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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.
    • 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),  Testing for codependence of cointegrated variables
      Applied Economics, 45, 1953-1964.
    • 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.
    • 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 (PDF) 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. 

  • 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 (PDF)
    • 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

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