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The power of unit root tests against nonlinear local alternatives
Demetrescu, Matei; Kruse, Robinson - 2012
Persistent link: https://www.econbiz.de/10009408480
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Linearity testing for trending data with an application of the wild bootstrap
Kruse, Robinson; Sandberg, Rickard - In: Essays in nonlinear time series econometrics, (pp. 57-89). 2014
Persistent link: https://www.econbiz.de/10010385314
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Discriminating between fractional integration and spurious long memory
Haldrup, Niels; Kruse, Robinson - 2014
Persistent link: https://www.econbiz.de/10010372529
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A modified test against spurious long memory
Kruse, Robinson - In: Economics letters 135 (2015), pp. 34-38
Persistent link: https://www.econbiz.de/10011434828
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Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016
Persistent link: https://www.econbiz.de/10011474820
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Interest rate convergence in the EMS prior to European Monetary Union
Frömmel, Michael; Kruse, Robinson - In: Journal of policy modeling : JPMOD ; a social science … 37 (2015) 6, pp. 990-1004
Persistent link: https://www.econbiz.de/10011478733
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Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei; Hanck, Christoph; Kruse, Robinson - 2016
Persistent link: https://www.econbiz.de/10011409125
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Interest Rate Convergence in the EMS Prior to European Monetary Union
Frömmel, Michael - 2009
In this paper we analyze the convergence of interest rates in the European MonetarySystem (EMS) in a framework of changing persistence. This allows us to estimate the exact date of full convergence from the data. A change in persistence means that a time series switches from stationarity to...
Persistent link: https://www.econbiz.de/10013159293
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Time-varying persistence in real oil prices and its determinant
Kruse, Robinson; Wegener, Christoph - In: Energy economics 85 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012510274
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Unit roots, non-linearities and structural breaks
Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; … - In: Handbook of research methods and applications in …, (pp. 61-94). 2013
Persistent link: https://www.econbiz.de/10010206847