Faculty of Economics and Business Administration Publications Database

Author

Prof. Dr. Uwe Hassler


Department

  • Applied Econometrics and International Economic Policy

Chair

  • Chair of Statistics and Econometric Methods

Academic / Professional Positions

  • Since 2003: Professor, Goethe University Frankfurt, Germany
  • 2002 - 2003: Associate Professor, TU Darmstadt, Germany
  • 1999 - 2000: Visiting Professor, Öudwigs-Maximilians-University Munich, Germany
  • 1999: Visiting Professor, Universidad Carlos III de Madrid, Spain
  • 1994 - 2001: Assistant Professor, Freie Universität (FU) Berlin, Germany

Education

  • 1998: Habilitation, Freie Universität (FU) Berlin, Thesis: Regressionen trendbehafteter Zeitreihen in der Ökonometrie
  • 1993: Dr. rer. pol., Freie Universität Berlin, Germany, Thesis: Fraktional integrierte Prozesse in der Ökonometrie – Mit einer empirischen Analyse von Inflations- und Zinsdaten
  • 1989: Diplom in Economics, Freie Universität (FU) Berlin, Germany

Research Interests

  • Econometrics of nonstationary time series (cointegration)
  • Inflation and interest rate dynamics
  • Univariate time series analysis (e.g. long memory, seasonality)
  • Structural breaks
  • Nonstationary panels
  • Measurement errors
  • Model selection

