Research focuses

Panel Data Analysis, Time Series Analysis, Forecasting, Financial Econometrics

Curriculum vitae

• Since 2014 full professor (W3) of econometrics, University of Cologne
• 2011 - 2015 Scientific Consultant for the German Institute of Economic Research (DIW)
• 2002 - 2014 Full Professor (C4) of Econometrics, University of Bonn
• 2002 - 2018 Research Professor of the German Bundesbank, Frankfurt
• 2002  Full Professur (C3) of Econometrics, University of Göttingen
• 2001  Visiting Professor (Lehrstuhlvertretung) ML University of Munich
• 2000  Habilitation, Humboldt University Berlin
• 1994 - 2002  Lecturer (Hochschulassistent), Humboldt-University of Berlin
• 1993  Postdoc at the Tinbergen Institute, University of Amsterdam
• 1992 - 1993 Lecturer (Hochschulassistent), University of Hannover
• 1992  Dr. rer. pol., (PhD) University of Hannover
• 1987 -  1992  Research Assistant (Wissenschaftlicher Mitarbeiter), University of Hannover
• 1987  Dipl.-Ökonom (Master) University of Hannover

Editorial Board Membership

• Associate Editor of the International Journal of Forecasting (2019-)
• Associate Editor of Journal of Business and Economic Statistics (2017-)
• Associate Editor of Econometric Reviews (2014-)
• Associate Editor of Economics Letters  (2012-)
• Associate Editor of Econometric Journal (2012-)
• Associate Editor of Empirical Economics (2003-2011)
• Associate Editor of Computational Statistics (2003-2015)

Selected publications

• Entire list of publications can be viewed here
• Alternative GMM Estimators for Spatial Regression Models (joint with Christoph Wigger), Spatial Economic Analysis, 13 (2018), No.2, 148-170.
• Assessing Causality and Delay within a Frequency Band (joint with Sven Schreiber), Econometrics and Statistics, 6 (2018), 57-73.
• LM-type tests for slope homogeneity in panel data models (joint with Nazarii Salish and Christoph Roling), Econometrics Journal, 19 (2016), 166-202.
• Testing for Serial Correlation in Fixed Effects Panel Data Models, (with Benjamin Born), Econometric Reviews, 35 (2016), 1290-1316
• A simple model for now-casting volatility series (with Christian Hafner), International Journal of Forecasting, 32 (2016) 1247–1255
• Instrumental Variable and Variable Addition Based Inference in Predictive Regressions" (with Matei Demetrescu), Journal of Econometrics, 187 (2015), 358–375
• Lessons from a Decade of IPS and LLC (with Joakim Westerlund), Econometric Reviews, 32 (2013), 547-591
• GLS estimation of dynamic factor models, (with Jörn Tenhofen), Journal of the American Statistical Association, 106 (2011), 1150–1166.
• Testing for structural breaks in dynamic factor models, (with Sandra Eickmeier), Journal of Econometrics(2011),163, 71–84, 2011
• Simple Regression Based Tests for Spatial Dependence, (with Benjamin Born), Econometrics Journal, 14 (2011), 330-342.
• Testing for Unit Roots in Panels with a Factor Structure, (with Samarjit Das), Econometric Theory, 24 (2008), 88-108
• Testing for short- and long-run causality: A frequency domain approach, (with Bertrand Candelon), Journal of Econometrics, 12 (2006), 363-378
• A Residual-Based LM Type Test Against Fractional Cointegration, (with Uwe Hassler), Econometric Theory, 22 (2006), 1091-1111
• Nonparametric Tests for Unit Roots and Cointegration, Journal of Econometrics, 108 (2002), 343-363
• On the Properties of Some Tests for Common Stochastic Trends, (with Carsten Trenkler), Econometric Theory, 18 (2002), 1336-1349
• Inference on the Cointegration Rank in Fractionally Integrated Processes, (with Uwe Hassler), Journal of Econometrics, 110 (2002), 167-185

Recent working paper

• Recent working papers here