**Eldorado - Repository of the TU Dortmund**

Resources for and from Research, Teaching and Studying

### Recent Submissions

Given the dramatic changes triggered by the Corona pandemic, the question arises whether it has displaced people’s concerns about climate change and whether Corona-related financial losses among affected households can influence their assessment of climate change. Based on a survey among more than 6,000 German household heads conducted in the period spanning from May 18 to June 14, 2020, this paper provides empirical evidence on the impact of the pandemic on perceptions of climate change ...

In many forecast evaluation applications, standard tests (e.g., Diebold and Mariano, 1995) as well as tests allowing for time-variation in relative forecast ability (e.g., Giacomini and Rossi, 2010) build on heteroskedasticity-and-autocorrelation consistent (HAC) covariance estimators. Yet, the finite-sample performance of these asymptotics is often poor. "Fixed-b" asymptotics (Kiefer and Vogelsang, 2005), used to account for long-run variance estimation, improve finitesample performance...

In a seminal paper Abadie and Imbens (2008) showed that the limiting variance of the classi- cal nearest neighbor matching estimator cannot be consistently estimated by a naive Efron-type bootstrap. Specifically, they show that the conditional variance of the Efron-type boostrap es- timator does not converge to the correct limit in expectation. In essence this is due to drawing with replacement such that original observations appear more than once in the bootstrap sample with positive pr...

We show that polynomials do not belong to the reproducing kernel Hilbert space of infinitely differentiable translation-invariant kernels whose spectral measures have moments corresponding to a determinate moment problem. Our proof is based on relating this question to the problem of best linear estimation in continuous time one-parameter regression models with a stationary error process defined by the kernel. In particular, we show that the existence of a sequence of estimators with va...

In recent years, Cascade Autoregression (CAR) models enjoy increasing popularity in applied econometrics. This is due to the fact that they are able to approximate both short- and long-memory processes and are easy to implement. However, their model order, namely the timing of the steps, relies on ad-hoc decisions rather than being data-driven. In this paper, techniques for model order selection of CAR models in finite samples are presented. The approaches are evaluated in an extensive si...

We consider the problem of designing experiments for the comparison of two regression curves describing the relation between a predictor and a response in two groups, where the data between and within the group may be dependent. In order to derive effi- cient designs we use results from stochastic analysis to identify the best linear unbiased estimator (BLUE) in a corresponding continuous time model. It is demonstrated that in general simultaneous estimation using the data from both grou...

Die Bereitschaft, freiwillige Zahlungen zum Ausgleich von CO2- Emissionen zu leisten, etwa bei Flügen, hat in den vergangenen Jahren erheblich zugenommen. Eine Möglichkeit, diese Kompensationsbereitschaft weiter zu erhöhen, besteht in der Aktivierung einer sozialen Norm, indem darauf aufmerksam gemacht wird, dass ein Emissionsausgleich gesellschaftlich erwünscht ist. Vor diesem Hintergrund untersucht dieser Beitrag die Bereitschaft, die durch Flugreisen verursachten CO2- Emissionen durc...

A large proportion of local pollutants originating from the road transport sector is generated during the so-called cold-start phase of driving, that is, the first few minutes of driving after a car has stood inactive for several hours. Drawing on data from the German Mobility Panel (MOP), this paper analyzes the factors that affect the frequency of cold starts, approximated here by the number of car tours that a household takes over the course of a week. Based on fixed-effects panel es...

Tuning parameter choices complicate statistical inference in cointegrating regressions and affect finite sample distributions of test statistics. As commonly used asymptotic theory fails to capture these effects, tests often suffer from severe size distortions. We propose a novel self-normalized test statistic for general linear hypotheses, which avoids the choice of tuning parameters. Its limiting null distributions is nonstandard, but simulating asymptotically valid critical values is...

This study analyzes the interdependence of monetary policy and the stock market in a structural VAR model. We argue that commonly used short- and long-run restrictions on the interaction of both variables might not hold and propose an estimator not requiring any of these restrictions on the interaction of monetary policy and the stock market. The proposed estimator combines a data driven and restriction based identification approach. In particular, the estimator allows the researcher to ...

