Publications

• Nonparametric Comparison of Epidemic Time Trends: The Case of COVID-19
  Joint work with Marina Khismatullina
  Journal of Econometrics, Volume 232 (2023), 87-108
  Paper and Code

• Estimating the Lasso’s Effective Noise
  Joint work with Johannes Lederer
  Journal of Machine Learning Research, Volume 22 (2021), 1-32
  Paper

• Clustering with Statistical Error Control
  Joint work with Matthias Schmid
  Scandinavian Journal of Statistics, Volume 48 (2021), 729-760
  Paper, Supplementary Material and R package

• Calender Effect and In-Sample Forecasting
  Joint work with Enno Mammen, Maria Dolores Martinez-Miranda and Jens Perch Nielsen
  Insurance: Mathematics and Economics, Volume 96 (2021), 31-52
  Paper and Supplementary Material

• Multiscale Inference and Long-Run Variance Estimation in Nonparametric Regression with Time Series Errors
  Joint work with Marina Khismatullina
  Journal of the Royal Statistical Society: Series B, Volume 82 (2020), 5-37
  Paper and Supplementary Material

• Multiscale Clustering of Nonparametric Regression Curves
  Joint work with Oliver Linton
  Journal of Econometrics, Volume 216 (2020), 305-325
  Paper, Supplementary Material and R code

• On the Differences between L2-Boosting and the Lasso
  Statistics & Probability Letters, Volume 157 (2020), 108634
  Paper

• Estimating Nonlinear Additive Models with Nonstationarities and Correlated Errors
  Joint work with Christopher Walsh
  Scandinavian Journal of Statistics, Volume 46 (2019), 160-199
  Paper

• Classification of Non-parametric Regression Functions in Longitudinal Data Models
  Joint work with Oliver Linton
  Journal of the Royal Statistical Society: Series B, Volume 79 (2017), 5-27
  Paper, Supplementary Material and R code

• Detecting Gradual Changes in Locally Stationary Processes
  Joint work with Holger Dette
  Annals of Statistics, Volume 43 (2015), 713-740
  Paper and Supplementary Material

• A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects
  Joint work with Oliver Linton and Lena Koerber
  Journal of Econometrics, Volume 188 (2015), 327-345
  Paper and Supplementary Material

• The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
  Joint work with Oliver Linton and Lena Koerber
  (This is the empirical companion paper to A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects)
  Journal of Applied Econometrics, Volume 31 (2016), 192-213
  Paper and Supplementary Material

• Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data
  Joint work with Enno Mammen and Matthias Fengler
  Journal of Econometrics, Volume 188 (2015), 196-218
  Paper

• Testing for Structural Change in Time-Varying Nonparametric Regression Models
  Econometric Theory, Volume 31 (2015), 811-859
  Paper

• Nonparametric Estimation of a Periodic Sequence in the Presence of a Smooth Trend
  Joint work with Oliver Linton
  Biometrika, Volume 101 (2014), 121-140
  Paper and R code

• Nonparametric Regression for Locally Stationary Time Series
  Annals of Statistics, Volume 40 (2012), 2601-2633
  Paper, Technical Report and some additional simulations