Publications
- Nonparametric Regression for Locally Stationary Time Series. Annals of Statistics (40) 2601-2633. Paper. More technical details and an application to financial data can be found in the Technical Report. Here are some additional Simulations.
- Nonparametric Estimation of a Periodic Sequence in the Presence of a Smooth Trend. (with Oliver Linton). Biometrika (101) 121-140. Paper. The R code for the empirical part of the paper can be found here.
- Detecting Gradual Changes in Locally Stationary Processes. (with Holger Dette). Annals of Statistics (43) 713-740. Paper. More technical details and simulations can be found in the Supplementary Material.
- A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects. (with Oliver Linton and Lena Koerber). Journal of Econometrics (188) 327-345. Paper. Additional details are in the Supplementary Material.
- The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market. (with Oliver Linton and Lena Koerber). Journal of Applied Econometrics (31) 192-213. Paper. This is the empirical companion paper to "A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects". Additional details can be found in the Supplementary Material.
- Testing for Structural Change in Time-Varying Nonparametric Regression Models. Econometric Theory (31) 811-859. Paper.
- Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data. (with Enno Mammen and Matthias Fengler). Journal of Econometrics (188) 196-218. Paper.
- Classification of Nonparametric Regression Functions in Longitudinal Data Models. (with Oliver Linton). Journal of the Royal Statistical Society: Series B (79) 5-27. Paper. More technical details can be found in the Supplementary Material. The R code for the simulations can be found here.
- Estimating Nonlinear Additive Models with Nonstationarities and Correlated Errors. (with Christopher Walsh). Scandinavian Journal of Statistics (46) 160-199. Paper.
- On the Differences between L2-Boosting and the Lasso. Forthcoming in Statistics & Probability Letters. Paper.
- Multiscale Inference and Long-Run Variance Estimation in Nonparametric Regression with Time Series Errors. (with Marina Khismatullina). Forthcoming in Journal of the Royal Statistical Society: Series B. Paper and Supplement.
- Multiscale Clustering of Nonparametric Regression Curves. (with Oliver Linton). Forthcoming in Journal of Econometrics. Paper and Supplement. The R code for the paper can be found here.
Preprints
Clustering with Statistical Error Control. (with Matthias Schmid). Paper. The technical details are in the Supplementary Material. The R code can be found here.
Calender Effect and Continuous Chain Ladder. (with Enno Mammen, Maria Dolores Martinez-Miranda and Jens Nielsen).
