Research
Research Interests
- Time Series Analysis
- High-Dimensional Econometrics
- Bootstrapping
- Cointegration Analysis
Publications
- Krampe, J., Paparoditis, E., and Trenkler, C. (2023), Structural inference in sparse high-dimensional vector autoregressions
Journal of Econometrics, 234, 276–300. - Hutter, C., J., Carbonero, F., Klinger, S., Trenkler, C., and Weber, E. (2022), Which factors are behind Germany's labour market upswing? A data-driven approach
Oxford Bulletin of Economics and Statistics, 84, 1052-1076. - Trenkler, C. and Weber, E. (2020), Identifying shocks to business cycles with asynchronous propagation
Empirical Economics, 58, 1815-1836. - Brüggemann, R., Jentsch, C., and Trenkler, C. (2016), Inference in VARs with conditional heteroskedasticity of unknown form
Journal of Econometrics, 191, 69–85.
- Trenkler, C. and Weber, E. (2016), On the identification of multivariate uncorrelated unobserved components models
Economics Letters, 168, 15–18.
- Kascha, C. and Trenkler, C. (2015), Simple identification and specification of cointegrated VARMA models
Journal of Applied Econometrics, 30, 675–702.
- Cavaliere, G., Taylor, A.M.R., and Trenkler, C. (2015), Bootstrap co-integration rank testing: the effect of bias-correcting parameter estimates
Oxford Bulletin of Economics and Statistics, 77, 740–759.
- Cavaliere, G., Taylor, A.M.R., and Trenkler, C. (2013), Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
Econometric Reviews, 32, 814–847.
- Trenkler, C. and Weber, E. (2013), Codependent VAR models and the pseudo structural form
Advances in Statistical Analysis, 97, 287–295.
- Trenkler, C. and Weber, E. (2013), Testing for codependence of cointegrated variables
Applied Economics, 45, 1953-1964.
- Kascha, C. and Trenkler, C. (2011), Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
Computational Statistics and Data Analysis, 55, 1008-1017.
- Trenkler, C. (2009), Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Econometric Theory, 25, 243–269.
- Brüggemann, R., Härdle, W., Mungo, J., and Trenkler, C. (2008), VAR modeling for dynamic loadings driving volatility strings
Journal of Financial Econometrics, 6, 361–381.
- Trenkler, C., Saikkonen, P., and Lütkepohl, H. (2008), Testing for the cointegrating rank of a VAR process with level shift and trend break
Journal of Time Series Analysis, 29, 331–358. - Trenkler, C. (2008), Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms
Computational Statistics, 23, 19–39. - Brüggemann, R. and Trenkler, C. (2007), Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland
Applied Economics Letters, 14. 245–249. - Saikkonen, P., Lütkepohl, H., and Trenkler, C. (2006), Break date estimation for VAR processes with level shift with an application to cointegration testing
Econometric Theory, 22, 15–68.
- Trenkler, C. and Wolf, N. (2005), Economic integration across borders: the Polish interwar economy 1921-1937
European Review of Economic History, 9, 199–231.
- Trenkler, C. (2005), The effects of ignoring level shifts on systems cointegration tests
Allgemeines Statistisches Archiv, 89, 279–300.
- Lütkepohl, H., Saikkonen, P., and Trenkler, C. (2004), Testing for the cointegrating rank of a VAR process with a level shift at unknown time
Econometrica, 72, 647–662.
- Trenkler, C. (2003), The Polish exchange rate system: a unit root and cointegration analysis
Empirical Economics, 28, 839–860.
- Trenkler, C. (2003), A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms
Economics Bulletin 3, 1–9.
- Lütkepohl, H., Saikkonen, P., and Trenkler, C. (2003), Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Journal of Ecomometrics, 113, 201–229.
- Breitung, J. and Trenkler, C. (2002), On the properties of some tests for common stochastic trends
Econometric Theory 18, 1336-1349.
- Lütkepohl, H., Saikkonen, P., and Trenkler, C. (2001), Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Econometrics Journal, 4, 287–310.
- Krampe, J., Paparoditis, E., and Trenkler, C. (2023), Structural inference in sparse high-dimensional vector autoregressions
Discussion and Working Papers
- Impulse Response Analysis for Sparse High-Dimensional Time Series
arXiv:2007.15535 (2020) (jointly with Jonas Krampe and Efstathios Paparoditis) - Which factors are behind Germany's labour market upswing?
