Photo of Oliver Wichert
  • Warandelaan 2, Koopmans Building, room K 550

    5037 AB Tilburg

    Netherlands

20162019
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Personal profile

Research interests

I am interested in the stationarity properties of large panels, with a particular focus on high-dimensional factor models. We have studied the implications of heterogeneous alternatives to the unit-root hypothesis, demonstrated the equivalence of two common factor specifications and derived asymptotically uniformly most powerful tests in both setups. In my jobmarket paper, I consider unit-root tests for unobserved common factors, that are robust to cross-sectional cointegration. Moreover, I discuss how additional stationary covariates can be used to obtain considerably more powerful tests in this setting.

 
Working Papers

Wichert, O. (2019). Unit Root Tests for Unobserved Common Factors in Large Panels.  Job Market Paper.

Wichert, O., I.G. Becheri, F.C. Drost, and R. van den Akker (2019). Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing. Submitted.

 
Publications

Becheri, I.G., F.C. Drost, R. v. d. Akker, and O. Wichert (2016). The power envelope of panel unit root tests in case stationary alternatives offset explosive ones. Statistics & Probability Letters, Vol. 108, pp. 1–8.

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  • 2 Similar Profiles
Unit Root Tests Mathematics
Envelope Mathematics
Random Perturbation Mathematics
Alternatives Mathematics
Perturbation Mathematics
Zero Mathematics
Power envelope Business & Economics
Panel unit root tests Business & Economics

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Research Output 2016 2019

Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root Testing

Wichert, O., Becheri, I. G., Drost, F. C. & Akker, R. V. D., May 2019, Ithaca: arXiv.org, 70 p. (arXiv; vol. 1905.11184).

Research output: Working paperOther research output

Open Access
File
Equivalence
Panel unit root
Unit root testing
Power envelope
Unit root tests

The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

Becheri, G., Drost, F., van den Akker, R. & Wichert, O., Jan 2016, In : Statistics & probability letters. 108, p. 1-8

Research output: Contribution to journalArticleScientificpeer-review

Unit Root Tests
Envelope
Random Perturbation
Alternatives
Perturbation

Prizes / Recognition

Jenny Ligthart Award 2016

Oliver Wichert (Recipient), 10 Jan 2017

Prize

student