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Author Publications

Ratio tests under limiting normality
Econometric Reviews
2018
Hassler, Uwe
Hosseinkouchack, Mehdi
Ratio tests under limiting normality
Econometric Reviews
2018
Hassler, Uwe
Panel Cointegration Testing in the Presence of Linear Time Trends
Econometrics
2016
Hassler, Uwe
Hosseinkouchack, Mehdi
Powerful Unit Root Tests Free of Nuisance Parameters
Journal of Time Series Analysis
2016
Hosseinkouchack, Mehdi
Hassler, Uwe
Distribution of the Durbin–Watson Statistic in Near Integrated Processes
Springer International Publishing
2015
Hassler, Uwe
Hosseinkouchack, Mehdi
Effect of the order of fractional integration on impulse responses
Economics Letters
2014
Hassler, Uwe
Hosseinkouchack, Mehdi
Persistence in the banking industry: Fractional integration and breaks in memory
Journal of Empirical Finance
2014
Hassler, Uwe
Rodrigues, Paulo M.M.
Rubia, Antonio
Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage
Journal of Economics and Statistics
2013
Hassler, Uwe
Werkmann, Verena
Semiparametric Inference and Bandwidth Choice under Long Memory: Experimental Evidence
Journal of the Turkish Statistical Association
2013
Hassler, Uwe
Olivares, Maya
Effect of Temporal Aggregation on Multiple Time Series in the Frequency Domain
Journal of Time Series Analysis
2013
Hassler, Uwe
Asymptotic Behavior of Temporal Aggregates in the Frequency Domain
Journal of Time Series Econometrics
2013
Hassler, Uwe
Tsai, Henghsiu
Detecting Multiple Breaks in Long Memory the Case of U.S. Inflation
Empirical Economics
2013
Hassler, Uwe
Meller, Barbara
Impulse Responses of Antipersistent Processes
Economics Letters
2012
Hassler, Uwe
Estimation of Fractional Integration under Temporal Aggregation
Journal of Econometrics
Selected 		2011
Hassler, Uwe
Asymptotic Normal Tests for Integration in Panels with Cross-Dependent Units
AStA: Advances in Statistical Analysis
2011
Hassler, Uwe
Demetrescu, Matei
Tarcolea, Adina I.
Detecting Changes from Short to Long Memory
Statistical Papers
2011
Hassler, Uwe
Scheithauer, Jan
Pitfalls of Post-Model-Selection Testing: Experimental Quantification
Empirical Economics
2011 Demetrescu, Matei
Hassler, Uwe
Kuzin, Vladimir
Impulse Responses of Fractionally Integrated Processes with Long Memory
Econometric Theory
Selected 		2010
Hassler, Uwe
Kokoszka, Piotr
Testing for Stationarity in Large Panels with Cross-Dependence, and US Evidence on Unit Labor Cost
Journal of Applied Statistics
2010 Demetrescu, Matei
Hassler, Uwe
Tarcolea, Adina I.
Testing Regression Coefficients after Model Selection through Sign Restrictions
Economics Letters
2010
Hassler, Uwe
Testing for General Fractional Integration in the Time Domain
Econometric Theory
Selected 		2009
Hassler, Uwe
Rodrigues, Paulo M.M.
Rubia, Antonio
Cointegration Analysis under Measurement Errors
Advances in Econometrics
2009
Hassler, Uwe
Kuzin, Vladimir
Hysteresis in Unemployment Rates? A Comparison between Germany and the US.
Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics
2009
Hassler, Uwe
Wolters, Jürgen
Long Memory Testing in the Time Domain
Econometric Theory
Selected 		2008 Demetrescu, Matei
Kuzin, Vladimir
Hassler, Uwe
D. N. DeJong and C. Dave: Structural Macroeconometrics
Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics
2008
Hassler, Uwe
Fractional Cointegration in the Presence of Linear Trends
Journal of Time Series Analysis
2008
Hassler, Uwe
Marmol, Francesc
Velasco, Carlos
Long-Run Relationships between Labor and Capital: Indirect Evidence on the Elasticity of Substitution: Comment
Journal of Macroeconomics
2008
Hassler, Uwe
On Critical Values of Tests against a Change in Persistence
Oxford Bulletin of Economics and Statistics
2008
Hassler, Uwe
Scheithauer, Jan
On the Persistence of the Eonia Spread
Economics Letters
2008
Hassler, Uwe
Nautz, Dieter
Effect of Neglected Deterministic Seasonality on Unit Root Tests
Statistical Papers
2007 Demetrescu, Matei
Hassler, Uwe
Multicointegration under Measurement Errors
Economics Letters
2007
Hassler, Uwe
Residual log-periodogram inference for long-run relationships
Journal of Econometrics
Selected 		2006
Hassler, Uwe
Marmol, Francesc
Velasco, Carlos
A Residual-Based LM-Type Test against Fractional Cointegration
Econometric Theory
Selected 		2006
Hassler, Uwe
Breitung, Jörg
A Note on Phillips-Perron-Type Statistics for Cointegration Testing
Economics Bulletin
2006
Hassler, Uwe
Autoregressive Distributed Lag Models and Cointegration
AStA: Advances in Statistical Analysis
2006
Hassler, Uwe
Wolters, Jürgen
