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Walter Krämer

Global rank #2413 97%

Institution: Universität Dortmund

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://www.statistik.tu-dortmund.de/kraemer.html

First Publication: 1984

Most Recent: 2019

RePEc ID: pkr88 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 1.01
All Time 0.00 8.71 4.36 0.00 36.87

Publication Statistics

Raw Publications 38
Coauthorship-Adjusted Count 43.42

Publications (38)

Year Article Journal Tier Authors
2019 Skill Scores and modified Lorenz domination in default forecasts Economics Letters C 2
2016 Comparing the accuracy of default predictions in the rating industry for different sets of obligors Economics Letters C 2
2015 A simple and focused backtest of value at risk Economics Letters C 2
2013 Spurious persistence in stochastic volatility Economics Letters C 2
2013 Reject inference in consumer credit scoring with nonignorable missing data Journal of Banking & Finance B 3
2012 TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD Econometric Theory B 3
2012 A Hausman test for non-ignorability Economics Letters C 3
2012 On the origin of high persistence in GARCH-models Economics Letters C 3
2011 The exact bias of s2 in linear panel regressions with spatial autocorrelation Economics Letters C 2
2011 A simple nonparametric test for structural change in joint tail probabilities Economics Letters C 2
2011 A cautionary note on computing conditional from unconditional correlations Economics Letters C 2
2008 Long memory with Markov-Switching GARCH Economics Letters C 1
2007 Structural change and estimated persistence in the GARCH(1,1)-model Economics Letters C 2
2006 The power of the KPSS-test for cointegration when residuals are fractionally integrated Economics Letters C 2
2004 The power of residual-based tests for cointegration when residuals are fractionally integrated Economics Letters C 2
2003 THE DICKEY–FULLER TEST FOR EXPONENTIAL RANDOM WALKS Econometric Theory B 2
2002 Testing for unit roots in the context of misspecified logarithmic random walks Economics Letters C 2
1998 Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated Economics Letters C 2
1998 Fractional integration and the augmented Dickey-Fuller Test Economics Letters C 1
1997 Chaos and the compass rose Economics Letters C 2
1997 Autocorrelation- and heteroskedasticity-consistent t-values with trending data Journal of Econometrics A 2
1996 A general condition for an optimal limiting efficiency of OLS in the general linear regression model Economics Letters C 2
1996 A trend-resistant test for structural change based on OLS residuals Journal of Econometrics A 2
1994 Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated Economics Letters C 3
1993 The Lorenz-ordering of Singh-Maddala income distributions Economics Letters C 2
1992 Bias of SDE 2 in the Linear Regression Model with Correlated Errors. Review of Economics and Statistics A 2
1992 Range vs. maximum in the OLS-based version of the CUSUM test Economics Letters C 2
1990 The Local Power of the CUSUM and CUSUM of Squares Tests Econometric Theory B 2
1990 Finite sample power of linear regression autocorrelation tests Journal of Econometrics A 2
1989 On the robustness of the F-test to autocorrelation among disturbances Economics Letters C 1
1989 A new test for structural stability in the linear regression model Journal of Econometrics A 3
1987 Mean adjustment and the CUSUM test for structural change Economics Letters C 2
1986 Computational pitfalls of the Hausman test Journal of Economic Dynamics and Control B 2
1986 On studentizing a test for structural change Economics Letters C 2
1985 A Hausman test with trending data Economics Letters C 1
1985 The power of the Durbin-Watson test for regressions without an intercept Journal of Econometrics A 1
1985 Diagnostic Checking in Practice. Review of Economics and Statistics A 1
1984 On the consequences of trend for simultaneous equation estimation Economics Letters C 1