Prof. Dr. M. Vogt - Publikationen


Publikationen

  • Nonparametric Regression for Locally Stationary Time Series. Annals of Statistics (40) 2601-2633. Paper. More technical details and an application to financial data can be found in the Technical Report. Here are some additional Simulations.
  • Nonparametric Estimation of a Periodic Sequence in the Presence of a Smooth Trend. (with Oliver Linton). Biometrika (101) 121-140. Paper. The R code for the empirical part of the paper can be found here.
  • Detecting Gradual Changes in Locally Stationary Processes. (with Holger Dette). Annals of Statistics (43) 713-740. Paper. More technical details and simulations can be found in the Supplementary Material.
  • A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects. (with Oliver Linton and Lena Koerber). Journal of Econometrics (188) 327-345. Paper. Additional details are in the Supplementary Material.
  • The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market. (with Oliver Linton and Lena Koerber). Journal of Applied Econometrics (31) 192-213. Paper. This is the empirical companion paper to "A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects". Additional details can be found in the Supplementary Material.
  • Testing for Structural Change in Time-Varying Nonparametric Regression Models. Econometric Theory (31) 811-859. Paper.
  • Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data. (with Enno Mammen and Matthias Fengler). Journal of Econometrics (188) 196-218. Paper.
  • Classification of Nonparametric Regression Functions in Longitudinal Data Models. (with Oliver Linton). Journal of the Royal Statistical Society: Series B (79) 5-27. Paper. More technical details can be found in the Supplementary Material. The R code for the simulations can be found here.
  • Estimating Nonlinear Additive Models with Nonstationarities and Correlated Errors. (with Christopher Walsh). Scandinavian Journal of Statistics (46) 160-199. Paper.
  • On the Differences between L2-Boosting and the Lasso. Statistics & Probability Letters (157) 108634. Paper.
  • Multiscale Inference and Long-Run Variance Estimation in Nonparametric Regression with Time Series Errors. (with Marina Khismatullina). Journal of the Royal Statistical Society: Series B (82) 5-37. Paper and Supplement.
  • Multiscale Clustering of Nonparametric Regression Curves. (with Oliver Linton). Journal of Econometrics (216) 305-325. Paper and Supplement. The R code for the paper can be found here.
  • Clustering with Statistical Error Control. (with Matthias Schmid). Forthcoming in Scandinavian Journal of Statistics. Paper, Supplement and R package

Preprints

  • Estimating the Lasso's Effective Noise. (with Johannes Lederer). Paper.
  • Locally Stationary Multiplicative Volatility Modelling. (with Christopher Walsh). Paper and Supplement.
  • Calender Effect and Continuous Chain Ladder. (with Enno Mammen, Maria Dolores Martinez-Miranda and Jens Nielsen).