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Contact

Room: 105/06

Office hour: only by appointment during the summer break

Phone: +49-621-181-1852

Fax: +49-621-181-1931

E-mail: trenkler<at>uni-mannheim.de

CV


Education

  • Humboldt Universität zu Berlin, Department of Economics, Ph.D.,1999-2002
    Topic: Testing for the Cointegrating Rank in the Presence of Level Shifts
  • Humboldt Universität zu Berlin, Diplom in Economics (with honours), 1996-1998, 1999
  • Stockholm University, Department of Economics, Visiting Student, 1998
  • Technical University Berlin, Vordiplom in Economics, 1994-1996

   
Academic and  Research Positions

  • Professor for Empirical Economics, University of Mannheim, Department of Economics, 2007-present
  • Guest Professor for Empirical Economics, University of Mannheim, Department of Economics, 2006-2007
  • Guest Professor for Econometrics, University of Mannheim, Department of Economics 2005-2006
  • Research and Teaching Assistant, Humboldt-Universität zu Berlin, Institute for Statistics and Econometrics, 2000-2006
  • Guest Professor, Rheinische Friedrichs-Wilhelm-Universität Bonn, Department of Statistics, 2004
  • Jean Monnet Fellow, European University Institute, Florence, Department of Economics, 2002-2003
  • Research Assistant, Humboldt-Universität zu Berlin, National Research Center "Quantification and Simulation of Economic Processes" (SFB 373), 1999-2002
  • Student Research Assistant, Humboldt-Universität zu Berlin, Institute for Statistics and Econometrics, 1997-1998, 1999
  • Research Internship, German Institute for Economic Research, Berlin, 1997

 

Research

Professional Interests

  • Univariate and Multiple Time Series Analysis
  • Cointegration Analysis
  • Bootstrapping Cointegration Tests
  • Threshold Models
  • Economic Integration and Border Effects
  • Exchange Rate Policy

 
Publications

  • Kascha, C. and Trenkler, C. (2013), Simple Identification and Specification of Cointegrated VARMA Models
    Journal of Applied Econometrics, forthcoming.
  • Cavaliere, G., Taylor, A.M.R., and Trenkler, C. (2013), Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
    Econometric Reviews, 32, 814-847.
  • Trenkler, C. and Weber, E. (2013), Testing for codependence of cointegrated variables
    Applied Economics, 45, 1953-1964.
  • Trenkler, C. (2009), Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
    Econometric Theory, 25, 243-269.
  • Brüggemann, R., Härdle, W., Mungo, J., and Trenkler, C. (2008), VAR modeling for dynamic loadings driving volatility strings
    Journal of Financial Econometrics, 6, 361-381.
  • Trenkler, C., Saikkonen, P., and Lütkepohl, H. (2008), Testing for the cointegrating rank of a VAR process with level shift and trend break
    Journal of Time Series Analysis, 29, 331-358.
  • Trenkler, C. (2008), Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms
    Computational Statistics
    , 23, 19-39.

  • Brüggemann, R. and Trenkler, C. (2007), Are Eastern European countries catching up? Time series evidence for Czech Republic, Hungary, and Poland
    Applied Economics Letters
    , 14. 245-249.
  • Saikkonen, P., Lütkepohl, H., and Trenkler, C. (2006), Break date estimation for VAR processes with level shift with an application to cointegration testing
    Econometric Theory
    , 22, 15-68.
  • Lütkepohl, H., Saikkonen, P., and Trenkler, C. (2004), Testing for the cointegrating rank of a VAR process with a level shift at unknown time
    Econometrica
    , 72, 647-662.
  • Trenkler, C. (2003), The Polish exchange rate system: a unit root and cointegration analysis
    Empirical Economics
    , 28, 839-860.
  • Trenkler, C. (2003), A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms
    Economics Bulletin
    3, 1-9.
  • Lütkepohl, H., Saikkonen, P., and Trenkler, C. (2003), Comparison of tests for the cointegrating rank of a VAR process with a structural shift
    Journal of Ecomometrics
    , 113, 201-229.
  • Breitung, J. and Trenkler, C. (2002), On the properties of some tests for common stochastic trends
    Econometric Theory
    18, 1336-1349.
  • Lütkepohl, H., Saikkonen, P., and Trenkler, C. (2001), Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
    Econometrics Journal, 4, 287-310. 