Combining Significance of Correlated Statistics with Application to Panel Data
Oxford Bulletin of Economics and Statistics
2006 Demetrescu, Matei
Hassler, Uwe
Tarcolea, Adina I.
Unit Root Testing
AStA: Advances in Statistical Analysis
2006 Wolters, Jürgen
Hassler, Uwe
Combining Multi-country Evidence on Unit Roots: The Case of Long-Term Interest Rates
Applied Economics Quarterly
2005
Hassler, Uwe
Tarcolea, Adina I.
Spurious Persistence and Unit Roots Due to Seasonal Differencing: The Case of Inflation Rates
Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics
2005
Hassler, Uwe
Demetrescu, Matei
Seasonal Unit Root Tests under Structural Breaks
Journal of Time Series Analysis
2004
Hassler, Uwe
Rodrigues, Paulo M.M.
Time-Varying Volatility and Non-stationary Time Series - A Contribution to the Nobel Prize for Robert F. Engle and Clive W. J. Granger
Journal of European Economy
2004
Hassler, Uwe
Inflation-Unemployment Tradeoff and Regional Labor Market Data
Empirical Economics
2003
Hassler, Uwe
Neugart, Michael
Nonsense Correlation and Biased Correlation due to Heterogeneous Samples
Journal of the Royal Statistical Society. Series D: Econometric Journal
2003
Hassler, Uwe
Thadewald, Thorsten
Nonsense Regressions Due to Neglected Time-Varying Means
Statistical Papers
2003
Hassler, Uwe
Inference on the Cointegration Rank in Fractionally Integrated Processes
Journal of Econometrics
Selected 		2002 Breitung, Jörg
Hassler, Uwe
Dickey-Fuller Cointegration Tests in the Presence of Regime Shifts at Known Time
AStA: Advances in Statistical Analysis
2002
Hassler, Uwe
The Effect of Linear Time Trends on Residual-Based Tests for the Null of Cointegration
Journal of Time Series Analysis
2001
Hassler, Uwe
Wealth and Consumption: A Multicointegrated Model for the Unified Germany
Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics
2001
Hassler, Uwe
The KPSS Test for Cointegration in Case of Bivariate Regressions with Linear Trends
Econometric Theory
Selected 		2000
Hassler, Uwe
Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends
Oxford Bulletin of Economics and Statistics
2000
Hassler, Uwe
Simple Regressions in the Presence of Linear Time Trends
Journal of Time Series Analysis
2000
Hassler, Uwe
(When) Should Cointegrating Regressions be Detrended? The Case of a German Money Demand Function
Empirical Economics
1999
Hassler, Uwe
A Note on Correlation in Regressions without Cointegration
Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics
1998
Hassler, Uwe
A Note on Spurious Seasonality When Time Series Have Linear Trends
IFO-Studien: Zeitschrift für empirische Wirtschaftsforschung
1998
Hassler, Uwe
Nautz, Dieter
Die Zinsstruktur am deutschen Interbanken-Geldmarkt: Eine empirische Analyse fur das vereinigte Deutschland. (The Term Structure in the German Interbank Money Market: An Empirical Analysis for the Unified Germany)
CESifo Economic Studies
1998
Hassler, Uwe
Wolters, Jürgen
Limiting Efficiency of OLS vs. GLS When Regressors Are Fractionally Integrated
Economics Letters
1998
Hassler, Uwe
Krämer, Walter
The Link between German Short- and Long-term Interest Rates: Some Evidence against a Term Structure Oriented Monetary Policy
Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics
1998
Hassler, Uwe
Nautz, Dieter
On the Effect of Seasonal Adjustment on the Log-Periodogram Regression
Economics Letters
1997
Hassler, Uwe
Ooms, Marius
Sample Autocorrelations of Nonstationary Fractionally Integrated Series
Statistical Papers
1997
Hassler, Uwe
Reasonable Spurious Regression
Econometric Theory
Selected 		1996
Hassler, Uwe
Nonsense Correlation between Time Series with Linear Trends
AStA: Advances in Statistical Analysis
1996
Hassler, Uwe
Spurious Regressions When Stationary Regressors Are Included
Economics Letters
1996
Hassler, Uwe
Long Memory in Inflation Rates: International Evidence
Journal of Business & Economic Statistics
Selected 		1995
Hassler, Uwe
Wolters, Jürgen
The Periodogram Regression: Correction and Comments
Communications in Statistics. Theory and Methods
1995
Hassler, Uwe
(Mis)Specification of Long Memory in Seasonal Time Series
Journal of Time Series Analysis
1994
Hassler, Uwe
On the Power of Unit Root Tests Against Fractional Alternatives
Economics Letters
1994
Hassler, Uwe
Wolters, Jürgen
The Sample Autocorrelation Function of I(1) Processes
Statistical Papers
1994
Hassler, Uwe
Regression of Spectral Estimators with Fractionally Integrated Time Series
Journal of Time Series Analysis
1993
Hassler, Uwe
Unit Root Testing: The Autoregressive Approach in Comparison with the Periodogramm
Statistical Papers
1993
Hassler, Uwe