Robert M. Kunst
Professor of Economics
IHS teaching
news
Lecture
notes for the course Econometrics II can be downloaded here. A short course outline
can be downloaded here.
The midterm
test 2009 with tentative answers is downloadable here.
Participants
have expressed their interest in the presentation slides.
Slides for
the first section (univariate time series) of the
course are here.
Slides for
the second section (unit roots) are here.
The STATA
session on unit-root tests that was shown in the course is downloadable here (click here for the data).
Slides for
the third section (introduction to VAR) are here.
The STATA
session on VAR models that was shown in the course is downloadable here (click here for the data).
Slides for
the fourth section (cointegration) are here.
Slides for
the fifth section (exogeneity and dynamics) are here.
Slides for
the sixth seection (multivariate systems) are here.
In a
previous similar course, a slide show for ML estimation in ARMA models was used
and it can be downloaded here.
In 2005, we had this
final exam.
(Please have a look at my home page
system at the Vienna University server, which is the most recently updated
version)
(You may also enjoy a look at my wife Kaarina's home page (you may also try here
for some information and here for her most
recent project) and at some of her sculptures or at my private home page
at the University with some personal material and views on walking trails and
rail transport)
Area of Interest
Time-series econometrics
(in particular, seasonality, cointegration,
ARCH models, model selection)
Applied econometrics
Dr.
Vienna University of Technology, 1984
Univ.Doz. (Senior Lectureship, venia legendi)
Vienna University of Technology, 1994
Current position
Professor at the Department of
Economics at the University of Vienna
(since 2000)
Previous positions
Assistant professor at the Economics Department of Vienna University 1983-84
Visiting professor at the University of
California San Diego 1992
Visiting professor at the Johannes Kepler University 1993-1998
Assistant professor at the Economics
Department of the Institute for Advanced Studies 1984-2000 (on leave during
1993-1998)
Publications
The Dynamic Interrelations between Unequal Neighbors: An Austro-German
Case Study
(with Klaus Prettner)
Empirical Economics, forthcoming
Testing for seasonal unit roots in monthly panels of time series
(with Philip H. Franses)
Oxford Bulletin of Economics and
Statistics 73, 469-488 (2011).
Combining forecasts based on multiple encompassing tests in a
macroeconomic core system
(with Mauro Costantini)
Journal of Forecasting 30, 579-596 (2011).
Unit
Root in Unemployment - New Evidence from Nonparametric Tests
(with Jürgen Holl)
Applied
Economics Letters
18, 509-512 (2011)
Seasonality
in: International Encyclopedia
of Statistical Science, M. Lovric (ed.), Springer
(2010)
Seasonal
Prediction of European Cereal Prices: Good Forecasts Using Bad Models?
(with Adusei Jumah)
Journal of
Forecasting 27,
391-406 (2008)
Cross
validation of prediction models for seasonal time series by parametric
bootstrapping
Austrian Journal of Statistics 37,
271-284 (2008)
Immigrant
remittance flows and aggregate demand forecasts in West African economies
(with Adusei Jumah)
Journal of
Policy Modeling 30, 377-380 (2008)
Modeling Macroeconomic Sub-Aggregates: An Application of Non-Linear Cointegration
(with Adusei Jumah)
Macroeconomic Dynamics 12, 151-171 (2008)
Analyzing
a panel of seasonal time series: Does seasonality in industrial production converge
across Europe?
(with Philip H. Franses)
Economic
Modelling 24, 954-968 (2007)
Exchange-Rate
Volatility Spillovers in International Equity Markets
(with Adusei Jumah)
Advances in Investment Analysis and Portfolio Management Vol. 2, 173-198
(2006)
Modeling Fixed Investment and Its Components: An
Application of Non-Linear Error Correction
(with Adusei Jumah)
in: Advances in macroeconometric
modeling, C. Dreger and
H.P. Galler (ed.), Nomos
(2005)
Trivariate ARCH Estimation of Exchange Rate Volatility Spillovers
in Commodity Markets
(with Adusei Jumah)
in: Progress in Economics Research, F. Columbus
(ed.), Nova Science Publishers (in press)
Decisions
on Seasonal Unit Roots
(with Michael Reutter)
Journal of Statistical Computation and Simulation 72,
403-418 (2002)
Forecasting
High-frequency Financial Data with the ARFIMA-ARCH model
(with Michael A. Hauser)
Journal of Forecasting 20, 501-518 (2001)
The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets
for Coffee and Cocoa
(with Adusei Jumah)
European Review of Agricultural Economics 28, 307-328
(2001)
On the Role of Seasonal Intercepts in Seasonal Cointegration
(with Philip H. Franses)
Oxford Bulletin of Economics and Statistics 61, 409-434
(1999)
The Impact of Seasonal Constants on Forecasting Seasonally Cointegrated Time Series
(with Philip H. Franses)
Journal of Forecasting 17, 109-124 (1998)
Fractionally Integrated Models with ARCH Errors: With an Application
to the Swiss One-Month Euromarket Interest Rate
(with Michael A. Hauser)
Review of Quantitative Finance and Accounting
10(1), 95-113 (1998)
Augmented ARCH models for financial time series: stability conditions and
empirical evidence
Applied Financial Economics 7, 575-586 (1997)
Fourth-Order Moments of Augmented ARCH Processes
Communications in Statistics, Theory and Methods 26,
1425-1442 (1997)
Testing for Cyclical Non-Stationarity in
Autoregressive Models
Journal of Time Series Analysis 12, 137-156 (1997)
Forecasting Seasonally Cointegrated Systems:
Supply Response of the Austrian Breeding Sow Herd
(with Adusei Jumah)
European Review of Agricultural Economics 23(4),
487-507 (1996)
Estimating Discrete Parameters: An Application to Cointegration
and Unit Roots
Oesterreichische Zeitschrift für Statistik 25, 7-32. (1996)
Trend Interpolation and the Persistence of Fluctuations in U.S. GNP
(with Albert Jaeger)
in: Th. Url
and A. Wörgötter (eds.), Econometrics of Short and
Unreliable Time Series, Physica-Verlag,
Heidelberg (1995)
A Note on Generation, Estimation and Prediction of Stationary Processes
(with Michael A. Hauser, W. Hörmann,
and J. Lenneis)
COMPSTAT Conference Series (1994).