 
Discussion and Working Papers

  • Bootstrap co-integration rank testing: The effect of bias-correcting parameter estimates
    Working Paper ECON 13-06 (2013), University of Mannheim, Department of Economics (jointly with Giuseppe Cavaliere and A.M. Robert Taylor), PDF file
  • Identifying Shocks Behind Business Cycle Asynchrony in Euroland
    Working Paper ECON 12-11 (2012), University of Mannheim, Department of Economics (jointly with Enzo Weber), PDF file
  • Codependent VAR Models and the Pseudo-Structural Form
    Working Paper ECON 12-10 (2012), University of Mannheim, Department of Economics (jointly with Enzo Weber) PDF file
  • Cointegrated VARMA models and forecasting US interest rates
    Working Paper No. 33 (2011), University of Zurich, Department of Economics (jointly with Christian Kascha) PDF file, Gauss programs (zip)
  • Testing for codependence of non-stationary variables
    Economics Discussion Paper No. 446 (2010), University of Regensburg (jointly with Enzo Weber) PDF file
  • Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
    Granger Center Discussion Paper No. 10/04 (2010), The University of Nottingham (jointly with Giuseppe Cavaliere and A. M. Robert Taylor) PDF file
  • Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
    Working Paper 2009-12 (2009), Norges Bank (jointly with Christian Kascha) PDF file
  • Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
    SFB 649 Discussion Paper 2006-067 (2006), Humboldt-Universität zu Berlin (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file
  • Bootstrapping Systems Cointegration Tests With a Prior Adjustment of Deterministic Terms
    SFB 649 Discussion Paper 2006-012 (2006), Humboldt-Universität zu Berlin PDF file
  • VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
    SFB 649 Discussion Paper 2006-011 (2006), Humboldt-Universität zu Berlin (jointly with Ralf Brüggemann, Wofgang Härdle, and Julius Mungo) PDF file
  • Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland
    SFB 649 Discussion Paper 2005-014 (2005), Humboldt-Universität zu Berlin (jointly with Ralf Brüggemann) PDF file
  • Break Date Estimation and Cointegration Testing in VAR Processes with Level Shift
    EUI Working Paper ECO No. 2004/21 (2004), European University Institute, Florence (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file , Short version
  • Economic Integration Across Borders: The Polish Interwar Economy 1921-1937
    CASE Discussion Paper 38 (2004), Humboldt-Universität zu Berlin (jointly with Nikolaus Wolf) PDF file /li>
  • Determining p-values for Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
    CASE Discussion Paper 37 (2004), Humboldt-Universität zu Berlin PDF file
  • Economic Integration in Interwar Poland - A Threshold Cointegration Analysis of the
    Law of One Price for Poland 1924-1937

    EUI Working Paper ECO No. 2003/5 (2003), European University Institute, Florence (jointly with Nikolaus Wolf) PDF file
  • The Effects of Ignoring Level Shifts on Systems Cointegration Tests
    Discussion Paper 68 (2002), SFB 373, Humboldt-Universität zu Berlin PDF file
  • Testing for the Cointegrating Rank of a VAR Process with a Level Shift at Unknown Time
    Discussion Paper 63 (2001), SFB 373, Humboldt-Universität zu Berlin (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file
  • The Polish Exchange Rate System: A Cointegration Analysis
    mimeo (2001), Humboldt-Universität zu Berlin PDF file
  • On the Properties of Some Tests for Common Stochastic Trends
    mimeo (2001), Humboldt-Universität zu Berlin (jointly with Jörg Breitung) PDF file
  • Maximum Eigenvalue Versus Trace Tests for the Cointegrating Rank of a VAR Process
    Discussion Paper 83 (2000), SFB 373, Humboldt-Universität zu Berlin (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file
  • The Polish Crawling Peg System: A Cointegration Analysis
    Discussion Paper 71 (2000), SFB 373, Humboldt-Universität zu Berlin PDF file
  • Comparison of Tests for the Cointegrating Rank of a VAR Process with a Structural Shift
    Discussion Paper 10 (2000), SFB 373 , Humboldt-Universität zu Berlin (jointly with Helmut Lütkepohl and Pentti Saikkonen) PDF file

