• Time series analysis and theoretical statistics/econometrics
  • Structural VAR models
  • Climate econometrics
  • Quantitative sustainability


Data-driven identification in SVARs – When and how can statistical characteristics be used to unravel causal relationships?
with H. Herwartz and A. Lange (2021), accepted at Economic Inquiry

The link between monetary policy, stock and house prices - Evidence from a statistical identification approach
with H. Herwartz and H. Rohloff (2021), accepted at International Journal of Central Banking

Identification of structural multivariate GARCH models
with C. Hafner and H. Herwartz (2020), in press at Journal of Econometrics

svars: An R Package for Data-Driven Identification in Multivariate Time Series Analysis
with A. Lange, B. Dalheimer and H. Herwartz (2021), Journal of Statistical Software

Identification of independent structural shocks in the presence of multiple Gaussian components
(2020), Econometrics and Statistics

Nonparametric Tests for Independence - A Review and Comparative Simulation Study with an Application to Malnutrition Data in India
with H. Herwartz (2020), Statistical Papers

Heteroskedasticity-robust unit root testing for trending panels
with H. Herwartz and Y. Walle (2019), Journal of Time Series Analysis

Panel unit root tests for heteroskedastic panels
with H. Herwartz, F. Raters and Y. Walle (2018), The Stata Journal

Working papers and projects

A panel SVAR for European climate policy

The dynamic relation of income inequality and the environment with F. Dorn

The nonlinear dependence of income inequality and carbon emissions: potentials for a sustainable future
with F. Dorn and T. Kneib (2021), doi: 10.2139/ssrn.3800302

Energy, emissions and growth in Sub-Saharan Africa: Evidence from statistically identified panel SVECMs
(slides and preliminary working paper on request)

Set identification of structural impulse responses in non-Gaussian VARs with an assessment of Keynesian asymmetry
with H. Herwartz (2019)

Statistical Identification in SVARs - Monte Carlo Experiments and a Comparative Assessment of the Role of Economic Uncertainties for the US Business Cycle
with H. Herwartz and A. Lange (2019), cege working paper No. 375

Lean Against the Wind or Float With the Storm? Revisiting the Monetary Policy Asset Price Nexus by Means of a Novel Statistical Identification Approach
with H. Herwartz and H. Rohloff (2018), cege working paper No. 354