Office hours: by appointment

[ Fields of Interest | Professional Affiliations | Publications | Software ]

Fields of Interest

• Statistical distributions
• Size distributions in economics and related fields (distributions of income and wealth, firm sizes, actuarial losses, city sizes, ...)
• Measurement of inequality
• Stochastic orders and their applications
• Count data
• Time series analysis
• Computational statistics and econometrics
• Reproducible statistical research
• History of statistics and econometrics

Professional Affiliations

• Deutsche Statistische Gesellschaft (DStatG, German Statistical Society)
• Econometric Society
• Institute of Mathematical Statistics
• Swiss Society of Economics and Statistics (SGVS)
• Swiss Statistical Society (SSS)
• Verein für Socialpolitik (VfS, Economics Association of the German-Language Countries)

Publications

Books

• "Applied Econometrics with R", New York: Springer, 2008. ISBN: 978-0-387-77316-2. (with Achim Zeileis) The accompanying R package "AER" is available at CRAN.R-project.org/package=AER
• "Statistical Size Distributions in Economics and Actuarial Sciences", Hoboken, NJ: John Wiley, 2003. ISBN: 978-0-471-15064-0. (with Samuel Kotz)   [ pdf Errata ]
• "Ranking Income Distributions" (in German), Angewandte Statistik und Ökonometrie Vol. 47, Göttingen: Vandenhoeck & Ruprecht, 2000. ISBN: 3-525-11412-5.

Journals and Edited Volumes

• "The generalized lognormal distribution and the Stieltjes moment problem", Journal of Theoretical Probability, 2013, forthcoming.   [ doi , Working Paper ]
• "Reproducible econometric simulations", Journal of Econometric Methods, 2013, forthcoming. (with Achim Zeileis)   [ doi , Working Paper ]
• "Income and wealth distributions", in Claudio Cioffi-Revilla (ed.): Power Laws in the Social Sciences, forthcoming. (with Samuel Kotz)
• "Multivariate distributions and the moment problem", Journal of Multivariate Analysis, 113, 7-18, 2013.   (with Jordan Stoyanov)     [ doi ]
• "The Grunfeld data at 50", German Economic Review, 11 (4), 404-417, 2010. (with Achim Zeileis)     [ doi , Working Paper and Supplements ]
• "Approximate replication of high-breakdown robust regression techniques", Journal of Economic and Social Measurement, 34, 191-203, 2009. (with Achim Zeileis) [ doi ]
• "Regression models for count data in R", Journal of Statistical Software, 27 (8), 1-25, 2008. (with Achim Zeileis and Simon Jackman)     [ http ]
• "A guide to the Dagum distributions", in Duangkamon Chotikapanich (ed.): Modelling Income Distributions and Lorenz Curves: Essays in Memory of Camilo Dagum. Berlin - New York: Springer, 2008, 97-119.    [ doi , Working Paper ]
• "The Lorenz curve in economics and econometrics", in Gianni Betti und Achille Lemmi (eds.): Advances on Income Inequality and Concentration Measures. Collected Papers in Memory of Corrado Gini and Max O. Lorenz. London: Routledge, 2008, 225-242.     [ Working Paper ]
• "Bequests, taxation and the distribution of wealth in a general equilibrium model", Journal of Public Economics, 91, 1247-1271, 2007. (with Martin Bossmann and Klaus Wälde)     [ doi , Working Paper ]
• "Finite-sample power of the Durbin-Watson test against fractionally integrated disturbances", Econometrics Journal, 8, 406-417, 2005. (with Walter Krämer)     [ doi ]
• "Validating multiple structural change models - A case study", Journal of Applied Econometrics, 20, 485-490, 2005. (with Achim Zeileis)     [ doi ,
   pdf of extended version ]
• "Monitoring structural change in dynamic econometric models", Journal of Applied Econometrics, 20, 99-121, 2005. (with Achim Zeileis, Friedrich Leisch, Kurt Hornik)     [ doi ]
• "Lorenz ordering of order statistics from log-logistic and related distributions", Journal of Statistical Planning and Inference, 120, 13-19, 2004.     [ doi ]
• "Efficiency, equity, and generalized Lorenz dominance", Estadística (Journal of the Inter-American Statistical Institute), 55 (Special Issue on Income Distribution, Inequality and Poverty), 173-186, 2003. (with Walter Krämer)    [ Working Paper ]
• "Testing and dating of structural changes in practice", Computational Statistics & Data Analysis, 44, 109-123, 2003. (with Achim Zeileis, Walter Krämer, Kurt Hornik)     [ doi ]
• "Variability ordering of heavy-tailed distributions with applications to order statistics", Statistics & Probability Letters, 58, 381-388, 2002.     [ doi ]
• "A characterization of income distributions in terms of generalized Gini coefficients", Social Choice and Welfare, 19, 789-794, 2002. (with Samuel Kotz)     [ doi ]
• "A determinantal inequality", Econometric Theory, 18, Problems and Solutions, 542-543, 2002.     [ doi ]
• "strucchange: An R package for testing for structural change in linear regression models", Journal of Statistical Software, 7 (2), 1-38, 2002. (with Achim Zeileis, Friedrich Leisch, Kurt Hornik)     [ http ]
• "Long memory vs. structural change in financial time series", Allgemeines Statistisches Archiv (Journal of the German Statistical Society), 86, 83-96, 2002. (with Walter Krämer and Philipp Sibbertsen)
• "Finite sample efficiency of OLS in linear regression models with long-memory disturbances", Economics Letters, 72, 131-136, 2001.     [ doi ]
• "Central limit theorem for squared MA(∞) processes", Econometric Theory, 16, Problems and Solutions, 1044, 2000.     [ doi ]
• "A simple distribution without any moments", The Mathematical Scientist, 25, 59-60, 2000.
• "On the Lorenz order within parametric families of income distributions", Sankhya, B 61, 514-517, 1999.     [ http ]
• "Heteroskedastic fixed effects models", Econometric Theory, 13, Problems and Solutions, 891-893, 1997.     [ doi ]  
• "The existence of population inequality measures", Economics Letters, 57, 39-44, 1997.     [ doi ]
  Corrigendum: Economics Letters, 71, 429, 2001.
• "Dagum vs. Singh-Maddala income distributions", Economics Letters, 53, 265-268, 1996.     [ doi ]

Some Current Projects

• Computational aspects of count data regression.
• Size distributions and the moment problem.
• Evaluation of nonstandard distributions in time series econometrics.
• Condorcet jury theorems.

Software

Under development: R package countreg.

• "AER: Applied Econometrics with R" Functions, data sets, examples and vignettes for the book Applied Econometrics with R, Springer 2008 (with Achim Zeileis).
  Available at CRAN.R-project.org/package=AER (first release: 2008-05-28).
• "strucchange: An R package for testing, dating and monitoring of structural change in linear regression relationships" (with Achim Zeileis, Friedrich Leisch, Kurt Hornik).
  Available at CRAN.R-project.org/package=strucchange (first release: 2001-05-17).