Modelling Exchange Rates: Long-Run Dependence versus Conditional Heteroscedasticity
(with Michael A. Hauser and Erhard Reschenhofer)
Applied Financial Economics 4(3), 233-39 (1994)
Structuring Volatile Swiss Interest Rates: Some Evidence on the Present
Value Model and a VAR-VARCH Approach
(with Wolfgang Polasek)
in: J. Kaehler and P. Kugler (ed.), Econometric Analysis of Financial Markets,
pp. 105-128, Physica-Verlag, Heidelberg (1994).
Stability Conditions for a Bivariate ARCH System
Which is Cointegrated in Mean
Communications in Statistics, Theory and Methods
22(10), 2941-2953 (1993).
Seasonal Cointegration, Common Seasonals,
and Forecasting Seasonal Series
Empirical Economics 18(4), 761-76 (1993)
Apparently Stable Increments in Finance Data: Could ARCH Effects be the
Cause?
Journal of Statistical Computation and
Simulation 45, 121-127 (1993).
Seasonal Cointegration in Macroeconomic Systems:
Case Studies for Small and Large European Countries
Review of Economics and Statistics LXXV, 325-330
(1993).
Seasonal Models and Seasonal Adjustment
Oesterreichische Zeitschrift fuer Statistik und Informatik 21,
177-188 (1992)
Testing for Normality and Randomness of Austrian Stock Market Data
(with Erhard Reschenhofer and
Kurt Rodler)
Empirical Economics 16, 465-477 (1991)
Cointegration in a Macroeconomic System
(with Klaus Neusser)
Journal of Applied Econometrics, Vol.5, 351-365
(1990)
Seasonal Adjustment and Measuring Persistence in Output
(with Albert Jaeger)
Journal of Applied Econometrics, Vol. 5, 47-58 (1990)
On Exports and Productivity: A Causal Analysis
(with Dalia Marin)
Review of Economics and Statistics Vol. LXXI, No.4,
699-703 (1989)
The Performance of Robust Filtering: Some Monte Carlo Evidence
Computational Statistics Quarterly 5,1,53-76 (1989)
Causality and Non-Stationary Data: A Simulation Study
(with Wolfgang Polasek)
Computational Statistics Quarterly 4(1988),1,3-22
The Export-Productivity Relationship: A Time Series Representation for
Austria
(with Dalia Marin)
Empirica 1'87,55-75
Forecasting with Vector Autoregressive Models
(with Klaus Neusser)
Empirica 2'86,187-202
A Forecasting Comparison of Some VAR Techniques
(with Klaus Neusser)
International Journal of Forecasting 2(1986), 447-456
The Influence of Wage Rate Variations on the Level of Employment with and
without an Exogenous Interest Rate
(with Georg Winckler)
in: Frisch, H., Gahlen, B. (Eds.),
Causes of Contemporary Stagnation, Springer, Vienna, 1986
Recent Working Papers
Seasonal cycles
in European Agricultural Prices (this is the slide show presented at
the ISF Meeting 2006 in Santander)
(with Adusei
Jumah)
Testing Common Deterministic
Seasonality, with an application to industrial production
(with
Philip Hans Franses)
Personal Interests
Walking, rail transport, languages
and original-language literature (Swedish, Czech, Spanish, Portuguese,
Lithuanian, French, Norse, Danish, Faroese, Finnish). Well, let us be serious: I can communicate
in German, English, Swedish, and Portuguese, and on bright days in Spanish, but
I really enjoy translating.
Official Addresses
Institute for Advanced Studies
University of Vienna -- BWZ
Stumpergasse56
Bruenner Strasse 72
1060 Wien
(Vienna)
1210 Wien (Vienna)
Austria
Austria
+431-59991-255
(phone)
+431-4277-37479 (phone)
+431-59991-163 (fax)
+431-4277-37498 (fax)
kunst@ihs.ac.at(e-mail)
robert.kunst@univie.ac.at
(e-mail)
This page last updated on November 3, 2011.