Research Output per year
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.
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.
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.
Local Asymptotic Equivalence of the Bai and Ng (2004) and Moon and Perron (2004) Frameworks for Panel Unit Root TestingWichert, 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 paper › Other research output
Research output: Contribution to journal › Article › Scientific › peer-review