My profile at IDEAS


Books

 

1. Wektorowe modele autoregresyjne w analizie makroekonomicznych szeregów czasowych, Towarzystwo Naukowe Organizacji i Kierownictwa ,,Dom Organizatora", Toruń, 2009, ISBN 978-83-7285-413-1

 

Articles


1. Calculating joint confidence bands for impulse response functions using highest density regions, with: H. Lütkepohl and P. Winker, Empirical Economics, 2017, forthcoming.

2. Generating prediction bands for path forecasts from SETAR models, with: D. Grabowski and P. Winker, Studies in Nonlinear Dynamics & Econometrics, 2017, forthcoming.

3. Estimation of structural impulse responses: short-run versus long-run identifying restrictions, with: H. Lütkepohl and P. Winker, AStA Advances in Statistical Analysis, 2017, doi:10.1007/s10182-017-0300-9, link. 

4. Improved Bootstrap Prediction Intervals for SETAR Models, with: P. Winker, Statistical Papers, 57, 1, 2016, 89-98, link.

5. Confidence bands for impulse responses: Bonferroni versus Wald, with: H. Lütkepohl and P. Winker, Oxford Bulletin of Economics and Statistics, 77, 6, 2015, 800-821, link.

6. Analysis of trends in life expectancies and per capita GDP as well as pharmaceutical and non-pharmaceutical healthcare expenditures, with: T. Hermanowski, V. Bystrov, S.I. Szafraniec-Buryło, D. Rabczenko, K. Kolasa, E. Orlewska, Acta Poloniae Pharmaceutica. Drug Research, 72, 5, 2015, 1045-1050, link.

7. Effects of DRG-based hospital payment in Poland on treatment of patients with stroke, with: V. Bystrov, D. Rutkowski, T. Hermanowski, Health Policy, 119, 8, 2015, 1119-1125, link.

8. Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions, with: H. Lütkepohl and P. Winker, International Journal of Forecasting, 31, 3, 2015, 782-798, link.

9. Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands, with: P. Winker, Central European Journal of Economic Modelling and Econometrics, 6, 2, 2014, 89-104, link.

10. Modified Scheffè’s Prediction Bands, Jahrbücher für Nationalökonomie und Statistik, 233/5+6, 2013, 680-690, link.

11. Constructing Narrowest Pathwise Bootstrap Prediction Bands Using Threshold Accepting, with: P. Winker, International Journal of Forecasting, 29, 2, 2013, 221-233, link.

12. Bootstrap Prediction Bands for Forecast Paths from Vector Autoregressive Models, Journal of Forecasting, 30, 8, 2011, 721-735, link.  

13. On the power of direct tests for rational expectations against the alternative of constant gain learning, with: V. Bystrov, Bank i Kredyt, 41, 6, 2010, 71-84, link

14. Bootstrap Confidence Bands for VAR Forecast Paths, in: Welfe W., Welfe A. (eds): Proceedings of the 35th International Conference Macromodels 2008, Łódź, 2009, 155-173.

15. Using the bootstrap to make inferences about the shape of impulse response paths, in: Welfe A. (ed.): Metody Ilościowe w Naukach Ekonomicznych, Ósme Warsztaty Doktorskie z Zakresu Ekonometrii i Statystyki, Oficyna Wydawnicza SGH, Warszawa, 2008, 265-278.

16. Learning About the Shape of Impulse Response Functions, in: Welfe W., Welfe A. (eds): Proceedings of the 33rd International Conference Macromodels 2006, Łódź, 2007, 235-245.

17. Representing uncertainty about response paths: The use of heuristic optimization methods, Computational Statistics and Data Analysis, 52, 1, 2007, 121-132, link.

18. Conditional response analysis, with: G. E. Mizon, in: Phillips G. D. A. and Tzavalis E. (eds): The Refinement of Econometric Estimation and Test Procedures, Cambridge University Press, Cambridge, 2007, 347-367.

19. The experiment in macroeconometrics, with: J. Aldrich, Journal of Economic Methodology, 14, 2, 2007, 143-167, link.

20. Confidence Bands for Impulse Response Paths, in: Welfe W., Welfe A. (eds): Proceedings of the 32nd International Conference Macromodels 2005, Łódź, 2006, 155-167.

21. Impulse Response Analysis in Conditional Models: Wages, Prices and Productivity in Poland, in: Welfe A. (ed.): Metody Ilościowe w Naukach Ekonomicznych, Szóste Warsztaty Doktorskie z Zakresu Ekonometrii i Statystyki, Oficyna Wydawnicza SGH, Warszawa, 2006, 191-214.

22. Non-detectable structural change: non-estimable dynamics or tests without power?, in: Welfe A. (ed.): Metody Ilościowe w Naukach Ekonomicznych, Piąte Warsztaty Doktorskie z Zakresu Ekonometrii i Statystyki, Oficyna Wydawnicza SGH, Warszawa, 2005, 213-234.

23. Inference in VAR Modelling: Some Preliminaries, in: Welfe W., Welfe A. (eds): Proceedings of the 30th International Conference Macromodels 2003, Łódź, 2004, 199-216.

  

Working papers


1. Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions, with: H. Lütkepohl and P. Winker, 2017, DIW Berlin Discussion Paper no. 1642, pdf  

2. Calculating Joint Confidence Bands for Impulse Response Functions using Highest Density Regions, with: H. Lütkepohl and P. Winker, 2016, SFB 649 Discussion Paper no. 2016-017, pdf (also available as MAGKS Joint Discussion Paper Series in Economics no. 16-2016, pdf and DIW Berlin Discussion Paper no. 1564, pdf)

3. Confidence Bands for Impulse Responses: Bonferroni versus Wald, with: H. Lütkepohl and P. Winker, 2014, DIW Berlin Discussion Paper no. 1354, pdf (also available as SFB 649 Discussion Paper no. 2014-007, pdf and CESifo Working Paper no. 4634, pdf)

4. Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions, with: H. Lütkepohl and P. Winker, 2013, DIW Berlin Discussion Paper no. 1292, pdf (also available as MAGKS MAGKS Joint Discussion Paper Series in Economics no. 25-2013, pdf and SFB 649 Discussion Paper no. 2013-031, pdf)

5. The experiment in macroeconometrics, with: J. Aldrich, 2006, Warsaw School of Economics, Department of Applied Econometrics Working Paper no. 5-06, pdf


Other


1. Sprawozdanie z konferencji "40th Anniversary Macromodels International Conference", Przegląd Statystyczny, 60, 4, 2013, 561-563.

2. Łódzka szkoła ekonometryczna. Instytut Ekonometrii, with: M. Majsterek, M. Malaczewski, W. Milo, I. Świeczewska, in: J. Grotowska-Leder, E. Kwiatkowski (eds): Szkoły naukowe i kierunki badań na Wydziale Ekonomiczno-Socjologicznym Uniwersytetu Łódzkiego. Tradycja i współczesność, Wydawnictwo Uniwersytetu Łódzkiego, Łódź, 2015, 33-58.