Office hours: during the semester Wed 15-16, else by appointment

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[ 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
• Time series analysis
• Count data regression
• Stochastic orders and their applications
• Order statistics
• 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.

Publications in Refereed Journals

• "Approximate replication of high-breakdown robust regression techniques", Journal of Economic and Social Measurement, 2009. (with Achim Zeileis)     
• "Regression models for count data in R", Journal of Statistical Software, 27 (8), 1-25, 2008. (with Achim Zeileis and Simon Jackman)     [ http ]
• "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 ]
• "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)     [ pdf ]
• "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 ]

Publications in Collected Volumes and Conference Proceedings

• "Income and wealth distributions", in Claudio Cioffi-Revilla (ed.): Power Laws in the Social Sciences, forthcoming. (with Samuel Kotz)
• "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.
• "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.
• "The generalized lognormal distribution as an income distribution", Bulletin of the International Statistical Institute (Proceedings of the 54th Session, Berlin), 60, 643-644, 2003. (with Stefanie Scheid)
• "Characterizations of income distributions and the moment problem of order statistics", Bulletin of the International Statistical Institute (Proceedings of the 53rd Session, Seoul), 2001. (with Samuel Kotz)

Book Reviews

More than 25 book reviews in Allgemeines Statistisches Archiv (Journal of the German Statistical Society), Computational Statistics & Data Analysis, Journal of the Royal Statistical Society (Series D), Statistical Papers.

Some Current Projects

• The Grunfeld Data at 50 (with Achim Zeileis). Working Paper and Supplements.
• Evaluation of nonstandard distributions in time series econometrics.
• Condorcet jury theorems.

Software

• "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).