IAB-Discussion Paper 20–2019 (2019), IAB Nuremberg (jointly with Christian Hutter, Sabine Klinger and Enzo Weber), PDF file - On the identification of multivariate uncorrelated unobserved components models
Working Paper ECON 15–12 (2015), University of Mannheim, Department of Economics (jointly with Enzo Weber), PDF file
- Forecasting VARs, model selection, and shrinkage
Working Paper ECON 15–07 (2015), University of Mannheim, Department of Economics (jointly with Christian Kascha), PDF file
- Inference in VARs with conditional heteroskedasticity of unknown form
Working Paper ECON 14–21 (2014), University of Mannheim, Department of Economics (jointly with Ralf Brüggemann and Carsten Jentsch), PDF file
- Bootstrap co-integration rank testing: The effect of bias-correcting parameter estimates
Working Paper ECON 13–06 (2013), University of Mannheim, Department of Economics (jointly with Giuseppe Cavaliere and A.M. Robert Taylor), PDF file
- Identifying shocks behind business cycle asynchrony in Euroland
Working Paper ECON 12–11 (2012), University of Mannheim, Department of Economics (jointly with Enzo Weber), PDF file
- Codependent VAR models and the pseudo-structural form
Working Paper ECON 12–10 (2012), University of Mannheim, Department of Economics (jointly with Enzo Weber) PDF file
- Cointegrated VARMA models and forecasting US interest rates
Working Paper No. 33 (2011), University of Zurich, Department of Economics (jointly with Christian Kascha) PDF file, Gauss programs (zip)
- Testing for codependence of non-stationary variables
Economics Discussion Paper No. 446 (2010), University of Regensburg (jointly with Enzo Weber) PDF file
- Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
Granger Center Discussion Paper No. 10/04 (2010), The University of Nottingham (jointly with Giuseppe Cavaliere and A. M. Robert Taylor) PDF file
- Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
Working Paper 2009–12 (2009), Norges Bank (jointly with Christian Kascha) PDF file
- Testing for the cointegrating rank of a VAR Process with level shift and trend break
SFB 649 Discussion Paper 2006–067 (2006), Humboldt-Universität zu Berlin (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file
- Bootstrapping systems cointegration tests with a prior adjustment of deterministic terms
SFB 649 Discussion Paper 2006–012 (2006), Humboldt-Universität zu Berlin PDF file
- VAR modeling for dynamic semiparametric factors of volatility strings
SFB 649 Discussion Paper 2006–011 (2006), Humboldt-Universität zu Berlin (jointly with Ralf Brüggemann, Wofgang Härdle, and Julius Mungo) PDF file
- Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland
SFB 649 Discussion Paper 2005–014 (2005), Humboldt-Universität zu Berlin (jointly with Ralf Brüggemann) PDF file
- Break date estimation and cointegration testing in VAR processes with level shift
EUI Working Paper ECO No. 2004/21 (2004), European University Institute, Florence (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file , Short version
- Economic integration across borders: the Polish interwar economy 1921-1937
CASE Discussion Paper 38 (2004), Humboldt-Universität zu Berlin (jointly with Nikolaus Wolf) PDF file /li>
- Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms
CASE Discussion Paper 37 (2004), Humboldt-Universität zu Berlin PDF file
- Economic integration in interwar Poland – A threshold cointegration analysis of the law of one price for poland 1924-1937
EUI Working Paper ECO No. 2003/5 (2003), European University Institute, Florence (jointly with Nikolaus Wolf) PDF file
- The effects of ignoring level shifts on systems cointegration tests
Discussion Paper 68 (2002), SFB 373, Humboldt-Universität zu Berlin PDF file
- Testing for the cointegrating rank of a VAR process with a level shift at unknown time
Discussion Paper 63 (2001), SFB 373, Humboldt-Universität zu Berlin (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file
- The Polish exchange rate system: A cointegration analysis
mimeo (2001), Humboldt-Universität zu Berlin PDF file
- On the properties of some tests for common stochastic trends
mimeo (2001), Humboldt-Universität zu Berlin (jointly with Jörg Breitung) PDF file
- Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
Discussion Paper 83 (2000), SFB 373, Humboldt-Universität zu Berlin (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file
- The Polish crawling peg system: A cointegration analysis
Discussion Paper 71 (2000), SFB 373, Humboldt-Universität zu Berlin PDF file
- Comparison of tests for the cointegrating rank of a VAR process with a structural shift
Discussion Paper 10 (2000), SFB 373 , Humboldt-Universität zu Berlin (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file
- Impulse Response Analysis for Sparse High-Dimensional Time Series