As immigration to Europe has increased, so has support for extremist parties. While many studies have examined the effect of immigration on election outcomes, few have probed the effect of asylum seekers – those fleeing strife and persecution – on voting, nor has there been much research on the mediating role of local economic conditions. Drawing on county level panel data from Germany, our study fills both gaps. We find that economic circumstances, as measured by the unemployment rate a...

Increasing energy efficiency is a key global policy goal for climate protection. An important step towards an optimal reduction of energy consumption is the identification of energy saving potentials in different sectors and the best strategies for increasing efficiency. This paper analyzes these potentials in the household sector by estimating the degree of inefficiency in the use of electricity and its determinants. Using stochastic frontier analysis and disaggregated household data, w...

The paper has two main contributions. First, weak convergence results are derived from sampling moments of processes that contains a unit root at an arbitrary frequency, where, in contrast to the previous literature, the proofs are mainly based on algebraic manipulations and well known weak convergence results for martingale difference sequences. These convergence results are used to derive the limiting distribution of the ordinary least squares estimator for unit root autoregressions. A...

Many economic time series exhibit persistent seasonal patterns. One approach to model this phenomenon is given by models including seasonal unit roots and, if several time series are considered jointly, seasonal cointegration. For quarterly time series, e.g., unit roots may be present at frequencies =2 and , in addition to the “standard unit root” at frequency zero. Gregoir (2010) has extended the fully modified OLS estimator of Phillips and Hansen (1990) from the cointegrating regres...

Motivated by the need to statistically quantify differences between modern (complex) datasets which commonly result as high-resolution measurements of stochastic processes varying over a continuum, we propose novel testing procedures to detect relevant differences between the second order dynamics of two functional time series. In order to take the between-function dynamics into account that characterize this type of functional data, a frequency domain approach is taken. Test statistics are d...

Recent research suggests that households would increase their electricity consumption in the aftermath of installing photovoltaics (PV) panels, a behavioral change commonly referred to as the solar rebound. Drawing on panel data originating from the German Residential Energy Consumption Survey (GRECS), we employ panel estimation methods and the dynamic system estimator developed by Blundell and Bond (1998) to investigate the solar rebound effect, thereby accounting for simultaneity and ...

This article discusses cointegration tests for nonlinear cointegration in the presence of variance breaks in the errors. We build on approaches of Cavaliere and Taylor (2006, Journal of Time Series Analysis) for heteroskedastic cointegration tests and of Choi and Saikkonen (2010, Econometric Theory) for nonlinear cointegration tests. We propose a bootstrap test and prove its consistency. A Monte Carlo study shows the approach to have appealing finite sample properties and to work better...

The Portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations from a locally stationary functional time series. Asymptotic critical values are obtained by a suitable block multiplier bootstrap procedure. The test is shown to asymptotically hold its level and to be consistent against general alternatives.

In this note we consider the optimal design problem for estimating the slope of a polynomial regression with no intercept at a given point, say z. In contrast to previous work, which considers symmetric design spaces we investigate the model on the interval [0; a] and characterize those values of z, where an explicit solution of the optimal design is possible.

Diurnal ﬂuctuations in volatility are a well-documented stylized fact of intraday price data. We investigate how this intraday periodicity (IP) aﬀects both ﬁnite sample as well as asymptotic properties of several popular realized estimators of daily integrated volatility which are based on functionals of M intraday returns. We demonstrate that most of the estimators considered in our study exhibit a ﬁnite-sample bias due to IP, which can however get negligible if the number of intraday r...

### Collections in this community

#### Sonderforschungsbereich (SFB) 475 [595]

Reduction of Complexity for Multivariate Data Structures

#### Sonderforschungsbereich (SFB) 531 [249]

Design und Management komplexer technischer Prozesse und Systeme mit Methoden der Computational Intelligence

#### Sonderforschungsbereich (SFB) 559 [64]

Modellierung grosser Netze in der Logistik

#### Sonderforschungsbereich (SFB) 823 [553]

Nichtlineare dynamische Modelle in Wirtschaft und Technik

#### Sonderforschungsbereich (SFB) 876 [92]

Verfügbarkeit von Information durch Analyse unter Ressourcenbeschränkung

#### Sonderforschungsbereich (SFB) Transregio 10 [0]

Integration von Umformen, Trennen und Fügen für die flexible Fertigung von leichten Tragwerkstrukturen