Carsten Jentsch

University of Mannheim

SCHOLARLY PAPERS

6

DOWNLOADS

97

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

Asymptotically Valid Bootstrap Inference for Proxy SVARs

FRB of Cleveland Working Paper No. 19-08
Number of pages: 51 Posted: 28 May 2019
Carsten Jentsch and Kurt G. Lunsford
University of Mannheim and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 51 (514,579)

Abstract:

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External Instruments, Mixing, Proxy Variables, Residual-Based Moving Block Bootstrap, Structural Vector Autoregression, Wild Bootstrap

2.

Proxy Svars: Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States

FRB of Cleveland Working Paper No. 16-19
Number of pages: 47 Posted: 18 Sep 2016
Carsten Jentsch and Kurt G. Lunsford
University of Mannheim and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 43 (551,395)

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fiscal policy, mixing, residual-based moving block bootstrap, structural vector autoregression, tax shocks, wild bootstrap

3.

Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes

Journal of Time Series Analysis, Vol. 41, Issue 1, pp. 110-133, 2020
Number of pages: 24 Posted: 29 May 2020
Carsten Jentsch, Anne Leucht, Marco Meyer and Carina Beering
University of Mannheim, Technology University of Braunschweig - Department of Mathematics, Technology University of Braunschweig - Department of Mathematics and affiliation not provided to SSRN
Downloads 2 (859,937)

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Empirical characteristic function, local stationarity, α‐stable distributions, distance correlation, minimum distance estimation, asymptotic theory

4.

A Spectral Domain Test for Stationarity of Spatio‐Temporal Data

Journal of Time Series Analysis, Vol. 38, Issue 2, pp. 326-351, 2017
Number of pages: 26 Posted: 08 Feb 2017
Lehigh University, University of Mannheim and Texas A&M University
Downloads 1 (874,044)

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Fourier transforms, irregular sampling, nonstationarity, stationary random fields, spectral density, orthogonal samples

5.

Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes

Recent developments in bootstrap methods for dependent data, Vol. 36, Issue 3, pp. 416-441, 2015
Number of pages: 26 Posted: 24 Apr 2015
University of Mannheim, University of California, San Diego (UCSD) - Department of Mathematics and University of Cyprus - Department of Mathematics and Statistics
Downloads 0 (891,231)
Citation 1

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Block bootstrap, bootstrap consistency, spurious regression, functional limit theorem, continuous‐path block bootstrap, model‐based block bootstrap subclass

6.

A New Frequency Domain Approach of Testing for Covariance Stationarity and for Periodic Stationarity in Multivariate Linear Processes

Journal of Time Series Analysis, Vol. 33, Issue 2, pp. 177-192, 2012
Number of pages: 16 Posted: 07 Mar 2012
Carsten Jentsch
University of Mannheim
Downloads 0 (891,231)

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Hypothesis testing, testing for stationarity, testing for periodic stationarity, periodic time series, multivariate time series, linear process, spectral density matrix, kernel spectral density estimates, hybrid bootstrap