  
Ph.D. Thesis

  • Testing for the Cointegrating Rank in the Presence of Level Shifts (2002)
    Shaker Verlag, Aachen PDF file

 

 Referee Activities

  • Referee for Annals of Statistics, Bulletin of Economic Research, Canadian Journal of Economics, Computational Statistics, Computational Statistics and Data Analysis, Econometrica, Econometric Reviews, Econometrics Journal, Economica, Economics Bulletin, Empirical Economics, European Review of Agricultural Economics, European Review of Economic History, International Economic Review, Journal of Comparative Economics, Journal of Economics and Statistics, Journal of Econometrics, Journal of Forecasting, Journal of Time Series Analysis, Journal of Time Series Econometrics, Louvain Economic Review, Macroeconomic Dynamics, Oxford Bulletin of Economics and Statistics, Schweizerische Zeitschrift für Volkswirtschaft und Statistik, Statistical Methods and Application, Statistical Papers, Studies in Nonlinear Dynamics and Econometrics, Review of Economics and Statistics, Tourism Management


Teaching Experience  

  • Principles of Economics (Lecture: Macroeconomics, Bachelor), Autumn Terms 2011-2013 (University of Mannheim)
  • Advanced Econometrics II (Lecture and Exercises, PhD), Spring Terms 2010, 2011 (University of Mannheim)
  • Multiple Time Series Analysis (Lecture and Exercises, graduates and PhD students), Spring Terms 2007-2012 (University of Mannheim), Winter Term 2006/2007 (University of Konstanz)
  • Applied Econometrics (Seminar, Bachelor) Autumn Terms 2008-2012
  • Advanced Time Series Analysis (Lecture and Exercises, PhD), Autumn Term 2010-2013, Spring Term 2009 (University of Mannheim)
  • Basic Econometrics (Lecture, Bachelor), Spring Terms 2008, 2009, 2010, Winter Term 2005/2006 (University of Mannheim)
  • Time Series Analysis (Lecture and Exercises, Bachelor), Spring Terms 2008, 2009 (University of Mannheim)
  • Economic Forecasting (Lecture and Exercises, Diploma), Spring Term 2008 (University Mannheim)
  • Econometrics II (Lecture and Exercises, PhD), Autumn Term 2007, 2008 (University Mannheim)
  • Nonlinear and Nonparametrics Time Series Analysis (Seminar, graduates), Spring Term 2007 (University of Mannheim)
  • Empirical Economics (Lecture, undergraduates), Spring Term 2007 (University of Mannheim)
  • Econometrics: Probability and Asymptotic Theory (Lecture and Exercises, Ph.D. students), Autumn Term 2006 (University Mannheim)
  • Econometric Analysis of Financial Market Data (Lecture and Exercises, graduates), Summer Term 2004 (University of Bonn), Summer Term 2006 (Humboldt University Berlin), Autumn Term 2006 (University of Mannheim)
  • Empirical Analysis of Economic Convergence (Lecture, graduates), Winter Term 2005/2006 (University of Mannheim)
  • Financial Market Econometrics (Seminar, graduates), Winter Term 2005/2006 (University of Mannheim)
  • Multiple Time Series Analysis (Seminar, graduates), Winter Term 2005/2006 (University of Mannheim)
  • Econometrics Projects (Seminar, graduates), Winter Term 2004/2005 (Humboldt University Berlin)
  • Econometrics Seminar (graduates), Summer Term 2004 (University of Bonn), Autumn Term 2005, 2006, 2008 (University of Mannheim)
  • Univariate Time Series Analysis (Lecture and exercises, graduates), Summer Term 2004 (University of Bonn), Winter Term 2003/2004 (Humboldt University Berlin)
  • Multiple Time Series Analysis (Exercises, graduates), Summer Term 2003 (Humboldt University Berlin)
  • Econometric Methods (Exercises, graduates), Winter Terms 2000/2001 and 2001/2002 (Humboldt University Berlin)
  • Introduction to Econometrics (Exercises, undergraduates), Summer Term 2002 (Humboldt University Berlin)