
1 edition published in 2004 in English and held by 1 WorldCat member library worldwide
The Polish crawling peg system: A cointegration analysis by
Carsten Trenkler(
)
1 edition published in 2000 in English and held by 1 WorldCat member library worldwide
After a temporary period of a fixed exchange rate regime pegging the Polish zloty to the U.S. dollar, Poland established a preannounced crawling peg regime on October 15, 1991. In this system the zloty is tied to a currency basket and devalued with a preannounced monthly rate (rate of crawl). If the monetary authorities have been successful in defending the crawling peg stable longrun relationships between the Polish zloty on the one hand and the basket's value and the currencies comprising the basket on the other hand are expected to exist. I test for such longrun relationships within the cointegration framework. However, as the transition path of the Polish exchange rate was not; smooth due to discrete steep devaluations one has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for the sample period under study
1 edition published in 2000 in English and held by 1 WorldCat member library worldwide
After a temporary period of a fixed exchange rate regime pegging the Polish zloty to the U.S. dollar, Poland established a preannounced crawling peg regime on October 15, 1991. In this system the zloty is tied to a currency basket and devalued with a preannounced monthly rate (rate of crawl). If the monetary authorities have been successful in defending the crawling peg stable longrun relationships between the Polish zloty on the one hand and the basket's value and the currencies comprising the basket on the other hand are expected to exist. I test for such longrun relationships within the cointegration framework. However, as the transition path of the Polish exchange rate was not; smooth due to discrete steep devaluations one has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for the sample period under study
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