**Eldorado - Repository of the TU Dortmund**

Resources for and from Research, Teaching and Studying

### Recent Submissions

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...

We propose two data-based priors for vector error correction models. Both priors lead to highly automatic approaches which require only minimal user input. An empirical investigation reveals that Bayesian vector error correction (BVEC) models equipped with our proposed priors turn out to scale well to higher dimensions and to forecast well. In addition, we find that exploiting information in the level variables has the potential for improving long-term forecasts. Thus, working with VARs...

Classic difference-in-differences estimation relies on the validity of the "parallel trends assumption" (PTA), which ensures that the evolution of the variable of interest in the control group can be used to determine its counterfactual development in the treatment group in the absence of treatment. The plausibility of the PTA is usually assessed by a test of the null hypothesis that the difference between the means of both groups is constant over time before the treatment. However, this...

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 intrad...

In traditional pharmacokinetic (PK) bioequivalence analysis, two one-sided tests (TOST) are conducted on the area under the concentration-time curve and the maximal concentration derived using a non-compartmental approach. When rich sampling is unfeasible, a model-based (MB) approach, using nonlinear mixed effect models (NLMEM) is possible. However, MB-TOST using asymptotic standard errors (SE) presents increased type I error when asymptotic conditions do not hold. Methods : In this work, we ...

Time-varying parameter VARs have become the workhorse models in empirical macroeconomics. These models are usually equipped with tightly parametrized prior distributions which favor a small and gradual change in parameters. Do such prior distributions suppress some degree of time variation in the VAR coefficients? We address this question by proposing a exible global-local prior. It turns out that the conventional prior may suppress economically relevant patterns of time variation. Usi...

In this paper we propose statistical inference tools for the covariance operators of functional time series in the two sample and change point problem. In contrast to most of the literature the focus of our approach is not testing the null hypothesis of exact equality of the covariance operators. Instead we propose to formulate the null hypotheses in the form that "the distance between the operators is small", where we measure deviations by the sup-norm. We provide powerful bootstrap tes...

Angesichts der wachsenden klimapolitischen Herausforderungen streben viele Länder Europas bis zum Jahr 2050 eine Dekarbonisierung an, das heißt den Ausstieg aus der Nutzung fossiler Energieträger. Vor diesem Hintergrund präsentiert dieser Beitrag Prognosen des Energiebedarfs und der Energiemixe für Deutschland, Österreich und die Schweiz für das Jahr 2030 sowie einen Ausblick auf das Jahr 2050. Der Vergleich der bisherigen Energiepolitiken dieser Länder offenbart gravierende Unterschiede...

Change point detection in high dimensional data has found considerable interest in recent years. Most of the literature designs methodology for a retrospective analysis, where the whole sample is already available when the statistical inference begins. This paper takes a different point of view and develops monitoring schemes for the online scenario, where high dimensional data arrives steadily and the goal is to detect changes as fast as possible controlling at the same time the probab...

In the common time series model Xi,n = μ(i/n)+"i,n with non-stationary errors we consider the problem of detecting a significant deviation of the mean function g(μ) from a benchmark g(μ) (such as the initial value μ(0) or the average trend R 1 0 μ(t)dt). The problem is motivated by a more realistic modelling of change point analysis, where one is interested in identifying relevant deviations in a smoothly varying sequence of means (μ(i/n))i=1,...,n and cannot assume that the sequence is piece...

### 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 [544]

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